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Diffstat (limited to 'missing/erf.c')
| -rw-r--r-- | missing/erf.c | 457 |
1 files changed, 379 insertions, 78 deletions
diff --git a/missing/erf.c b/missing/erf.c index e30a90051e..541972667a 100644 --- a/missing/erf.c +++ b/missing/erf.c @@ -1,91 +1,392 @@ -/* erf.c -reference - Haruhiko Okumura: C-gengo niyoru saishin algorithm jiten - (New Algorithm handbook in C language) (Gijyutsu hyouron - sha, Tokyo, 1991) p.227 [in Japanese] */ -#include <stdio.h> -#include <math.h> +/*- + * Copyright (c) 1992, 1993 + * The Regents of the University of California. All rights reserved. + * + * Redistribution and use in source and binary forms, with or without + * modification, are permitted provided that the following conditions + * are met: + * 1. Redistributions of source code must retain the above copyright + * notice, this list of conditions and the following disclaimer. + * 2. Redistributions in binary form must reproduce the above copyright + * notice, this list of conditions and the following disclaimer in the + * documentation and/or other materials provided with the distribution. + * 3. Neither the name of the University nor the names of its contributors + * may be used to endorse or promote products derived from this software + * without specific prior written permission. + * + * THIS SOFTWARE IS PROVIDED BY THE REGENTS AND CONTRIBUTORS ``AS IS'' AND + * ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE + * IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE + * ARE DISCLAIMED. IN NO EVENT SHALL THE REGENTS OR CONTRIBUTORS BE LIABLE + * FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL + * DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS + * OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) + * HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT + * LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY + * OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF + * SUCH DAMAGE. + */ -#ifdef _WIN32 -# include <float.h> -# if !defined __MINGW32__ || defined __NO_ISOCEXT -# ifndef isnan -# define isnan(x) _isnan(x) -# endif -# ifndef isinf -# define isinf(x) (!_finite(x) && !_isnan(x)) -# endif -# ifndef finite -# define finite(x) _finite(x) -# endif -# endif -#endif - -static double q_gamma(double, double, double); +#ifndef lint +static char sccsid[] = "@(#)erf.c 8.1 (Berkeley) 6/4/93"; +#endif /* not lint */ -/* Incomplete gamma function - 1 / Gamma(a) * Int_0^x exp(-t) t^(a-1) dt */ -static double p_gamma(a, x, loggamma_a) - double a, x, loggamma_a; -{ - int k; - double result, term, previous; +/* Modified Nov 30, 1992 P. McILROY: + * Replaced expansions for x >= 1.25 (error 1.7ulp vs ~6ulp) + * Replaced even+odd with direct calculation for x < .84375, + * to avoid destructive cancellation. + * + * Performance of erfc(x): + * In 300000 trials in the range [.83, .84375] the + * maximum observed error was 3.6ulp. + * + * In [.84735,1.25] the maximum