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   Permission is granted to copy, distribute and/or modify this document
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   (a) The Back-Cover Text is: "You have the freedom to copy and modify
this GNU Manual."


File: gsl-ref.info,  Node: Combination Examples,  Next: Combination References and Further Reading,  Prev: Reading and writing combinations,  Up: Combinations

10.7 Examples
=============

The example program below prints all subsets of the set {0,1,2,3}
ordered by size.  Subsets of the same size are ordered
lexicographically.

     #include <stdio.h>
     #include <gsl/gsl_combination.h>

     int
     main (void)
     {
       gsl_combination * c;
       size_t i;

       printf ("All subsets of {0,1,2,3} by size:\n") ;
       for (i = 0; i <= 4; i++)
         {
           c = gsl_combination_calloc (4, i);
           do
             {
               printf ("{");
               gsl_combination_fprintf (stdout, c, " %u");
               printf (" }\n");
             }
           while (gsl_combination_next (c) == GSL_SUCCESS);
           gsl_combination_free (c);
         }

       return 0;
     }

Here is the output from the program,

     $ ./a.out
     All subsets of {0,1,2,3} by size:
     { }
     { 0 }
     { 1 }
     { 2 }
     { 3 }
     { 0 1 }
     { 0 2 }
     { 0 3 }
     { 1 2 }
     { 1 3 }
     { 2 3 }
     { 0 1 2 }
     { 0 1 3 }
     { 0 2 3 }
     { 1 2 3 }
     { 0 1 2 3 }

All 16 subsets are generated, and the subsets of each size are sorted
lexicographically.


File: gsl-ref.info,  Node: Combination References and Further Reading,  Prev: Combination Examples,  Up: Combinations

10.8 References and Further Reading
===================================

Further information on combinations can be found in,

     Donald L. Kreher, Douglas R. Stinson, `Combinatorial Algorithms:
     Generation, Enumeration and Search', 1998, CRC Press LLC, ISBN
     084933988X



File: gsl-ref.info,  Node: Multisets,  Next: Sorting,  Prev: Combinations,  Up: Top

11 Multisets
************

This chapter describes functions for creating and manipulating
multisets. A multiset c is represented by an array of k integers in the
range 0 to n-1, where each value c_i may occur more than once.  The
multiset c corresponds to indices of k elements chosen from an n
element vector with replacement.  In mathematical terms, n is the
cardinality of the multiset while k is the maximum multiplicity of any
value.  Multisets are useful, for example, when iterating over the
indices of a k-th order symmetric tensor in n-space.

   The functions described in this chapter are defined in the header
file `gsl_multiset.h'.

* Menu:

* The Multiset struct::
* Multiset allocation::
* Accessing multiset elements::
* Multiset properties::
* Multiset functions::
* Reading and writing multisets::
* Multiset Examples::


File: gsl-ref.info,  Node: The Multiset struct,  Next: Multiset allocation,  Up: Multisets

11.1 The Multiset struct
========================

A multiset is defined by a structure containing three components, the
values of n and k, and a pointer to the multiset array.  The elements
of the multiset array are all of type `size_t', and are stored in
increasing order.  The `gsl_multiset' structure looks like this,

     typedef struct
     {
       size_t n;
       size_t k;
       size_t *data;
     } gsl_multiset;



File: gsl-ref.info,  Node: Multiset allocation,  Next: Accessing multiset elements,  Prev: The Multiset struct,  Up: Multisets

11.2 Multiset allocation
========================

 -- Function: gsl_multiset * gsl_multiset_alloc (size_t N, size_t K)
     This function allocates memory for a new multiset with parameters
     N, K.  The multiset is not initialized and its elements are
     undefined.  Use the function `gsl_multiset_calloc' if you want to
     create a multiset which is initialized to the lexicographically
     first multiset element. A null pointer is returned if insufficient
     memory is available to create the multiset.

 -- Function: gsl_multiset * gsl_multiset_calloc (size_t N, size_t K)
     This function allocates memory for a new multiset with parameters
     N, K and initializes it to the lexicographically first multiset
     element. A null pointer is returned if insufficient memory is
     available to create the multiset.

 -- Function: void gsl_multiset_init_first (gsl_multiset * C)
     This function initializes the multiset C to the lexicographically
     first multiset element, i.e. 0 repeated k times.

 -- Function: void gsl_multiset_init_last (gsl_multiset * C)
     This function initializes the multiset C to the lexicographically
     last multiset element, i.e. n-1 repeated k times.

 -- Function: void gsl_multiset_free (gsl_multiset * C)
     This function frees all the memory used by the multiset C.

 -- Function: int gsl_multiset_memcpy (gsl_multiset * DEST, const
          gsl_multiset * SRC)
     This function copies the elements of the multiset SRC into the
     multiset DEST.  The two multisets must have the same size.


File: gsl-ref.info,  Node: Accessing multiset elements,  Next: Multiset properties,  Prev: Multiset allocation,  Up: Multisets

11.3 Accessing multiset elements
================================

The following function can be used to access the elements of a multiset.

 -- Function: size_t gsl_multiset_get (const gsl_multiset * C, const
          size_t I)
     This function returns the value of the I-th element of the
     multiset C.  If I lies outside the allowed range of 0 to K-1 then
     the error handler is invoked and 0 is returned.  An inline version
     of this function is used when `HAVE_INLINE' is defined.


File: gsl-ref.info,  Node: Multiset properties,  Next: Multiset functions,  Prev: Accessing multiset elements,  Up: Multisets

11.4 Multiset properties
========================

 -- Function: size_t gsl_multiset_n (const gsl_multiset * C)
     This function returns the range (n) of the multiset C.

 -- Function: size_t gsl_multiset_k (const gsl_multiset * C)
     This function returns the number of elements (k) in the multiset C.

 -- Function: size_t * gsl_multiset_data (const gsl_multiset * C)
     This function returns a pointer to the array of elements in the
     multiset C.

 -- Function: int gsl_multiset_valid (gsl_multiset * C)
     This function checks that the multiset C is valid.  The K elements
     should lie in the range 0 to N-1, with each value occurring in
     nondecreasing order.


File: gsl-ref.info,  Node: Multiset functions,  Next: Reading and writing multisets,  Prev: Multiset properties,  Up: Multisets

11.5 Multiset functions
=======================

 -- Function: int gsl_multiset_next (gsl_multiset * C)
     This function advances the multiset C to the next multiset element
     in lexicographic order and returns `GSL_SUCCESS'.  If no further
     multisets elements are available it returns `GSL_FAILURE' and
     leaves C unmodified.  Starting with the first multiset and
     repeatedly applying this function will iterate through all
     possible multisets of a given order.

 -- Function: int gsl_multiset_prev (gsl_multiset * C)
     This function steps backwards from the multiset C to the previous
     multiset element in lexicographic order, returning `GSL_SUCCESS'.
     If no previous multiset is available it returns `GSL_FAILURE' and
     leaves C unmodified.


File: gsl-ref.info,  Node: Reading and writing multisets,  Next: Multiset Examples,  Prev: Multiset functions,  Up: Multisets

11.6 Reading and writing multisets
==================================

The library provides functions for reading and writing multisets to a
file as binary data or formatted text.

 -- Function: int gsl_multiset_fwrite (FILE * STREAM, const
          gsl_multiset * C)
     This function writes the elements of the multiset C to the stream
     STREAM in binary format.  The function returns `GSL_EFAILED' if
     there was a problem writing to the file.  Since the data is
     written in the native binary format it may not be portable between
     different architectures.

 -- Function: int gsl_multiset_fread (FILE * STREAM, gsl_multiset * C)
     This function reads elements from the open stream STREAM into the
     multiset C in binary format.  The multiset C must be preallocated
     with correct values of n and k since the function uses the size of
     C to determine how many bytes to read.  The function returns
     `GSL_EFAILED' if there was a problem reading from the file.  The
     data is assumed to have been written in the native binary format
     on the same architecture.

 -- Function: int gsl_multiset_fprintf (FILE * STREAM, const
          gsl_multiset * C, const char * FORMAT)
     This function writes the elements of the multiset C line-by-line
     to the stream STREAM using the format specifier FORMAT, which
     should be suitable for a type of SIZE_T.  In ISO C99 the type
     modifier `z' represents `size_t', so `"%zu\n"' is a suitable
     format.(1)  The function returns `GSL_EFAILED' if there was a
     problem writing to the file.

 -- Function: int gsl_multiset_fscanf (FILE * STREAM, gsl_multiset * C)
     This function reads formatted data from the stream STREAM into the
     multiset C.  The multiset C must be preallocated with correct
     values of n and k since the function uses the size of C to
     determine how many numbers to read.  The function returns
     `GSL_EFAILED' if there was a problem reading from the file.

   ---------- Footnotes ----------

   (1) In versions of the GNU C library prior to the ISO C99 standard,
the type modifier `Z' was used instead.


File: gsl-ref.info,  Node: Multiset Examples,  Prev: Reading and writing multisets,  Up: Multisets

11.7 Examples
=============

The example program below prints all multisets elements containing the
values {0,1,2,3} ordered by size.  Multiset elements of the same size
are ordered lexicographically.

