xref: /petsc/src/dm/tutorials/ex26.c (revision 3e215257b49c486945f9c306d59778919a72e63e)

static char help[] = "Calculates moments for Gaussian functions.\n\n";

#include <petscviewer.h>
#include <petscdt.h>
#include <petscvec.h>

#include <gsl/gsl_sf_hermite.h>
#include <gsl/gsl_randist.h>

int main(int argc, char **argv)
{
  int        s, n         = 15;
  PetscInt   tick, moment = 0, momentummax = 7;
  PetscReal *zeros, *weights, scale, h, sigma = 1 / sqrt(2), g = 0, mu = 0;

  PetscFunctionBeginUser;
  PetscCall(PetscInitialize(&argc, &argv, NULL, help));

  PetscCall(PetscOptionsGetInt(NULL, NULL, "-n", &n, NULL));
  PetscCall(PetscOptionsGetInt(NULL, NULL, "-moment_max", &momentummax, NULL));
  PetscCall(PetscOptionsGetReal(NULL, NULL, "-sigma", &sigma, NULL));
  PetscCall(PetscOptionsGetReal(NULL, NULL, "-mu", &mu, NULL));

  /* calculate zeros and roots of Hermite Gauss quadrature */
  PetscCall(PetscMalloc1(n, &zeros));
  zeros[0] = 0;
  tick     = n % 2;
  for (s = 0; s < n / 2; s++) {
    zeros[2 * s + tick]     = -gsl_sf_hermite_zero(n, s + 1);
    zeros[2 * s + 1 + tick] = gsl_sf_hermite_zero(n, s + 1);
  }

  PetscCall(PetscDTFactorial(n, &scale));
  scale = exp2(n - 1) * scale * PetscSqrtReal(PETSC_PI) / (n * n);
  PetscCall(PetscMalloc1(n + 1, &weights));
  for (s = 0; s < n; s++) {
    h          = gsl_sf_hermite(n - 1, (double)zeros[s]);
    weights[s] = scale / (h * h);
  }
  /* zeros and weights verified up to n = 5 with http://mathworld.wolfram.com/Hermite-GaussQuadrature.html */

  for (moment = 0; moment < momentummax; moment++) {
    /* http://www.wouterdenhaan.com/numerical/integrationslides.pdf */
    /* https://en.wikipedia.org/wiki/Gauss-Hermite_quadrature */
    /*
       int_{-infinity}^{infinity} \frac{1}{sigma sqrt(2pi)} exp(- \frac{(x - mu)^2}{2 sigma^2) h(x) dx

       then approx equals 1/pi sum_i w_i h( sqrt(2) sigma x_i + mu)
    */
    g = 0;
    for (s = 0; s < n; s++) g += weights[s] * PetscPowRealInt(sqrt(2) * sigma * zeros[s] + mu, moment);
    g /= sqrt(PETSC_PI);
    /* results confirmed with https://en.wikipedia.org/wiki/Normal_distribution#Moments sigma^p * (p-1)!!*/
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "Moment %" PetscInt_FMT " %g \n", moment, (double)g));
  }
  PetscCall(PetscFree(zeros));
  PetscCall(PetscFree(weights));
  PetscCall(PetscFinalize());
  return 0;
}

/*TEST

  build:
    requires: gsl double

  test:

TEST*/