observed error was <2.5ulp in + * 100000 runs in the range [1.2, 1.25]. + * + * In [1.25,26] (Not including subnormal results) + * the error is < 1.7ulp. + */ - if (x >= 1 + a) return 1 - q_gamma(a, x, loggamma_a); - if (x == 0) return 0; - result = term = exp(a * log(x) - x - loggamma_a) / a; - for (k = 1; k < 1000; k++) { - term *= x / (a + k); - previous = result; result += term; - if (result == previous) return result; - } - fprintf(stderr, "erf.c:%d:p_gamma() could not converge.", __LINE__); - return result; -} +/* double erf(double x) + * double erfc(double x) + * x + * 2 |\ + * erf(x) = --------- | exp(-t*t)dt + * sqrt(pi) \| + * 0 + * + * erfc(x) = 1-erf(x) + * + * Method: + * 1. Reduce x to |x| by erf(-x) = -erf(x) + * 2. For x in [0, 0.84375] + * erf(x) = x + x*P(x^2) + * erfc(x) = 1 - erf(x) if x<=0.25 + * = 0.5 + ((0.5-x)-x*P) if x in [0.25,0.84375] + * where + * 2 2 4 20 + * P = P(x ) = (p0 + p1 * x + p2 * x + ... + p10 * x ) + * is an approximation to (erf(x)-x)/x with precision + * + * -56.45 + * | P - (erf(x)-x)/x | <= 2 + * + * + * Remark. The formula is derived by noting + * erf(x) = (2/sqrt(pi))*(x - x^3/3 + x^5/10 - x^7/42 + ....) + * and that + * 2/sqrt(pi) = 1.128379167095512573896158903121545171688 + * is close to one. The interval is chosen because the fixed + * point of erf(x) is near 0.6174 (i.e., erf(x)=x when x is + * near 0.6174), and by some experiment, 0.84375 is chosen to + * guarantee the error is less than one ulp for erf. + * + * 3. For x in [0.84375,1.25], let s = x - 1, and + * c = 0.84506291151 rounded to single (24 bits) + * erf(x) = c + P1(s)/Q1(s) + * erfc(x) = (1-c) - P1(s)/Q1(s) + * |P1/Q1 - (erf(x)-c)| <= 2**-59.06 + * Remark: here we use the taylor series expansion at x=1. + * erf(1+s) = erf(1) + s*Poly(s) + * = 0.845.. + P1(s)/Q1(s) + * That is, we use rational approximation to approximate + * erf(1+s) - (c = (single)0.84506291151) + * Note that |P1/Q1|< 0.078 for x in [0.84375,1.25] + * where + * P1(s) = degree 6 poly in s + * Q1(s) = degree 6 poly in s + * + * 4. For x in [1.25, 2]; [2, 4] + * erf(x) = 1.0 - tiny + * erfc(x) = (1/x)exp(-x*x-(.5*log(pi) -.5z + R(z)/S(z)) + * + * Where z = 1/(x*x), R is degree 9, and S is degree 3; + * + * 5. For x in [4,28] + * erf(x) = 1.0 - tiny + * erfc(x) = (1/x)exp(-x*x-(.5*log(pi)+eps + zP(z)) + * + * Where P is degree 14 polynomial in 1/(x*x). + * + * Notes: + * Here 4 and 5 make use of the asymptotic series + * exp(-x*x) + * erfc(x) ~ ---------- * ( 1 + Poly(1/x^2) ); + * x*sqrt(pi) + * + * where for z = 1/(x*x) + * P(z) ~ z/2*(-1 + z*3/2*(1 + z*5/2*(-1 + z*7/2*(1 +...)))) + * + * Thus we use rational approximation to approximate + * erfc*x*exp(x*x) ~ 1/sqrt(pi); + * + * The error bound for the target function, G(z) for + * the interval + * [4, 28]: + * |eps + 1/(z)P(z) - G(z)| < 2**(-56.61) + * for [2, 4]: + * |R(z)/S(z) - G(z)| < 2**(-58.24) + * for [1.25, 2]: + * |R(z)/S(z) - G(z)| < 2**(-58.12) + * + * 6. For inf > x >= 28 + * erf(x) = 1 - tiny (raise