     #include <stdio.h>
     #include <gsl/gsl_multiset.h>

     int
     main (void)
     {
       gsl_multiset * c;
       size_t i;

       printf ("All multisets of {0,1,2,3} by size:\n") ;
       for (i = 0; i <= 4; i++)
         {
           c = gsl_multiset_calloc (4, i);
           do
             {
               printf ("{");
               gsl_multiset_fprintf (stdout, c, " %u");
               printf (" }\n");
             }
           while (gsl_multiset_next (c) == GSL_SUCCESS);
           gsl_multiset_free (c);
         }

       return 0;
     }

Here is the output from the program,

     $ ./a.out
     all multisets of {0,1,2,3} by size:
     { }
     { 0 }
     { 1 }
     { 2 }
     { 3 }
     { 0 0 }
     { 0 1 }
     { 0 2 }
     { 0 3 }
     { 1 1 }
     { 1 2 }
     { 1 3 }
     { 2 2 }
     { 2 3 }
     { 3 3 }
     { 0 0 0 }
     { 0 0 1 }
     { 0 0 2 }
     { 0 0 3 }
     { 0 1 1 }
     { 0 1 2 }
     { 0 1 3 }
     { 0 2 2 }
     { 0 2 3 }
     { 0 3 3 }
     { 1 1 1 }
     { 1 1 2 }
     { 1 1 3 }
     { 1 2 2 }
     { 1 2 3 }
     { 1 3 3 }
     { 2 2 2 }
     { 2 2 3 }
     { 2 3 3 }
     { 3 3 3 }
     { 0 0 0 0 }
     { 0 0 0 1 }
     { 0 0 0 2 }
     { 0 0 0 3 }
     { 0 0 1 1 }
     { 0 0 1 2 }
     { 0 0 1 3 }
     { 0 0 2 2 }
     { 0 0 2 3 }
     { 0 0 3 3 }
     { 0 1 1 1 }
     { 0 1 1 2 }
     { 0 1 1 3 }
     { 0 1 2 2 }
     { 0 1 2 3 }
     { 0 1 3 3 }
     { 0 2 2 2 }
     { 0 2 2 3 }
     { 0 2 3 3 }
     { 0 3 3 3 }
     { 1 1 1 1 }
     { 1 1 1 2 }
     { 1 1 1 3 }
     { 1 1 2 2 }
     { 1 1 2 3 }
     { 1 1 3 3 }
     { 1 2 2 2 }
     { 1 2 2 3 }
     { 1 2 3 3 }
     { 1 3 3 3 }
     { 2 2 2 2 }
     { 2 2 2 3 }
     { 2 2 3 3 }
     { 2 3 3 3 }
     { 3 3 3 3 }

All 70 multisets are generated and sorted lexicographically.


File: gsl-ref.info,  Node: Sorting,  Next: BLAS Support,  Prev: Multisets,  Up: Top

12 Sorting
**********

This chapter describes functions for sorting data, both directly and
indirectly (using an index).  All the functions use the "heapsort"
algorithm.  Heapsort is an O(N \log N) algorithm which operates
in-place and does not require any additional storage.  It also provides
consistent performance, the running time for its worst-case (ordered
data) being not significantly longer than the average and best cases.
Note that the heapsort algorithm does not preserve the relative ordering
of equal elements--it is an "unstable" sort.  However the resulting
order of equal elements will be consistent across different platforms
when using these functions.

* Menu:

* Sorting objects::
* Sorting vectors::
* Selecting the k smallest or largest elements::
* Computing the rank::
* Sorting Examples::
* Sorting References and Further Reading::


File: gsl-ref.info,  Node: Sorting objects,  Next: Sorting vectors,  Up: Sorting

12.1 Sorting objects
====================

The following function provides a simple alternative to the standard
library function `qsort'.  It is intended for systems lacking `qsort',
not as a replacement for it.  The function `qsort' should be used
whenever possible, as it will be faster and can provide stable ordering
of equal elements.  Documentation for `qsort' is available in the `GNU
C Library Reference Manual'.

   The functions described in this section are defined in the header
file `gsl_heapsort.h'.

 -- Function: void gsl_heapsort (void * ARRAY, size_t COUNT, size_t
          SIZE, gsl_comparison_fn_t COMPARE)
     This function sorts the COUNT elements of the array ARRAY, each of
     size SIZE, into ascending order using the comparison function
     COMPARE.  The type of the comparison function is defined by,

          int (*gsl_comparison_fn_t) (const void * a,
                                      const void * b)

     A comparison function should return a negative integer if the first
     argument is less than the second argument, `0' if the two arguments
     are equal and a positive integer if the first argument is greater
     than the second argument.

     For example, the following function can be used to sort doubles
     into ascending numerical order.

          int
          compare_doubles (const double * a,
                           const double * b)
          {
              if (*a > *b)
                 return 1;
              else if (*a < *b)
                 return -1;
              else
                 return 0;
          }

     The appropriate function call to perform the sort is,

          gsl_heapsort (array, count, sizeof(double),
                        compare_doubles);

     Note that unlike `qsort' the heapsort algorithm cannot be made into
     a stable sort by pointer arithmetic.  The trick of comparing
     pointers for equal elements in the comparison function does not
     work for the heapsort algorithm.  The heapsort algorithm performs
     an internal rearrangement of the data which destroys its initial
     ordering.

 -- Function: int gsl_heapsort_index (size_t * P, const void * ARRAY,
          size_t COUNT, size_t SIZE, gsl_comparison_fn_t COMPARE)
     This function indirectly sorts the COUNT elements of the array
     ARRAY, each of size SIZE, into ascending order using the
     comparison function COMPARE.  The resulting permutation is stored
     in P, an array of length N.  The elements of P give the index of
     the array element which would have been stored in that position if
     the array had been sorted in place.  The first element of P gives
     the index of the least element in ARRAY, and the last element of P
     gives the index of the greatest element in ARRAY.  The array
     itself is not changed.


File: gsl-ref.info,  Node: Sorting vectors,  Next: Selecting the k smallest or largest elements,  Prev: Sorting objects,  Up: Sorting

12.2 Sorting vectors
====================

The following functions will sort the elements of an array or vector,
either directly or indirectly.  They are defined for all real and
integer types using the normal suffix rules.  For example, the `float'
versions of the array functions are `gsl_sort_float' and
`gsl_sort_float_index'.  The corresponding vector functions are
`gsl_sort_vector_float' and `gsl_sort_vector_float_index'.  The
prototypes are available in the header files `gsl_sort_float.h'
`gsl_sort_vector_float.h'.  The complete set of prototypes can be
included using the header files `gsl_sort.h' and `gsl_sort_vector.h'.

   There are no functions for sorting complex arrays or vectors, since
the ordering of complex numbers is not uniquely defined.  To sort a
complex vector by magnitude compute a real vector containing the
magnitudes of the complex elements, and sort this vector indirectly.
The resulting index gives the appropriate ordering of the original
complex vector.

 -- Function: void gsl_sort (double * DATA, size_t STRIDE, size_t N)
     This function sorts the N elements of the array DATA with stride
     STRIDE into ascending numerical order.

 -- Function: void gsl_sort_vector (gsl_vector * V)
     This function sorts the elements of the vector V into ascending
     numerical order.

 -- Function: void gsl_sort_index (size_t * P, const double * DATA,
          size_t STRIDE, size_t N)
     This function indirectly sorts the N elements of the array DATA
     with stride STRIDE into ascending order, storing the resulting
     permutation in P.  The array P must be allocated with a sufficient
     length to store the N elements of the permutation.  The elements
     of P give the index of the array element which would have been
     stored in that position if the array had been sorted in place.
     The array DATA is not changed.

 -- Function: int gsl_sort_vector_index (gsl_permutation * P, const
          gsl_vector * V)
     This function indirectly sorts the elements of the vector V into
     ascending order, storing the resulting permutation in P.  The
     elements of P give the index of the vector element which would
     have been stored in that position if the vector had been sorted in
     place.  The first element of P gives the index of the least element
     in V, and the last element of P gives the index of the greatest
     element in V.  The vector V is not changed.


File: gsl-ref.info,  Node: Selecting the k smallest or largest elements,  Next: Computing the rank,  Prev: Sorting vectors,  Up: Sorting

12.3 Selecting the k smallest or largest elements
=================================================

The functions described in this section select the k smallest or
largest elements of a data set of size N.  The routines use an O(kN)
direct insertion algorithm which is suited to subsets that are small
compared with the total size of the dataset. For example, the routines
are useful for selecting the 10 largest values from one million data
points, but not for selecting the largest 100,000 values.  If the
subset is a significant part of the total dataset it may be faster to
sort all the elements of the dataset directly with an O(N \log N)
algorithm and obtain the smallest or largest values that way.

 -- Function: int gsl_sort_smallest (double * DEST, size_t K, const
          double * SRC, size_t STRIDE, size_t N)
     This function copies the K smallest elements of the array SRC, of
     size N and stride STRIDE, in ascending numerical order into the
     array DEST.  The size K of the subset must be less than or equal
     to N.  The data SRC is not modified by this operation.

 -- Function: int gsl_sort_largest (double * DEST, size_t K, const
          double * SRC, size_t STRIDE, size_t N)
     This function copies the K largest elements of the array SRC, of
     size N and stride STRIDE, in descending numerical order into the
     array DEST. K must be less than or equal to N. The data SRC is not
     modified by this operation.

 -- Function: int gsl_sort_vector_smallest (double * DEST, size_t K,
          const gsl_vector * V)
 -- Function: int gsl_sort_vector_largest (double * DEST, size_t K,
          const gsl_vector * V)
     These functions copy the K smallest or largest elements of the
     vector V into the array DEST. K must be less than or equal to the
     length of the vector V.

   The following functions find the indices of the k smallest or
largest elements of a dataset,

 -- Function: int gsl_sort_smallest_index (size_t * P, size_t K, const
          double * SRC, size_t STRIDE, size_t N)
     This function stores the indices of the K smallest elements of the
     array SRC, of size N and stride STRIDE, in the array P.  The
     indices are chosen so that the corresponding data is in ascending
     numerical order.  K must be less than or equal to N. The data SRC
     is not modified by this operation.

 -- Function: int gsl_sort_largest_index (size_t * P, size_t K, const
          double * SRC, size_t STRIDE, size_t N)
     This function stores the indices of the K largest elements of the
     array SRC, of size N and stride STRIDE, in the array P.  The
     indices are chosen so that the corresponding data is in descending
     numerical order.  K must be less than or equal to N. The data SRC
     is not modified by this operation.

 -- Function: int gsl_sort_vector_smallest_index (size_t * P, size_t K,
          const gsl_vector * V)
 -- Function: int gsl_sort_vector_largest_index (size_t * P, size_t K,
          const gsl_vector * V)
     These functions store the indices of the K smallest or largest
     elements of the vector V in the array P. K must be less than or
     equal to the length of the vector V.


