ltpda: src/ltpda_dft/polyregz.m annotate

annotate src/ltpda_dft/polyregz.m @ 25:79dc7091dbbc database-connection-manager

Update tests

author	Daniele Nicolodi <nicolodi@science.unitn.it>
date	Mon, 05 Dec 2011 16:20:06 +0100
parents	f0afece42f48
children

rev	line source
0 f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	1 (*
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	2
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	3 /home/ghh/math/polyreg/polyregz.m 17.01.2008 Gerhard Heinzel AEI
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	4
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	5 This is version 1.1
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	6
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	7 history:
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	8 version 1.0 17.1.08 initial release
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	9 version 1.1 18.1.08 fixed two typos in comment
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	10
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	11 Mathematica code to produce C code for efficient polynomial detrending
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	12
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	13 The polynomials are defined in terms of z = 2i/(n-1)-1, i=0...n
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	14 such that the range 0...n-1 is mapped to -1...+1
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	15
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	16 Thereby the high dynamic range of i^n is reduced to -1..1,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	17 and furthermore every second entry in the matrix of
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	18 the normal equations and its inverse vanishes due to symmetry.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	19
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	20 The regression is done via explicit solution of the normal equations.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	21
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	22 These are of dimension (p+1) for degree p:
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	23
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	24 ( s_0 s_1 s_2 .. s_p ) ( a_0 ) = ( b_0 )
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	25 ( s_1 s_2 s_3 .. s_p+1 ) ( a_1 ) ( b_1 )
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	26 ( ... ) ( ... ) ( ... )
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	27 ( s_p s_p+1 .. s_2p ) ( a_p ) ( b_p )
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	28
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	29 with
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	30 s_k = Sum(i=0...n-1) z^k,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	31 b_k = Sum(i=0...n-1) x_i z^k,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	32 a_k = The unknown coefficient of z^k in the best-fit regression.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	33
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	34 The Matrix with s depends only on p and n, not on the data.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	35
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	36 The Mathematica code below finds exact explicit expressions for
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	37 the Matrix and its Inverse and writes the corresponding C code.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	38
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	39 If any modifications of the C code are desired apart from "indent"ing,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	40 this file below should be altered but not the C code.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	41
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	42 *)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	43
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	44 <<clear.m
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	45
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	46 (*
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	47 <<polyregz.m
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	48 *)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	49
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	50 z[i_,n_] := 2 i /(n-1) -1;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	51
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	52 s[k_,n_] := Sum[z[i,n]^k,{i,0,n-1}];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	53
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	54 m[n_,p_] := Table[s[i+j,n],{i,0,p},{j,0,p}];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	55
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	56 sol[p_] := sol[p] = Simplify[Inverse[m[n, p]]];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	57
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	58 cln[x_] := CoefficientList[Numerator[x],n];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	59 cld[x_] := CoefficientList[Denominator[x],n];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	60
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	61 max[x_] := Max[cln[x],cld[x]];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	62
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	63 pn[x_] := "0" /; x== 0;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	64 pn[x_] := ToString[CForm[x]] <> "L";
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	65
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	66 ncln[x_] := Map[pn, N[cln[x] / max[x], 22]];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	67 ncld[x_] := Map[pn, N[cld[x] / max[x], 22]];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	68
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	69 polyprint[p_, x_] := p[[1]] /; Length[p]==1;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	70 polyprint[p_, x_] := "(" <> polyprint[Drop[p,1], x] <> " * " <> x <> " + " <> p[[1]] <> ")" /; Length[p]>1 ;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	71
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	72 cform[x_] := "0" /; FreeQ[x,n];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	73 cform[x_] := polyprint[ncln[x], "n"] <> " / " <> polyprint[ncld[x], "n"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	74
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	75 wlist[sbeg_, list_, sep_, send_] :=
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	76 Write[fp, sbeg <> Apply[StringJoin, Riffle[list, sep]] <> send];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	77
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	78 out[p_] := Module[ {fn, s, i, j, s1, list},
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	79 fn="polyreg"<>ToString[p] <> ".c";
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	80 fp=OpenWrite[fn,FormatType->OutputForm, PageWidth->1024];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	81 Write[fp,"void"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	82 Write[fp,"polyreg",p," (double x, int nn, double y, double *a)"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	83 Write[fp,"{"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	84 Write[fp,""];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	85 Write[fp,"/*"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	86 Write[fp,"polynominal detrending of a time series, order ",p];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	87 Write[fp,"machine-generated file, do not edit!"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	88 Write[fp,"made by polyregz.m (Mathematica )"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	89 Write[fp,"Gerhard Heinzel AEI 17.01.2008"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	90 Write[fp,""];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	91 Write[fp,"x[]: input, read-only: time series to be detrended"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	92 Write[fp,"nn: input, read-only: length of x[]"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	93 Write[fp,"y[]: output: time series with trend subtracted"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	94 Write[fp,"a[]: fitting coefficients in for z^0, z^1, z^2,... with"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	95 Write[fp," z = 2*i/(nn-1)-1 ; i=0,...,nn-1"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	96 Write[fp,"*/"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	97 Write[fp,""];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	98 Write[fp," long double n = nn, n1 = 2.L / (n - 1), z;"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	99 For[i=0, i<=p, i++,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	100 Write[fp," long double a",i,", temp",i,", sum",i," = 0;"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	101 ];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	102 Write[fp," int i;"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	103 Write[fp," for (i = 0; i < nn; i++)"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	104 Write[fp," {"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	105 Write[fp," z = n1 * i - 1.L;"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	106 list={"x[i]"};
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	107 For[i=0, i<=p, i++,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	108 s1=" sum" <> ToString[i] <> " += ";
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	109 wlist[s1, list, " * ", ";"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	110 list=Append[list,"z"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	111 ];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	112 Write[fp,"/* the above code is efficiently optimized by GCC4 */"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	113 Write[fp,""];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	114 Write[fp," }"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	115
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	116 s=sol[p];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	117 For[i=0, i<=p, i++,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	118 list={};
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	119 For[j=0, j<=p, j++,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	120 If[!FreeQ[s[[i+1,j+1]],n],
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	121 Write[fp, "temp", j, " = ", cform[s[[i+1,j+1]]], ";"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	122 list=Append[list,"temp" <> ToString[j] <> " * sum" <> ToString[j]];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	123 ]
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	124 ];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	125 s1 = "a" <> ToString[i] <> " = ";
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	126 wlist[s1, list, " + ", ";"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	127 ];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	128 Write[fp," for (i = 0; i < nn; i++)"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	129 Write[fp," {"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	130 Write[fp," z = n1 * i - 1.L;"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	131 list={};
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	132 For[i=0, i<=p, i++,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	133 list=Append[list, "a" <> ToString[i]];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	134 ];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	135
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	136 Write[fp," y[i] = x[i] - ", polyprint[list, "z"], ";"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	137 Write[fp," }"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	138 For[i=0, i<=p, i++,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	139 Write[fp," a[",i,"] = a",i,";"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	140 ];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	141 Write[fp,"}"];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	142 Close[fp];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	143 ];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	144
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	145 For[i=0, i<=10, i++,
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	146 out[i];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	147 Print["degree ",i," done."];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	148 ]
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	149

Mercurial > hg > ltpda

annotate src/ltpda_dft/polyregz.m @ 25:79dc7091dbbc database-connection-manager