def orth_pcd(order, dist, eps=1.e-16, normed=False, **kws):
"""
Create orthogonal polynomial expansion from pivoted Cholesky
decompostion.
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
normed : bool
If True orthonormal polynomials will be used instead of monic.
**kws : optional
Extra keywords passed to dist.mom
Examples
--------
# >>> Z = cp.Normal()
# >>> print cp.orth_pcd(2, Z)
# [1.0, q0^2-1.0, q0]
"""
raise DeprecationWarning("Obsolete. Use orth_chol instead.")
dim = len(dist)
basis = po.basis(1, order, dim)
C = Cov(basis, dist)
N = len(basis)
L, P = pcd(C, approx=1, pivot=1, tol=eps)
Li = np.dot(P, np.linalg.inv(L.T))
if normed:
for i in xrange(N):
Li[:, i] /= np.sum(Li[:, i] * P[:, i])
E_ = -po.sum(E(basis, dist, **kws) * Li.T, -1)
coefs = np.zeros((N + 1, N + 1))
coefs[1:, 1:] = Li
coefs[0, 0] = 1
coefs[0, 1:] = E_
out = {}
out[(0, ) * dim] = coefs[0]
basis = list(basis)
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i + 1]
P = po.Poly(out, dim, coefs.shape[1:], float)
return P
def orth_chol(order, dist, normed=True, sort="GR", **kws):
"""
Create orthogonal polynomial expansion from Cholesky decomposition
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
normed : bool
If True orthonormal polynomials will be used instead of monic.
sort : str
Ordering argument passed to poly.basis.
If custom basis is used, argument is ignored.
kws : optional
Keyword argument passed to dist.mom.
Examples
--------
>>> Z = cp.Normal()
>>> print cp.orth_chol(3, Z)
[1.0, q0, 0.707106781187q0^2-0.707106781187, 0.408248290464q0^3-1.22474487139q0]
"""
dim = len(dist)
basis = po.basis(1,order,dim, sort)
C = Cov(basis, dist)
N = len(basis)
L, e = chol_gko(C)
Li = np.linalg.inv(L.T).T
if not normed:
Li /= np.repeat(np.diag(Li), len(Li)).reshape(Li.shape)
E_ = -np.sum(Li*E(basis, dist, **kws), -1)
coefs = np.empty((N+1, N+1))
coefs[1:,1:] = Li
coefs[0,0] = 1
coefs[0,1:] = 0
coefs[1:,0] = E_
coefs = coefs.T
out = {}
out[(0,)*dim] = coefs[0]
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i+1]
P = po.Poly(out, dim, coefs.shape[1:], float)
return P
def orth_chol(order, dist, normed=True, sort="GR", **kws):
"""
Create orthogonal polynomial expansion from Cholesky decomposition
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
normed : bool
If True orthonormal polynomials will be used instead of monic.
sort : str
Ordering argument passed to poly.basis.
If custom basis is used, argument is ignored.
kws : optional
Keyword argument passed to dist.mom.
Examples
--------
>>> Z = cp.Normal()
>>> print cp.orth_chol(3, Z)
[1.0, q0, 0.707106781187q0^2-0.707106781187, 0.408248290464q0^3-1.22474487139q0]
"""
dim = len(dist)
basis = po.basis(1, order, dim, sort)
C = Cov(basis, dist)
N = len(basis)
L, e = chol_gko(C)
Li = np.linalg.inv(L.T).T
if not normed:
Li /= np.repeat(np.diag(Li), len(Li)).reshape(Li.shape)
E_ = -np.sum(Li * E(basis, dist, **kws), -1)
coefs = np.empty((N + 1, N + 1))
coefs[1:, 1:] = Li
coefs[0, 0] = 1
coefs[0, 1:] = 0
coefs[1:, 0] = E_
coefs = coefs.T
out = {}
out[(0, ) * dim] = coefs[0]
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i + 1]
P = po.Poly(out, dim, coefs.shape[1:], float)
return P
def orth_pcd(order, dist, eps=1.e-16, normed=False, **kws):
"""
Create orthogonal polynomial expansion from pivoted Cholesky
decompostion.
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
normed : bool
If True orthonormal polynomials will be used instead of monic.