File: gsl-ref.info,  Node: Computing the rank,  Next: Sorting Examples,  Prev: Selecting the k smallest or largest elements,  Up: Sorting

12.4 Computing the rank
=======================

The "rank" of an element is its order in the sorted data.  The rank is
the inverse of the index permutation, P.  It can be computed using the
following algorithm,

     for (i = 0; i < p->size; i++)
     {
         size_t pi = p->data[i];
         rank->data[pi] = i;
     }

This can be computed directly from the function
`gsl_permutation_inverse(rank,p)'.

   The following function will print the rank of each element of the
vector V,

     void
     print_rank (gsl_vector * v)
     {
       size_t i;
       size_t n = v->size;
       gsl_permutation * perm = gsl_permutation_alloc(n);
       gsl_permutation * rank = gsl_permutation_alloc(n);

       gsl_sort_vector_index (perm, v);
       gsl_permutation_inverse (rank, perm);

       for (i = 0; i < n; i++)
        {
         double vi = gsl_vector_get(v, i);
         printf ("element = %d, value = %g, rank = %d\n",
                  i, vi, rank->data[i]);
        }

       gsl_permutation_free (perm);
       gsl_permutation_free (rank);
     }


File: gsl-ref.info,  Node: Sorting Examples,  Next: Sorting References and Further Reading,  Prev: Computing the rank,  Up: Sorting

12.5 Examples
=============

The following example shows how to use the permutation P to print the
elements of the vector V in ascending order,

     gsl_sort_vector_index (p, v);

     for (i = 0; i < v->size; i++)
     {
         double vpi = gsl_vector_get (v, p->data[i]);
         printf ("order = %d, value = %g\n", i, vpi);
     }

The next example uses the function `gsl_sort_smallest' to select the 5
smallest numbers from 100000 uniform random variates stored in an array,

     #include <gsl/gsl_rng.h>
     #include <gsl/gsl_sort_double.h>

     int
     main (void)
     {
       const gsl_rng_type * T;
       gsl_rng * r;

       size_t i, k = 5, N = 100000;

       double * x = malloc (N * sizeof(double));
       double * small = malloc (k * sizeof(double));

       gsl_rng_env_setup();

       T = gsl_rng_default;
       r = gsl_rng_alloc (T);

       for (i = 0; i < N; i++)
         {
           x[i] = gsl_rng_uniform(r);
         }

       gsl_sort_smallest (small, k, x, 1, N);

       printf ("%d smallest values from %d\n", k, N);

       for (i = 0; i < k; i++)
         {
           printf ("%d: %.18f\n", i, small[i]);
         }

       free (x);
       free (small);
       gsl_rng_free (r);
       return 0;
     }
   The output lists the 5 smallest values, in ascending order,

     $ ./a.out
     5 smallest values from 100000
     0: 0.000003489200025797
     1: 0.000008199829608202
     2: 0.000008953968062997
     3: 0.000010712770745158
     4: 0.000033531803637743


File: gsl-ref.info,  Node: Sorting References and Further Reading,  Prev: Sorting Examples,  Up: Sorting

12.6 References and Further Reading
===================================

The subject of sorting is covered extensively in Knuth's `Sorting and
Searching',

     Donald E. Knuth, `The Art of Computer Programming: Sorting and
     Searching' (Vol 3, 3rd Ed, 1997), Addison-Wesley, ISBN 0201896850.

The Heapsort algorithm is described in the following book,

     Robert Sedgewick, `Algorithms in C', Addison-Wesley, ISBN
     0201514257.


File: gsl-ref.info,  Node: BLAS Support,  Next: Linear Algebra,  Prev: Sorting,  Up: Top

13 BLAS Support
***************

The Basic Linear Algebra Subprograms (BLAS) define a set of fundamental
operations on vectors and matrices which can be used to create optimized
higher-level linear algebra functionality.

   The library provides a low-level layer which corresponds directly to
the C-language BLAS standard, referred to here as "CBLAS", and a
higher-level interface for operations on GSL vectors and matrices.
Users who are interested in simple operations on GSL vector and matrix
objects should use the high-level layer described in this chapter.  The
functions are declared in the file `gsl_blas.h' and should satisfy the
needs of most users.

   Note that GSL matrices are implemented using dense-storage so the
interface only includes the corresponding dense-storage BLAS functions.
The full BLAS functionality for band-format and packed-format matrices
is available through the low-level CBLAS interface.  Similarly, GSL
vectors are restricted to positive strides, whereas the low-level CBLAS
interface supports negative strides as specified in the BLAS
standard.(1)

   The interface for the `gsl_cblas' layer is specified in the file
`gsl_cblas.h'.  This interface corresponds to the BLAS Technical
Forum's standard for the C interface to legacy BLAS implementations.
Users who have access to other conforming CBLAS implementations can use
these in place of the version provided by the library.  Note that users
who have only a Fortran BLAS library can use a CBLAS conformant wrapper
to convert it into a CBLAS library.  A reference CBLAS wrapper for
legacy Fortran implementations exists as part of the CBLAS standard and
can be obtained from Netlib.  The complete set of CBLAS functions is
listed in an appendix (*note GSL CBLAS Library::).

   There are three levels of BLAS operations,

Level 1
     Vector operations, e.g. y = \alpha x + y

Level 2
     Matrix-vector operations, e.g. y = \alpha A x + \beta y

Level 3
     Matrix-matrix operations, e.g. C = \alpha A B + C

Each routine has a name which specifies the operation, the type of
matrices involved and their precisions.  Some of the most common
operations and their names are given below,

DOT
     scalar product, x^T y

AXPY
     vector sum, \alpha x + y

MV
     matrix-vector product, A x

SV
     matrix-vector solve, inv(A) x

MM
     matrix-matrix product, A B

SM
     matrix-matrix solve, inv(A) B

The types of matrices are,

GE
     general

GB
     general band

SY
     symmetric

SB
     symmetric band

SP
     symmetric packed

HE
     hermitian

HB
     hermitian band

HP
     hermitian packed

TR
     triangular

TB
     triangular band

TP
     triangular packed

Each operation is defined for four precisions,

S
     single real

D
     double real

C
     single complex

Z
     double complex

Thus, for example, the name SGEMM stands for "single-precision general
matrix-matrix multiply" and ZGEMM stands for "double-precision complex
matrix-matrix multiply".

   Note that the vector and matrix arguments to BLAS functions must not
be aliased, as the results are undefined when the underlying arrays
overlap (*note Aliasing of arrays::).

* Menu:

* GSL BLAS Interface::
* BLAS Examples::
* BLAS References and Further Reading::

   ---------- Footnotes ----------

   (1) In the low-level CBLAS interface, a negative stride accesses the
vector elements in reverse order, i.e. the i-th element is given by
(N-i)*|incx| for incx < 0.


File: gsl-ref.info,  Node: GSL BLAS Interface,  Next: BLAS Examples,  Up: BLAS Support

13.1 GSL BLAS Interface
=======================

GSL provides dense vector and matrix objects, based on the relevant
built-in types.  The library provides an interface to the BLAS
operations which apply to these objects.  The interface to this
functionality is given in the file `gsl_blas.h'.

* Menu:

* Level 1 GSL BLAS Interface::
* Level 2 GSL BLAS Interface::
* Level 3 GSL BLAS Interface::


File: gsl-ref.info,  Node: Level 1 GSL BLAS Interface,  Next: Level 2 GSL BLAS Interface,  Up: GSL BLAS Interface

13.1.1 Level 1
--------------

 -- Function: int gsl_blas_sdsdot (float ALPHA, const gsl_vector_float
          * X, const gsl_vector_float * Y, float * RESULT)
     This function computes the sum \alpha + x^T y for the vectors X
     and Y, returning the result in RESULT.

 -- Function: int gsl_blas_sdot (const gsl_vector_float * X, const
          gsl_vector_float * Y, float * RESULT)
 -- Function: int gsl_blas_dsdot (const gsl_vector_float * X, const
          gsl_vector_float * Y, double * RESULT)
 -- Function: int gsl_blas_ddot (const gsl_vector * X, const gsl_vector
          * Y, double * RESULT)
     These functions compute the scalar product x^T y for the vectors X
     and Y, returning the result in RESULT.

 -- Function: int gsl_blas_cdotu (const gsl_vector_complex_float * X,
          const gsl_vector_complex_float * Y, gsl_complex_float * DOTU)
 -- Function: int gsl_blas_zdotu (const gsl_vector_complex * X, const
          gsl_vector_complex * Y, gsl_complex * DOTU)
     These functions compute the complex scalar product x^T y for the
     vectors X and Y, returning the result in DOTU

 -- Function: int gsl_blas_cdotc (const gsl_vector_complex_float * X,
          const gsl_vector_complex_float * Y, gsl_complex_float * DOTC)
 -- Function: int gsl_blas_zdotc (const gsl_vector_complex * X, const
          gsl_vector_complex * Y, gsl_complex * DOTC)
     These functions compute the complex conjugate scalar product x^H y
     for the vectors X and Y, returning the result in DOTC

 -- Function: float gsl_blas_snrm2 (const gsl_vector_float * X)
 -- Function: double gsl_blas_dnrm2 (const gsl_vector * X)
     These functions compute the Euclidean norm ||x||_2 = \sqrt {\sum
     x_i^2} of the vector X.

 -- Function: float gsl_blas_scnrm2 (const gsl_vector_complex_float * X)
 -- Function: double gsl_blas_dznrm2 (const gsl_vector_complex * X)
     These functions compute the Euclidean norm of the complex vector X,

          ||x||_2 = \sqrt {\sum (\Re(x_i)^2 + \Im(x_i)^2)}.

 -- Function: float gsl_blas_sasum (const gsl_vector_float * X)
 -- Function: double gsl_blas_dasum (const gsl_vector * X)
     These functions compute the absolute sum \sum |x_i| of the
     elements of the vector X.

 -- Function: float gsl_blas_scasum (const gsl_vector_complex_float * X)
 -- Function: double gsl_blas_dzasum (const gsl_vector_complex * X)
     These functions compute the sum of the magnitudes of the real and
     imaginary parts of the complex vector X, \sum |\Re(x_i)| +
     |\Im(x_i)|.

