com.opengamma.strata.math.impl.function.PiecewisePolynomialFunction1D Maven / Gradle / Ivy
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Mathematic support for Strata
/*
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.math.impl.function;
import com.opengamma.strata.basics.value.ValueDerivatives;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.array.DoubleMatrix;
import com.opengamma.strata.math.impl.FunctionUtils;
import com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialResult;
/**
* Give a struct {@link PiecewisePolynomialResult}, Compute value, first derivative
* and integral of piecewise polynomial function.
*/
public class PiecewisePolynomialFunction1D {
/**
* Creates an instance.
*/
public PiecewisePolynomialFunction1D() {
}
//-------------------------------------------------------------------------
/**
* Evaluates the function.
*
* @param pp the PiecewisePolynomialResult
* @param xKey the key
* @return the values of piecewise polynomial functions at xKey
* When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains
* multiple splines, an element in the return values corresponds to each spline
*/
public DoubleArray evaluate(PiecewisePolynomialResult pp, double xKey) {
ArgChecker.notNull(pp, "pp");
ArgChecker.isFalse(Double.isNaN(xKey), "xKey containing NaN");
ArgChecker.isFalse(Double.isInfinite(xKey), "xKey containing Infinity");
DoubleArray knots = pp.getKnots();
int nKnots = knots.size();
DoubleMatrix coefMatrix = pp.getCoefMatrix();
// check for 1 less interval that knots
int lowerBound = FunctionUtils.getLowerBoundIndex(knots, xKey);
int indicator = lowerBound == nKnots - 1 ? lowerBound - 1 : lowerBound;
return DoubleArray.of(pp.getDimensions(), i -> {
DoubleArray coefs = coefMatrix.row(pp.getDimensions() * indicator + i);
double res = getValue(coefs, xKey, knots.get(indicator));
ArgChecker.isFalse(Double.isInfinite(res), "Too large input");
ArgChecker.isFalse(Double.isNaN(res), "Too large input");
return res;
});
}
/**
* Evaluates the function.
*
* @param pp the PiecewisePolynomialResult
* @param xKeys the key
* @return the values of piecewise polynomial functions at xKeys
* When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains
* multiple piecewise polynomials, a row vector of return value corresponds to each piecewise polynomial
*/
public DoubleMatrix evaluate(PiecewisePolynomialResult pp, double[] xKeys) {
ArgChecker.notNull(pp, "pp");
ArgChecker.notNull(xKeys, "xKeys");
int keyLength = xKeys.length;
for (int i = 0; i < keyLength; ++i) {
ArgChecker.isFalse(Double.isNaN(xKeys[i]), "xKeys containing NaN");
ArgChecker.isFalse(Double.isInfinite(xKeys[i]), "xKeys containing Infinity");
}
DoubleArray knots = pp.getKnots();
int nKnots = knots.size();
DoubleMatrix coefMatrix = pp.getCoefMatrix();
int dim = pp.getDimensions();
double[][] res = new double[dim][keyLength];
for (int k = 0; k < dim; ++k) {
for (int j = 0; j < keyLength; ++j) {
int indicator = 0;
if (xKeys[j] < knots.get(1)) {
indicator = 0;
} else {
for (int i = 1; i < nKnots - 1; ++i) {
if (knots.get(i) <= xKeys[j]) {
indicator = i;
}
}
}
DoubleArray coefs = coefMatrix.row(dim * indicator + k);
res[k][j] = getValue(coefs, xKeys[j], knots.get(indicator));
ArgChecker.isFalse(Double.isInfinite(res[k][j]), "Too large input");
ArgChecker.isFalse(Double.isNaN(res[k][j]), "Too large input");
}
}
return DoubleMatrix.copyOf(res);
}
/**
* Evaluates the function.
