// Copyright Nick Thompson, 2017 // Use, modification and distribution are subject to the // Boost Software License, Version 1.0. // (See accompanying file LICENSE_1_0.txt // or copy at http://www.boost.org/LICENSE_1_0.txt) #ifndef CUBIC_B_SPLINE_DETAIL_HPP #define CUBIC_B_SPLINE_DETAIL_HPP #include #include #include #include #include #include namespace boost{ namespace math{ namespace detail{ template class cubic_b_spline_imp { public: // If you don't know the value of the derivative at the endpoints, leave them as nans and the routine will estimate them. // f[0] = f(a), f[length -1] = b, step_size = (b - a)/(length -1). template cubic_b_spline_imp(BidiIterator f, BidiIterator end_p, Real left_endpoint, Real step_size, Real left_endpoint_derivative = std::numeric_limits::quiet_NaN(), Real right_endpoint_derivative = std::numeric_limits::quiet_NaN()); Real operator()(Real x) const; Real prime(Real x) const; private: std::vector m_beta; Real m_h_inv; Real m_a; Real m_avg; }; template Real b3_spline(Real x) { using std::abs; Real absx = abs(x); if (absx < 1) { Real y = 2 - absx; Real z = 1 - absx; return boost::math::constants::sixth()*(y*y*y - 4*z*z*z); } if (absx < 2) { Real y = 2 - absx; return boost::math::constants::sixth()*y*y*y; } return (Real) 0; } template Real b3_spline_prime(Real x) { if (x < 0) { return -b3_spline_prime(-x); } if (x < 1) { return x*(3*boost::math::constants::half()*x - 2); } if (x < 2) { return -boost::math::constants::half()*(2 - x)*(2 - x); } return (Real) 0; } template template cubic_b_spline_imp::cubic_b_spline_imp(BidiIterator f, BidiIterator end_p, Real left_endpoint, Real step_size, Real left_endpoint_derivative, Real right_endpoint_derivative) : m_a(left_endpoint), m_avg(0) { using boost::math::constants::third; std::size_t length = end_p - f; if (length < 5) { if (boost::math::isnan(left_endpoint_derivative) || boost::math::isnan(right_endpoint_derivative)) { throw std::logic_error("Interpolation using a cubic b spline with derivatives estimated at the endpoints requires at least 5 points.\n"); } if (length < 3) { throw std::logic_error("Interpolation using a cubic b spline requires at least 3 points.\n"); } } if (boost::math::isnan(left_endpoint)) { throw std::logic_error("Left endpoint is NAN; this is disallowed.\n"); } if (left_endpoint + length*step_size >= (std::numeric_limits::max)()) { throw std::logic_error("Right endpoint overflows the maximum representable number of the specified precision.\n"); } if (step_size <= 0) { throw std::logic_error("The step size must be strictly > 0.\n"); } // Storing the inverse of the stepsize does provide a measurable speedup. // It's not huge, but nonetheless worthwhile. m_h_inv = 1/step_size; // Following Kress's notation, s'(a) = a1, s'(b) = b1 Real a1 = left_endpoint_derivative; // See the finite-difference table on Wikipedia for reference on how // to construct high-order estimates for one-sided derivatives: // https://en.wikipedia.org/wiki/Finite_difference_coefficient#Forward_and_backward_finite_difference // Here, we estimate then to O(h^4), as that is the maximum accuracy we could obtain from this method. if (boost::math::isnan(a1)) { // For simple functions (linear, quadratic, so on) // almost all the error comes from derivative estimation. // This does pairwise summation which gives us another digit of accuracy over naive summation. Real t0 = 4*(f[1] + third()*f[3]); Real t1 = -(25*third()*f[0] + f[4])/4 - 3*f[2]; a1 = m_h_inv*(t0 + t1); } Real b1 = right_endpoint_derivative; if (boost::math::isnan(b1)) { size_t n = length - 1; Real t0 = 4*(f[n-3] + third()*f[n - 1]); Real t1 = -(25*third()*f[n - 4] + f[n])/4 - 3*f[n - 2]; b1 = m_h_inv*(t0 + t1); } // s(x) = \sum \alpha_i B_{3}( (x- x_i - a)/h ) // Of course we must reindex from Kress's notation, since he uses negative indices which make C++ unhappy. m_beta.resize(length + 