inexact) + * erfc(x) = tiny*tiny (raise underflow) + * + * 7. Special cases: + * erf(0) = 0, erf(inf) = 1, erf(-inf) = -1, + * erfc(0) = 1, erfc(inf) = 0, erfc(-inf) = 2, + * erfc/erf(NaN) is NaN + */ -/* Incomplete gamma function - 1 / Gamma(a) * Int_x^inf exp(-t) t^(a-1) dt */ -static double q_gamma(a, x, loggamma_a) - double a, x, loggamma_a; -{ - int k; - double result, w, temp, previous; - double la = 1, lb = 1 + x - a; /* Laguerre polynomial */ +#if defined(vax) || defined(tahoe) +#define _IEEE 0 +#define TRUNC(x) (double) (float) (x) +#else +#define _IEEE 1 +#define TRUNC(x) *(((int *) &x) + 1) &= 0xf8000000 +#define infnan(x) 0.0 +#endif - if (x < 1 + a) return 1 - p_gamma(a, x, loggamma_a); - w = exp(a * log(x) - x - loggamma_a); - result = w / lb; - for (k = 2; k < 1000; k++) { - temp = ((k - 1 - a) * (lb - la) + (k + x) * lb) / k; - la = lb; lb = temp; - w *= (k - 1 - a) / k; - temp = w / (la * lb); - previous = result; result += temp; - if (result == previous) return result; - } - fprintf(stderr, "erf.c:%d:q_gamma() could not converge.", __LINE__); - return result; -} +#ifdef _IEEE_LIBM +/* + * redefining "___function" to "function" in _IEEE_LIBM mode + */ +#include "ieee_libm.h" +#endif -#define LOG_PI_OVER_2 0.572364942924700087071713675675 /* log_e(PI)/2 */ +static double +tiny = 1e-300, +half = 0.5, +one = 1.0, +two = 2.0, +c = 8.45062911510467529297e-01, /* (float)0.84506291151 */ +/* + * Coefficients for approximation to erf in [0,0.84375] + */ +p0t8 = 1.02703333676410051049867154944018394163280, +p0 = 1.283791670955125638123339436800229927041e-0001, +p1 = -3.761263890318340796574473028946097022260e-0001, +p2 = 1.128379167093567004871858633779992337238e-0001, +p3 = -2.686617064084433642889526516177508374437e-0002, +p4 = 5.223977576966219409445780927846432273191e-0003, +p5 = -8.548323822001639515038738961618255438422e-0004, +p6 = 1.205520092530505090384383082516403772317e-0004, +p7 = -1.492214100762529635365672665955239554276e-0005, +p8 = 1.640186161764254363152286358441771740838e-0006, +p9 = -1.571599331700515057841960987689515895479e-0007, +p10= 1.073087585213621540635426191486561494058e-0008; +/* + * Coefficients for approximation to erf in [0.84375,1.25] + */ +static double +pa0 = -2.362118560752659485957248365514511540287e-0003, +pa1 = 4.148561186837483359654781492060070469522e-0001, +pa2 = -3.722078760357013107593507594535478633044e-0001, +pa3 = 3.183466199011617316853636418691420262160e-0001, +pa4 = -1.108946942823966771253985510891237782544e-0001, +pa5 = 3.547830432561823343969797140537411825179e-0002, +pa6 = -2.166375594868790886906539848893221184820e-0003, +qa1 = 1.064208804008442270765369280952419863524e-0001, +qa2 = 5.403979177021710663441167681878575087235e-0001, +qa3 = 7.182865441419627066207655332170665812023e-0002, +qa4 = 1.261712198087616469108438860983447773726e-0001, +qa5 = 1.363708391202905087876983523620537833157e-0002, +qa6 = 1.198449984679910764099772682882189711364e-0002; +/* + * log(sqrt(pi)) for