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Getting closer to having a wilson solver... introducing a first and untested
cut at Conjugate gradient. Also copied in Remez, Zolotarev, Chebyshev from Mike Clark, Tony Kennedy and my BFM package respectively since we know we will need these. I wanted the structure of algorithms/approx algorithms/iterative etc.. to start taking shape.
This commit is contained in:
Peter Boyle
755
lib/algorithms/approx/Remez.cc
Executable file
755
lib/algorithms/approx/Remez.cc
Executable file
@ -0,0 +1,755 @@
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/*
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Mike Clark - 25th May 2005
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alg_remez.C
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AlgRemez is an implementation of the Remez algorithm, which in this
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case is used for generating the optimal nth root rational
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approximation.
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Note this class requires the gnu multiprecision (GNU MP) library.
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*/
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#include<math.h>
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#include<stdio.h>
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#include<stdlib.h>
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#include<string>
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#include<iostream>
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#include<iomanip>
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#include<cassert>
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#include<algorithms/approx/Remez.h>
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// Constructor
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AlgRemez::AlgRemez(double lower, double upper, long precision)
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{
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prec = precision;
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bigfloat::setDefaultPrecision(prec);
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apstrt = lower;
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apend = upper;
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apwidt = apend - apstrt;
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std::cout<<"Approximation bounds are ["<<apstrt<<","<<apend<<"]\n";
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std::cout<<"Precision of arithmetic is "<<precision<<std::endl;
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alloc = 0;
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n = 0;
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d = 0;
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foundRoots = 0;
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// Only require the approximation spread to be less than 1 ulp
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tolerance = 1e-15;
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}
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// Destructor
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AlgRemez::~AlgRemez()
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{
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if (alloc) {
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delete [] param;
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delete [] roots;
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delete [] poles;
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delete [] xx;
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delete [] mm;
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delete [] a_power;
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delete [] a;
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}
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}
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// Free memory and reallocate as necessary
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void AlgRemez::allocate(int num_degree, int den_degree)
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{
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// Arrays have previously been allocated, deallocate first, then allocate
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if (alloc) {
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delete [] param;
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delete [] roots;
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delete [] poles;
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delete [] xx;
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delete [] mm;
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}
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// Note use of new and delete in memory allocation - cannot run on qcdsp
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param = new bigfloat[num_degree+den_degree+1];
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roots = new bigfloat[num_degree];
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poles = new bigfloat[den_degree];
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xx = new bigfloat[num_degree+den_degree+3];
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mm = new bigfloat[num_degree+den_degree+2];
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if (!alloc) {
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// The coefficients of the sum in the exponential
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a = new bigfloat[SUM_MAX];
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a_power = new int[SUM_MAX];
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}
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alloc = 1;
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}
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// Reset the bounds of the approximation
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void AlgRemez::setBounds(double lower, double upper)
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{
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apstrt = lower;
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apend = upper;
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apwidt = apend - apstrt;
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}
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// Generate the rational approximation x^(pnum/pden)
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double AlgRemez::generateApprox(int degree, unsigned long pnum,
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unsigned long pden)
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{
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return generateApprox(degree, degree, pnum, pden);
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}
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double AlgRemez::generateApprox(int num_degree, int den_degree,
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unsigned long pnum, unsigned long pden)
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{
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double *a_param = 0;
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int *a_pow = 0;
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return generateApprox(num_degree, den_degree, pnum, pden, 0, a_param, a_pow);
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}
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// Generate the rational approximation x^(pnum/pden)
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double AlgRemez::generateApprox(int num_degree, int den_degree,
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unsigned long pnum, unsigned long pden,
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int a_len, double *a_param, int *a_pow)
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{
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std::cout<<"Degree of the approximation is ("<<num_degree<<","<<den_degree<<")\n";
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std::cout<<"Approximating the function x^("<<pnum<<"/"<<pden<<"\n";
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// Reallocate arrays, since degree has changed
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if (num_degree != n || den_degree != d) allocate(num_degree,den_degree);
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assert(a_len<=SUM_MAX);
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step = new bigfloat[num_degree+den_degree+2];
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a_length = a_len;
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for (int j=0; j<a_len; j++) {
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a[j]= a_param[j];
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a_power[j] = a_pow[j];
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}
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power_num = pnum;
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power_den = pden;
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spread = 1.0e37;
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iter = 0;
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n = num_degree;
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d = den_degree;
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neq = n + d + 1;
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initialGuess();
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stpini(step);
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while (spread > tolerance) { //iterate until convergance
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if (iter++%100==0)
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std::cout<<"Iteration " <<iter-1<<" spread "<<(double)spread<<" delta "<<(double)delta<<std::endl;
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equations();
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assert( delta>= tolerance);
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search(step);
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}
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int sign;
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double error = (double)getErr(mm[0],&sign);
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std::cout<<"Converged at "<<iter<<" iterations; error = "<<error<<std::endl;
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// Once the approximation has been generated, calculate the roots
