using System; using System.Collections.Generic; using System.Linq; using System.Numerics; namespace IStation.Numerics.Integration.GaussRule { /// /// Contains a method to compute the Gauss-Kronrod abscissas/weights and precomputed abscissas/weights for orders 15, 21, 31, 41, 51, 61. /// internal static partial class GaussKronrodPoint { /// /// Precomputed abscissas/weights for orders 15, 21, 31, 41, 51, 61. /// internal static readonly Dictionary PreComputed = new Dictionary { { 15, new GaussPointPair(15, new[] // 15-point Gauss-Kronrod Abscissa { 0.00000000000000000e+00, 2.07784955007898468e-01, 4.05845151377397167e-01, 5.86087235467691130e-01, 7.41531185599394440e-01, 8.64864423359769073e-01, 9.49107912342758525e-01, 9.91455371120812639e-01, }, new[] // 15-point Gauss-Kronrod Weights { 2.09482141084727828e-01, 2.04432940075298892e-01, 1.90350578064785410e-01, 1.69004726639267903e-01, 1.40653259715525919e-01, 1.04790010322250184e-01, 6.30920926299785533e-02, 2.29353220105292250e-02, }, 7, new[] // 7-point Gauss Weights { 4.17959183673469388e-01, 3.81830050505118945e-01, 2.79705391489276668e-01, 1.29484966168869693e-01, }) }, { 21, new GaussPointPair(21, new[] // 21-point Gauss-Kronrod Abscissa { 0.00000000000000000e+00, 1.48874338981631211e-01, 2.94392862701460198e-01, 4.33395394129247191e-01, 5.62757134668604683e-01, 6.79409568299024406e-01, 7.80817726586416897e-01, 8.65063366688984511e-01, 9.30157491355708226e-01, 9.73906528517171720e-01, 9.95657163025808081e-01, }, new[] // 21-point Gauss-Kronrod Weights { 1.49445554002916906e-01, 1.47739104901338491e-01, 1.42775938577060081e-01, 1.34709217311473326e-01, 1.23491976262065851e-01, 1.09387158802297642e-01, 9.31254545836976055e-02, 7.50396748109199528e-02, 5.47558965743519960e-02, 3.25581623079647275e-02, 1.16946388673718743e-02, }, 10, new[] // 10-point Gauss Weights { 2.95524224714752870e-01, 2.69266719309996355e-01, 2.19086362515982044e-01, 1.49451349150580593e-01, 6.66713443086881376e-02, }) }, { 31, new GaussPointPair(31, new[] // 31-point Gauss-Kronrod Abscissa { 0.00000000000000000e+00, 1.01142066918717499e-01, 2.01194093997434522e-01, 2.99180007153168812e-01, 3.94151347077563370e-01, 4.85081863640239681e-01, 5.70972172608538848e-01, 6.50996741297416971e-01, 7.24417731360170047e-01, 7.90418501442465933e-01, 8.48206583410427216e-01, 8.97264532344081901e-01, 9.37273392400705904e-01, 9.67739075679139134e-01, 9.87992518020485428e-01, 9.98002298693397060e-01, }, new[] // 31-point Gauss-Kronrod Weights { 1.01330007014791549e-01, 1.00769845523875595e-01, 9.91735987217919593e-02, 9.66427269836236785e-02, 9.31265981708253212e-02, 8.85644430562117706e-02, 8.30805028231330210e-02, 7.68496807577203789e-02, 6.98541213187282587e-02, 6.20095678006706403e-02, 5.34815246909280873e-02, 4.45897513247648766e-02, 3.53463607913758462e-02, 2.54608473267153202e-02, 1.50079473293161225e-02, 5.37747987292334899e-03, }, 15, new[] // 15-point Gauss Weights { 2.02578241925561273e-01, 1.98431485327111576e-01, 1.86161000015562211e-01, 1.66269205816993934e-01, 1.39570677926154314e-01, 1.07159220467171935e-01, 7.03660474881081247e-02, 3.07532419961172684e-02, }) }, { 41, new GaussPointPair(41, new[] // 41-point Gauss-Kronrod Abscissa { 