1 files changed, 63 insertions, 0 deletions
diff --git a/ext/bigdecimal/lib/bigdecimal/jacobian.rb b/ext/bigdecimal/lib/bigdecimal/jacobian.rb
new file mode 100644
index 0000000000..34a60ae67a
--- /dev/null
+++ b/ext/bigdecimal/lib/bigdecimal/jacobian.rb
@@ -0,0 +1,63 @@
+#
+# jacobian.rb
+#
+# Computes Jacobian matrix of f at x
+#
+module Jacobian
+  def isEqual(a,b,zero=0.0,e=1.0e-8)
+    aa = a.abs
+    bb = b.abs
+    if aa == zero &&  bb == zero then
+          true
+    else
+          if ((a-b)/(aa+bb)).abs < e then
+             true
+          else
+             false
+          end
+    end
+  end
+
+  def dfdxi(f,fx,x,i)
+    nRetry = 0
+    n = x.size
+    xSave = x[i]
+    ok = 0
+    ratio = f.ten*f.ten*f.ten
+    dx = x[i].abs/ratio
+    dx = fx[i].abs/ratio if isEqual(dx,f.zero,f.zero,f.eps)
+    dx = f.one/f.ten     if isEqual(dx,f.zero,f.zero,f.eps)
+    until ok>0 do
+      s = f.zero
+      deriv = []
+      if(nRetry>100) then
+         raize "Singular Jacobian matrix. No change at x[" + i.to_s + "]"
+      end
+      dx = dx*f.two
+      x[i] += dx
+      fxNew = f.values(x)
+      for j in 0...n do
+        if !isEqual(fxNew[j],fx[j],f.zero,f.eps) then
+           ok += 1
+           deriv <<= (fxNew[j]-fx[j])/dx
+        else
+           deriv <<= f.zero
+        end
+      end
+      x[i] = xSave
+    end
+    deriv
+  end
+
+  def jacobian(f,fx,x)
+    n = x.size
+    dfdx = Array::new(n*n)
+    for i in 0...n do
+      df = dfdxi(f,fx,x,i)
+      for j in 0...n do
+         dfdx[j*n+i] = df[j]
+      end
+    end
+    dfdx
+  end
+end