*
* @param pp the PiecewisePolynomialResult
* @param xKeys the key
* @return the values of piecewise polynomial functions at xKeys
* When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains
* multiple piecewise polynomials, one element of return vector of DoubleMatrix
* corresponds to each piecewise polynomial
*/
public DoubleMatrix[] evaluate(PiecewisePolynomialResult pp, double[][] xKeys) {
ArgChecker.notNull(pp, "pp");
ArgChecker.notNull(xKeys, "xKeys");
int keyLength = xKeys[0].length;
int keyDim = xKeys.length;
for (int j = 0; j < keyDim; ++j) {
for (int i = 0; i < keyLength; ++i) {
ArgChecker.isFalse(Double.isNaN(xKeys[j][i]), "xKeys containing NaN");
ArgChecker.isFalse(Double.isInfinite(xKeys[j][i]), "xKeys containing Infinity");
}
}
DoubleArray knots = pp.getKnots();
int nKnots = knots.size();
DoubleMatrix coefMatrix = pp.getCoefMatrix();
int dim = pp.getDimensions();
double[][][] res = new double[dim][keyDim][keyLength];
for (int k = 0; k < dim; ++k) {
for (int l = 0; l < keyDim; ++l) {
for (int j = 0; j < keyLength; ++j) {
int indicator = 0;
if (xKeys[l][j] < knots.get(1)) {
indicator = 0;
} else {
for (int i = 1; i < nKnots - 1; ++i) {
if (knots.get(i) <= xKeys[l][j]) {
indicator = i;
}
}
}
DoubleArray coefs = coefMatrix.row(dim * indicator + k);
res[k][l][j] = getValue(coefs, xKeys[l][j], knots.get(indicator));
ArgChecker.isFalse(Double.isInfinite(res[k][l][j]), "Too large input");
ArgChecker.isFalse(Double.isNaN(res[k][l][j]), "Too large input");
}
}
}
DoubleMatrix[] resMat = new DoubleMatrix[dim];
for (int i = 0; i < dim; ++i) {
resMat[i] = DoubleMatrix.copyOf(res[i]);
}
return resMat;
}
//-------------------------------------------------------------------------
/**
* Finds the first derivatives.
*
* @param pp the PiecewisePolynomialResult
* @param xKey the key
* @return the first derivatives of piecewise polynomial functions at xKey
* When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains
* multiple piecewise polynomials, an element in the return values corresponds to each piecewise polynomial
*/
public DoubleArray differentiate(PiecewisePolynomialResult pp, double xKey) {
ArgChecker.notNull(pp, "pp");
ArgChecker.isFalse(pp.getOrder() < 2, "polynomial degree < 1");
DoubleArray knots = pp.getKnots();
int nCoefs = pp.getOrder();
int rowCount = pp.getDimensions() * pp.getNumberOfIntervals();
int colCount = nCoefs - 1;
DoubleMatrix coef = DoubleMatrix.of(
rowCount,
colCount,
(i, j) -> pp.getCoefMatrix().get(i, j) * (nCoefs - j - 1));
PiecewisePolynomialResult ppDiff = new PiecewisePolynomialResult(knots, coef, colCount, pp.getDimensions());
return evaluate(ppDiff, xKey);
}
/**
* Finds the first derivatives.
*
* @param pp the PiecewisePolynomialResult
* @param xKeys the key
* @return the first derivatives of piecewise polynomial functions at xKeys
* When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains
* multiple piecewise polynomials, a row vector of return value corresponds to each piecewise polynomial
*/
public DoubleMatrix differentiate(PiecewisePolynomialResult pp, double[] xKeys) {
ArgChecker.notNull(pp, "pp");
ArgChecker.isFalse(pp.getOrder() < 2, "polynomial degree < 1");
DoubleArray knots = pp.getKnots();
int nCoefs = pp.getOrder();
int rowCount = pp.getDimensions() * pp.getNumberOfIntervals();
int colCount = nCoefs - 1;
DoubleMatrix coef = DoubleMatrix.of(
rowCount,
colCount,
(i, j) -> pp.getCoefMatrix().get(i, j) * (nCoefs - j - 1));
PiecewisePolynomialResult ppDiff = new PiecewisePolynomialResult(knots, coef, colCount, pp.getDimensions());
return evaluate(ppDiff, xKeys);
}
//-------------------------------------------------------------------------
/**
* Finds the second derivatives.
*
* @param pp the PiecewisePolynomialResult
* @param xKey the key
* @return the second derivatives of piecewise polynomial functions at xKey
* When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains
* multiple piecewise polynomials, an element in the return values corresponds to each piecewise polynomial
*/
public DoubleArray differentiateTwice(PiecewisePolynomialResult pp, double xKey) {
ArgChecker.notNull(pp, "pp");
ArgChecker.isFalse(pp.getOrder() < 3, "polynomial degree < 2");
DoubleArray knots = pp.getKnots();
int nCoefs = pp.getOrder();
int rowCount = pp.getDimensions() * pp.getNumberOfIntervals();
int colCount = nCoefs - 2;
DoubleMatrix coef = DoubleMatrix.of(
rowCount,
colCount,
(i, j) -> pp.getCoefMatrix().get(i, j) * (nCoefs - j - 1) * (nCoefs - j - 2));
PiecewisePolynomialResult ppDiff = new PiecewisePolynomialResult(knots, coef, nCoefs - 1, pp.getDimensions());
return evaluate(ppDiff, xKey);
}
/**
* Finds the second derivatives.