0.00000000000000000e+00, 7.65265211334973338e-02, 1.52605465240922676e-01, 2.27785851141645078e-01, 3.01627868114913004e-01, 3.73706088715419561e-01, 4.43593175238725103e-01, 5.10867001950827098e-01, 5.75140446819710315e-01, 6.36053680726515025e-01, 6.93237656334751385e-01, 7.46331906460150793e-01, 7.95041428837551198e-01, 8.39116971822218823e-01, 8.78276811252281976e-01, 9.12234428251325906e-01, 9.40822633831754754e-01, 9.63971927277913791e-01, 9.81507877450250259e-01, 9.93128599185094925e-01, 9.98859031588277664e-01, }, new[] // 41-point Gauss-Kronrod Weights { 7.66007119179996564e-02, 7.63778676720807367e-02, 7.57044976845566747e-02, 7.45828754004991890e-02, 7.30306903327866675e-02, 7.10544235534440683e-02, 6.86486729285216193e-02, 6.58345971336184221e-02, 6.26532375547811680e-02, 5.91114008806395724e-02, 5.51951053482859947e-02, 5.09445739237286919e-02, 4.64348218674976747e-02, 4.16688733279736863e-02, 3.66001697582007980e-02, 3.12873067770327990e-02, 2.58821336049511588e-02, 2.03883734612665236e-02, 1.46261692569712530e-02, 8.60026985564294220e-03, 3.07358371852053150e-03, }, 20, new[] // 20-point Gauss Weights { 1.52753387130725851e-01, 1.49172986472603747e-01, 1.42096109318382051e-01, 1.31688638449176627e-01, 1.18194531961518417e-01, 1.01930119817240435e-01, 8.32767415767047487e-02, 6.26720483341090636e-02, 4.06014298003869413e-02, 1.76140071391521183e-02, }) }, { 51, new GaussPointPair(51, new[] // 51-point Gauss-Kronrod Abscissa { 0.00000000000000000e+00, 6.15444830056850789e-02, 1.22864692610710396e-01, 1.83718939421048892e-01, 2.43866883720988432e-01, 3.03089538931107830e-01, 3.61172305809387838e-01, 4.17885382193037749e-01, 4.73002731445714961e-01, 5.26325284334719183e-01, 5.77662930241222968e-01, 6.26810099010317413e-01, 6.73566368473468364e-01, 7.17766406813084388e-01, 7.59259263037357631e-01, 7.97873797998500059e-01, 8.33442628760834001e-01, 8.65847065293275595e-01, 8.94991997878275369e-01, 9.20747115281701562e-01, 9.42974571228974339e-01, 9.61614986425842512e-01, 9.76663921459517511e-01, 9.88035794534077248e-01, 9.95556969790498098e-01, 9.99262104992609834e-01, }, new[] // 51-point Gauss-Kronrod Weights { 6.15808180678329351e-02, 6.14711898714253167e-02, 6.11285097170530483e-02, 6.05394553760458629e-02, 5.97203403241740600e-02, 5.86896800223942080e-02, 5.74371163615678329e-02, 5.59508112204123173e-02, 5.42511298885454901e-02, 5.23628858064074759e-02, 5.02776790807156720e-02, 4.79825371388367139e-02, 4.55029130499217889e-02, 4.28728450201700495e-02, 4.00838255040323821e-02, 3.71162714834155436e-02, 3.40021302743293378e-02, 3.07923001673874889e-02, 2.74753175878517378e-02, 2.40099456069532162e-02, 2.04353711458828355e-02, 1.68478177091282982e-02, 1.32362291955716748e-02, 9.47397338617415161e-03, 5.56193213535671376e-03, 1.98738389233031593e-03, }, 25, new[] // 25-point Gauss Weights { 1.23176053726715451e-01, 1.22242442990310042e-01, 1.19455763535784772e-01, 1.14858259145711648e-01, 1.08519624474263653e-01, 1.00535949067050644e-01, 9.10282619829636498e-02, 8.01407003350010180e-02, 6.80383338123569172e-02, 5.49046959758351919e-02, 4.09391567013063127e-02, 2.63549866150321373e-02, 1.13937985010262879e-02, }) }, { 61, new GaussPointPair(61, new[] // 61-point Gauss-Kronrod