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if(!root()) {
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std::cout<<"Root finding failed\n";
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} else {
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foundRoots = 1;
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}
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delete [] step;
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// Return the maximum error in the approximation
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return error;
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}
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// Return the partial fraction expansion of the approximation x^(pnum/pden)
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int AlgRemez::getPFE(double *Res, double *Pole, double *Norm) {
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if (n!=d) {
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std::cout<<"Cannot handle case: Numerator degree neq Denominator degree\n";
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return 0;
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}
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if (!alloc) {
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std::cout<<"Approximation not yet generated\n";
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return 0;
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}
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if (!foundRoots) {
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std::cout<<"Roots not found, so PFE cannot be taken\n";
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return 0;
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}
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bigfloat *r = new bigfloat[n];
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bigfloat *p = new bigfloat[d];
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for (int i=0; i<n; i++) r[i] = roots[i];
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for (int i=0; i<d; i++) p[i] = poles[i];
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// Perform a partial fraction expansion
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pfe(r, p, norm);
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// Convert to double and return
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*Norm = (double)norm;
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for (int i=0; i<n; i++) Res[i] = (double)r[i];
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for (int i=0; i<d; i++) Pole[i] = (double)p[i];
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delete [] r;
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delete [] p;
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// Where the smallest shift is located
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return 0;
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}
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// Return the partial fraction expansion of the approximation x^(-pnum/pden)
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int AlgRemez::getIPFE(double *Res, double *Pole, double *Norm) {
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if (n!=d) {
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std::cout<<"Cannot handle case: Numerator degree neq Denominator degree\n";
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return 0;
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}
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if (!alloc) {
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std::cout<<"Approximation not yet generated\n";
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return 0;
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}
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if (!foundRoots) {
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std::cout<<"Roots not found, so PFE cannot be taken\n";
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return 0;
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}
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bigfloat *r = new bigfloat[d];
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bigfloat *p = new bigfloat[n];
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// Want the inverse function
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for (int i=0; i<n; i++) {
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r[i] = poles[i];
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p[i] = roots[i];
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}
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// Perform a partial fraction expansion
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pfe(r, p, (bigfloat)1l/norm);
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// Convert to double and return
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*Norm = (double)((bigfloat)1l/(norm));
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for (int i=0; i<n; i++) {
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Res[i] = (double)r[i];
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Pole[i] = (double)p[i];
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}
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delete [] r;
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delete [] p;
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// Where the smallest shift is located
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return 0;
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}
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// Initial values of maximal and minimal errors
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void AlgRemez::initialGuess() {
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// Supply initial guesses for solution points
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long ncheb = neq; // Degree of Chebyshev error estimate
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bigfloat a, r;
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// Find ncheb+1 extrema of Chebyshev polynomial
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a = ncheb;
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mm[0] = apstrt;
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for (long i = 1; i < ncheb; i++) {
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r = 0.5 * (1 - cos((M_PI * i)/(double) a));
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//r *= sqrt_bf(r);
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r = (exp((double)r)-1.0)/(exp(1.0)-1.0);
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mm[i] = apstrt + r * apwidt;
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}
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mm[ncheb] = apend;
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a = 2.0 * ncheb;
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for (long i = 0; i <= ncheb; i++) {
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r = 0.5 * (1 - cos(M_PI * (2*i+1)/(double) a));
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//r *= sqrt_bf(r); // Squeeze to low end of interval
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r = (exp((double)r)-1.0)/(exp(1.0)-1.0);
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xx[i] = apstrt + r * apwidt;
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}
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}
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// Initialise step sizes
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void AlgRemez::stpini(bigfloat *step) {
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xx[neq+1] = apend;
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delta = 0.25;
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step[0] = xx[0] - apstrt;
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for (int i = 1; i < neq; i++) step[i] = xx[i] - xx[i-1];
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step[neq] = step[neq-1];
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}
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// Search for error maxima and minima
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void AlgRemez::search(bigfloat *step) {
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bigfloat a, q, xm, ym, xn, yn, xx0, xx1;
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int i, j, meq, emsign, ensign, steps;
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meq = neq + 1;
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bigfloat *yy = new bigfloat[meq];
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bigfloat eclose = 1.0e30;
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bigfloat farther = 0l;
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j = 1;
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xx0 = apstrt;
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for (i = 0; i < meq; i++) {
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steps = 0;
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xx1 = xx[i]; // Next zero
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if (i == meq-1) xx1 = apend;
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xm = mm[i];
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ym = getErr(xm,&emsign);
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q = step[i];
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xn = xm + q;
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if (xn < xx0 || xn >= xx1) { // Cannot skip over adjacent boundaries
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q = -q;
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xn = xm;
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yn = ym;
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ensign = emsign;
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} else {
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yn = getErr(xn,&ensign);
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if (yn < ym) {
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q = -q;
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xn = xm;
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yn = ym;
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ensign = emsign;
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}
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}
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while(yn >= ym) { // March until error becomes smaller.
