spline.h

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/*
 * spline.h
 *
 * simple cubic spline interpolation library without external
 * dependencies
 *
 * ---------------------------------------------------------------------
 * Copyright (C) 2011, 2014 Tino Kluge (ttk448 at gmail.com)
 *
 *  This program is free software; you can redistribute it and/or
 *  modify it under the terms of the GNU General Public License
 *  as published by the Free Software Foundation; either version 2
 *  of the License, or (at your option) any later version.
 *
 *  This program is distributed in the hope that it will be useful,
 *  but WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *  GNU General Public License for more details.
 *
 *  You should have received a copy of the GNU General Public License
 *  along with this program.  If not, see <http://www.gnu.org/licenses/>.
 * ---------------------------------------------------------------------
 *
 */
 
 
#ifndef TK_SPLINE_H
#define TK_SPLINE_H
 
#include <cstdio>
#include <cassert>
#include <vector>
#include <algorithm>
 
 
// unnamed namespace only because the implementation is in this
// header file and we don't want to export symbols to the obj files
namespace
{
 
namespace tk
{
 
// band matrix solver
class band_matrix
{
private:
    std::vector< std::vector<double> > m_upper;  // upper band
    std::vector< std::vector<double> > m_lower;  // lower band
public:
    band_matrix() {};                             // constructor
    band_matrix(int dim, int n_u, int n_l);       // constructor
    ~band_matrix() {};                            // destructor
    void resize(int dim, int n_u, int n_l);      // init with dim,n_u,n_l
    int dim() const;                             // matrix dimension
    int num_upper() const
    {
        return m_upper.size()-1;
    }
    int num_lower() const
    {
        return m_lower.size()-1;
    }
    // access operator
    double & operator () (int i, int j);            // write
    double   operator () (int i, int j) const;      // read
    // we can store an additional diogonal (in m_lower)
    double& saved_diag(int i);
    double  saved_diag(int i) const;
    void lu_decompose();
    std::vector<double> r_solve(const std::vector<double>& b) const;
    std::vector<double> l_solve(const std::vector<double>& b) const;
    std::vector<double> lu_solve(const std::vector<double>& b,
                                 bool is_lu_decomposed=false);
 
};
 
 
// spline interpolation
class spline
{
public:
    enum bd_type {
        first_deriv = 1,
        second_deriv = 2
    };
 
private:
    std::vector<double> m_x,m_y;            // x,y coordinates of points
    // interpolation parameters
    // f(x) = a*(x-x_i)^3 + b*(x-x_i)^2 + c*(x-x_i) + y_i
    std::vector<double> m_a,m_b,m_c;        // spline coefficients
    double  m_b0, m_c0;                     // for left extrapol
    bd_type m_left, m_right;
    double  m_left_value, m_right_value;
    bool    m_force_linear_extrapolation;
 
public:
    // set default boundary condition to be zero curvature at both ends
    spline(): m_left(second_deriv), m_right(second_deriv),
        m_left_value(0.0), m_right_value(0.0),
        m_force_linear_extrapolation(false)
    {
        ;
    }
 
    // optional, but if called it has to come be before set_points()
    void set_boundary(bd_type left, double left_value,
                      bd_type right, double right_value,
                      bool force_linear_extrapolation=false);
    void set_points(const std::vector<double>& x,
                    const std::vector<double>& y, bool cubic_spline=true);
    double operator() (double x) const;
};
 
 
 
// ---------------------------------------------------------------------
// implementation part, which could be separated into a cpp file
// ---------------------------------------------------------------------
 
 
// band_matrix implementation
// -------------------------
 
band_matrix::band_matrix(int dim, int n_u, int n_l)
{
    resize(dim, n_u, n_l);
}
void band_matrix::resize(int dim, int n_u, int n_l)
{
    assert(dim>0);
    assert(n_u>=0);
    assert(n_l>=0);
    m_upper.resize(n_u+1);
    m_lower.resize(n_l+1);
    for(size_t i=0; i<m_upper.size(); i++) {
        m_upper[i].resize(dim);
    }
    for(size_t i=0; i<m_lower.size(); i++) {
        m_lower[i].resize(dim);
    }
}
int band_matrix::dim() const
{
    if(m_upper.size()>0) {
        return m_upper[0].size();
    } else {
        return 0;
    }
}
 