**kws : optional
Extra keywords passed to dist.mom
Examples
--------
# >>> Z = cp.Normal()
# >>> print cp.orth_pcd(2, Z)
# [1.0, q0^2-1.0, q0]
"""
raise DeprecationWarning("Obsolete. Use orth_chol instead.")
dim = len(dist)
basis = po.basis(1,order,dim)
C = Cov(basis, dist)
N = len(basis)
L, P = pcd(C, approx=1, pivot=1, tol=eps)
Li = np.dot(P, np.linalg.inv(L.T))
if normed:
for i in xrange(N):
Li[:,i] /= np.sum(Li[:,i]*P[:,i])
E_ = -po.sum(E(basis, dist, **kws)*Li.T, -1)
coefs = np.zeros((N+1, N+1))
coefs[1:,1:] = Li
coefs[0,0] = 1
coefs[0,1:] = E_
out = {}
out[(0,)*dim] = coefs[0]
basis = list(basis)
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i+1]
P = po.Poly(out, dim, coefs.shape[1:], float)
return P
def lagrange_polynomial(X, sort="GR"):
"""
Lagrange Polynomials
X : array_like
Sample points where the lagrange polynomials shall be
"""
X = np.asfarray(X)
if len(X.shape) == 1:
X = X.reshape(1, X.size)
dim, size = X.shape
order = 1
while ber.terms(order, dim) <= size:
order += 1
indices = np.array(ber.bindex(1, order, dim, sort)[:size])
s, t = np.mgrid[:size, :size]
M = np.prod(X.T[s]**indices[t], -1)
det = np.linalg.det(M)
if det == 0:
raise np.linalg.LinAlgError, "invertable matrix"
v = po.basis(1, order, dim, sort)[:size]
coeffs = np.zeros((size, size))
if size == 2:
coeffs = np.linalg.inv(M)
else:
for i in xrange(size):
for j in xrange(size):
coeffs[i, j] += np.linalg.det(M[1:, 1:])
M = np.roll(M, -1, axis=0)
M = np.roll(M, -1, axis=1)
coeffs /= det
return po.sum(v * (coeffs.T), 1)
def fit_lagrange(X, Y):
"""Simple lagrange method"""
X = np.array(X)
Y = np.array(Y)
assert X.shape[0] == Y.shape[0]
if len(X.shape) == 1:
X = X.reshape(1, X.size)
N, dim = X.shape
basis = []
n = 1
while len(basis) < N:
basis = po.basis(0, n, dim)
n += 1
basis = basis[:N]
return fit_regression(basis, X, Y)
def fit_lagrange(X, Y):
"""Simple lagrange method"""
X = np.array(X)
Y = np.array(Y)
assert X.shape[0] == Y.shape[0]
if len(X.shape) == 1:
X = X.reshape(1, X.size)
N, dim = X.shape
basis = []
n = 1
while len(basis) < N:
basis = po.basis(0, n, dim)
n += 1
basis = basis[:N]
return fit_regression(basis, X, Y)
def lagrange_polynomial(X, sort="GR"):
"""
Lagrange Polynomials
X : array_like
Sample points where the lagrange polynomials shall be
"""
X = np.asfarray(X)
if len(X.shape)==1:
X = X.reshape(1,X.size)
dim,size = X.shape
order = 1
while ber.terms(order, dim)<=size: order += 1
indices = np.array(ber.bindex(1, order, dim, sort)[:size])
s,t = np.mgrid[:size, :size]
M = np.prod(X.T[s]**indices[t], -1)
det = np.linalg.det(M)
if det==0:
raise np.linalg.LinAlgError, "invertable matrix"
v = po.basis(1, order, dim, sort)[:size]
coeffs = np.zeros((size, size))
if size==2:
coeffs = np.linalg.inv(M)
else:
for i in xrange(size):
for j in xrange(size):
coeffs[i,j] += np.linalg.det(M[1:,1:])
M = np.roll(M, -1, axis=0)
M = np.roll(M, -1, axis=1)
coeffs /= det
return po.sum(v*(coeffs.T), 1)
def orth_hybrid(order, dist, eps=1.e-30, normed=True, **kws):
"""
Create orthogonal polynomial expansion from Cholesky decompostion
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
eps : float
The accuracy if PCD is used
normed : bool
If True orthonormal polynomials will be used instead of monic.
kws : optional
Keyword argument passed to stieltjes.