 -- Function: CBLAS_INDEX_t gsl_blas_isamax (const gsl_vector_float * X)
 -- Function: CBLAS_INDEX_t gsl_blas_idamax (const gsl_vector * X)
 -- Function: CBLAS_INDEX_t gsl_blas_icamax (const
          gsl_vector_complex_float * X)
 -- Function: CBLAS_INDEX_t gsl_blas_izamax (const gsl_vector_complex *
          X)
     These functions return the index of the largest element of the
     vector X. The largest element is determined by its absolute
     magnitude for real vectors and by the sum of the magnitudes of the
     real and imaginary parts |\Re(x_i)| + |\Im(x_i)| for complex
     vectors.  If the largest value occurs several times then the index
     of the first occurrence is returned.

 -- Function: int gsl_blas_sswap (gsl_vector_float * X,
          gsl_vector_float * Y)
 -- Function: int gsl_blas_dswap (gsl_vector * X, gsl_vector * Y)
 -- Function: int gsl_blas_cswap (gsl_vector_complex_float * X,
          gsl_vector_complex_float * Y)
 -- Function: int gsl_blas_zswap (gsl_vector_complex * X,
          gsl_vector_complex * Y)
     These functions exchange the elements of the vectors X and Y.

 -- Function: int gsl_blas_scopy (const gsl_vector_float * X,
          gsl_vector_float * Y)
 -- Function: int gsl_blas_dcopy (const gsl_vector * X, gsl_vector * Y)
 -- Function: int gsl_blas_ccopy (const gsl_vector_complex_float * X,
          gsl_vector_complex_float * Y)
 -- Function: int gsl_blas_zcopy (const gsl_vector_complex * X,
          gsl_vector_complex * Y)
     These functions copy the elements of the vector X into the vector
     Y.

 -- Function: int gsl_blas_saxpy (float ALPHA, const gsl_vector_float *
          X, gsl_vector_float * Y)
 -- Function: int gsl_blas_daxpy (double ALPHA, const gsl_vector * X,
          gsl_vector * Y)
 -- Function: int gsl_blas_caxpy (const gsl_complex_float ALPHA, const
          gsl_vector_complex_float * X, gsl_vector_complex_float * Y)
 -- Function: int gsl_blas_zaxpy (const gsl_complex ALPHA, const
          gsl_vector_complex * X, gsl_vector_complex * Y)
     These functions compute the sum y = \alpha x + y for the vectors X
     and Y.

 -- Function: void gsl_blas_sscal (float ALPHA, gsl_vector_float * X)
 -- Function: void gsl_blas_dscal (double ALPHA, gsl_vector * X)
 -- Function: void gsl_blas_cscal (const gsl_complex_float ALPHA,
          gsl_vector_complex_float * X)
 -- Function: void gsl_blas_zscal (const gsl_complex ALPHA,
          gsl_vector_complex * X)
 -- Function: void gsl_blas_csscal (float ALPHA,
          gsl_vector_complex_float * X)
 -- Function: void gsl_blas_zdscal (double ALPHA, gsl_vector_complex *
          X)
     These functions rescale the vector X by the multiplicative factor
     ALPHA.

 -- Function: int gsl_blas_srotg (float A[], float B[], float C[],
          float S[])
 -- Function: int gsl_blas_drotg (double A[], double B[], double C[],
          double S[])
     These functions compute a Givens rotation (c,s) which zeroes the
     vector (a,b),

          [  c  s ] [ a ] = [ r ]
          [ -s  c ] [ b ]   [ 0 ]

     The variables A and B are overwritten by the routine.

 -- Function: int gsl_blas_srot (gsl_vector_float * X, gsl_vector_float
          * Y, float C, float S)
 -- Function: int gsl_blas_drot (gsl_vector * X, gsl_vector * Y, const
          double C, const double S)
     These functions apply a Givens rotation (x', y') = (c x + s y, -s
     x + c y) to the vectors X, Y.

 -- Function: int gsl_blas_srotmg (float D1[], float D2[], float B1[],
          float B2, float P[])
 -- Function: int gsl_blas_drotmg (double D1[], double D2[], double
          B1[], double B2, double P[])
     These functions compute a modified Givens transformation.  The
     modified Givens transformation is defined in the original Level-1
     BLAS specification, given in the references.

 -- Function: int gsl_blas_srotm (gsl_vector_float * X,
          gsl_vector_float * Y, const float P[])
 -- Function: int gsl_blas_drotm (gsl_vector * X, gsl_vector * Y, const
          double P[])
     These functions apply a modified Givens transformation.


File: gsl-ref.info,  Node: Level 2 GSL BLAS Interface,  Next: Level 3 GSL BLAS Interface,  Prev: Level 1 GSL BLAS Interface,  Up: GSL BLAS Interface

13.1.2 Level 2
--------------

 -- Function: int gsl_blas_sgemv (CBLAS_TRANSPOSE_t TRANSA, float
          ALPHA, const gsl_matrix_float * A, const gsl_vector_float *
          X, float BETA, gsl_vector_float * Y)
 -- Function: int gsl_blas_dgemv (CBLAS_TRANSPOSE_t TRANSA, double
          ALPHA, const gsl_matrix * A, const gsl_vector * X, double
          BETA, gsl_vector * Y)
 -- Function: int gsl_blas_cgemv (CBLAS_TRANSPOSE_t TRANSA, const
          gsl_complex_float ALPHA, const gsl_matrix_complex_float * A,
          const gsl_vector_complex_float * X, const gsl_complex_float
          BETA, gsl_vector_complex_float * Y)
 -- Function: int gsl_blas_zgemv (CBLAS_TRANSPOSE_t TRANSA, const
          gsl_complex ALPHA, const gsl_matrix_complex * A, const
          gsl_vector_complex * X, const gsl_complex BETA,
          gsl_vector_complex * Y)
     These functions compute the matrix-vector product and sum y =
     \alpha op(A) x + \beta y, where op(A) = A, A^T, A^H for TRANSA =
     `CblasNoTrans', `CblasTrans', `CblasConjTrans'.

 -- Function: int gsl_blas_strmv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix_float * A,
          gsl_vector_float * X)
 -- Function: int gsl_blas_dtrmv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix * A, gsl_vector *
          X)
 -- Function: int gsl_blas_ctrmv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix_complex_float *
          A, gsl_vector_complex_float * X)
 -- Function: int gsl_blas_ztrmv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix_complex * A,
          gsl_vector_complex * X)
     These functions compute the matrix-vector product x = op(A) x for
     the triangular matrix A, where op(A) = A, A^T, A^H for TRANSA =
     `CblasNoTrans', `CblasTrans', `CblasConjTrans'.  When UPLO is
     `CblasUpper' then the upper triangle of A is used, and when UPLO
     is `CblasLower' then the lower triangle of A is used.  If DIAG is
     `CblasNonUnit' then the diagonal of the matrix is used, but if
     DIAG is `CblasUnit' then the diagonal elements of the matrix A are
     taken as unity and are not referenced.

 -- Function: int gsl_blas_strsv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix_float * A,
          gsl_vector_float * X)
 -- Function: int gsl_blas_dtrsv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix * A, gsl_vector *
          X)
 -- Function: int gsl_blas_ctrsv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix_complex_float *
          A, gsl_vector_complex_float * X)
 -- Function: int gsl_blas_ztrsv (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANSA, CBLAS_DIAG_t DIAG, const gsl_matrix_complex * A,
          gsl_vector_complex * X)
     These functions compute inv(op(A)) x for X, where op(A) = A, A^T,
     A^H for TRANSA = `CblasNoTrans', `CblasTrans', `CblasConjTrans'.
     When UPLO is `CblasUpper' then the upper triangle of A is used,
     and when UPLO is `CblasLower' then the lower triangle of A is
     used.  If DIAG is `CblasNonUnit' then the diagonal of the matrix
     is used, but if DIAG is `CblasUnit' then the diagonal elements of
     the matrix A are taken as unity and are not referenced.

 -- Function: int gsl_blas_ssymv (CBLAS_UPLO_t UPLO, float ALPHA, const
          gsl_matrix_float * A, const gsl_vector_float * X, float BETA,
          gsl_vector_float * Y)
 -- Function: int gsl_blas_dsymv (CBLAS_UPLO_t UPLO, double ALPHA,
          const gsl_matrix * A, const gsl_vector * X, double BETA,
          gsl_vector * Y)
     These functions compute the matrix-vector product and sum y =
     \alpha A x + \beta y for the symmetric matrix A.  Since the matrix
     A is symmetric only its upper half or lower half need to be
     stored.  When UPLO is `CblasUpper' then the upper triangle and
     diagonal of A are used, and when UPLO is `CblasLower' then the
     lower triangle and diagonal of A are used.

 -- Function: int gsl_blas_chemv (CBLAS_UPLO_t UPLO, const
          gsl_complex_float ALPHA, const gsl_matrix_complex_float * A,
          const gsl_vector_complex_float * X, const gsl_complex_float
          BETA, gsl_vector_complex_float * Y)
 -- Function: int gsl_blas_zhemv (CBLAS_UPLO_t UPLO, const gsl_complex
          ALPHA, const gsl_matrix_complex * A, const gsl_vector_complex
          * X, const gsl_complex BETA, gsl_vector_complex * Y)
     These functions compute the matrix-vector product and sum y =
     \alpha A x + \beta y for the hermitian matrix A.  Since the matrix
     A is hermitian only its upper half or lower half need to be
     stored.  When UPLO is `CblasUpper' then the upper triangle and
     diagonal of A are used, and when UPLO is `CblasLower' then the
     lower triangle and diagonal of A are used.  The imaginary elements
     of the diagonal are automatically assumed to be zero and are not
     referenced.

 -- Function: int gsl_blas_sger (float ALPHA, const gsl_vector_float *
          X, const gsl_vector_float * Y, gsl_matrix_float * A)
 -- Function: int gsl_blas_dger (double ALPHA, const gsl_vector * X,
          const gsl_vector * Y, gsl_matrix * A)
 -- Function: int gsl_blas_cgeru (const gsl_complex_float ALPHA, const
          gsl_vector_complex_float * X, const gsl_vector_complex_float
          * Y, gsl_matrix_complex_float * A)
 -- Function: int gsl_blas_zgeru (const gsl_complex ALPHA, const
          gsl_vector_complex * X, const gsl_vector_complex * Y,
          gsl_matrix_complex * A)
     These functions compute the rank-1 update A = \alpha x y^T + A of
     the matrix A.