Abscissa { 0.00000000000000000e+00, 5.14718425553176958e-02, 1.02806937966737030e-01, 1.53869913608583547e-01, 2.04525116682309891e-01, 2.54636926167889846e-01, 3.04073202273625077e-01, 3.52704725530878113e-01, 4.00401254830394393e-01, 4.47033769538089177e-01, 4.92480467861778575e-01, 5.36624148142019899e-01, 5.79345235826361692e-01, 6.20526182989242861e-01, 6.60061064126626961e-01, 6.97850494793315797e-01, 7.33790062453226805e-01, 7.67777432104826195e-01, 7.99727835821839083e-01, 8.29565762382768397e-01, 8.57205233546061099e-01, 8.82560535792052682e-01, 9.05573307699907799e-01, 9.26200047429274326e-01, 9.44374444748559979e-01, 9.60021864968307512e-01, 9.73116322501126268e-01, 9.83668123279747210e-01, 9.91630996870404595e-01, 9.96893484074649540e-01, 9.99484410050490638e-01, }, new[] // 61-point Gauss-Kronrod Weights { 5.14947294294515676e-02, 5.14261285374590259e-02, 5.12215478492587722e-02, 5.08817958987496065e-02, 5.04059214027823468e-02, 4.97956834270742064e-02, 4.90554345550297789e-02, 4.81858617570871291e-02, 4.71855465692991539e-02, 4.60592382710069881e-02, 4.48148001331626632e-02, 4.34525397013560693e-02, 4.19698102151642461e-02, 4.03745389515359591e-02, 3.86789456247275930e-02, 3.68823646518212292e-02, 3.49793380280600241e-02, 3.29814470574837260e-02, 3.09072575623877625e-02, 2.87540487650412928e-02, 2.65099548823331016e-02, 2.41911620780806014e-02, 2.18280358216091923e-02, 1.94141411939423812e-02, 1.69208891890532726e-02, 1.43697295070458048e-02, 1.18230152534963417e-02, 9.27327965951776343e-03, 6.63070391593129217e-03, 3.89046112709988405e-03, 1.38901369867700762e-03, }, 30, new[] // 30-point Gauss Weights { 1.02852652893558840e-01, 1.01762389748405505e-01, 9.95934205867952671e-02, 9.63687371746442596e-02, 9.21225222377861287e-02, 8.68997872010829798e-02, 8.07558952294202154e-02, 7.37559747377052063e-02, 6.59742298821804951e-02, 5.74931562176190665e-02, 4.84026728305940529e-02, 3.87991925696270496e-02, 2.87847078833233693e-02, 1.84664683110909591e-02, 7.96819249616660562e-03, }) }, }; } /// /// Contains a method to compute the Gauss-Kronrod abscissas/weights. /// internal static partial class GaussKronrodPoint { /// /// Computes the Gauss-Kronrod abscissas/weights and Gauss weights. /// /// Defines an Nth order Gauss-Kronrod rule. The order also defines the number of abscissas and weights for the rule. /// Required precision to compute the abscissas/weights. /// Object containing the non-negative abscissas/weights, order. internal static GaussPointPair Generate(int order, double eps) { int gaussOrder = (order - 1) / 2; int gaussStart = gaussOrder.IsOdd() ? 0 : 1; int kronrodStart = gaussOrder.IsOdd() ? 1 : 0; var gaussPoint = GaussLegendrePointFactory.GetGaussPoint(gaussOrder); var gaussAbscissas = gaussPoint.Abscissas; var gaussWeights = gaussPoint.Weights; // Calculate Kronrod polynomial in terms of Legendre polynomials // K(x) = c0*P(0, x) + c1*P(1, x) + ... var c = StieltjesP(gaussOrder + 1); // Calculate Abscissas for Kronrod polynomial int r = gaussOrder.IsOdd() ? (gaussOrder - 1) / 2 + 1 : gaussOrder / 2 + 1; var kronrodAbscissas = new double[r]; for (int k = 1; k <= gaussOrder + 1; k = k + 2) { var x0 = (1.0 - (1.0 - 1.0 / gaussOrder) / (8 * gaussOrder * gaussOrder)) * Math.Cos((k - 0.5) * Math.PI / (2.0 * gaussOrder + 1.0)); var dx = 0d; var j = 1; // iterations // Newton iterations do { var E = LegendreSeries(c, x0); dx = E.Item1 / E.Item2; x0 = x0 - dx; j++; } while (Math.Abs(dx) > eps && j < 100); if (Math.Abs(x0) < Precision.MachineEpsilon) x0 = 0.0; kronrodAbscissas[(k - 1) / 2] = x0; } // Concatenate two abscissas var abscissas = new double[gaussAbscissas.Length + kronrodAbscissas.Length]; gaussAbscissas.CopyTo(abscissas, 0); kronrodAbscissas.CopyTo(abscissas, gaussAbscissas.Length); abscissas = abscissas.OrderBy(v => v).ToArray(); // Calculate weights for abscissas var weights = new double[gaussAbscissas.Length + kronrodAbscissas.Length]; for (int i = gaussStart; i < abscissas.Length; i += 2) { var x = abscissas[i]; var E = LegendreSeries(c, x); var L = LegendreP(gaussOrder, x); var p = L.Item2; var w2 = 2.0 / ((1.0 - x * x) * p * p); // Gauss weight weights[i] = w2 + 2.0 / ((gaussOrder + 1.0) * p * E.Item1); } for (int i = kronrodStart; i < abscissas.Length; i += 2) { var x = abscissas[i]; var E = LegendreSeries(c, x); var L = LegendreP(gaussOrder, x); weights[i] = 2.0 / ((gaussOrder + 1.0) * L.Item1 * E.Item2); } return new GaussPointPair(order, abscissas, weights, gaussOrder, gaussWeights); } /// /// Returns coefficients of a Stieltjes polynomial in terms of Legendre polynomials. /// internal static double[] StieltjesP(int order) { // Reference: // 1. Patterson, Thomas NL. "The optimum addition of points to quadrature formulae." Mathematics of Computation 22.104 (1968): 847-856. // 2. Piessens, Robert, and Maria Branders. "A note on the optimal addition of abscissas to quadrature formulas of Gauss and Lobatto type." Mathematics of Computation (1974): 135-139. // 3. Legendre-Stieltjes Polynomials, Boost.Math // // Here, we are using Patterson algorithm, expanding the Stieltjes polynomial in terms of Legendre polynomials. // // Kronrod Polynomial K[n + 1, x] is expanded in terms of Legendre Polynomial P[n, x]. // // K[n + 1, x] = sum_(n=1)^r a[i] P[2 * i - 1 - q, x] // // where P[n, x] is the Legendre polynomial of degree n, // [x] denotes the integer part of x, // q = n - 2[n/2] // r = [(n + 3)/2] // // The added n + 1 Kronrod abscissae is the roots of the Kronrod polynomial. if (order == 1) // P(1, x) return new double[] { 0, 1 }; else if (order == 2) // -2/5 * P(0, x) + P(2, x) return new double[] { -0.4, 0, 1 }; else if (order == 3) // -9/14 * P(1, x) + P(3, x) return new double[] { 0, -0.642857142857142857142857142857, 0, 1 }; else if (order == 4) // 14/891 * P(0, x) - 20/27 * P(2, x) + P(4, x) return new double[] { 0.0157126823793490460157126823793, 0, -0.740740740740740740740740740741, 0, 1 }; else if (order == 5) // 135/12584 * P(1, x) - 35/44 * P(3, x) + P(5, x) return new double[] { 0, 0.0107279084551811824539097266370, 0, -0.795454545454545454545454545455, 0, 1 }; int n = order - 1; int q = n.IsOdd() ? 