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spline1dintegrate function
http://forum.alglib.net/viewtopic.php?f=2&t=3788		 Page 1 of 1
Author:  vpham [ Wed Jan 25, 2017 2:22 am ]
Post subject:  spline1dintegrate function
Dear Support,

I have an array of X nodes = [0, 1/12, 3/12, 1/2, 1, 2, 5, 10,15, 20] and a spline built successfully.

I try to use the spline1dintegrate(spline,X) function to integrate the function. I have produced the results for the integration. However, I am uncertain that if the spline1dintegrate(spline,X) function integrates from the starting node in the array to next node or from each pair of the consecutive nodes?
e.g. [0, 1/12], [0, 3/12], [0,1/2]..... or [0,1/12], [1/12,3/12] or [3/12, 1/2]

Please help ! Many thanks.
Van
[#include <iostream>

#include <cstdio>
#include <cstdlib>
#include <vector>
#include <interpolation.h>
#include "interpolation.cpp"
#include "ap.cpp"
#include "alglibinternal.cpp"
#include "alglibmisc.cpp"
#include "linalg.cpp"
#include "solvers.cpp"
#include "optimization.cpp"
#include "specialfunctions.cpp"
#include "integration.cpp"

#include <vector>

using namespace std;

double B(double a,double T);
double B(double a,double T)
{
return (1/a*(1-exp(-a*T)));
}
double A(double a, double b, double var, double T);
double A(double a, double b, double var, double T)
{
return -(var/(4*a))*pow(B(a,T),2)+(b-(var/(2*pow(a,2))))*(B(a,T)-T);
}
double p(double T, double a, double b, double var, double r0);
double p(double T, double a, double b, double var, double r0)
{
return exp(A(a,b,var,T)-r0*B(a,T));
}

double D1G(int n, double a, double b, double c, double T);
double D1G(int n, double a, double b, double c, double T)
{

if(n == 0){
return (1/a)*((1/a*(1-exp(-a*T)))-T);
}
else {
return (1/a)*(pow(T,n)*B(a,T)+n*D1G(n-1,a,b,c,T)-pow(T,n+1)/(n+1));
}
}

double D2G(int n, double a, double b, double c, double T);
double D2G(int n, double a, double b, double c, double T)
{
if(n == 0){
return -(1/(2*a))*pow(B(a,T),2)- (1/pow(a,2))*(B(a,T)-T);

}
else {
//-(1/(2*a))*(T^n*B(T,a,b,sigma2)^2-n*D2G(n-1,a,b,sigma2))-(1/a^2)*(T^n*B(T,a,b,sigma2)+n*D1G(n-1,a,b,sigma2)-T^(n+1)/(n+1));
return -(1/(2*a))*(pow(T,n)*pow(B(a,T),2)-n*D2G(n-1, a, b, c, T))- (1/pow(a,2))*(pow(T,n)*B(a,T)+n*D1G(n-1, a, b, c, T)-pow(T,n+1)/(n+1));
}
}



int main()
{
double a= 3.5, b = 0.03, var = 0.3, r0 = 0.03, q2;
//int i;
//float X[9], Y[9];
std::vector<double> X(9), Y(9);
X[0]=0;
X[1]=1.0/12;
X[2]=0.25;
X[3]=0.5;
X[4]=1;
X[5]=2;
X[6]=5;
X[7]=10;
X[8]=15;
X[9]=20;

/*for (i=0;i<10;i++){
cout << "x:" << X[i]<< ", f(x):";
Y[i] = X[i]*log(p(X[i],a,b,var,r0));
cout << Y[i] << endl;
}*/
cout << "\n"<< endl;
for (int n = 0; n<3; n++){
Y[0] = pow(X[0],n)*log(p(X[0],a,b,var,r0));
Y[1] = pow(X[1],n)*log(p(X[1],a,b,var,r0));
Y[2] = pow(X[2],n)*log(p(X[2],a,b,var,r0));
Y[3] = pow(X[3],n)*log(p(X[3],a,b,var,r0));
Y[4] = pow(X[4],n)*log(p(X[4],a,b,var,r0));
Y[5] = pow(X[5],n)*log(p(X[5],a,b,var,r0));
Y[6] = pow(X[6],n)*log(p(X[6],a,b,var,r0));
Y[7] = pow(X[7],n)*log(p(X[7],a,b,var,r0));
Y[8] = pow(X[8],n)*log(p(X[8],a,b,var,r0));
Y[9] = pow(X[9],n)*log(p(X[9],a,b,var,r0));
}


alglib::real_1d_array AX, AY; // alglib building vector X and Y
AX.setcontent(X.size(), &(X[0]));
AY.setcontent(Y.size(), &(Y[0]));

alglib::spline1dinterpolant spline; //alglib defining a spline
alglib::spline1dbuildlinear(AX, AY,spline); //alglib building the linear spline
for (int i = 0; i <10;i++){
q2 = spline1dintegrate(spline,X[i]);
cout <<q2 << endl;
}
//cout <<q2 << endl; //alglib integrating at value X = 20
//int k =2;
//double T = 20.0;
//(T^(n+1)/(n+1))*A(T,a,b,sigma2)-(sigma2/(2*(n+1)))*D2G(n+1,a,b,sigma2) ...
// -(a*b/(n+1))*D1G(n+1,a,b,sigma2)+r0*D1G(n,a,b,sigma2)-q(n);

//cout <<(pow(T,k+1)/(k+1))*A(a,b,var,T)-(var/(2*(k+1)))*D2G(k+1,a,b, var,T)-(a*b/(k+1))*D1G(k+1,a,b, var,T)+r0*D1G(k,a,b, var,T)<< endl;
return EXIT_SUCCESS;
}]
Author:  Sergey.Bochkanov [ Fri Jan 27, 2017 3:21 pm ]
Post subject:  Re: spline1dintegrate function
Hi! It calculates integral with fixed lower bound equal to min(x[]). In your case it calculates integral(S(x)dx,0,t) for t=1/12, 3/12 and so on.
Author:  vpham [ Mon Jan 30, 2017 3:29 am ]
Post subject:  Re: spline1dintegrate function
Dear Sergey,

Thank you so much.

Cheers,
Van
Author:  vpham [ Mon Jan 30, 2017 3:37 am ]
Post subject:  Re: spline1dintegrate function
Dear Sergey,

I also have another query in regards to the spline1dbuildlinear(AX, AY,spline) function.

As I understand that the function currently only accepts array of physical values, if I have X nodes = [0, 1/12, 3/12, 1/2, 1, 2, 5, 10,15, 20] and Y[i] = X[i]*log(p(X[i],a,b,var,r0)), how do I store the values of Y[i] as array to apply to the spline1dbuildlinear(AX, AY,spline) function ?

Your help is much appreciated. Many thanks.

Cheers,
Van
Author:  Sergey.Bochkanov [ Mon Jan 30, 2017 10:11 am ]
Post subject:  Re: spline1dintegrate function
See separate topic on this question :)
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