 
// defines the new operator (), so that we can access the elements
// by A(i,j), index going from i=0,...,dim()-1
double & band_matrix::operator () (int i, int j)
{
    int k=j-i;       // what band is the entry
    assert( (i>=0) && (i<dim()) && (j>=0) && (j<dim()) );
    assert( (-num_lower()<=k) && (k<=num_upper()) );
    // k=0 -> diogonal, k<0 lower left part, k>0 upper right part
    if(k>=0)   return m_upper[k][i];
    else        return m_lower[-k][i];
}
double band_matrix::operator () (int i, int j) const
{
    int k=j-i;       // what band is the entry
    assert( (i>=0) && (i<dim()) && (j>=0) && (j<dim()) );
    assert( (-num_lower()<=k) && (k<=num_upper()) );
    // k=0 -> diogonal, k<0 lower left part, k>0 upper right part
    if(k>=0)   return m_upper[k][i];
    else        return m_lower[-k][i];
}
// second diag (used in LU decomposition), saved in m_lower
double band_matrix::saved_diag(int i) const
{
    assert( (i>=0) && (i<dim()) );
    return m_lower[0][i];
}
double & band_matrix::saved_diag(int i)
{
    assert( (i>=0) && (i<dim()) );
    return m_lower[0][i];
}
 
// LR-Decomposition of a band matrix
void band_matrix::lu_decompose()
{
    int  i_max,j_max;
    int  j_min;
    double x;
 
    // preconditioning
    // normalize column i so that a_ii=1
    for(int i=0; i<this->dim(); i++) {
        assert(this->operator()(i,i)!=0.0);
        this->saved_diag(i)=1.0/this->operator()(i,i);
        j_min=std::max(0,i-this->num_lower());
        j_max=std::min(this->dim()-1,i+this->num_upper());
        for(int j=j_min; j<=j_max; j++) {
            this->operator()(i,j) *= this->saved_diag(i);
        }
        this->operator()(i,i)=1.0;          // prevents rounding errors
    }
 
    // Gauss LR-Decomposition
    for(int k=0; k<this->dim(); k++) {
        i_max=std::min(this->dim()-1,k+this->num_lower());  // num_lower not a mistake!
        for(int i=k+1; i<=i_max; i++) {
            assert(this->operator()(k,k)!=0.0);
            x=-this->operator()(i,k)/this->operator()(k,k);
            this->operator()(i,k)=-x;                         // assembly part of L
            j_max=std::min(this->dim()-1,k+this->num_upper());
            for(int j=k+1; j<=j_max; j++) {
                // assembly part of R
                this->operator()(i,j)=this->operator()(i,j)+x*this->operator()(k,j);
            }
        }
    }
}
// solves Ly=b
std::vector<double> band_matrix::l_solve(const std::vector<double>& b) const
{
    assert( this->dim()==(int)b.size() );
    std::vector<double> x(this->dim());
    int j_start;
    double sum;
    for(int i=0; i<this->dim(); i++) {
        sum=0;
        j_start=std::max(0,i-this->num_lower());
        for(int j=j_start; j<i; j++) sum += this->operator()(i,j)*x[j];
        x[i]=(b[i]*this->saved_diag(i)) - sum;
    }
    return x;
}
// solves Rx=y
std::vector<double> band_matrix::r_solve(const std::vector<double>& b) const
{
    assert( this->dim()==(int)b.size() );
    std::vector<double> x(this->dim());
    int j_stop;
    double sum;
    for(int i=this->dim()-1; i>=0; i--) {
        sum=0;
        j_stop=std::min(this->dim()-1,i+this->num_upper());
        for(int j=i+1; j<=j_stop; j++) sum += this->operator()(i,j)*x[j];
        x[i]=( b[i] - sum ) / this->operator()(i,i);
    }
    return x;
}
 
std::vector<double> band_matrix::lu_solve(const std::vector<double>& b,
        bool is_lu_decomposed)
{
    assert( this->dim()==(int)b.size() );
    std::vector<double>  x,y;
    if(is_lu_decomposed==false) {
        this->lu_decompose();
    }
    y=this->l_solve(b);
    x=this->r_solve(y);
    return x;
}
 
 
 
 
// spline implementation
// -----------------------
 
void spline::set_boundary(spline::bd_type left, double left_value,
                          spline::bd_type right, double right_value,
                          bool force_linear_extrapolation)
{
    assert(m_x.size()==0);          // set_points() must not have happened yet
    m_left=left;
    m_right=right;
    m_left_value=left_value;
    m_right_value=right_value;
    m_force_linear_extrapolation=force_linear_extrapolation;
}
 
 
void spline::set_points(const std::vector<double>& x,
                        const std::vector<double>& y, bool cubic_spline)
{
    assert(x.size()==y.size());
    assert(x.size()>2);
    m_x=x;
    m_y=y;
    int   n=x.size();
    // TODO: maybe sort x and y, rather than returning an error
    for(int i=0; i<n-1; i++) {
        assert(m_x[i]<m_x[i+1]);
    }
 