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if (++steps > 10) break;
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ym = yn;
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xm = xn;
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emsign = ensign;
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a = xm + q;
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if (a == xm || a <= xx0 || a >= xx1) break;// Must not skip over the zeros either side.
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xn = a;
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yn = getErr(xn,&ensign);
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}
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mm[i] = xm; // Position of maximum
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yy[i] = ym; // Value of maximum
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if (eclose > ym) eclose = ym;
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if (farther < ym) farther = ym;
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xx0 = xx1; // Walk to next zero.
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} // end of search loop
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q = (farther - eclose); // Decrease step size if error spread increased
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if (eclose != 0.0) q /= eclose; // Relative error spread
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if (q >= spread) delta *= 0.5; // Spread is increasing; decrease step size
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spread = q;
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for (i = 0; i < neq; i++) {
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q = yy[i+1];
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if (q != 0.0) q = yy[i] / q - (bigfloat)1l;
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else q = 0.0625;
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if (q > (bigfloat)0.25) q = 0.25;
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q *= mm[i+1] - mm[i];
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step[i] = q * delta;
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}
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step[neq] = step[neq-1];
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for (i = 0; i < neq; i++) { // Insert new locations for the zeros.
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xm = xx[i] - step[i];
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if (xm <= apstrt) continue;
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if (xm >= apend) continue;
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if (xm <= mm[i]) xm = (bigfloat)0.5 * (mm[i] + xx[i]);
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if (xm >= mm[i+1]) xm = (bigfloat)0.5 * (mm[i+1] + xx[i]);
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xx[i] = xm;
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}
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delete [] yy;
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}
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// Solve the equations
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void AlgRemez::equations(void) {
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bigfloat x, y, z;
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int i, j, ip;
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bigfloat *aa;
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bigfloat *AA = new bigfloat[(neq)*(neq)];
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bigfloat *BB = new bigfloat[neq];
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for (i = 0; i < neq; i++) { // set up the equations for solution by simq()
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ip = neq * i; // offset to 1st element of this row of matrix
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x = xx[i]; // the guess for this row
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y = func(x); // right-hand-side vector
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z = (bigfloat)1l;
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aa = AA+ip;
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for (j = 0; j <= n; j++) {
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*aa++ = z;
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z *= x;
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}
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z = (bigfloat)1l;
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for (j = 0; j < d; j++) {
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*aa++ = -y * z;
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z *= x;
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}
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BB[i] = y * z; // Right hand side vector
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}
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// Solve the simultaneous linear equations.
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if (simq(AA, BB, param, neq)) {
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std::cout<<"simq failed\n";
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exit(0);
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}
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delete [] AA;
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delete [] BB;
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}
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// Evaluate the rational form P(x)/Q(x) using coefficients
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// from the solution vector param
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bigfloat AlgRemez::approx(const bigfloat x) {
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bigfloat yn, yd;
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int i;
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// Work backwards toward the constant term.