Examples
--------
# >>> Z = cp.Normal()
# >>> print cp.orth_chol(3, Z)
# [1.0, q0, 0.707106781187q0^2-0.707106781187, 0.408248290464q0^3-1.22474487139q0]
"""
if order==1:
return orth_svd(order, dist, eps, normed, **kws)
dim = len(dist)
basis = po.basis(1,order,dim)
C = Cov(basis, dist)
L, P = pcd(C, approx=0, pivot=1, tol=eps)
eig = np.array(np.sum(np.cumsum(P, 0), 0)-1, dtype=int)
for i in range(len(C)-1):
try:
I,J = np.meshgrid(eig[i:], eig[i:])
D = C[J,I]
L = np.linalg.cholesky(D)
break
except np.linalg.LinAlgError:
continue
if i==(len(C)-2):
return orth_svd(order, dist, eps, normed, **kws)
if i:
print "subset", i
basis = basis[eig[i:]]
N = len(basis)
Li = np.linalg.inv(L.T).T
Ln = Li/np.repeat(np.diag(Li), len(Li)).reshape(Li.shape)
E_ = -np.sum(Ln*E(basis, dist, **kws), -1)
coefs = np.empty((N+1, N+1))
coefs[1:,1:] = Ln
coefs[0,0] = 1
coefs[0,1:] = 0
coefs[1:,0] = E_
coefs = coefs.T
out = {}
out[(0,)*dim] = coefs[0]
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i+1]
P = po.Poly(out, dim, coefs.shape[1:], float)
if normed:
norm = np.sqrt(Var(P, dist, **kws))
norm[0] = 1
P = P/norm
return P
def orth_hybrid(order, dist, eps=1.e-30, normed=True, **kws):
"""
Create orthogonal polynomial expansion from Cholesky decompostion
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
eps : float
The accuracy if PCD is used
normed : bool
If True orthonormal polynomials will be used instead of monic.
kws : optional
Keyword argument passed to stieltjes.
Examples
--------
# >>> Z = cp.Normal()
# >>> print cp.orth_chol(3, Z)
# [1.0, q0, 0.707106781187q0^2-0.707106781187, 0.408248290464q0^3-1.22474487139q0]
"""
raise DeprecationWarning("Obsolete. Use orth_chol instead.")
if order == 1:
return orth_svd(order, dist, eps, normed, **kws)
dim = len(dist)
basis = po.basis(1, order, dim)
C = Cov(basis, dist)
L, P = pcd(C, approx=0, pivot=1, tol=eps)
eig = np.array(np.sum(np.cumsum(P, 0), 0) - 1, dtype=int)
for i in range(len(C) - 1):
try:
I, J = np.meshgrid(eig[i:], eig[i:])
D = C[J, I]
L = np.linalg.cholesky(D)
break
except np.linalg.LinAlgError:
continue
if i == (len(C) - 2):
return orth_svd(order, dist, eps, normed, **kws)
if i:
print "subset", i
basis = basis[eig[i:]]
N = len(basis)
Li = np.linalg.inv(L.T).T
Ln = Li / np.repeat(np.diag(Li), len(Li)).reshape(Li.shape)
E_ = -np.sum(Ln * E(basis, dist, **kws), -1)
coefs = np.empty((N + 1, N + 1))
coefs[1:, 1:] = Ln
coefs[0, 0] = 1
coefs[0, 1:] = 0
coefs[1:, 0] = E_
coefs = coefs.T
out = {}
out[(0, ) * dim] = coefs[0]
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i + 1]
P = po.Poly(out, dim, coefs.shape[1:], float)
if normed:
norm = np.sqrt(Var(P, dist, **kws))
norm[0] = 1
P = P / norm
return P
def orth_gs(order, dist, normed=False, sort="GR", **kws):
"""
Gram-Schmidt process for generating orthogonal
polynomials in a weighted function space.
Parameters
----------
order : int, Poly
The upper polynomial order.
Alternative a custom polynomial basis can be used.
dist : Dist
Weighting distribution(s) defining orthogonality.
normed : bool
If True orthonormal polynomials will be used instead of monic.
sort : str
Ordering argument passed to poly.basis.
If custom basis is used, argument is ignored.
kws : optional
Keyword argument passed to dist.mom if the moments need to be
estimated.
Returns
-------
P : Poly
The orthogonal polynomial expansion.