 -- Function: int gsl_blas_cgerc (const gsl_complex_float ALPHA, const
          gsl_vector_complex_float * X, const gsl_vector_complex_float
          * Y, gsl_matrix_complex_float * A)
 -- Function: int gsl_blas_zgerc (const gsl_complex ALPHA, const
          gsl_vector_complex * X, const gsl_vector_complex * Y,
          gsl_matrix_complex * A)
     These functions compute the conjugate rank-1 update A = \alpha x
     y^H + A of the matrix A.

 -- Function: int gsl_blas_ssyr (CBLAS_UPLO_t UPLO, float ALPHA, const
          gsl_vector_float * X, gsl_matrix_float * A)
 -- Function: int gsl_blas_dsyr (CBLAS_UPLO_t UPLO, double ALPHA, const
          gsl_vector * X, gsl_matrix * A)
     These functions compute the symmetric rank-1 update A = \alpha x
     x^T + A of the symmetric matrix A.  Since the matrix A is
     symmetric only its upper half or lower half need to be stored.
     When UPLO is `CblasUpper' then the upper triangle and diagonal of
     A are used, and when UPLO is `CblasLower' then the lower triangle
     and diagonal of A are used.

 -- Function: int gsl_blas_cher (CBLAS_UPLO_t UPLO, float ALPHA, const
          gsl_vector_complex_float * X, gsl_matrix_complex_float * A)
 -- Function: int gsl_blas_zher (CBLAS_UPLO_t UPLO, double ALPHA, const
          gsl_vector_complex * X, gsl_matrix_complex * A)
     These functions compute the hermitian rank-1 update A = \alpha x
     x^H + A of the hermitian matrix A.  Since the matrix A is
     hermitian only its upper half or lower half need to be stored.
     When UPLO is `CblasUpper' then the upper triangle and diagonal of
     A are used, and when UPLO is `CblasLower' then the lower triangle
     and diagonal of A are used.  The imaginary elements of the
     diagonal are automatically set to zero.

 -- Function: int gsl_blas_ssyr2 (CBLAS_UPLO_t UPLO, float ALPHA, const
          gsl_vector_float * X, const gsl_vector_float * Y,
          gsl_matrix_float * A)
 -- Function: int gsl_blas_dsyr2 (CBLAS_UPLO_t UPLO, double ALPHA,
          const gsl_vector * X, const gsl_vector * Y, gsl_matrix * A)
     These functions compute the symmetric rank-2 update A = \alpha x
     y^T + \alpha y x^T + A of the symmetric matrix A.  Since the
     matrix A is symmetric only its upper half or lower half need to be
     stored.  When UPLO is `CblasUpper' then the upper triangle and
     diagonal of A are used, and when UPLO is `CblasLower' then the
     lower triangle and diagonal of A are used.

 -- Function: int gsl_blas_cher2 (CBLAS_UPLO_t UPLO, const
          gsl_complex_float ALPHA, const gsl_vector_complex_float * X,
          const gsl_vector_complex_float * Y, gsl_matrix_complex_float
          * A)
 -- Function: int gsl_blas_zher2 (CBLAS_UPLO_t UPLO, const gsl_complex
          ALPHA, const gsl_vector_complex * X, const gsl_vector_complex
          * Y, gsl_matrix_complex * A)
     These functions compute the hermitian rank-2 update A = \alpha x
     y^H + \alpha^* y x^H + A of the hermitian matrix A.  Since the
     matrix A is hermitian only its upper half or lower half need to be
     stored.  When UPLO is `CblasUpper' then the upper triangle and
     diagonal of A are used, and when UPLO is `CblasLower' then the
     lower triangle and diagonal of A are used.  The imaginary elements
     of the diagonal are automatically set to zero.


File: gsl-ref.info,  Node: Level 3 GSL BLAS Interface,  Prev: Level 2 GSL BLAS Interface,  Up: GSL BLAS Interface

13.1.3 Level 3
--------------

 -- Function: int gsl_blas_sgemm (CBLAS_TRANSPOSE_t TRANSA,
          CBLAS_TRANSPOSE_t TRANSB, float ALPHA, const gsl_matrix_float
          * A, const gsl_matrix_float * B, float BETA, gsl_matrix_float
          * C)
 -- Function: int gsl_blas_dgemm (CBLAS_TRANSPOSE_t TRANSA,
          CBLAS_TRANSPOSE_t TRANSB, double ALPHA, const gsl_matrix * A,
          const gsl_matrix * B, double BETA, gsl_matrix * C)
 -- Function: int gsl_blas_cgemm (CBLAS_TRANSPOSE_t TRANSA,
          CBLAS_TRANSPOSE_t TRANSB, const gsl_complex_float ALPHA,
          const gsl_matrix_complex_float * A, const
          gsl_matrix_complex_float * B, const gsl_complex_float BETA,
          gsl_matrix_complex_float * C)
 -- Function: int gsl_blas_zgemm (CBLAS_TRANSPOSE_t TRANSA,
          CBLAS_TRANSPOSE_t TRANSB, const gsl_complex ALPHA, const
          gsl_matrix_complex * A, const gsl_matrix_complex * B, const
          gsl_complex BETA, gsl_matrix_complex * C)
     These functions compute the matrix-matrix product and sum C =
     \alpha op(A) op(B) + \beta C where op(A) = A, A^T, A^H for TRANSA
     = `CblasNoTrans', `CblasTrans', `CblasConjTrans' and similarly for
     the parameter TRANSB.

 -- Function: int gsl_blas_ssymm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          float ALPHA, const gsl_matrix_float * A, const
          gsl_matrix_float * B, float BETA, gsl_matrix_float * C)
 -- Function: int gsl_blas_dsymm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          double ALPHA, const gsl_matrix * A, const gsl_matrix * B,
          double BETA, gsl_matrix * C)
 -- Function: int gsl_blas_csymm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          const gsl_complex_float ALPHA, const gsl_matrix_complex_float
          * A, const gsl_matrix_complex_float * B, const
          gsl_complex_float BETA, gsl_matrix_complex_float * C)
 -- Function: int gsl_blas_zsymm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          const gsl_complex ALPHA, const gsl_matrix_complex * A, const
          gsl_matrix_complex * B, const gsl_complex BETA,
          gsl_matrix_complex * C)
     These functions compute the matrix-matrix product and sum C =
     \alpha A B + \beta C for SIDE is `CblasLeft' and C = \alpha B A +
     \beta C for SIDE is `CblasRight', where the matrix A is symmetric.
     When UPLO is `CblasUpper' then the upper triangle and diagonal of
     A are used, and when UPLO is `CblasLower' then the lower triangle
     and diagonal of A are used.

 -- Function: int gsl_blas_chemm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          const gsl_complex_float ALPHA, const gsl_matrix_complex_float
          * A, const gsl_matrix_complex_float * B, const
          gsl_complex_float BETA, gsl_matrix_complex_float * C)
 -- Function: int gsl_blas_zhemm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          const gsl_complex ALPHA, const gsl_matrix_complex * A, const
          gsl_matrix_complex * B, const gsl_complex BETA,
          gsl_matrix_complex * C)
     These functions compute the matrix-matrix product and sum C =
     \alpha A B + \beta C for SIDE is `CblasLeft' and C = \alpha B A +
     \beta C for SIDE is `CblasRight', where the matrix A is hermitian.
     When UPLO is `CblasUpper' then the upper triangle and diagonal of
     A are used, and when UPLO is `CblasLower' then the lower triangle
     and diagonal of A are used.  The imaginary elements of the
     diagonal are automatically set to zero.

 -- Function: int gsl_blas_strmm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, float ALPHA,
          const gsl_matrix_float * A, gsl_matrix_float * B)
 -- Function: int gsl_blas_dtrmm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, double ALPHA,
          const gsl_matrix * A, gsl_matrix * B)
 -- Function: int gsl_blas_ctrmm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, const
          gsl_complex_float ALPHA, const gsl_matrix_complex_float * A,
          gsl_matrix_complex_float * B)
 -- Function: int gsl_blas_ztrmm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, const
          gsl_complex ALPHA, const gsl_matrix_complex * A,
          gsl_matrix_complex * B)
     These functions compute the matrix-matrix product B = \alpha op(A)
     B for SIDE is `CblasLeft' and B = \alpha B op(A) for SIDE is
     `CblasRight'.  The matrix A is triangular and op(A) = A, A^T, A^H
     for TRANSA = `CblasNoTrans', `CblasTrans', `CblasConjTrans'. When
     UPLO is `CblasUpper' then the upper triangle of A is used, and
     when UPLO is `CblasLower' then the lower triangle of A is used.
     If DIAG is `CblasNonUnit' then the diagonal of A is used, but if
     DIAG is `CblasUnit' then the diagonal elements of the matrix A are
     taken as unity and are not referenced.

 -- Function: int gsl_blas_strsm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, float ALPHA,
          const gsl_matrix_float * A, gsl_matrix_float * B)
 -- Function: int gsl_blas_dtrsm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, double ALPHA,
          const gsl_matrix * A, gsl_matrix * B)
 -- Function: int gsl_blas_ctrsm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, const
          gsl_complex_float ALPHA, const gsl_matrix_complex_float * A,
          gsl_matrix_complex_float * B)
 -- Function: int gsl_blas_ztrsm (CBLAS_SIDE_t SIDE, CBLAS_UPLO_t UPLO,
          CBLAS_TRANSPOSE_t TRANSA, CBLAS_DIAG_t DIAG, const
          gsl_complex ALPHA, const gsl_matrix_complex * A,
          gsl_matrix_complex * B)
     These functions compute the inverse-matrix matrix product B =
     \alpha op(inv(A))B for SIDE is `CblasLeft' and B = \alpha B
     op(inv(A)) for SIDE is `CblasRight'.  The matrix A is triangular
     and op(A) = A, A^T, A^H for TRANSA = `CblasNoTrans', `CblasTrans',
     `CblasConjTrans'. When UPLO is `CblasUpper' then the upper
     triangle of A is used, and when UPLO is `CblasLower' then the
     lower triangle of A is used.  If DIAG is `CblasNonUnit' then the
     diagonal of A is used, but if DIAG is `CblasUnit' then the
     diagonal elements of the matrix A are taken as unity and are not
     referenced.