    if(cubic_spline==true) { // cubic spline interpolation
        // setting up the matrix and right hand side of the equation system
        // for the parameters b[]
        band_matrix A(n,1,1);
        std::vector<double>  rhs(n);
        for(int i=1; i<n-1; i++) {
            A(i,i-1)=1.0/3.0*(x[i]-x[i-1]);
            A(i,i)=2.0/3.0*(x[i+1]-x[i-1]);
            A(i,i+1)=1.0/3.0*(x[i+1]-x[i]);
            rhs[i]=(y[i+1]-y[i])/(x[i+1]-x[i]) - (y[i]-y[i-1])/(x[i]-x[i-1]);
        }
        // boundary conditions
        if(m_left == spline::second_deriv) {
            // 2*b[0] = f''
            A(0,0)=2.0;
            A(0,1)=0.0;
            rhs[0]=m_left_value;
        } else if(m_left == spline::first_deriv) {
            // c[0] = f', needs to be re-expressed in terms of b:
            // (2b[0]+b[1])(x[1]-x[0]) = 3 ((y[1]-y[0])/(x[1]-x[0]) - f')
            A(0,0)=2.0*(x[1]-x[0]);
            A(0,1)=1.0*(x[1]-x[0]);
            rhs[0]=3.0*((y[1]-y[0])/(x[1]-x[0])-m_left_value);
        } else {
            assert(false);
        }
        if(m_right == spline::second_deriv) {
            // 2*b[n-1] = f''
            A(n-1,n-1)=2.0;
            A(n-1,n-2)=0.0;
            rhs[n-1]=m_right_value;
        } else if(m_right == spline::first_deriv) {
            // c[n-1] = f', needs to be re-expressed in terms of b:
            // (b[n-2]+2b[n-1])(x[n-1]-x[n-2])
            // = 3 (f' - (y[n-1]-y[n-2])/(x[n-1]-x[n-2]))
            A(n-1,n-1)=2.0*(x[n-1]-x[n-2]);
            A(n-1,n-2)=1.0*(x[n-1]-x[n-2]);
            rhs[n-1]=3.0*(m_right_value-(y[n-1]-y[n-2])/(x[n-1]-x[n-2]));
        } else {
            assert(false);
        }
 
        // solve the equation system to obtain the parameters b[]
        m_b=A.lu_solve(rhs);
 
        // calculate parameters a[] and c[] based on b[]
        m_a.resize(n);
        m_c.resize(n);
        for(int i=0; i<n-1; i++) {
            m_a[i]=1.0/3.0*(m_b[i+1]-m_b[i])/(x[i+1]-x[i]);
            m_c[i]=(y[i+1]-y[i])/(x[i+1]-x[i])
                   - 1.0/3.0*(2.0*m_b[i]+m_b[i+1])*(x[i+1]-x[i]);
        }
    } else { // linear interpolation
        m_a.resize(n);
        m_b.resize(n);
        m_c.resize(n);
        for(int i=0; i<n-1; i++) {
            m_a[i]=0.0;
            m_b[i]=0.0;
            m_c[i]=(m_y[i+1]-m_y[i])/(m_x[i+1]-m_x[i]);
        }
    }
 
    // for left extrapolation coefficients
    m_b0 = (m_force_linear_extrapolation==false) ? m_b[0] : 0.0;
    m_c0 = m_c[0];
 
    // for the right extrapolation coefficients
    // f_{n-1}(x) = b*(x-x_{n-1})^2 + c*(x-x_{n-1}) + y_{n-1}
    double h=x[n-1]-x[n-2];
    // m_b[n-1] is determined by the boundary condition
    m_a[n-1]=0.0;
    m_c[n-1]=3.0*m_a[n-2]*h*h+2.0*m_b[n-2]*h+m_c[n-2];   // = f'_{n-2}(x_{n-1})
    if(m_force_linear_extrapolation==true)
        m_b[n-1]=0.0;
}
 
double spline::operator() (double x) const
{
    size_t n=m_x.size();
    // find the closest point m_x[idx] < x, idx=0 even if x<m_x[0]
    std::vector<double>::const_iterator it;
    it=std::lower_bound(m_x.begin(),m_x.end(),x);
    int idx=std::max( int(it-m_x.begin())-1, 0);
 
    double h=x-m_x[idx];
    double interpol;
    if(x<m_x[0]) {
        // extrapolation to the left
        interpol=(m_b0*h + m_c0)*h + m_y[0];
    } else if(x>m_x[n-1]) {
        // extrapolation to the right
        interpol=(m_b[n-1]*h + m_c[n-1])*h + m_y[n-1];
    } else {
        // interpolation
        interpol=((m_a[idx]*h + m_b[idx])*h + m_c[idx])*h + m_y[idx];
    }
    return interpol;
}
 
 
} // namespace tk
 
 
} // namespace
 
#endif /* TK_SPLINE_H */