*
* @param pp the PiecewisePolynomialResult
* @param xKeys the key
* @return the second derivatives of piecewise polynomial functions at xKeys
* When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains
* multiple piecewise polynomials, a row vector of return value corresponds to each piecewise polynomial
*/
public DoubleMatrix differentiateTwice(PiecewisePolynomialResult pp, double[] xKeys) {
ArgChecker.notNull(pp, "pp");
ArgChecker.isFalse(pp.getOrder() < 3, "polynomial degree < 2");
DoubleArray knots = pp.getKnots();
int nCoefs = pp.getOrder();
int rowCount = pp.getDimensions() * pp.getNumberOfIntervals();
int colCount = nCoefs - 2;
DoubleMatrix coef = DoubleMatrix.of(
rowCount,
colCount,
(i, j) -> pp.getCoefMatrix().get(i, j) * (nCoefs - j - 1) * (nCoefs - j - 2));
PiecewisePolynomialResult ppDiff = new PiecewisePolynomialResult(knots, coef, nCoefs - 1, pp.getDimensions());
return evaluate(ppDiff, xKeys);
}
//-------------------------------------------------------------------------
/**
* Integration.
*
* @param pp the PiecewisePolynomialResult
* @param initialKey the initial key
* @param xKey the key
* @return the integral of piecewise polynomial between initialKey and xKey
*/
public double integrate(PiecewisePolynomialResult pp, double initialKey, double xKey) {
ArgChecker.notNull(pp, "pp");
ArgChecker.isFalse(Double.isNaN(initialKey), "initialKey containing NaN");
ArgChecker.isFalse(Double.isInfinite(initialKey), "initialKey containing Infinity");
ArgChecker.isTrue(pp.getDimensions() == 1, "Dimension should be 1");
DoubleArray knots = pp.getKnots();
int nCoefs = pp.getOrder();
int nKnots = pp.getNumberOfIntervals() + 1;
int rowCount = nKnots - 1;
int colCount = nCoefs + 1;
double[][] res = new double[rowCount][colCount];
for (int i = 0; i < rowCount; ++i) {
for (int j = 0; j < nCoefs; ++j) {
res[i][j] = pp.getCoefMatrix().get(i, j) / (nCoefs - j);
}
}
double[] constTerms = new double[rowCount];
int indicator = 0;
if (initialKey <= knots.get(1)) {
indicator = 0;
} else {
for (int i = 1; i < rowCount; ++i) {
if (knots.get(i) < initialKey) {
indicator = i;
}
}
}
double sum = getValue(res[indicator], initialKey, knots.get(indicator));
for (int i = indicator; i < nKnots - 2; ++i) {
constTerms[i + 1] = constTerms[i] + getValue(res[i], knots.get(i + 1), knots.get(i)) - sum;
sum = 0d;
}
constTerms[indicator] = -getValue(res[indicator], initialKey, knots.get(indicator));
for (int i = indicator - 1; i > -1; --i) {
constTerms[i] = constTerms[i + 1] - getValue(res[i], knots.get(i + 1), knots.get(i));
}
for (int i = 0; i < rowCount; ++i) {
res[i][nCoefs] = constTerms[i];
}
PiecewisePolynomialResult ppInt =
new PiecewisePolynomialResult(pp.getKnots(), DoubleMatrix.copyOf(res), colCount, 1);
return evaluate(ppInt, xKey).get(0);
}
/**
* Integration.