 -- Function: int gsl_blas_ssyrk (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, float ALPHA, const gsl_matrix_float * A, float BETA,
          gsl_matrix_float * C)
 -- Function: int gsl_blas_dsyrk (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, double ALPHA, const gsl_matrix * A, double BETA,
          gsl_matrix * C)
 -- Function: int gsl_blas_csyrk (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, const gsl_complex_float ALPHA, const
          gsl_matrix_complex_float * A, const gsl_complex_float BETA,
          gsl_matrix_complex_float * C)
 -- Function: int gsl_blas_zsyrk (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, const gsl_complex ALPHA, const gsl_matrix_complex * A,
          const gsl_complex BETA, gsl_matrix_complex * C)
     These functions compute a rank-k update of the symmetric matrix C,
     C = \alpha A A^T + \beta C when TRANS is `CblasNoTrans' and C =
     \alpha A^T A + \beta C when TRANS is `CblasTrans'.  Since the
     matrix C is symmetric only its upper half or lower half need to be
     stored.  When UPLO is `CblasUpper' then the upper triangle and
     diagonal of C are used, and when UPLO is `CblasLower' then the
     lower triangle and diagonal of C are used.

 -- Function: int gsl_blas_cherk (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, float ALPHA, const gsl_matrix_complex_float * A, float
          BETA, gsl_matrix_complex_float * C)
 -- Function: int gsl_blas_zherk (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, double ALPHA, const gsl_matrix_complex * A, double
          BETA, gsl_matrix_complex * C)
     These functions compute a rank-k update of the hermitian matrix C,
     C = \alpha A A^H + \beta C when TRANS is `CblasNoTrans' and C =
     \alpha A^H A + \beta C when TRANS is `CblasConjTrans'.  Since the
     matrix C is hermitian only its upper half or lower half need to be
     stored.  When UPLO is `CblasUpper' then the upper triangle and
     diagonal of C are used, and when UPLO is `CblasLower' then the
     lower triangle and diagonal of C are used.  The imaginary elements
     of the diagonal are automatically set to zero.

 -- Function: int gsl_blas_ssyr2k (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, float ALPHA, const gsl_matrix_float * A, const
          gsl_matrix_float * B, float BETA, gsl_matrix_float * C)
 -- Function: int gsl_blas_dsyr2k (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, double ALPHA, const gsl_matrix * A, const gsl_matrix *
          B, double BETA, gsl_matrix * C)
 -- Function: int gsl_blas_csyr2k (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, const gsl_complex_float ALPHA, const
          gsl_matrix_complex_float * A, const gsl_matrix_complex_float
          * B, const gsl_complex_float BETA, gsl_matrix_complex_float *
          C)
 -- Function: int gsl_blas_zsyr2k (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, const gsl_complex ALPHA, const gsl_matrix_complex * A,
          const gsl_matrix_complex * B, const gsl_complex BETA,
          gsl_matrix_complex * C)
     These functions compute a rank-2k update of the symmetric matrix C,
     C = \alpha A B^T + \alpha B A^T + \beta C when TRANS is
     `CblasNoTrans' and C = \alpha A^T B + \alpha B^T A + \beta C when
     TRANS is `CblasTrans'.  Since the matrix C is symmetric only its
     upper half or lower half need to be stored.  When UPLO is
     `CblasUpper' then the upper triangle and diagonal of C are used,
     and when UPLO is `CblasLower' then the lower triangle and diagonal
     of C are used.

 -- Function: int gsl_blas_cher2k (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, const gsl_complex_float ALPHA, const
          gsl_matrix_complex_float * A, const gsl_matrix_complex_float
          * B, float BETA, gsl_matrix_complex_float * C)
 -- Function: int gsl_blas_zher2k (CBLAS_UPLO_t UPLO, CBLAS_TRANSPOSE_t
          TRANS, const gsl_complex ALPHA, const gsl_matrix_complex * A,
          const gsl_matrix_complex * B, double BETA, gsl_matrix_complex
          * C)
     These functions compute a rank-2k update of the hermitian matrix C,
     C = \alpha A B^H + \alpha^* B A^H + \beta C when TRANS is
     `CblasNoTrans' and C = \alpha A^H B + \alpha^* B^H A + \beta C when
     TRANS is `CblasConjTrans'.  Since the matrix C is hermitian only
     its upper half or lower half need to be stored.  When UPLO is
     `CblasUpper' then the upper triangle and diagonal of C are used,
     and when UPLO is `CblasLower' then the lower triangle and diagonal
     of C are used.  The imaginary elements of the diagonal are
     automatically set to zero.


File: gsl-ref.info,  Node: BLAS Examples,  Next: BLAS References and Further Reading,  Prev: GSL BLAS Interface,  Up: BLAS Support

13.2 Examples
=============

The following program computes the product of two matrices using the
Level-3 BLAS function DGEMM,

     [ 0.11 0.12 0.13 ]  [ 1011 1012 ]     [ 367.76 368.12 ]
     [ 0.21 0.22 0.23 ]  [ 1021 1022 ]  =  [ 674.06 674.72 ]
                         [ 1031 1032 ]

The matrices are stored in row major order, according to the C
convention for arrays.

     #include <stdio.h>
     #include <gsl/gsl_blas.h>

     int
     main (void)
     {
       double a[] = { 0.11, 0.12, 0.13,
                      0.21, 0.22, 0.23 };

       double b[] = { 1011, 1012,
                      1021, 1022,
                      1031, 1032 };

       double c[] = { 0.00, 0.00,
                      0.00, 0.00 };

       gsl_matrix_view A = gsl_matrix_view_array(a, 2, 3);
       gsl_matrix_view B = gsl_matrix_view_array(b, 3, 2);
       gsl_matrix_view C = gsl_matrix_view_array(c, 2, 2);

       /* Compute C = A B */

       gsl_blas_dgemm (CblasNoTrans, CblasNoTrans,
                       1.0, &A.matrix, &B.matrix,
                       0.0, &C.matrix);

       printf ("[ %g, %g\n", c[0], c[1]);
       printf ("  %g, %g ]\n", c[2], c[3]);

       return 0;
     }

Here is the output from the program,

     $ ./a.out
     [ 367.76, 368.12
       674.06, 674.72 ]


File: gsl-ref.info,  Node: BLAS References and Further Reading,  Prev: BLAS Examples,  Up: BLAS Support

13.3 References and Further Reading
===================================

Information on the BLAS standards, including both the legacy and
updated interface standards, is available online from the BLAS Homepage
and BLAS Technical Forum web-site.

     `BLAS Homepage'
     `http://www.netlib.org/blas/'

     `BLAS Technical Forum'
     `http://www.netlib.org/blas/blast-forum/'

The following papers contain the specifications for Level 1, Level 2 and
Level 3 BLAS.

     C. Lawson, R. Hanson, D. Kincaid, F. Krogh, "Basic Linear Algebra
     Subprograms for Fortran Usage", `ACM Transactions on Mathematical
     Software', Vol. 5 (1979), Pages 308-325.

     J.J. Dongarra, J. DuCroz, S. Hammarling, R. Hanson, "An Extended
     Set of Fortran Basic Linear Algebra Subprograms", `ACM
     Transactions on Mathematical Software', Vol. 14, No. 1 (1988),
     Pages 1-32.

     J.J. Dongarra, I. Duff, J. DuCroz, S. Hammarling, "A Set of Level
     3 Basic Linear Algebra Subprograms", `ACM Transactions on
     Mathematical Software', Vol. 16 (1990), Pages 1-28.

Postscript versions of the latter two papers are available from
`http://www.netlib.org/blas/'. A CBLAS wrapper for Fortran BLAS
libraries is available from the same location.


File: gsl-ref.info,  Node: Linear Algebra,  Next: Eigensystems,  Prev: BLAS Support,  Up: Top

14 Linear Algebra
*****************

This chapter describes functions for solving linear systems.  The
library provides linear algebra operations which operate directly on
the `gsl_vector' and `gsl_matrix' objects.  These routines use the
standard algorithms from Golub & Van Loan's `Matrix Computations' with
Level-1 and Level-2 BLAS calls for efficiency.

   The functions described in this chapter are declared in the header
file `gsl_linalg.h'.

* Menu:

* LU Decomposition::
* QR Decomposition::
* QR Decomposition with Column Pivoting::
* Singular Value Decomposition::
* Cholesky Decomposition::
* Tridiagonal Decomposition of Real Symmetric Matrices::
* Tridiagonal Decomposition of Hermitian Matrices::
* Hessenberg Decomposition of Real Matrices::
* Hessenberg-Triangular Decomposition of Real Matrices::
* Bidiagonalization::
* Householder Transformations::
* Householder solver for linear systems::
* Tridiagonal Systems::
* Balancing::
* Linear Algebra Examples::
* Linear Algebra References and Further Reading::


File: gsl-ref.info,  Node: LU Decomposition,  Next: QR Decomposition,  Up: Linear Algebra

14.1 LU Decomposition
=====================

A general square matrix A has an LU decomposition into upper and lower
triangular matrices,

     P A = L U

where P is a permutation matrix, L is unit lower triangular matrix and
U is upper triangular matrix. For square matrices this decomposition
can be used to convert the linear system A x = b into a pair of
triangular systems (L y = P b, U x = y), which can be solved by forward
and back-substitution.  Note that the LU decomposition is valid for
singular matrices.

 -- Function: int gsl_linalg_LU_decomp (gsl_matrix * A, gsl_permutation
          * P, int * SIGNUM)
 -- Function: int gsl_linalg_complex_LU_decomp (gsl_matrix_complex * A,
          gsl_permutation * P, int * SIGNUM)
     These functions factorize the square matrix A into the LU
     decomposition PA = LU.  On output the diagonal and upper
     triangular part of the input matrix A contain the matrix U. The
     lower triangular part of the input matrix (excluding the diagonal)
     contains L.  The diagonal elements of L are unity, and are not
     stored.

