348 lines
20 KiB
C
348 lines
20 KiB
C
/******************************************************************************\
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* *
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* SimpleCUDD library (www.cs.kuleuven.be/~theo/tools/simplecudd.html) *
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* SimpleCUDD was developed at Katholieke Universiteit Leuven(www.kuleuven.be) *
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* *
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* Copyright Katholieke Universiteit Leuven 2008, 2009, 2010 *
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* *
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* Author: Bernd Gutmann *
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* File: problogmath.c *
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* $Date:: 2010-12-17 12:21:58 +0100 (Fri, 17 Dec 2010) $ *
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* $Revision:: 5159 $ *
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* *
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********************************************************************************
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* *
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* Artistic License 2.0 *
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* *
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* Copyright (c) 2000-2006, The Perl Foundation. *
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* *
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* Everyone is permitted to copy and distribute verbatim copies of this license *
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* document, but changing it is not allowed. *
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* *
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* Preamble *
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* *
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* This license establishes the terms under which a given free software Package *
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* may be copied, modified, distributed, and/or redistributed. The intent is *
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* that the Copyright Holder maintains some artistic control over the *
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* development of that Package while still keeping the Package available as *
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* open source and free software. *
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* *
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* You are always permitted to make arrangements wholly outside of this license *
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* directly with the Copyright Holder of a given Package. If the terms of this *
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* license do not permit the full use that you propose to make of the Package, *
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* you should contact the Copyright Holder and seek a different licensing *
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* arrangement. *
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* Definitions *
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* "Copyright Holder" means the individual(s) or organization(s) named in the *
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* copyright notice for the entire Package. *
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* by someone other than you, you are nevertheless required to ensure that your *
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* Modified Version complies with the requirements of this license. *
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* (13) This license includes the non-exclusive, worldwide, free-of-charge *
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* SUCH DAMAGE. *
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* *
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* The End *
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* *
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\******************************************************************************/
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#include "problogmath.h"
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#include "general.h"
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double sigmoid(double x, double slope) {
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return 1.0 / (1.0 + exp(-x * slope));
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}
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// This function calculates the accumulated density of the normal distribution
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// For details see G. Marsaglia, Evaluating the Normal Distribution, Journal of Statistical Software, 2004:11(4).
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double Phi(double x) {
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double s=x;
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double t=0.0;
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double b=x;
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double q=x*x;
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double i=1;
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// if the value is too small or too big, return
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// 0/1 to avoid long computations
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if (x < -10.0) {
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return 0.0;
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}
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if (x > 10.0) {
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return 1.0;
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}
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// t is the value from last iteration
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// s is the value from the current iteration
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// iterate until they are equal
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while(fabs(s-t) >= DBL_MIN) {
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t=s;
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i+=2;
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b*=q/i;
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s+=b;
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}
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return 0.5+s*exp(-0.5*q-0.91893853320467274178);
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}
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// integrates the normal distribution over [low,high]
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double cumulative_normal(double low, double high, double mu, double sigma) {
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return Phi((high-mu)/sigma) - Phi((low-mu)/sigma);
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}
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// integrates the normal distribution over [-oo,high]
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double cumulative_normal_upper(double high, double mu, double sigma) {
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return Phi((high-mu)/sigma);
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}
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// evaluates the density of the normal distribution
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double normal(double x, double mu,double sigma) {
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double inner=(x-mu)/sigma;
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double denom=sigma*sqrt(2*3.14159265358979323846);
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return exp(-inner*inner/2)/denom;
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}
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double cumulative_normal_dmu(double low, double high,double mu,double sigma) {
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return normal(low,mu,sigma) - normal(high,mu,sigma);
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}
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double cumulative_normal_upper_dmu(double high,double mu,double sigma) {
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return - normal(high,mu,sigma);
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}
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double cumulative_normal_dsigma(double low, double high,double mu,double sigma) {
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return (((mu-high)*normal(high,mu,sigma) - (mu-low)*normal(low,mu,sigma))/sigma);
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}
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double cumulative_normal_upper_dsigma(double high,double mu,double sigma) {
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return (mu-high)*normal(high,mu,sigma);
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}
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// this function parses two strings "$a;$b" and "???_???l$ch$d" where $a-$d are (real) numbers
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// it is used to parse in the parameters of continues variables from the input file
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density_integral parse_density_integral_string(char *input, char *variablename) {
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density_integral result;
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double sigma;
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int i;
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char garbage[64], s1[64],s2[64],s3[64],s4[64];
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if(sscanf(input, "%64[^;];%64[^;]", s1,s2) != 2) {
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fprintf(stderr, "Error at parsing the string %s in the function parse_density_integral_string\n",input);
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fprintf(stderr, "The string should contain 2 fields seperated by ; characters.\n");
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exit(EXIT_FAILURE);
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}
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if (!getRealNumber(s1, &result.mu)) {
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fprintf(stderr, "Error at parsing the string %s in the function parse_density_integral_string\n",input);
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fprintf(stderr, "%s is not a number\n",s1);
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exit(EXIT_FAILURE);
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}
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if (!getRealNumber(s2, &sigma) || sigma<=0.0) {
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fprintf(stderr, "Error at parsing the string %s in the function parse_density_integral_string\n",input);
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fprintf(stderr, "%s is not a number\n",s2);
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exit(EXIT_FAILURE);
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}
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result.log_sigma=log(sigma);
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/* if (result.sigma<=0) { */
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/* fprintf(stderr, "Error at parsing the string %s in the function parse_density_integral_string",input); */
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/* fprintf(stderr, "The value for sigma has to be larger than 0.\n"); */
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/* exit(EXIT_FAILURE); */
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/* } */
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if (sscanf(variablename,"%64[^lh]l%64[^lh]h%64[^lh]",garbage,s3,s4) != 3) {
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fprintf(stderr, "Error at parsing the string %s in the function parse_density_integral_string\n",variablename);
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fprintf(stderr, "The string should contain 2 fields seperated by ; characters.\n");
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exit(EXIT_FAILURE);
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}
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// replace the d by . in s1 and s2
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for(i=0; s3[i]!='\0' ; i++) {
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if (s3[i]=='d') {
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s3[i]='.';
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}
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if (s3[i]=='m') {
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s3[i]='-';
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}
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}
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for(i=0; s4[i]!='\0' ; i++) {
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if (s4[i]=='d') {
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s4[i]='.';
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}
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if (s4[i]=='m') {
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s4[i]='-';
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}
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}
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if (!getRealNumber(s3, &result.low)) {
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fprintf(stderr, "Error at parsing the string %s in the function parse_density_integral_string\n",input);
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fprintf(stderr, "%s is not a number\n",s1);
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exit(EXIT_FAILURE);
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}
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if (!getRealNumber(s4, &result.high)) {
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fprintf(stderr, "Error ar parsing the string %s in the function parse_density_integral_string\n",input);
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fprintf(stderr, "%s is not a number\n",s1);
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exit(EXIT_FAILURE);
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}
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if (result.low>result.high) {
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fprintf(stderr, "Error ar parsing the string %s in the function parse_density_integral_string\n",input);
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fprintf(stderr, "The value for low has to be larger than then value for high.\n");
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fprintf(stderr, " was [%f, %f]\n",result.low, result.high);
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fprintf(stderr, " input %s \n",input);
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fprintf(stderr, " variablename %s \n",variablename);
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exit(EXIT_FAILURE);
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}
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return result;
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}
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