path: root/tcllib/modules/math/calculus.man

[vset VERSION 0.8.1]
[manpage_begin math::calculus n [vset VERSION]]
[see_also romberg]
[keywords calculus]
[keywords {differential equations}]
[keywords integration]
[keywords math]
[keywords roots]
[copyright {2002,2003,2004 Arjen Markus}]
[moddesc   {Tcl Math Library}]
[titledesc {Integration and ordinary differential equations}]
[category  Mathematics]
[require Tcl 8.4]
[require math::calculus [vset VERSION]]
[description]
[para]
This package implements several simple mathematical algorithms:

[list_begin itemized]
[item]
The integration of a function over an interval

[item]
The numerical integration of a system of ordinary differential
equations.

[item]
Estimating the root(s) of an equation of one variable.

[list_end]

[para]
The package is fully implemented in Tcl. No particular attention has
been paid to the accuracy of the calculations. Instead, well-known
algorithms have been used in a straightforward manner.
[para]
This document describes the procedures and explains their usage.

[section "PROCEDURES"]
This package defines the following public procedures:
[list_begin definitions]

[call [cmd ::math::calculus::integral] [arg begin] [arg end] [arg nosteps] [arg func]]
Determine the integral of the given function using the Simpson
rule. The interval for the integration is [lb][arg begin], [arg end][rb].
The remaining arguments are:

[list_begin definitions]
[def [arg nosteps]]
Number of steps in which the interval is divided.

[def [arg func]]
Function to be integrated. It should take one single argument.
[list_end]
[para]

[call [cmd ::math::calculus::integralExpr] [arg begin] [arg end] [arg nosteps] [arg expression]]
Similar to the previous proc, this one determines the integral of
the given [arg expression] using the Simpson rule.
The interval for the integration is [lb][arg begin], [arg end][rb].
The remaining arguments are:

[list_begin definitions]
[def [arg nosteps]]
Number of steps in which the interval is divided.

[def [arg expression]]
Expression to be integrated. It should
use the variable "x" as the only variable (the "integrate")
[list_end]
[para]

[call [cmd ::math::calculus::integral2D] [arg xinterval] [arg yinterval] [arg func]]
[call [cmd ::math::calculus::integral2D_accurate] [arg xinterval] [arg yinterval] [arg func]]
The commands [cmd integral2D] and [cmd integral2D_accurate] calculate the
integral of a function of two variables over the rectangle given by the
first two arguments, each a list of three items, the start and
stop interval for the variable and the number of steps.
[para]
The command [cmd integral2D] evaluates the function at the centre of
each rectangle, whereas the command [cmd integral2D_accurate] uses a
four-point quadrature formula. This results in an exact integration of
polynomials of third degree or less.
[para]
The function must take two arguments and return the function
value.

[call [cmd ::math::calculus::integral3D] [arg xinterval] [arg yinterval] [arg zinterval] [arg func]]
[call [cmd ::math::calculus::integral3D_accurate] [arg xinterval] [arg yinterval] [arg zinterval] [arg func]]
The commands [cmd integral3D] and [cmd integral3D_accurate] are the
three-dimensional equivalent of [cmd integral2D] and [cmd integral3D_accurate].
The function [emph func] takes three arguments and is integrated over the block in
3D space given by three intervals.

[call [cmd ::math::calculus::qk15] [arg xstart] [arg xend] [arg func] [arg nosteps]]
Determine the integral of the given function using the Gauss-Kronrod 15 points quadrature rule.
The returned value is the estimate of the integral over the interval [lb][arg xstart], [arg xend][rb].
The remaining arguments are:

[list_begin definitions]
[def [arg func]]
Function to be integrated. It should take one single argument.

[def [opt nosteps]]
Number of steps in which the interval is divided. Defaults to 1.
[list_end]
[para]

[call [cmd ::math::calculus::qk15_detailed] [arg xstart] [arg xend] [arg func] [arg nosteps]]
Determine the integral of the given function using the Gauss-Kronrod 15 points quadrature rule.
The interval for the integration is [lb][arg xstart], [arg xend][rb].
The procedure returns a list of four values:
[list_begin itemized]
[item]
The estimate of the integral over the specified interval (I).
[item]
An estimate of the absolute error in I.
[item]
The estimate of the integral of the absolute value of the function over the interval.
[item]
The estimate of the integral of the absolute value of the function minus its mean over the interval.
[list_end]
The remaining arguments are:

[list_begin definitions]
[def [arg func]]
Function to be integrated. It should take one single argument.