2, std::numeric_limits::quiet_NaN()); // Since the splines have compact support, they decay to zero very fast outside the endpoints. // This is often very annoying; we'd like to evaluate the interpolant a little bit outside the // boundary [a,b] without massive error. // A simple way to deal with this is just to subtract the DC component off the signal, so we need the average. // This algorithm for computing the average is recommended in // http://www.heikohoffmann.de/htmlthesis/node134.html Real t = 1; for (size_t i = 0; i < length; ++i) { if (boost::math::isnan(f[i])) { std::string err = "This function you are trying to interpolate is a nan at index " + std::to_string(i) + "\n"; throw std::logic_error(err); } m_avg += (f[i] - m_avg) / t; t += 1; } // Now we must solve an almost-tridiagonal system, which requires O(N) operations. // There are, in fact 5 diagonals, but they only differ from zero on the first and last row, // so we can patch up the tridiagonal row reduction algorithm to deal with two special rows. // See Kress, equations 8.41 // The the "tridiagonal" matrix is: // 1 0 -1 // 1 4 1 // 1 4 1 // 1 4 1 // .... // 1 4 1 // 1 0 -1 // Numerical estimate indicate that as N->Infinity, cond(A) -> 6.9, so this matrix is good. std::vector rhs(length + 2, std::numeric_limits::quiet_NaN()); std::vector super_diagonal(length + 2, std::numeric_limits::quiet_NaN()); rhs[0] = -2*step_size*a1; rhs[rhs.size() - 1] = -2*step_size*b1; super_diagonal[0] = 0; for(size_t i = 1; i < rhs.size() - 1; ++i) { rhs[i] = 6*(f[i - 1] - m_avg); super_diagonal[i] = 1; } // One step of row reduction on the first row to patch up the 5-diagonal problem: // 1 0 -1 | r0 // 1 4 1 | r1 // mapsto: // 1 0 -1 | r0 // 0 4 2 | r1 - r0 // mapsto // 1 0 -1 | r0 // 0 1 1/2| (r1 - r0)/4 super_diagonal[1] = 0.5; rhs[1] = (rhs[1] - rhs[0])/4; // Now do a tridiagonal row reduction the standard way, until just before the last row: for (size_t i = 2; i < rhs.size() - 1; ++i) { Real diagonal = 4 - super_diagonal[i - 1]; rhs[i] = (rhs[i] - rhs[i - 1])/diagonal; super_diagonal[i] /= diagonal; } // Now the last row, which is in the form // 1 sd[n-3] 0 | rhs[n-3] // 0 1 sd[n-2] | rhs[n-2] // 1 0 -1 | rhs[n-1] Real final_subdiag = -super_diagonal[rhs.size() - 3]; rhs[rhs.size() - 1] = (rhs[rhs.size() - 1] - rhs[rhs.size() - 3])/final_subdiag; Real final_diag = -1/final_subdiag; // Now we're here: // 1 sd[n-3] 0 | rhs[n-3] // 0 1 sd[n-2] | rhs[n-2] // 0 1 final_diag | (rhs[n-1] - rhs[n-3])/diag final_diag = final_diag - super_diagonal[rhs.size() - 2]; rhs[rhs.size() - 1] = rhs[rhs.size() - 1] - rhs[rhs.size() - 2]; // Back substitutions: m_beta[rhs.size() - 1] = rhs[rhs.size() - 1]/final_diag; for(size_t i = rhs.size() - 2; i > 0; --i) { m_beta[i] = rhs[i] - super_diagonal[i]*m_beta[i + 1]; } m_beta[0] = m_beta[2] + rhs[0]; } template Real cubic_b_spline_imp::operator()(Real x) const { // See Kress, 8.40: Since B3 has compact support, we don't have to sum over all terms, // just the (at most 5) whose support overlaps the argument. Real z = m_avg; Real t = m_h_inv*(x - m_a) + 1; using std::max; using std::min; using std::ceil; using std::floor; size_t k_min = (size_t) (max)(static_cast(0), boost::math::ltrunc(ceil(t - 2))); size_t k_max = (size_t) (max)((min)(static_cast(m_beta.size() - 1), boost::math::ltrunc(floor(t + 2))), (long) 0); for (size_t k = k_min; k <= k_max; ++k) { z += m_beta[k]*b3_spline(t - k); } return z; } template Real cubic_b_spline_imp::prime(Real x) const { Real z = 0; Real t = m_h_inv*(x - m_a) + 1; using std::max; using std::min; using std::ceil; using std::floor; size_t k_min = (size_t) (max)(static_cast(0), boost::math::ltrunc(ceil(t - 2))); size_t k_max = (size_t) (min)(static_cast(m_beta.size() - 1), boost::math::ltrunc(floor(t + 2))); for (size_t k = k_min; k <= k_max; ++k) { z += m_beta[k]*b3_spline_prime(t - k); } return z*m_h_inv; } }}} #endif