     The permutation matrix P is encoded in the permutation P. The j-th
     column of the matrix P is given by the k-th column of the identity
     matrix, where k = p_j the j-th element of the permutation vector.
     The sign of the permutation is given by SIGNUM. It has the value
     (-1)^n, where n is the number of interchanges in the permutation.

     The algorithm used in the decomposition is Gaussian Elimination
     with partial pivoting (Golub & Van Loan, `Matrix Computations',
     Algorithm 3.4.1).

 -- Function: int gsl_linalg_LU_solve (const gsl_matrix * LU, const
          gsl_permutation * P, const gsl_vector * B, gsl_vector * X)
 -- Function: int gsl_linalg_complex_LU_solve (const gsl_matrix_complex
          * LU, const gsl_permutation * P, const gsl_vector_complex *
          B, gsl_vector_complex * X)
     These functions solve the square system A x = b using the LU
     decomposition of A into (LU, P) given by `gsl_linalg_LU_decomp' or
     `gsl_linalg_complex_LU_decomp' as input.

 -- Function: int gsl_linalg_LU_svx (const gsl_matrix * LU, const
          gsl_permutation * P, gsl_vector * X)
 -- Function: int gsl_linalg_complex_LU_svx (const gsl_matrix_complex *
          LU, const gsl_permutation * P, gsl_vector_complex * X)
     These functions solve the square system A x = b in-place using the
     precomputed LU decomposition of A into (LU,P). On input X should
     contain the right-hand side b, which is replaced by the solution
     on output.

 -- Function: int gsl_linalg_LU_refine (const gsl_matrix * A, const
          gsl_matrix * LU, const gsl_permutation * P, const gsl_vector
          * B, gsl_vector * X, gsl_vector * RESIDUAL)
 -- Function: int gsl_linalg_complex_LU_refine (const
          gsl_matrix_complex * A, const gsl_matrix_complex * LU, const
          gsl_permutation * P, const gsl_vector_complex * B,
          gsl_vector_complex * X, gsl_vector_complex * RESIDUAL)
     These functions apply an iterative improvement to X, the solution
     of A x = b, from the precomputed LU decomposition of A into
     (LU,P). The initial residual r = A x - b is also computed and
     stored in RESIDUAL.

 -- Function: int gsl_linalg_LU_invert (const gsl_matrix * LU, const
          gsl_permutation * P, gsl_matrix * INVERSE)
 -- Function: int gsl_linalg_complex_LU_invert (const
          gsl_matrix_complex * LU, const gsl_permutation * P,
          gsl_matrix_complex * INVERSE)
     These functions compute the inverse of a matrix A from its LU
     decomposition (LU,P), storing the result in the matrix INVERSE.
     The inverse is computed by solving the system A x = b for each
     column of the identity matrix.  It is preferable to avoid direct
     use of the inverse whenever possible, as the linear solver
     functions can obtain the same result more efficiently and reliably
     (consult any introductory textbook on numerical linear algebra for
     details).

 -- Function: double gsl_linalg_LU_det (gsl_matrix * LU, int SIGNUM)
 -- Function: gsl_complex gsl_linalg_complex_LU_det (gsl_matrix_complex
          * LU, int SIGNUM)
     These functions compute the determinant of a matrix A from its LU
     decomposition, LU. The determinant is computed as the product of
     the diagonal elements of U and the sign of the row permutation
     SIGNUM.

 -- Function: double gsl_linalg_LU_lndet (gsl_matrix * LU)
 -- Function: double gsl_linalg_complex_LU_lndet (gsl_matrix_complex *
          LU)
     These functions compute the logarithm of the absolute value of the
     determinant of a matrix A, \ln|\det(A)|, from its LU
     decomposition, LU.  This function may be useful if the direct
     computation of the determinant would overflow or underflow.

 -- Function: int gsl_linalg_LU_sgndet (gsl_matrix * LU, int SIGNUM)
 -- Function: gsl_complex gsl_linalg_complex_LU_sgndet
          (gsl_matrix_complex * LU, int SIGNUM)
     These functions compute the sign or phase factor of the
     determinant of a matrix A, \det(A)/|\det(A)|, from its LU
     decomposition, LU.


File: gsl-ref.info,  Node: QR Decomposition,  Next: QR Decomposition with Column Pivoting,  Prev: LU Decomposition,  Up: Linear Algebra

14.2 QR Decomposition
=====================

A general rectangular M-by-N matrix A has a QR decomposition into the
product of an orthogonal M-by-M square matrix Q (where Q^T Q = I) and
an M-by-N right-triangular matrix R,

     A = Q R

This decomposition can be used to convert the linear system A x = b
into the triangular system R x = Q^T b, which can be solved by
back-substitution. Another use of the QR decomposition is to compute an
orthonormal basis for a set of vectors. The first N columns of Q form
an orthonormal basis for the range of A, ran(A), when A has full column
rank.

 -- Function: int gsl_linalg_QR_decomp (gsl_matrix * A, gsl_vector *
          TAU)
     This function factorizes the M-by-N matrix A into the QR
     decomposition A = Q R.  On output the diagonal and upper
     triangular part of the input matrix contain the matrix R. The
     vector TAU and the columns of the lower triangular part of the
     matrix A contain the Householder coefficients and Householder
     vectors which encode the orthogonal matrix Q.  The vector TAU must
     be of length k=\min(M,N). The matrix Q is related to these
     components by, Q = Q_k ... Q_2 Q_1 where Q_i = I - \tau_i v_i
     v_i^T and v_i is the Householder vector v_i =
     (0,...,1,A(i+1,i),A(i+2,i),...,A(m,i)). This is the same storage
     scheme as used by LAPACK.

     The algorithm used to perform the decomposition is Householder QR
     (Golub & Van Loan, `Matrix Computations', Algorithm 5.2.1).

 -- Function: int gsl_linalg_QR_solve (const gsl_matrix * QR, const
          gsl_vector * TAU, const gsl_vector * B, gsl_vector * X)
     This function solves the square system A x = b using the QR
     decomposition of A held in (QR, TAU) which must have been computed
     previously with `gsl_linalg_QR_decomp'.  The least-squares
     solution for rectangular systems can be found using
     `gsl_linalg_QR_lssolve'.

 -- Function: int gsl_linalg_QR_svx (const gsl_matrix * QR, const
          gsl_vector * TAU, gsl_vector * X)
     This function solves the square system A x = b in-place using the
     QR decomposition of A held in (QR,TAU) which must have been
     computed previously by `gsl_linalg_QR_decomp'.  On input X should
     contain the right-hand side b, which is replaced by the solution
     on output.

 -- Function: int gsl_linalg_QR_lssolve (const gsl_matrix * QR, const
          gsl_vector * TAU, const gsl_vector * B, gsl_vector * X,
          gsl_vector * RESIDUAL)
     This function finds the least squares solution to the
     overdetermined system A x = b where the matrix A has more rows than
     columns.  The least squares solution minimizes the Euclidean norm
     of the residual, ||Ax - b||.The routine requires as input the QR
     decomposition of A into (QR, TAU) given by `gsl_linalg_QR_decomp'.
     The solution is returned in X.  The residual is computed as a
     by-product and stored in RESIDUAL.

 -- Function: int gsl_linalg_QR_QTvec (const gsl_matrix * QR, const
          gsl_vector * TAU, gsl_vector * V)
     This function applies the matrix Q^T encoded in the decomposition
     (QR,TAU) to the vector V, storing the result Q^T v in V.  The
     matrix multiplication is carried out directly using the encoding
     of the Householder vectors without needing to form the full matrix
     Q^T.

 -- Function: int gsl_linalg_QR_Qvec (const gsl_matrix * QR, const
          gsl_vector * TAU, gsl_vector * V)
     This function applies the matrix Q encoded in the decomposition
     (QR,TAU) to the vector V, storing the result Q v in V.  The matrix
     multiplication is carried out directly using the encoding of the
     Householder vectors without needing to form the full matrix Q.

 -- Function: int gsl_linalg_QR_QTmat (const gsl_matrix * QR, const
          gsl_vector * TAU, gsl_matrix * A)
     This function applies the matrix Q^T encoded in the decomposition
     (QR,TAU) to the matrix A, storing the result Q^T A in A.  The
     matrix multiplication is carried out directly using the encoding
     of the Householder vectors without needing to form the full matrix
     Q^T.

 -- Function: int gsl_linalg_QR_Rsolve (const gsl_matrix * QR, const
          gsl_vector * B, gsl_vector * X)
     This function solves the triangular system R x = b for X. It may
     be useful if the product b' = Q^T b has already been computed
     using `gsl_linalg_QR_QTvec'.

 -- Function: int gsl_linalg_QR_Rsvx (const gsl_matrix * QR, gsl_vector
          * X)
     This function solves the triangular system R x = b for X in-place.
     On input X should contain the right-hand side b and is replaced by
     the solution on output. This function may be useful if the product
     b' = Q^T b has already been computed using `gsl_linalg_QR_QTvec'.

 -- Function: int gsl_linalg_QR_unpack (const gsl_matrix * QR, const
          gsl_vector * TAU, gsl_matrix * Q, gsl_matrix * R)
     This function unpacks the encoded QR decomposition (QR,TAU) into
     the matrices Q and R, where Q is M-by-M and R is M-by-N.

 -- Function: int gsl_linalg_QR_QRsolve (gsl_matrix * Q, gsl_matrix *
          R, const gsl_vector * B, gsl_vector * X)
     This function solves the system R x = Q^T b for X. It can be used
     when the QR decomposition of a matrix is available in unpacked
     form as (Q, R).

 -- Function: int gsl_linalg_QR_update (gsl_matrix * Q, gsl_matrix * R,
          gsl_vector * W, const gsl_vector * V)
     This function performs a rank-1 update w v^T of the QR
     decomposition (Q, R). The update is given by Q'R' = Q (R + w v^T)
     where the output matrices Q' and R' are also orthogonal and right
     triangular. Note that W is destroyed by the update.