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yn = param[n]; // Highest order numerator coefficient
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for (i = n-1; i >= 0; i--) yn = x * yn + param[i];
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yd = x + param[n+d]; // Highest degree coefficient = 1.0
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for (i = n+d-1; i > n; i--) yd = x * yd + param[i];
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return(yn/yd);
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}
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// Compute size and sign of the approximation error at x
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bigfloat AlgRemez::getErr(bigfloat x, int *sign) {
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bigfloat e, f;
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f = func(x);
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e = approx(x) - f;
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if (f != 0) e /= f;
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if (e < (bigfloat)0.0) {
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*sign = -1;
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e = -e;
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}
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else *sign = 1;
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return(e);
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}
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// Calculate function required for the approximation.
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bigfloat AlgRemez::func(const bigfloat x) {
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bigfloat z = (bigfloat)power_num / (bigfloat)power_den;
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bigfloat y;
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if (x == (bigfloat)1.0) y = (bigfloat)1.0;
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else y = pow_bf(x,z);
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||||
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if (a_length > 0) {
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||||
bigfloat sum = 0l;
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for (int j=0; j<a_length; j++) sum += a[j]*pow_bf(x,a_power[j]);
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||||
return y * exp_bf(sum);
|
||||
} else {
|
||||
return y;
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}
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||||
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||||
}
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// Solve the system AX=B
|
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int AlgRemez::simq(bigfloat A[], bigfloat B[], bigfloat X[], int n) {
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||||
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int i, j, ij, ip, ipj, ipk, ipn;
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||||
int idxpiv, iback;
|
||||
int k, kp, kp1, kpk, kpn;
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||||
int nip, nkp, nm1;
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||||
bigfloat em, q, rownrm, big, size, pivot, sum;
|
||||
bigfloat *aa;
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||||
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||||
// simq() work vector
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||||
int *IPS = new int[(neq) * sizeof(int)];
|
||||
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||||
nm1 = n - 1;
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||||
// Initialize IPS and X
|
||||
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||||
ij = 0;
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||||
for (i = 0; i < n; i++) {
|
||||
IPS[i] = i;
|
||||
rownrm = 0.0;
|
||||
for(j = 0; j < n; j++) {
|
||||
q = abs_bf(A[ij]);
|
||||
if(rownrm < q) rownrm = q;
|
||||
++ij;
|
||||
}
|
||||
if (rownrm == (bigfloat)0l) {
|
||||
std::cout<<"simq rownrm=0\n";
|
||||
delete [] IPS;
|
||||
return(1);
|
||||
}
|
||||
X[i] = (bigfloat)1.0 / rownrm;
|
||||
}
|
||||
|
||||
for (k = 0; k < nm1; k++) {
