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Commit 13ea4211 authored by Stéphane Adjemian's avatar Stéphane Adjemian
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Added routine computing Gaussian cubature weights and nodes (implementation of... 

Added routine computing Gaussian cubature weights and nodes (implementation of algorithms described in Stroud 1971).
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matlab/cubature_with_gaussian_weight.m 0 → 100644
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function [nodes, weights] = cubature_with_gaussian_weight(d,n,method)
%@info:
%! @deftypefn {Function File} {@var{nodes}, @var{weights} =} cubature_with_gaussian_weight (@var{d}, @var{n})
%! @anchor{cubature_with_gaussian_weight}
%! @sp 1
%! Computes nodes and weights for a n-order cubature with gaussian weight.
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item d
%! Scalar integer, dimension of the region of integration.
%! @item n
%! Scalar integer equal to 3 or 5, approximation order.
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item nodes
%! n*m matrix of doubles, the m nodes where the integrated function has to be evaluated. The number of nodes, m, is equal to 2*@var{d} is @var{n}==3 or 2*@var{d}^2+1 if @var{n}==5.
%! @item weights
%! m*1 vector of doubles, weights associated to the nodes.
%! @end table
%! @sp 2
%! @strong{Remarks}
%! @sp 1
%! The routine returns nodes and associated weights to compute a multivariate integral of the form:
%!
%! \int_D f(x)*\exp(-<x,x>) dx
%!
%!
%! @end deftypefn
%@eod:
% Copyright (C) 2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT fr
% Set default.
if nargin<3 || isempty(method)
method = 'Stroud';
end
if strcmp(method,'Stroud') && isequal(n,3)
%V = sqrt(pi)^d;
r = sqrt(d/2);
nodes = r*[eye(d),-eye(d)];
weights = ones(2*d,1)/(2*d);
return
end
if strcmp(method,'Stroud') && isequal(n,5)
r = sqrt((d+2)/2);
s = sqrt((d+2)/4);
m = 2*d^2+1;
A = 2/(n+2);
B = (4-d)/(2*(n+2)^2);
C = 1/(n+2)^2;
% Initialize the outputs
nodes = zeros(d,m);
weights = zeros(m,1);
% Set the weight for the first node (0)
weights(1) = A;
skip = 1;
% Set the remaining nodes and associated weights.
nodes(:,skip+(1:d)) = r*eye(d);
weights(skip+(1:d)) = B;
skip = skip+d;
nodes(:,skip+(1:d)) = -r*eye(d);
weights(skip+(1:d)) = B;
skip = skip+d;
for i=1:d-1
for j = i+1:d
nodes(:,skip+(1:4)) = s*ee(d,i,j);
weights(skip+(1:4)) = C;
skip = skip+4;
end
end
return
end
if strcmp(method,'Stroud')
error(['cubature_with_gaussian_weight:: Cubature (Stroud tables) is not yet implemented with n = ' int2str(n) '!'])
end
function v = e(n,i)
v = zeros(n,1);
v(i) = 1;
function m = ee(n,i,j)
m = zeros(n,4);
m(:,1) = e(n,i)+e(n,j);
m(:,2) = e(n,i)-e(n,j);
m(:,3) = -m(:,2);
m(:,4) = -m(:,1);
%@test:1
%$ % Set problem
%$ d = 4;
%$
%$ t = zeros(5,1);
%$
%$ % Call the tested routine
%$ try
%$ [nodes,weights] = cubature_with_gaussian_weight(d,3);
%$ t(1) = 1;
%$ catch exception
%$ t = t(1);
%$ T = all(t);
%$ LOG = getReport(exception,'extended');
%$ return
%$ end
%$
%$ % Check the results.
%$ nodes = sqrt(2)*nodes;
%$
%$ % Compute (approximated) first order moments.
%$ m1 = nodes*weights;
%$
%$ % Compute (approximated) second order moments.
%$ m2 = nodes.^2*weights;
%$
%$ % Compute (approximated) third order moments.
%$ m3 = nodes.^3*weights;
%$
%$ % Compute (approximated) fourth order moments.
%$ m4 = nodes.^4*weights;
%$
%$ t(2) = dyn_assert(m1,zeros(d,1),1e-12);
%$ t(3) = dyn_assert(m2,ones(d,1),1e-12);
%$ t(4) = dyn_assert(m3,zeros(d,1),1e-12);
%$ t(5) = dyn_assert(m4,d*ones(d,1),1e-10);
%$ T = all(t);
%@eof:1
%@test:2
%$ % Set problem
%$ d = 4;
%$ Sigma = diag(1:d);
%$ Omega = diag(sqrt(1:d));
%$
%$ t = zeros(5,1);
%$
%$ % Call the tested routine
%$ try
%$ [nodes,weights] = cubature_with_gaussian_weight(d,3);
%$ t(1) = 1;
%$ catch exception
%$ t = t(1);
%$ T = all(t);
%$ LOG = getReport(exception,'extended');
%$ return
%$ end
%$
%$ % Check the results.
