module Jacobian - bigdecimal-1.2.7 Documentation

# module Jacobian

require 'bigdecimal/jacobian'

Provides methods to compute the Jacobian matrix of a set of equations at a point x. In the methods below:

f is an Object which is used to compute the Jacobian matrix of the equations. It must provide the following methods:

f.values(x)

  returns the values of all functions at x

f.zero

  returns 0.0

f.one

  returns 1.0

f.two

  returns 2.0

f.ten

  returns 10.0

f.eps

  returns the convergence criterion (epsilon value) used to determine whether two values are considered equal. If |a-b| < epsilon, the two values are considered equal.

x is the point at which to compute the Jacobian.

fx is f.values(x).

### Public Instance Methods

dfdxi(f,fx,x,i) click to toggle source

Computes the derivative of f at x. fx is the value of f at x.

    # File lib/bigdecimal/jacobian.rb, line 44
    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
        deriv = []
        nRetry += 1
        if nRetry > 100
          raise "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

isEqual(a,b,zero=0.0,e=1.0e-8) click to toggle source

Determines the equality of two numbers by comparing to zero, or using the epsilon value

    # File lib/bigdecimal/jacobian.rb, line 27
    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

jacobian(f,fx,x) click to toggle source

Computes the Jacobian of f at x. fx is the value of f at x.

    # File lib/bigdecimal/jacobian.rb, line 76
    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