*
* @param pp the PiecewisePolynomialResult
* @param initialKey the initial key
* @param xKeys the keys
* @return the integral of piecewise polynomial between initialKey and xKeys
*/
public DoubleArray integrate(PiecewisePolynomialResult pp, double initialKey, double[] xKeys) {
ArgChecker.notNull(pp, "pp");
ArgChecker.notNull(xKeys, "xKeys");
ArgChecker.isFalse(Double.isNaN(initialKey), "initialKey containing NaN");
ArgChecker.isFalse(Double.isInfinite(initialKey), "initialKey containing Infinity");
ArgChecker.isTrue(pp.getDimensions() == 1, "Dimension should be 1");
DoubleArray knots = pp.getKnots();
int nCoefs = pp.getOrder();
int nKnots = pp.getNumberOfIntervals() + 1;
int rowCount = nKnots - 1;
int colCount = nCoefs + 1;
double[][] res = new double[rowCount][colCount];
for (int i = 0; i < rowCount; ++i) {
for (int j = 0; j < nCoefs; ++j) {
res[i][j] = pp.getCoefMatrix().get(i, j) / (nCoefs - j);
}
}
double[] constTerms = new double[rowCount];
int indicator = 0;
if (initialKey <= knots.get(1)) {
indicator = 0;
} else {
for (int i = 1; i < rowCount; ++i) {
if (knots.get(i) < initialKey) {
indicator = i;
}
}
}
double sum = getValue(res[indicator], initialKey, knots.get(indicator));
for (int i = indicator; i < nKnots - 2; ++i) {
constTerms[i + 1] = constTerms[i] + getValue(res[i], knots.get(i + 1), knots.get(i)) - sum;
sum = 0.;
}
constTerms[indicator] = -getValue(res[indicator], initialKey, knots.get(indicator));
for (int i = indicator - 1; i > -1; --i) {
constTerms[i] = constTerms[i + 1] - getValue(res[i], knots.get(i + 1), knots.get(i));
}
for (int i = 0; i < rowCount; ++i) {
res[i][nCoefs] = constTerms[i];
}
PiecewisePolynomialResult ppInt =
new PiecewisePolynomialResult(pp.getKnots(), DoubleMatrix.copyOf(res), colCount, 1);
return evaluate(ppInt, xKeys).row(0);
}
//-------------------------------------------------------------------------
/**
* Evaluates the function and its first derivative.
*
* The dimension of {@code PiecewisePolynomialResult} must be 1.
*
* @param pp the PiecewisePolynomialResult
* @param xKey the key
* @return the value and derivative
*/
public ValueDerivatives evaluateAndDifferentiate(PiecewisePolynomialResult pp, double xKey) {
ArgChecker.notNull(pp, "null pp");
ArgChecker.isFalse(Double.isNaN(xKey), "xKey containing NaN");
ArgChecker.isFalse(Double.isInfinite(xKey), "xKey containing Infinity");
if (pp.getDimensions() > 1) {
throw new UnsupportedOperationException();
}
DoubleArray knots = pp.getKnots();
int nKnots = knots.size();
int interval = FunctionUtils.getLowerBoundIndex(knots, xKey);
if (interval == nKnots - 1) {
interval--; // there is 1 less interval that knots
}
double s = xKey - knots.get(interval);
DoubleArray coefs = pp.getCoefMatrix().row(interval);
int nCoefs = coefs.size();
double resValue = coefs.get(0);
double resDeriv = coefs.get(0) * (nCoefs - 1);
for (int i = 1; i < nCoefs - 1; i++) {
resValue *= s;
resValue += coefs.get(i);
resDeriv *= s;
resDeriv += coefs.get(i) * (nCoefs - i - 1);
ArgChecker.isFalse(Double.isInfinite(resValue), "Too large input");
ArgChecker.isFalse(Double.isNaN(resValue), "Too large input");
}
resValue *= s;
resValue += coefs.get(nCoefs - 1);
return ValueDerivatives.of(resValue, DoubleArray.of(resDeriv));
}
//-------------------------------------------------------------------------
/**
* @param coefs {a_n,a_{n-1},...} of f(x) = a_n x^{n} + a_{n-1} x^{n-1} + ....
* @param x the x-value
* @param leftknot the knot specifying underlying interpolation function
* @return the value of the underlying interpolation function at the value of x
*/
protected double getValue(DoubleArray coefs, double x, double leftknot) {
// needs to delegate as method is protected
return getValue(coefs.toArrayUnsafe(), x, leftknot);
}
/**
* @param coefs {a_n,a_{n-1},...} of f(x) = a_n x^{n} + a_{n-1} x^{n-1} + ....
* @param x the x-value
* @param leftknot the knot specifying underlying interpolation function
* @return the value of the underlying interpolation function at the value of x
*/
protected double getValue(double[] coefs, double x, double leftknot) {
int nCoefs = coefs.length;
double s = x - leftknot;
double res = coefs[0];
for (int i = 1; i < nCoefs; i++) {
res *= s;
res += coefs[i];
}
return res;
}
}
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