[def [opt nosteps]]
Number of steps in which the interval is divided. Defaults to 1.
[list_end]
[para]

[call [cmd ::math::calculus::eulerStep] [arg t] [arg tstep] [arg xvec] [arg func]]
Set a single step in the numerical integration of a system of
differential equations. The method used is Euler's.

[list_begin definitions]
[def [arg t]]
Value of the independent variable (typically time)
at the beginning of the step.

[def [arg tstep]]
Step size for the independent variable.

[def [arg xvec]]
List (vector) of dependent values

[def [arg func]]
Function of t and the dependent values, returning
a list of the derivatives of the dependent values. (The lengths of
xvec and the return value of "func" must match).
[list_end]
[para]

[call [cmd ::math::calculus::heunStep] [arg t] [arg tstep] [arg xvec] [arg func]]
Set a single step in the numerical integration of a system of
differential equations. The method used is Heun's.

[list_begin definitions]
[def [arg t]]
Value of the independent variable (typically time)
at the beginning of the step.

[def [arg tstep]]
Step size for the independent variable.

[def [arg xvec]]
List (vector) of dependent values

[def [arg func]]
Function of t and the dependent values, returning
a list of the derivatives of the dependent values. (The lengths of
xvec and the return value of "func" must match).
[list_end]
[para]

[call [cmd ::math::calculus::rungeKuttaStep] [arg t] [arg tstep] [arg xvec] [arg func]]
Set a single step in the numerical integration of a system of
differential equations. The method used is Runge-Kutta 4th
order.

[list_begin definitions]
[def [arg t]]
Value of the independent variable (typically time)
at the beginning of the step.

[def [arg tstep]]
Step size for the independent variable.

[def [arg xvec]]
List (vector) of dependent values

[def [arg func]]
Function of t and the dependent values, returning
a list of the derivatives of the dependent values. (The lengths of
xvec and the return value of "func" must match).
[list_end]
[para]

[call [cmd ::math::calculus::boundaryValueSecondOrder] [arg coeff_func] [arg force_func] [arg leftbnd] [arg rightbnd] [arg nostep]]
Solve a second order linear differential equation with boundary
values at two sides. The equation has to be of the form (the
"conservative" form):
[example_begin]
         d      dy     d
         -- A(x)--  +  -- B(x)y + C(x)y  =  D(x)
         dx     dx     dx
[example_end]
Ordinarily, such an equation would be written as:
[example_begin]
             d2y        dy
         a(x)---  + b(x)-- + c(x) y  =  D(x)
             dx2        dx
[example_end]
The first form is easier to discretise (by integrating over a
finite volume) than the second form. The relation between the two
forms is fairly straightforward:
[example_begin]
         A(x)  =  a(x)
         B(x)  =  b(x) - a'(x)
         C(x)  =  c(x) - B'(x)  =  c(x) - b'(x) + a''(x)
[example_end]
Because of the differentiation, however, it is much easier to ask
the user to provide the functions A, B and C directly.

[list_begin definitions]
[def [arg coeff_func]]
Procedure returning the three coefficients
(A, B, C) of the equation, taking as its one argument the x-coordinate.

[def [arg force_func]]
Procedure returning the right-hand side
(D) as a function of the x-coordinate.

[def [arg leftbnd]]
A list of two values: the x-coordinate of the
left boundary and the value at that boundary.

[def [arg rightbnd]]
A list of two values: the x-coordinate of the
right boundary and the value at that boundary.

[def [arg nostep]]
Number of steps by which to discretise the
interval.

The procedure returns a list of x-coordinates and the approximated
values of the solution.
[list_end]
[para]

[call [cmd ::math::calculus::solveTriDiagonal] [arg acoeff] [arg bcoeff] [arg ccoeff] [arg dvalue]]
Solve a system of linear equations Ax = b with A a tridiagonal
matrix. Returns the solution as a list.

[list_begin definitions]
[def [arg acoeff]]
List of values on the lower diagonal

[def [arg bcoeff]]
List of values on the main diagonal

[def [arg ccoeff]]
List of values on the upper diagonal

[def [arg dvalue]]
List of values on the righthand-side
[list_end]
[para]

[call [cmd ::math::calculus::newtonRaphson] [arg func] [arg deriv] [arg initval]]
Determine the root of an equation given by
[example_begin]
    func(x) = 0
[example_end]
using the method of Newton-Raphson. The procedure takes the following
arguments:

[list_begin definitions]
[def [arg func]]
Procedure that returns the value the function at x

[def [arg deriv]]
Procedure that returns the derivative of the function at x

[def [arg initval]]
Initial value for x
[list_end]
[para]

[call [cmd ::math::calculus::newtonRaphsonParameters] [arg maxiter] [arg tolerance]]
Set the numerical parameters for the Newton-Raphson method:

[list_begin definitions]
[def [arg maxiter]]
Maximum number of iteration steps (defaults to 20)

[def [arg tolerance]]
Relative precision (defaults to 0.001)
[list_end]

[call [cmd ::math::calculus::regula_falsi] [arg f] [arg xb] [arg xe] [arg eps]]

Return an estimate of the zero or one of the zeros of the function
contained in the interval [lb]xb,xe[rb]. The error in this estimate is of the
order of eps*abs(xe-xb), the actual error may be slightly larger.