|
||||
big = 0.0;
|
||||
idxpiv = 0;
|
||||
|
||||
for (i = k; i < n; i++) {
|
||||
ip = IPS[i];
|
||||
ipk = n*ip + k;
|
||||
size = abs_bf(A[ipk]) * X[ip];
|
||||
if (size > big) {
|
||||
big = size;
|
||||
idxpiv = i;
|
||||
}
|
||||
}
|
||||
|
||||
if (big == (bigfloat)0l) {
|
||||
std::cout<<"simq big=0\n";
|
||||
delete [] IPS;
|
||||
return(2);
|
||||
}
|
||||
if (idxpiv != k) {
|
||||
j = IPS[k];
|
||||
IPS[k] = IPS[idxpiv];
|
||||
IPS[idxpiv] = j;
|
||||
}
|
||||
kp = IPS[k];
|
||||
kpk = n*kp + k;
|
||||
pivot = A[kpk];
|
||||
kp1 = k+1;
|
||||
for (i = kp1; i < n; i++) {
|
||||
ip = IPS[i];
|
||||
ipk = n*ip + k;
|
||||
em = -A[ipk] / pivot;
|
||||
A[ipk] = -em;
|
||||
nip = n*ip;
|
||||
nkp = n*kp;
|
||||
aa = A+nkp+kp1;
|
||||
for (j = kp1; j < n; j++) {
|
||||
ipj = nip + j;
|
||||
A[ipj] = A[ipj] + em * *aa++;
|
||||
}
|
||||
}
|
||||
}
|
||||
kpn = n * IPS[n-1] + n - 1; // last element of IPS[n] th row
|
||||
if (A[kpn] == (bigfloat)0l) {
|
||||
std::cout<<"simq A[kpn]=0\n";
|
||||
delete [] IPS;
|
||||
return(3);
|
||||
}
|
||||
|
||||
|
||||
ip = IPS[0];
|
||||
X[0] = B[ip];
|
||||
for (i = 1; i < n; i++) {
|
||||
ip = IPS[i];
|
||||
ipj = n * ip;
|
||||
sum = 0.0;
|
||||
for (j = 0; j < i; j++) {
|
||||
sum += A[ipj] * X[j];
|
||||
++ipj;
|
||||
}
|
||||
X[i] = B[ip] - sum;
|
||||
}
|
||||
|
||||
ipn = n * IPS[n-1] + n - 1;
|
||||
X[n-1] = X[n-1] / A[ipn];
|
||||
|
||||
for (iback = 1; iback < n; iback++) {
|
||||
//i goes (n-1),...,1
|
||||
i = nm1 - iback;
|
||||
ip = IPS[i];
|
||||
nip = n*ip;
|
||||
sum = 0.0;
|
||||
aa = A+nip+i+1;
|
||||
for (j= i + 1; j < n; j++)
|
||||
sum += *aa++ * X[j];
|
||||
X[i] = (X[i] - sum) / A[nip+i];
|
||||
}
|
||||
|
||||
delete [] IPS;
|
||||
return(0);
|
||||
}
|
||||
|
||||
// Calculate the roots of the approximation
|
||||
int AlgRemez::root() {
|
||||
|
||||
long i,j;
|
||||
bigfloat x,dx=0.05;
|
||||
bigfloat upper=1, lower=-100000;
|
||||
bigfloat tol = 1e-20;
|
||||
|
||||
bigfloat *poly = new bigfloat[neq+1];
|
||||
|
||||
// First find the numerator roots
|
||||
for (i=0; i<=n; i++) poly[i] = param[i];
|
||||
|
||||
for (i=n-1; i>=0; i--) {
|
||||
roots[i] = rtnewt(poly,i+1,lower,upper,tol);
|
||||
if (roots[i] == 0.0) {
|
||||
std::cout<<"Failure to converge on root "<<i+1<<"/"<<n<<"\n";
|
||||
return 0;
|
||||
}
|
||||
poly[0] = -poly[0]/roots[i];
|
||||
for (j=1; j<=i; j++) poly[j] = (poly[j-1] - poly[j])/roots[i];
|
||||
}
|
||||
|
||||
// Now find the denominator roots
|
||||
poly[d] = 1l;
|
||||
for (i=0; i<d; i++) poly[i] = param[n+1+i];
|
||||
|
||||
for (i=d-1; i>=0; i--) {
|
||||
poles[i]=rtnewt(poly,i+1,lower,upper,tol);
|
||||
if (poles[i] == 0.0) {
|
||||
std::cout<<"Failure to converge on pole "<<i+1<<"/"<<d<<"\n";
|
||||
return 0;
|
||||
}
|
||||
poly[0] = -poly[0]/poles[i];
|
||||
for (j=1; j<=i; j++) poly[j] = (poly[j-1] - poly[j])/poles[i];
|
||||
}
|
||||
|
||||
norm = param[n];
|
||||
|
||||
delete [] poly;
|
||||
|
||||
return 1;
|
||||
}
|
||||
|
||||
// Evaluate the polynomial
|
||||
bigfloat AlgRemez::polyEval(bigfloat x, bigfloat *poly, long size) {
|
||||
bigfloat f = poly[size];
|
||||
for (int i=size-1; i>=0; i--) f = f*x + poly[i];
|
||||
return f;
|
||||
}
|
||||
|
||||
// Evaluate the differential of the polynomial
|
||||
bigfloat AlgRemez::polyDiff(bigfloat x, bigfloat *poly, long size) {
|
||||
bigfloat df = (bigfloat)size*poly[size];
|
||||
for (int i=size-1; i>0; i--) df = df*x + (bigfloat)i*poly[i];
|
||||
return df;
|
||||
}
|
||||
|
||||
|
||||
// Newton's method to calculate roots
|
||||
bigfloat AlgRemez::rtnewt(bigfloat *poly, long i, bigfloat x1,
|
||||
bigfloat x2, bigfloat xacc) {
|
||||
int j;
|
||||
bigfloat df, dx, f, rtn;
|
||||
|
||||
rtn=(bigfloat)0.5*(x1+x2);
|
||||
for (j=1; j<=JMAX;j++) {
|
||||
f = polyEval(rtn, poly, i);
|
||||
df = polyDiff(rtn, poly, i);
|
||||
dx = f/df;
|
||||
rtn -= dx;
|
||||
if (abs_bf(dx) < xacc) return rtn;
|
||||
}
|
||||
std::cout<<"Maximum number of iterations exceeded in rtnewt\n";
|
||||
return 0.0;
|
||||
}
|
||||
|
||||
// Evaluate the partial fraction expansion of the rational function
|
||||
// with res roots and poles poles. Result is overwritten on input
|
||||
// arrays.