Examples
--------
>>> Z = cp.J(cp.Normal(), cp.Normal())
>>> print cp.orth_gs(2, Z)
[1.0, q1, q0, -1.0+q1^2, q0q1, q0^2-1.0]
"""
dim = len(dist)
if isinstance(order, int):
if order==0:
return po.Poly(1, dim=dim)
basis = po.basis(0, order, dim, sort)
else:
basis = order
basis = list(basis)
P = [basis[0]]
if normed:
for i in xrange(1,len(basis)):
for j in xrange(i):
tmp = P[j]*E(basis[i]*P[j], dist, **kws)
basis[i] = basis[i] - tmp
g = E(P[-1]**2, dist, **kws)
if g<=0:
print "Warning: Polynomial cutoff at term %d" % i
break
basis[i] = basis[i]/np.sqrt(g)
P.append(basis[i])
else:
G = [1.]
for i in xrange(1,len(basis)):
for j in xrange(i):
tmp = P[j]*(E(basis[i]*P[j], dist, **kws) / G[j])
basis[i] = basis[i] - tmp
G.append(E(P[-1]**2, dist, **kws))
if G[-1]<=0:
print "Warning: Polynomial cutoff at term %d" % i
break
P.append(basis[i])
return po.Poly(P, dim=dim, shape=(len(P),))
def orth_svd(order, dist, eps=1.e-300, normed=False, **kws):
"""
Create orthogonal polynomial expansion from pivoted Cholesky
decompostion. If eigenvalue of covariance matrix is bellow eps, the
polynomial is subset.
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
eps : float
Threshold for when to subset the expansion.
normed : bool
If True, polynomial will be orthonormal.
**kws : optional
Extra keywords passed to dist.mom
Examples
--------
# >>> Z = cp.Normal()
# >>> print cp.orth_svd(2, Z)
# [1.0, q0^2-1.0, q0]
"""
dim = len(dist)
if isinstance(order, po.Poly):
basis = order
else:
basis = po.basis(1,order,dim)
basis = list(basis)
C = Cov(basis, dist, **kws)
L, P = pcd(C, approx=0, pivot=1, tol=eps)
N = L.shape[-1]
if len(L)!=N:
I = [_.tolist().index(1) for _ in P]
b_ = [0]*N
for i in xrange(N):
b_[i] = basis[I[i]]
basis = b_
C = Cov(basis, dist, **kws)
L, P = pcd(C, approx=0, pivot=1, tol=eps)
N = L.shape[-1]
basis = po.Poly(basis)
Li = rlstsq(L, P, alpha=1.e-300).T
E_ = -po.sum(E(basis, dist, **kws)*Li.T, -1)
coefs = np.zeros((N+1, N+1))
coefs[1:,1:] = Li
coefs[0,0] = 1
coefs[0,1:] = E_
out = {}
out[(0,)*dim] = coefs[0]
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i+1]
P = po.Poly(out, dim, coefs.shape[1:], float)
if normed:
norm = np.sqrt(Var(P, dist, **kws))
norm[0] = 1
P = P/norm
return P
def orth_bert(N, dist, normed=False, sort="GR"):
"""
# Stabilized process for generating orthogonal
polynomials in a weighted function space.
Add a comment to this line
Parameters
----------
N : int
The upper polynomial order.
dist : Dist
Weighting distribution(s) defining orthogonality.
normed
Returns
-------
P : Poly
The orthogonal polynomial expansion.
Examples
--------
>>> Z = cp.MvNormal([0,0], [[1,.5],[.5,1]])
>>> P = orth_bert(2, Z)
>>> print P
[1.0, q0, q1-0.5q0, q0^2-1.0, -0.5q0^2+q0q1, 0.25q0^2-0.75+q1^2-q0q1]
"""
dim = len(dist)
sort = sort.upper()
# Start orthogonalization
x = po.basis(1,1,dim)
if not ("R" in sort):
x = x[::-1]
foo = ber.Fourier_recursive(dist)
# Create order=0
pool = [po.Poly(1, dim=dim, shape=())]
# start loop
M = ber.terms(N,dim)
for i in xrange(1, M):
par, ax0 = ber.parent(i, dim)
gpar, ax1 = ber.parent(par, dim)
oneup = ber.child(0, dim, ax0)
# calculate rank to cut some terms
rank = ber.multi_index(i, dim)
while rank[-1]==0: rank = rank[:-1]
rank = dim - len(rank)
candi = x[ax0]*pool[par]
for j in xrange(gpar, i):
# cut irrelevant term
if rank and np.any(ber.multi_index(j, dim)[-rank:]):
continue
A = foo(oneup, par, j)
P = pool[j]
candi = candi - P*A
if normed:
candi = candi/np.sqrt(foo(i, i, 0))
pool.append(candi)
if "I" in sort:
pool = pool[::-1]
P = po.Poly([_.A for _ in pool], dim, (ber.terms(N, dim),))
return P
def orth_bert(N, dist, normed=False, sort="GR"):
"""
# Stabilized process for generating orthogonal
polynomials in a weighted function space.