[para]
The method used is the so-called [emph {regula falsi}] or
[emph "false position"] method. It is a straightforward implementation.
The method is robust, but requires that the interval brackets a zero or
at least an uneven number of zeros, so that the value of the function at
the start has a different sign than the value at the end.

[para]
In contrast to Newton-Raphson there is no need for the computation of
the function's derivative.

[list_begin arguments]
[arg_def command f] Name of the command that evaluates the function for
which the zero is to be returned

[arg_def float xb] Start of the interval in which the zero is supposed
to lie

[arg_def float xe] End of the interval

[arg_def float eps] Relative allowed error (defaults to 1.0e-4)

[list_end]

[list_end]
[para]

[emph Notes:]
[para]
Several of the above procedures take the [emph names] of procedures as
arguments. To avoid problems with the [emph visibility] of these
procedures, the fully-qualified name of these procedures is determined
inside the calculus routines. For the user this has only one
consequence: the named procedure must be visible in the calling
procedure. For instance:
[example_begin]
    namespace eval ::mySpace {
       namespace export calcfunc
       proc calcfunc { x } { return $x }
    }
    #
    # Use a fully-qualified name
    #
    namespace eval ::myCalc {
       proc detIntegral { begin end } {
          return [lb]integral $begin $end 100 ::mySpace::calcfunc[rb]
       }
    }
    #
    # Import the name
    #
    namespace eval ::myCalc {
       namespace import ::mySpace::calcfunc
       proc detIntegral { begin end } {
          return [lb]integral $begin $end 100 calcfunc[rb]
       }
    }
[example_end]
[para]
Enhancements for the second-order boundary value problem:
[list_begin itemized]
[item]
Other types of boundary conditions (zero gradient, zero flux)
[item]
Other schematisation of the first-order term (now central
differences are used, but upstream differences might be useful too).
[list_end]

[section EXAMPLES]
Let us take a few simple examples:
[para]
Integrate x over the interval [lb]0,100[rb] (20 steps):
[example_begin]
proc linear_func { x } { return $x }
puts "Integral: [lb]::math::calculus::integral 0 100 20 linear_func[rb]"
[example_end]
For simple functions, the alternative could be:
[example_begin]
puts "Integral: [lb]::math::calculus::integralExpr 0 100 20 {$x}[rb]"
[example_end]
Do not forget the braces!
[para]
The differential equation for a dampened oscillator:
[para]
[example_begin]
x'' + rx' + wx = 0
[example_end]
[para]
can be split into a system of first-order equations:
[para]
[example_begin]
x' = y
y' = -ry - wx
[example_end]
[para]
Then this system can be solved with code like this:
[para]
[example_begin]
proc dampened_oscillator { t xvec } {
   set x  [lb]lindex $xvec 0[rb]
   set x1 [lb]lindex $xvec 1[rb]
   return [lb]list $x1 [lb]expr {-$x1-$x}[rb][rb]
}

set xvec   { 1.0 0.0 }
set t      0.0
set tstep  0.1
for { set i 0 } { $i < 20 } { incr i } {
   set result [lb]::math::calculus::eulerStep $t $tstep $xvec dampened_oscillator[rb]
   puts "Result ($t): $result"
   set t      [lb]expr {$t+$tstep}[rb]
   set xvec   $result
}
[example_end]
[para]
Suppose we have the boundary value problem:
[para]
[example_begin]
    Dy'' + ky = 0
    x = 0: y = 1
    x = L: y = 0
[example_end]
[para]
This boundary value problem could originate from the diffusion of a
decaying substance.
[para]
It can be solved with the following fragment:
[para]
[example_begin]
   proc coeffs { x } { return [lb]list $::Diff 0.0 $::decay[rb] }
   proc force  { x } { return 0.0 }

   set Diff   1.0e-2
   set decay  0.0001
   set length 100.0

   set y [lb]::math::calculus::boundaryValueSecondOrder \
      coeffs force {0.0 1.0} [lb]list $length 0.0[rb] 100[rb]
[example_end]

[vset CATEGORY {math :: calculus}]
[include ../doctools2base/include/feedback.inc]
[manpage_end]