|
||||
void AlgRemez::pfe(bigfloat *res, bigfloat *poles, bigfloat norm) {
|
||||
int i,j,small;
|
||||
bigfloat temp;
|
||||
bigfloat *numerator = new bigfloat[n];
|
||||
bigfloat *denominator = new bigfloat[d];
|
||||
|
||||
// Construct the polynomials explicitly
|
||||
for (i=1; i<n; i++) {
|
||||
numerator[i] = 0l;
|
||||
denominator[i] = 0l;
|
||||
}
|
||||
numerator[0]=1l;
|
||||
denominator[0]=1l;
|
||||
|
||||
for (j=0; j<n; j++) {
|
||||
for (i=n-1; i>=0; i--) {
|
||||
numerator[i] *= -res[j];
|
||||
denominator[i] *= -poles[j];
|
||||
if (i>0) {
|
||||
numerator[i] += numerator[i-1];
|
||||
denominator[i] += denominator[i-1];
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Convert to proper fraction form.
|
||||
// Fraction is now in the form 1 + n/d, where O(n)+1=O(d)
|
||||
for (i=0; i<n; i++) numerator[i] -= denominator[i];
|
||||
|
||||
// Find the residues of the partial fraction expansion and absorb the
|
||||
// coefficients.
|
||||
for (i=0; i<n; i++) {
|
||||
res[i] = 0l;
|
||||
for (j=n-1; j>=0; j--) {
|
||||
res[i] = poles[i]*res[i]+numerator[j];
|
||||
}
|
||||
for (j=n-1; j>=0; j--) {
|
||||
if (i!=j) res[i] /= poles[i]-poles[j];
|
||||
}
|
||||
res[i] *= norm;
|
||||
}
|
||||
|
||||
// res now holds the residues
|
||||
j = 0;
|
||||
for (i=0; i<n; i++) poles[i] = -poles[i];
|
||||
|
||||
// Move the ordering of the poles from smallest to largest
|
||||
for (j=0; j<n; j++) {
|
||||
small = j;
|
||||
for (i=j+1; i<n; i++) {
|
||||
if (poles[i] < poles[small]) small = i;
|
||||
}
|
||||
if (small != j) {
|
||||
temp = poles[small];
|
||||
poles[small] = poles[j];
|
||||
poles[j] = temp;
|
||||
temp = res[small];
|
||||
res[small] = res[j];
|
||||
res[j] = temp;
|
||||
}
|
||||
}
|
||||
|
||||
delete [] numerator;
|
||||
delete [] denominator;
|
||||
}
|
||||
|
||||
double AlgRemez::evaluateApprox(double x) {
|
||||
return (double)approx((bigfloat)x);
|
||||
}
|
||||
|
||||
double AlgRemez::evaluateInverseApprox(double x) {
|
||||
return 1.0/(double)approx((bigfloat)x);
|
||||
}
|
||||
|
||||
double AlgRemez::evaluateFunc(double x) {
|
||||
return (double)func((bigfloat)x);
|
||||
}
|
||||
|
||||
double AlgRemez::evaluateInverseFunc(double x) {
|
||||
return 1.0/(double)func((bigfloat)x);
|
||||
}
|
||||
|
||||
void AlgRemez::csv(std::ostream & os)
|
||||
{
|
||||
double lambda_low = apstrt;
|
||||
double lambda_high= apend;
|
||||
for (double x=lambda_low; x<lambda_high; x*=1.05) {
|
||||
double f = evaluateFunc(x);
|
||||
double r = evaluateApprox(x);
|
||||
os<< x<<","<<r<<","<<f<<","<<r-f<<std::endl;
|
||||
}
|
||||
return;
|
||||
}
|
||||
Reference in New Issue
Block a user