Package com.opengamma.analytics.math.function

Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D

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    }

    final double[][] coefsMatExp = new double[][] { {0., 0., 1. / 7., yValues[0] }, {0., 0., 1. / 7., yValues[1] }, {0., 0., 1. / 7., yValues[2] }, {0., 0., 1. / 7., yValues[3] },
        {0., 0., 1. / 7., yValues[4] } };

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    PiecewisePolynomialInterpolator interp = new ConstrainedCubicSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    assertEquals(result.getDimensions(), 1);
    assertEquals(result.getNumberOfIntervals(), 5);
    assertEquals(result.getOrder(), 4);

    for (int i = 0; i < result.getNumberOfIntervals(); ++i) {
      for (int j = 0; j < result.getOrder(); ++j) {
        final double ref = Math.abs(coefsMatExp[i][j]) == 0. ? 1. : Math.abs(coefsMatExp[i][j]);
        assertEquals(result.getCoefMatrix().getData()[i][j], coefsMatExp[i][j], ref * EPS);
      }
    }

    final int nKeys = 101;
    for (int i = 0; i < nKeys; ++i) {
      final double key = 1. + 5. / (nKeys - 1) * i;
      final double ref = key / 7. + 1 / 11.;
      assertEquals(function.evaluate(result, key).getData()[0], ref, ref * EPS);
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] + "\t" + function.evaluate(result, key).getData()[0]);
    }
  }
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    final double[][] coefsMatExp = new double[][] { {0., 0., 1. / 7., yValues[0][0] }, {0., 0., 1. / 13., yValues[1][0] }, {0., 0., 1. / 7., yValues[0][1] }, {0., 0., 1. / 13., yValues[1][1] },
        {0., 0., 1. / 7., yValues[0][2] }, {0., 0., 1. / 13., yValues[1][2] }, {0., 0., 1. / 7., yValues[0][3] }, {0., 0., 1. / 13., yValues[1][3] },
        {0., 0., 1. / 7., yValues[0][4] }, {0., 0., 1. / 13., yValues[1][4] } };

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    PiecewisePolynomialInterpolator interp = new ConstrainedCubicSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    assertEquals(result.getDimensions(), 2);
    assertEquals(result.getNumberOfIntervals(), 5);
    assertEquals(result.getOrder(), 4);

    for (int i = 0; i < result.getNumberOfIntervals() * result.getDimensions(); ++i) {
      for (int j = 0; j < result.getOrder(); ++j) {
        final double ref = Math.abs(coefsMatExp[i][j]) == 0. ? 1. : Math.abs(coefsMatExp[i][j]);
        assertEquals(result.getCoefMatrix().getData()[i][j], coefsMatExp[i][j], ref * EPS);
      }
    }

    final int nKeys = 101;
    for (int i = 0; i < nKeys; ++i) {
      final double key = 1. + 5. / (nKeys - 1) * i;
      final double ref = key / 7. + 1 / 11.;
      assertEquals(function.evaluate(result, key).getData()[0], ref, ref * EPS);
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] + "\t" + function.evaluate(result, key).getData()[0]);
    }
  }
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  @Test
  public void extremumTest() {
    final double[] xValues = new double[] {1., 2., 3., 4., 5., 6., 7. };
    final double[] yValues = new double[] {1., 1., 4., 5., 4., 1., 1. };

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    PiecewisePolynomialInterpolator interp = new ConstrainedCubicSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    assertEquals(result.getDimensions(), 1);
    assertEquals(result.getNumberOfIntervals(), 6);
    assertEquals(result.getOrder(), 4);

    final int nKeys = 31;
    double key0 = 1.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = 1. + 3. / (nKeys - 1) * i;
      assertTrue(function.evaluate(result, key).getData()[0] - function.evaluate(result, key0).getData()[0] >= 0.);
      key0 = 1. + 3. / (nKeys - 1) * i;
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] );
    }

    key0 = 4.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = 4. + 3. / (nKeys - 1) * i;
      assertTrue(function.evaluate(result, key).getData()[0] - function.evaluate(result, key0).getData()[0] <= 0.);
      key0 = 4. + 3. / (nKeys - 1) * i;
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] );
    }
  }
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    final double[] yValues = new double[] {30., 130., 150., 150., 170., 220., 320. };

    PiecewisePolynomialInterpolator interp = new ConstrainedCubicSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    final double[][] coefsMatPartExp = new double[][] { {-9. / 220., 0., 155. / 11., 30. }, {-1. / 2200., -7. / 220., 20. / 11., 130. }, {0., 0., 0., 150. } };
    for (int i = 0; i < 3; ++i) {
      for (int j = 0; j < 4; ++j) {
        final double ref = Math.abs(coefsMatPartExp[i][j]) == 0. ? 1. : Math.abs(coefsMatPartExp[i][j]);
        assertEquals(result.getCoefMatrix().getData()[i][j], coefsMatPartExp[i][j], ref * EPS);
      }
    }

    int nKeys = 101;
    double key0 = 0.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = 0. + 100. / (nKeys - 1) * i;
      //      System.out.println(function.evaluate(result, key).getData()[0] + "\t" + function.evaluate(result, key0).getData()[0]);
      assertTrue(function.evaluate(result, key).getData()[0] - function.evaluate(result, key0).getData()[0] >= -EPS);
      key0 = 0. + 100. / (nKeys - 1) * i;
    }
    //
    //    System.out.println(result.getCoefMatrix());
    //
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    final double[] yValues = new double[] {1., 1.01, 2., 2.1, 2.2, 2.201 };