1 : 0; int r = n.IsOdd() ? (n - 1) / 2 + 2 : n / 2 + 1; double[] a = new double[r + 1]; // Calculate a[i] for i = 1, ..., r // // a[r] = 1; // a[r - 1] = -a[r] * S[r, 1] / S[r - 1, 1]; // a[r - 2] = -a[r] * S[r, 2] / S[r - 2, 2] - a[r - 1] * S[r - 1, 2] / S[r - 2, 2]; // ... // a[1] = -a[r] * S[r, r - 1] / S[1, r - 1] - a[r - 1] * S[r - 1, r - 1] / S[1, r - 1] - ... - a[2] * S[2, r - 1] / S[1, r - 1]; // // S[i, k] / S[r - k, k] = S[i - 1, k] / S[r - k, k] // * ((n - q + 2 * (i + k - 1)) * (n + q + 2 * (k - i + 1)) * (n - 1 - q + 2 * (i - k)) * (2 * (k + i - 1) - 1 - q - n)) // / ((n - q + 2 * (i - k)) * (2 * (k + i - 1) - q - n) * (n + 1 + q + 2 * (k - i)) * (n - 1 - q + 2 * (i + k))); a[r] = 1.0; for (int k = 1; k < r; k++) { double ratio = 1.0; a[r - k] = 0.0; for (int i = r + 1 - k; i <= r; i++) { double numerator = (n - q + 2 * (i + k - 1)) * (n + q + 2 * (k - i + 1)) * (n - 1 - q + 2 * (i - k)) * (2 * (k + i - 1) - 1 - q - n); double denominator = (n - q + 2 * (i - k)) * (2 * (k + i - 1) - q - n) * (n + 1 + q + 2 * (k - i)) * (n - 1 - q + 2 * (i + k)); ratio = ratio * numerator / denominator; a[r - k] -= a[i] * ratio; } } // K = sum c[k] P[k, x] double[] c = new double[2 * r - q]; for (int i = 1; i < a.Length; i++) { c[2 * i - 1 - q] = a[i]; } return c; } /// /// Return value and derivative of a Legendre series at given points. /// internal static Tuple LegendreSeries(double[] a, double x) { // S = a[0]*P[0, x] + ... + a[k]*P[k, x] + ... + a[n]*P[n, x] // where P[k, x] is the Legendre polynomial of order k // // According to the Clenshaw algorithm, S can be written by // S = a[0] + x*b[1, x] - 1/2 * b[2,x] // // b[n + 1, x] = 0 // b[n + 2, x] = 0 // b[k, x] = a[k] + (2k + 1)/(k + 1)*x*b[k + 1, x] - (k + 1)/(k + 2)*b[k + 2, x] // // Derivative of S is given by // S' = b[1, x] + x*b'[1, x] - 1/2 * b'[2,x] // // b'[k, x] = (2k + 1)/(k + 1)*b[k + 1, x] + (2k + 1)/(k + 1)*x*b'[k + 1, x] - (k + 1)/(k + 2)*b'[k + 2, x] if (a.Length == 1) return new Tuple(a[0], 0); if (a.Length == 2) return new Tuple(a[0] + a[1] * x, a[1]); double b0 = 0.0, b1 = 0.0, b2 = 0.0; double p0 = 0.0, p1 = 0.0, p2 = 0.0; for (int k = a.Length - 1; k >= 1; k--) { b0 = a[k] + (2.0 * k + 1.0) / (k + 1.0) * x * b1 - (k + 1.0) / (k + 2.0) * b2; p0 = (2.0 * k + 1.0) / (k + 1.0) * (b1 + x * p1) - (k + 1.0) / (k + 2.0) * p2; b2 = b1; b1 = b0; p2 = p1; p1 = p0; } var value = a[0] + b1 * x - 0.5 * b2; var derivative = b1 + p1 * x - 0.5 * p2; return new Tuple( value, derivative ); } /// /// Return value and derivative of a Legendre polynomial of order at given points. /// internal static Tuple LegendreP(int order, double x) { // The Legendre polynomial, P[n, x], is defined by the recurrence relation: // // P[0, x] = 1 // P[1, x] = x // (n + 1) * P[n + 1, x] = (2 * n + 1) * x * P[n, x] - n * P[n - 1, x] // // The derivative of the Legendre polynomial, P'[n, x] is given by // P'[0, x] = 0 // P'[1, x] = 1 // (n + 1) * P'[n + 1, x] = (2 * n + 1) * P[n, x] + (2 * n + 1) * x * P'[n, x] - n * P'[n - 1, x] // = (2 * n + 1) * (P[n, x] + x * P'[n, x]) - n * P'[n - 1, x] if (order == 0) return new Tuple(1.0, 0.0); if (order == 1) return new Tuple(x, 1.0); double b0 = 0.0, b1 = 1.0, b2 = 0.0; double p0 = 0.0, p1 = 0.0, p2 = 0.0; for (int k = 1; k <= order; k++) { b0 = (2.0 * k - 1.0) / k * x * b1 - (k - 1.0) / k * b2; // L(k, x) p0 = (2.0 * k - 1.0) / k * (b1 + x * p1) - (k - 1.0) / k * p2; // L'(k, x) b2 = b1; b1 = b0; p2 = p1; p1 = p0; } var value = b0; var derivative = p0; return new Tuple(value, derivative); } } }