large x expansions. + * The tail (lsqrtPI_lo) is included in the rational + * approximations. +*/ +static double + lsqrtPI_hi = .5723649429247000819387380943226; +/* + * lsqrtPI_lo = .000000000000000005132975581353913; + * + * Coefficients for approximation to erfc in [2, 4] +*/ +static double +rb0 = -1.5306508387410807582e-010, /* includes lsqrtPI_lo */ +rb1 = 2.15592846101742183841910806188e-008, +rb2 = 6.24998557732436510470108714799e-001, +rb3 = 8.24849222231141787631258921465e+000, +rb4 = 2.63974967372233173534823436057e+001, +rb5 = 9.86383092541570505318304640241e+000, +rb6 = -7.28024154841991322228977878694e+000, +rb7 = 5.96303287280680116566600190708e+000, +rb8 = -4.40070358507372993983608466806e+000, +rb9 = 2.39923700182518073731330332521e+000, +rb10 = -6.89257464785841156285073338950e-001, +sb1 = 1.56641558965626774835300238919e+001, +sb2 = 7.20522741000949622502957936376e+001, +sb3 = 9.60121069770492994166488642804e+001; +/* + * Coefficients for approximation to erfc in [1.25, 2] +*/ +static double +rc0 = -2.47925334685189288817e-007, /* includes lsqrtPI_lo */ +rc1 = 1.28735722546372485255126993930e-005, +rc2 = 6.24664954087883916855616917019e-001, +rc3 = 4.69798884785807402408863708843e+000, +rc4 = 7.61618295853929705430118701770e+000, +rc5 = 9.15640208659364240872946538730e-001, +rc6 = -3.59753040425048631334448145935e-001, +rc7 = 1.42862267989304403403849619281e-001, +rc8 = -4.74392758811439801958087514322e-002, +rc9 = 1.09964787987580810135757047874e-002, +rc10 = -1.28856240494889325194638463046e-003, +sc1 = 9.97395106984001955652274773456e+000, +sc2 = 2.80952153365721279953959310660e+001, +sc3 = 2.19826478142545234106819407316e+001; +/* + * Coefficients for approximation to erfc in [4,28] + */ +static double +rd0 = -2.1491361969012978677e-016, /* includes lsqrtPI_lo */ +rd1 = -4.99999999999640086151350330820e-001, +rd2 = 6.24999999772906433825880867516e-001, +rd3 = -1.54166659428052432723177389562e+000, +rd4 = 5.51561147405411844601985649206e+000, +rd5 = -2.55046307982949826964613748714e+001, +rd6 = 1.43631424382843846387913799845e+002, +rd7 = -9.45789244999420134263345971704e+002, +rd8 = 6.94834146607051206956384703517e+003, +rd9 = -5.27176414235983393155038356781e+004, +rd10 = 3.68530281128672766499221324921e+005, +rd11 = -2.06466642800404317677021026611e+006, +rd12 = 7.78293889471135381609201431274e+006, +rd13 = -1.42821001129434127360582351685e+007; double erf(x) - double x; + double x; { - if (!finite(x)) { - if (isnan(x)) return x; /* erf(NaN) = NaN */ - return (x>0 ? 1.0 : -1.0); /* erf(+-inf) = +-1.0 */ - } - if (x >= 0) return p_gamma(0.5, x * x, LOG_PI_OVER_2); - else return - p_gamma(0.5, x * x, LOG_PI_OVER_2); + double R,S,P,Q,ax,s,y,z,r,fabs(),exp(); + if(!finite(x)) { /* erf(nan)=nan */ + if (isnan(x)) + return(x); + return (x > 0 ? one : -one); /* erf(+/-inf)= +/-1 */ + } + if ((ax = x) < 0) + ax = - ax; + if (ax < .84375) { + if (ax < 3.7e-09) { + if (ax < 1.0e-308) + return 0.125*(8.0*x+p0t8*x); /*avoid