%$ nodes = sqrt(2)*Omega*nodes;
%$
%$ % Compute (approximated) first order moments.
%$ m1 = nodes*weights;
%$
%$ % Compute (approximated) second order moments.
%$ m2 = nodes.^2*weights;
%$
%$ % Compute (approximated) third order moments.
%$ m3 = nodes.^3*weights;
%$
%$ % Compute (approximated) fourth order moments.
%$ m4 = nodes.^4*weights;
%$
%$ t(2) = dyn_assert(m1,zeros(d,1),1e-12);
%$ t(3) = dyn_assert(m2,transpose(1:d),1e-12);
%$ t(4) = dyn_assert(m3,zeros(d,1),1e-12);
%$ t(5) = dyn_assert(m4,d*transpose(1:d).^2,1e-10);
%$ T = all(t);
%@eof:2
%@test:3
%$ % Set problem
%$ d = 4;
%$ Sigma = diag(1:d);
%$ Omega = diag(sqrt(1:d));
%$
%$ t = zeros(4,1);
%$
%$ % Call the tested routine
%$ try
%$ [nodes,weights] = cubature_with_gaussian_weight(d,3);
%$ t(1) = 1;
%$ catch exception
%$ t = t(1);
%$ T = all(t);
%$ LOG = getReport(exception,'extended');
%$ return
%$ end
%$
%$ % Check the results.
%$ nodes = sqrt(2)*Omega*nodes;
%$
%$ % Compute (approximated) first order moments.
%$ m1 = nodes*weights;
%$
%$ % Compute (approximated) second order moments.
%$ m2 = bsxfun(@times,nodes,transpose(weights))*transpose(nodes);
%$
%$ t(2) = dyn_assert(m1,zeros(d,1),1e-12);
%$ t(3) = dyn_assert(diag(m2),transpose(1:d),1e-12);
%$ t(4) = dyn_assert(m2(:),vec(diag(diag(m2))),1e-12);
%$ T = all(t);
%@eof:3
%@test:4
%$ % Set problem
%$ d = 10;
%$ a = randn(d,2*d);
%$ Sigma = a*a';
%$ Omega = chol(Sigma,'lower');
%$
%$ t = zeros(4,1);
%$
%$ % Call the tested routine
%$ try
%$ [nodes,weights] = cubature_with_gaussian_weight(d,3);
%$ t(1) = 1;
%$ catch exception
%$ t = t(1);
%$ T = all(t);
%$ LOG = getReport(exception,'extended');
%$ return
%$ end
%$
%$ % Correct nodes for the covariance matrix
%$ for i=1:length(weights)
%$ nodes(:,i) = sqrt(2)*Omega*nodes(:,i);
%$ end
%$
%$ % Check the results.
%$
%$ % Compute (approximated) first order moments.
%$ m1 = nodes*weights;
%$
%$ % Compute (approximated) second order moments.
%$ m2 = bsxfun(@times,nodes,transpose(weights))*transpose(nodes);
%$
%$ % Compute (approximated) third order moments.
%$ m3 = nodes.^3*weights;
%$
%$ t(2) = dyn_assert(m1,zeros(d,1),1e-12);
%$ t(3) = dyn_assert(m2(:),vec(Sigma),1e-12);
%$ t(4) = dyn_assert(m3,zeros(d,1),1e-12);
%$ T = all(t);
%@eof:4
%@test:5
%$ % Set problem
%$ d = 5;
%$
%$ t = zeros(6,1);
%$
%$ % Call the tested routine
%$ try
%$ [nodes,weights] = cubature_with_gaussian_weight(d,5);
%$ t(1) = 1;
%$ catch exception
%$ t = t(1);
%$ T = all(t);
%$ LOG = getReport(exception,'extended');
%$ return
%$ end
%$
%$ % Check the results.
%$ nodes = sqrt(2)*nodes;
%$
%$ % Compute (approximated) first order moments.
%$ m1 = nodes*weights;
%$
%$ % Compute (approximated) second order moments.
%$ m2 = nodes.^2*weights;
%$
%$ % Compute (approximated) third order moments.
%$ m3 = nodes.^3*weights;
%$
%$ % Compute (approximated) fourth order moments.
%$ m4 = nodes.^4*weights;
%$
%$ % Compute (approximated) fifth order moments.
%$ m5 = nodes.^5*weights;
%$
%$ t(2) = dyn_assert(m1,zeros(d,1),1e-12);
%$ t(3) = dyn_assert(m2,ones(d,1),1e-12);
%$ t(4) = dyn_assert(m3,zeros(d,1),1e-12);
%$ t(5) = dyn_assert(m4,3*ones(d,1),1e-12);
%$ t(6) = dyn_assert(m5,zeros(d,1),1e-12);
%$ T = all(t);
%@eof:5
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