Add a comment to this line
Parameters
----------
N : int
The upper polynomial order.
dist : Dist
Weighting distribution(s) defining orthogonality.
normed
Returns
-------
P : Poly
The orthogonal polynomial expansion.
Examples
--------
>>> Z = cp.MvNormal([0,0], [[1,.5],[.5,1]])
>>> P = orth_bert(2, Z)
>>> print P
[1.0, q0, q1-0.5q0, q0^2-1.0, -0.5q0^2+q0q1, 0.25q0^2-0.75+q1^2-q0q1]
"""
dim = len(dist)
sort = sort.upper()
# Start orthogonalization
x = po.basis(1, 1, dim)
if not ("R" in sort):
x = x[::-1]
foo = ber.Fourier_recursive(dist)
# Create order=0
pool = [po.Poly(1, dim=dim, shape=())]
# start loop
M = ber.terms(N, dim)
for i in xrange(1, M):
par, ax0 = ber.parent(i, dim)
gpar, ax1 = ber.parent(par, dim)
oneup = ber.child(0, dim, ax0)
# calculate rank to cut some terms
rank = ber.multi_index(i, dim)
while rank[-1] == 0:
rank = rank[:-1]
rank = dim - len(rank)
candi = x[ax0] * pool[par]
for j in xrange(gpar, i):
# cut irrelevant term
if rank and np.any(ber.multi_index(j, dim)[-rank:]):
continue
A = foo(oneup, par, j)
P = pool[j]
candi = candi - P * A
if normed:
candi = candi / np.sqrt(foo(i, i, 0))
pool.append(candi)
if "I" in sort:
pool = pool[::-1]
P = po.Poly([_.A for _ in pool], dim, (ber.terms(N, dim), ))
return P
def orth_gs(order, dist, normed=False, sort="GR", **kws):
"""
Gram-Schmidt process for generating orthogonal
polynomials in a weighted function space.
Parameters
----------
order : int, Poly
The upper polynomial order.
Alternative a custom polynomial basis can be used.
dist : Dist
Weighting distribution(s) defining orthogonality.
normed : bool
If True orthonormal polynomials will be used instead of monic.
sort : str
Ordering argument passed to poly.basis.
If custom basis is used, argument is ignored.
kws : optional
Keyword argument passed to dist.mom if the moments need to be
estimated.
Returns
-------
P : Poly
The orthogonal polynomial expansion.
Examples
--------
>>> Z = cp.J(cp.Normal(), cp.Normal())
>>> print cp.orth_gs(2, Z)
[1.0, q1, q0, -1.0+q1^2, q0q1, q0^2-1.0]
"""
dim = len(dist)
if isinstance(order, int):
if order == 0:
return po.Poly(1, dim=dim)
basis = po.basis(0, order, dim, sort)
else:
basis = order
basis = list(basis)
P = [basis[0]]
if normed:
for i in xrange(1, len(basis)):
for j in xrange(i):
tmp = P[j] * E(basis[i] * P[j], dist, **kws)
basis[i] = basis[i] - tmp
g = E(P[-1]**2, dist, **kws)
if g <= 0:
print "Warning: Polynomial cutoff at term %d" % i
break
basis[i] = basis[i] / np.sqrt(g)
P.append(basis[i])
else:
G = [1.]
for i in xrange(1, len(basis)):
for j in xrange(i):
tmp = P[j] * (E(basis[i] * P[j], dist, **kws) / G[j])
basis[i] = basis[i] - tmp
G.append(E(P[-1]**2, dist, **kws))
if G[-1] <= 0:
print "Warning: Polynomial cutoff at term %d" % i
break
P.append(basis[i])
return po.Poly(P, dim=dim, shape=(len(P), ))
def orth_svd(order, dist, eps=1.e-300, normed=False, **kws):
"""
Create orthogonal polynomial expansion from pivoted Cholesky
decompostion. If eigenvalue of covariance matrix is bellow eps, the
polynomial is subset.