    PiecewisePolynomialInterpolator interp = new NaturalSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingQuinticSplineInterpolator(interp);
    PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);

    //    System.out.println(resultPos.getCoefMatrix());

    assertEquals(resultPos.getDimensions(), result.getDimensions());
    assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
    assertEquals(resultPos.getOrder(), 6);

    final int nKeys = 111;
    double key0 = 2.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = 2. + 11. / (nKeys - 1) * i;
      assertTrue(function.evaluate(resultPos, key).getData()[0] - function.evaluate(resultPos, key0).getData()[0] >= 0.);
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] + "\t" + function.evaluate(resultPos, key).getData()[0]);
      key0 = 2. + 11. / (nKeys - 1) * i;
    }
  }
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    final double[] yValues = new double[] {0., 10., 9.5, 2., 1.1, -2.2, -2.6, 0. };

    PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingQuinticSplineInterpolator(interp);
    PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);

    //    System.out.println(resultPos.getCoefMatrix());

    assertEquals(resultPos.getDimensions(), result.getDimensions());
    assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
    assertEquals(resultPos.getOrder(), 6);

    final int nKeys = 121;
    double key0 = -2.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = -2. + 12. / (nKeys - 1) * i;
      assertTrue(function.evaluate(resultPos, key).getData()[0] - function.evaluate(resultPos, key0).getData()[0] <= 0.);
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] + "\t" + function.evaluate(resultPos, key).getData()[0]);
      key0 = -2. + 11. / (nKeys - 1) * i;
    }
  }
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    final double[][] yValues = new double[][] { {0., 10., 9.5, 2., 1.1, -2.2, -2.6, 0. }, {10., 10., 9.5, 2., 1.1, -2.2, -2.6, 10. } };

    PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingQuinticSplineInterpolator(interp);
    PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);

    //    System.out.println(resultPos.getCoefMatrix());

    assertEquals(resultPos.getDimensions(), result.getDimensions());
    assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
    assertEquals(resultPos.getOrder(), 6);

    //    for (int i = 0; i < 121; ++i) {
    //      final double key = -2. + 12. / (121 - 1) * i;
    //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[1] + "\t" + function.evaluate(resultPos, key).getData()[1]);
    //    }

    final int nKeys = 62;
    double key0 = 3.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = 3. + 6.1 / (nKeys - 1) * i;
      assertTrue(function.evaluate(resultPos, key).getData()[0] - function.evaluate(resultPos, key0).getData()[0] <= 0.);
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] + "\t" + function.evaluate(resultPos, key).getData()[0]);
      key0 = 3. + 6.1 / (nKeys - 1) * i;
    }
    key0 = 3.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = 3. + 6.1 / (nKeys - 1) * i;
      //      System.out.println(key);
      assertTrue(function.evaluate(resultPos, key).getData()[1] - function.evaluate(resultPos, key0).getData()[1] <= 0.);
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[1] + "\t" + function.evaluate(resultPos, key).getData()[1]);
      key0 = 3. + 6.1 / (nKeys - 1) * i;
    }
  }
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    final double[] yValues = new double[] {10., 9.5, 2., 1.1, -2.2, -2.6 };

    PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
    PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);

    PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();

    PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingQuinticSplineInterpolator(interp);
    PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);

    //    System.out.println(resultPos.getCoefMatrix());

    assertEquals(resultPos.getDimensions(), result.getDimensions());
    assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
    assertEquals(resultPos.getOrder(), 6);

    final int nKeys = 71;
    double key0 = 3.;
    for (int i = 1; i < nKeys; ++i) {
      final double key = 3. + 7. / (nKeys - 1) * i;
      assertTrue(function.evaluate(resultPos, key).getData()[0] - function.evaluate(resultPos, key0).getData()[0] <= 0.);
      //      System.out.println(key + "\t" + function.evaluate(result, key).getData()[0] + "\t" + function.evaluate(resultPos, key).getData()[0]);
      key0 = 3. + 7. / (nKeys - 1) * i;
    }
  }
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Related Classes of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D

  • com.opengamma.analytics.math.interpolation.BicubicSplineInterpolator
  • com.opengamma.analytics.math.interpolation.BicubicSplineInterpolatorTest
  • com.opengamma.analytics.math.interpolation.ConstrainedCubicSplineInterpolatorTest
  • com.opengamma.analytics.math.interpolation.Interpolator1DTest
  • com.opengamma.analytics.math.interpolation.MeshgridInterpolator2D
  • com.opengamma.analytics.math.interpolation.MeshgridInterpolator2DTest
  • com.opengamma.analytics.math.interpolation.MonotoneConvexSplineInterpolatorTest
  • com.opengamma.analytics.math.interpolation.MonotonicityPreservingCubicSplineInterpolatorTest
  • com.opengamma.analytics.math.interpolation.MonotonicityPreservingQuinticSplineInterpolatorTest
  • com.opengamma.analytics.math.interpolation.NonnegativityPreservingCubicSplineInterpolatorTest
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