underflow */ + return x + p0*x; + } + y = x*x; + r = y*(p1+y*(p2+y*(p3+y*(p4+y*(p5+ + y*(p6+y*(p7+y*(p8+y*(p9+y*p10))))))))); + return x + x*(p0+r); + } + if (ax < 1.25) { /* 0.84375 <= |x| < 1.25 */ + s = fabs(x)-one; + P = pa0+s*(pa1+s*(pa2+s*(pa3+s*(pa4+s*(pa5+s*pa6))))); + Q = one+s*(qa1+s*(qa2+s*(qa3+s*(qa4+s*(qa5+s*qa6))))); + if (x>=0) + return (c + P/Q); + else + return (-c - P/Q); + } + if (ax >= 6.0) { /* inf>|x|>=6 */ + if (x >= 0.0) + return (one-tiny); + else + return (tiny-one); + } + /* 1.25 <= |x| < 6 */ + z = -ax*ax; + s = -one/z; + if (ax < 2.0) { + R = rc0+s*(rc1+s*(rc2+s*(rc3+s*(rc4+s*(rc5+ + s*(rc6+s*(rc7+s*(rc8+s*(rc9+s*rc10))))))))); + S = one+s*(sc1+s*(sc2+s*sc3)); + } else { + R = rb0+s*(rb1+s*(rb2+s*(rb3+s*(rb4+s*(rb5+ + s*(rb6+s*(rb7+s*(rb8+s*(rb9+s*rb10))))))))); + S = one+s*(sb1+s*(sb2+s*sb3)); + } + y = (R/S -.5*s) - lsqrtPI_hi; + z += y; + z = exp(z)/ax; + if (x >= 0) + return (one-z); + else + return (z-one); } -double erfc(x) - double x; +double erfc(x) + double x; { - if (!finite(x)) { - if (isnan(x)) return x; /* erfc(NaN) = NaN */ - return (x>0 ? 0.0 : 2.0); /* erfc(+-inf) = 0.0, 2.0 */ - } - if (x >= 0) return q_gamma(0.5, x * x, LOG_PI_OVER_2); - else return 1 + p_gamma(0.5, x * x, LOG_PI_OVER_2); + double R,S,P,Q,s,ax,y,z,r,fabs(),__exp__D(); + if (!finite(x)) { + if (isnan(x)) /* erfc(NaN) = NaN */ + return(x); + else if (x > 0) /* erfc(+-inf)=0,2 */ + return 0.0; + else + return 2.0; + } + if ((ax = x) < 0) + ax = -ax; + if (ax < .84375) { /* |x|<0.84375 */ + if (ax < 1.38777878078144568e-17) /* |x|<2**-56 */ + return one-x; + y = x*x; + r = y*(p1+y*(p2+y*(p3+y*(p4+y*(p5+ + y*(p6+y*(p7+y*(p8+y*(p9+y*p10))))))))); + if (ax < .0625) { /* |x|<2**-4 */ + return (one-(x+x*(p0+r))); + } else { + r = x*(p0+r); + r += (x-half); + return (half - r); + } + } + if (ax < 1.25) { /* 0.84375 <= |x| < 1.25 */ + s = ax-one; + P = pa0+s*(pa1+s*(pa2+s*(pa3+s*(pa4+s*(pa5+s*pa6))))); + Q = one+s*(qa1+s*(qa2+s*(qa3+s*(qa4+s*(qa5+s*qa6))))); + if (x>=0) { + z = one-c; return z - P/Q; + } else { + z = c+P/Q; return one+z; + } + } + if (ax >= 28) /* Out of range */ + if (x>0) + return (tiny*tiny); + else + return (two-tiny); + z = ax; + TRUNC(z); + y = z - ax; y *= (ax+z); + z *= -z; /* Here z + y = -x^2 */ + s = one/(-z-y); /* 1/(x*x) */ + if (ax >= 4) { /* 6 <= ax */ + R = s*(rd1+s*(rd2+s*(rd3+s*(rd4+s*(rd5+ + s*(rd6+s*(rd7+s*(rd8+s*(rd9+s*(rd10 + +s*(rd11+s*(rd12+s*rd13)))))))))))); + y += rd0; + } else if (ax >= 2) { + R = rb0+s*(rb1+s*(rb2+s*(rb3+s*(rb4+s*(rb5+ + s*(rb6+s*(rb7+s*(rb8+s*(rb9+s*rb10))))))))); + S = one+s*(sb1+s*(sb2+s*sb3)); + y += R/S; + R = -.5*s; + } else { + R = rc0+s*(rc1+s*(rc2+s*(rc3+s*(rc4+s*(rc5+ + s*(rc6+s*(rc7+s*(rc8+s*(rc9+s*rc10))))))))); + S = one+s*(sc1+s*(sc2+s*sc3)); + y += R/S; + R = -.5*s; + } + /* return exp(-x^2 - lsqrtPI_hi + R + y)/x; */ + s = ((R + y) - lsqrtPI_hi) + z; + y = (((z-s) - lsqrtPI_hi) + R) + y; + r = __exp__D(s, y)/x; + if (x>0) + return r; + else + return two-r; } |