Parameters
----------
order : int
Order of polynomial expansion
dist : Dist
Distribution space where polynomials are orthogonal
eps : float
Threshold for when to subset the expansion.
normed : bool
If True, polynomial will be orthonormal.
**kws : optional
Extra keywords passed to dist.mom
Examples
--------
# >>> Z = cp.Normal()
# >>> print cp.orth_svd(2, Z)
# [1.0, q0^2-1.0, q0]
"""
raise DeprecationWarning("Obsolete")
dim = len(dist)
if isinstance(order, po.Poly):
basis = order
else:
basis = po.basis(1, order, dim)
basis = list(basis)
C = Cov(basis, dist, **kws)
L, P = pcd(C, approx=0, pivot=1, tol=eps)
N = L.shape[-1]
if len(L) != N:
I = [_.tolist().index(1) for _ in P]
b_ = [0] * N
for i in xrange(N):
b_[i] = basis[I[i]]
basis = b_
C = Cov(basis, dist, **kws)
L, P = pcd(C, approx=0, pivot=1, tol=eps)
N = L.shape[-1]
basis = po.Poly(basis)
Li = rlstsq(L, P, alpha=1.e-300).T
E_ = -po.sum(E(basis, dist, **kws) * Li.T, -1)
coefs = np.zeros((N + 1, N + 1))
coefs[1:, 1:] = Li
coefs[0, 0] = 1
coefs[0, 1:] = E_
out = {}
out[(0, ) * dim] = coefs[0]
for i in xrange(N):
I = basis[i].keys[0]
out[I] = coefs[i + 1]
P = po.Poly(out, dim, coefs.shape[1:], float)
if normed:
norm = np.sqrt(Var(P, dist, **kws))
norm[0] = 1
P = P / norm
return P
def golub_welsch(order, dist, acc=100, **kws):
"""
Golub-Welsch algorithm for creating quadrature nodes and weights
Parameters
----------
order : int
Quadrature order
dist : Dist
Distribution nodes and weights are found for with
`dim=len(dist)`
acc : int
Accuracy used in discretized Stieltjes procedure.
Will be increased by one for each itteration.
Returns
-------
x : numpy.array
Optimal collocation nodes with `x.shape=(dim, order+1)`
w : numpy.array
Optimal collocation weights with `w.shape=(order+1,)`
Examples
--------
>>> Z = cp.Normal()
>>> x, w = cp.golub_welsch(3, Z)
>>> print x
[[-2.33441422 -0.74196378 0.74196378 2.33441422]]
>>> print w
[ 0.04587585 0.45412415 0.45412415 0.04587585]
Multivariate
>>> Z = cp.J(cp.Uniform(), cp.Uniform())
>>> x, w = cp. golub_welsch(1, Z)
>>> print x
[[ 0.21132487 0.21132487 0.78867513 0.78867513]
[ 0.21132487 0.78867513 0.21132487 0.78867513]]
>>> print w
[ 0.25 0.25 0.25 0.25]
"""
o = np.array(order)*np.ones(len(dist), dtype=int)+1
P,g,a,b = stieltjes(dist, np.max(o), acc=acc, retall=True, **kws)
X,W = [], []
dim = len(dist)
for d in xrange(dim):
if o[d]:
A = np.empty((2, o[d]))
A[0] = a[d, :o[d]]
A[1,:-1] = np.sqrt(b[d, 1:o[d]])
vals, vecs = eig_banded(A, lower=True)
x, w = vals.real, vecs[0,:]**2
indices = np.argsort(x)
x, w = x[indices], w[indices]
p = P[-1][d]
dp = po.differential(p, po.basis(1,1,dim)[d])
x = x - p(x)/dp(x)
x = x - p(x)/dp(x)
x = x - p(x)/dp(x)
z = np.arange(dim)
b = dist.mom([k*(z == d)
for k in range(2*o[d]-3)])
X_,r = np.meshgrid(x, np.arange(2*o[d]-3))
X_ = X_**r
w = np.linalg.lstsq(X_, b)[0].T[0]
else:
x,w = np.array([a[d,0]]), np.array([1.])
X.append(x)
W.append(w)
if dim==1:
x = np.array(X).reshape(1,o[0])
w = np.array(W).reshape(o[0])
else:
x = combine(X).T
w = np.prod(combine(W), -1)
assert len(x)==dim
assert len(w)==len(x.T)
return x, w