 -- Function: int gsl_linalg_R_solve (const gsl_matrix * R, const
          gsl_vector * B, gsl_vector * X)
     This function solves the triangular system R x = b for the N-by-N
     matrix R.

 -- Function: int gsl_linalg_R_svx (const gsl_matrix * R, gsl_vector *
          X)
     This function solves the triangular system R x = b in-place. On
     input X should contain the right-hand side b, which is replaced by
     the solution on output.


File: gsl-ref.info,  Node: QR Decomposition with Column Pivoting,  Next: Singular Value Decomposition,  Prev: QR Decomposition,  Up: Linear Algebra

14.3 QR Decomposition with Column Pivoting
==========================================

The QR decomposition can be extended to the rank deficient case by
introducing a column permutation P,

     A P = Q R

The first r columns of Q form an orthonormal basis for the range of A
for a matrix with column rank r.  This decomposition can also be used
to convert the linear system A x = b into the triangular system R y =
Q^T b, x = P y, which can be solved by back-substitution and
permutation.  We denote the QR decomposition with column pivoting by
QRP^T since A = Q R P^T.

 -- Function: int gsl_linalg_QRPT_decomp (gsl_matrix * A, gsl_vector *
          TAU, gsl_permutation * P, int * SIGNUM, gsl_vector * NORM)
     This function factorizes the M-by-N matrix A into the QRP^T
     decomposition A = Q R P^T.  On output the diagonal and upper
     triangular part of the input matrix contain the matrix R. The
     permutation matrix P is stored in the permutation P.  The sign of
     the permutation is given by SIGNUM. It has the value (-1)^n, where
     n is the number of interchanges in the permutation. The vector TAU
     and the columns of the lower triangular part of the matrix A
     contain the Householder coefficients and vectors which encode the
     orthogonal matrix Q.  The vector TAU must be of length
     k=\min(M,N). The matrix Q is related to these components by, Q =
     Q_k ... Q_2 Q_1 where Q_i = I - \tau_i v_i v_i^T and v_i is the
     Householder vector v_i = (0,...,1,A(i+1,i),A(i+2,i),...,A(m,i)).
     This is the same storage scheme as used by LAPACK.  The vector
     NORM is a workspace of length N used for column pivoting.

     The algorithm used to perform the decomposition is Householder QR
     with column pivoting (Golub & Van Loan, `Matrix Computations',
     Algorithm 5.4.1).

 -- Function: int gsl_linalg_QRPT_decomp2 (const gsl_matrix * A,
          gsl_matrix * Q, gsl_matrix * R, gsl_vector * TAU,
          gsl_permutation * P, int * SIGNUM, gsl_vector * NORM)
     This function factorizes the matrix A into the decomposition A = Q
     R P^T without modifying A itself and storing the output in the
     separate matrices Q and R.

 -- Function: int gsl_linalg_QRPT_solve (const gsl_matrix * QR, const
          gsl_vector * TAU, const gsl_permutation * P, const gsl_vector
          * B, gsl_vector * X)
     This function solves the square system A x = b using the QRP^T
     decomposition of A held in (QR, TAU, P) which must have been
     computed previously by `gsl_linalg_QRPT_decomp'.

 -- Function: int gsl_linalg_QRPT_svx (const gsl_matrix * QR, const
          gsl_vector * TAU, const gsl_permutation * P, gsl_vector * X)
     This function solves the square system A x = b in-place using the
     QRP^T decomposition of A held in (QR,TAU,P). On input X should
     contain the right-hand side b, which is replaced by the solution
     on output.

 -- Function: int gsl_linalg_QRPT_QRsolve (const gsl_matrix * Q, const
          gsl_matrix * R, const gsl_permutation * P, const gsl_vector *
          B, gsl_vector * X)
     This function solves the square system R P^T x = Q^T b for X. It
     can be used when the QR decomposition of a matrix is available in
     unpacked form as (Q, R).

 -- Function: int gsl_linalg_QRPT_update (gsl_matrix * Q, gsl_matrix *
          R, const gsl_permutation * P, gsl_vector * W, const
          gsl_vector * V)
     This function performs a rank-1 update w v^T of the QRP^T
     decomposition (Q, R, P). The update is given by Q'R' = Q (R + w
     v^T P) where the output matrices Q' and R' are also orthogonal and
     right triangular. Note that W is destroyed by the update. The
     permutation P is not changed.

 -- Function: int gsl_linalg_QRPT_Rsolve (const gsl_matrix * QR, const
          gsl_permutation * P, const gsl_vector * B, gsl_vector * X)
     This function solves the triangular system R P^T x = b for the
     N-by-N matrix R contained in QR.

 -- Function: int gsl_linalg_QRPT_Rsvx (const gsl_matrix * QR, const
          gsl_permutation * P, gsl_vector * X)
     This function solves the triangular system R P^T x = b in-place
     for the N-by-N matrix R contained in QR. On input X should contain
     the right-hand side b, which is replaced by the solution on output.


File: gsl-ref.info,  Node: Singular Value Decomposition,  Next: Cholesky Decomposition,  Prev: QR Decomposition with Column Pivoting,  Up: Linear Algebra

14.4 Singular Value Decomposition
=================================

A general rectangular M-by-N matrix A has a singular value
decomposition (SVD) into the product of an M-by-N orthogonal matrix U,
an N-by-N diagonal matrix of singular values S and the transpose of an
N-by-N orthogonal square matrix V,

     A = U S V^T

The singular values \sigma_i = S_{ii} are all non-negative and are
generally chosen to form a non-increasing sequence \sigma_1 >= \sigma_2
>= ... >= \sigma_N >= 0.

   The singular value decomposition of a matrix has many practical uses.
The condition number of the matrix is given by the ratio of the largest
singular value to the smallest singular value. The presence of a zero
singular value indicates that the matrix is singular. The number of
non-zero singular values indicates the rank of the matrix.  In practice
singular value decomposition of a rank-deficient matrix will not produce
exact zeroes for singular values, due to finite numerical precision.
Small singular values should be edited by choosing a suitable tolerance.

   For a rank-deficient matrix, the null space of A is given by the
columns of V corresponding to the zero singular values.  Similarly, the
range of A is given by columns of U corresponding to the non-zero
singular values.

   Note that the routines here compute the "thin" version of the SVD
with U as M-by-N orthogonal matrix. This allows in-place computation
and is the most commonly-used form in practice.  Mathematically, the
"full" SVD is defined with U as an M-by-M orthogonal matrix and S as an
M-by-N diagonal matrix (with additional rows of zeros).

 -- Function: int gsl_linalg_SV_decomp (gsl_matrix * A, gsl_matrix * V,
          gsl_vector * S, gsl_vector * WORK)
     This function factorizes the M-by-N matrix A into the singular
     value decomposition A = U S V^T for M >= N.  On output the matrix
     A is replaced by U. The diagonal elements of the singular value
     matrix S are stored in the vector S. The singular values are
     non-negative and form a non-increasing sequence from S_1 to S_N.
     The matrix V contains the elements of V in untransposed form. To
     form the product U S V^T it is necessary to take the transpose of
     V.  A workspace of length N is required in WORK.

     This routine uses the Golub-Reinsch SVD algorithm.

 -- Function: int gsl_linalg_SV_decomp_mod (gsl_matrix * A, gsl_matrix
          * X, gsl_matrix * V, gsl_vector * S, gsl_vector * WORK)
     This function computes the SVD using the modified Golub-Reinsch
     algorithm, which is faster for M>>N.  It requires the vector WORK
     of length N and the N-by-N matrix X as additional working space.

 -- Function: int gsl_linalg_SV_decomp_jacobi (gsl_matrix * A,
          gsl_matrix * V, gsl_vector * S)
     This function computes the SVD of the M-by-N matrix A using
     one-sided Jacobi orthogonalization for M >= N.  The Jacobi method
     can compute singular values to higher relative accuracy than
     Golub-Reinsch algorithms (see references for details).

 -- Function: int gsl_linalg_SV_solve (const gsl_matrix * U, const
          gsl_matrix * V, const gsl_vector * S, const gsl_vector * B,
          gsl_vector * X)
     This function solves the system A x = b using the singular value
     decomposition (U, S, V) of A which must have been computed
     previously with `gsl_linalg_SV_decomp'.

     Only non-zero singular values are used in computing the solution.
     The parts of the solution corresponding to singular values of zero
     are ignored.  Other singular values can be edited out by setting
     them to zero before calling this function.

     In the over-determined case where A has more rows than columns the
     system is solved in the least squares sense, returning the solution
     X which minimizes ||A x - b||_2.


File: gsl-ref.info,  Node: Cholesky Decomposition,  Next: Tridiagonal Decomposition of Real Symmetric Matrices,  Prev: Singular Value Decomposition,  Up: Linear Algebra

14.5 Cholesky Decomposition
===========================

A symmetric, positive definite square matrix A has a Cholesky
decomposition into a product of a lower triangular matrix L and its
transpose L^T,

     A = L L^T

This is sometimes referred to as taking the square-root of a matrix. The
Cholesky decomposition can only be carried out when all the eigenvalues
of the matrix are positive.  This decomposition can be used to convert
the linear system A x = b into a pair of triangular systems (L y = b,
L^T x = y), which can be solved by forward and back-substitution.

 -- Function: int gsl_linalg_cholesky_decomp (gsl_matrix * A)
 -- Function: int gsl_linalg_complex_cholesky_decomp
          (gsl_matrix_complex * A)
     These functions factorize the symmetric, positive-definite square
     matrix A into the Cholesky decomposition A = L L^T (or A = L L^H
     for the complex case). On input, the values from the diagonal and
     lower-triangular part of the matrix A are used (the upper
     triangular part is ignored).  On output the diagonal and lower
     triangular part of the input matrix A contain the matrix L, while
     the upper triangular part of the input matrix is overwritten with
     L^T (the diagonal terms being identical for both L and L^T).  If
     the matrix is not positive-definite then the decomposition will
     fail, returning the error code `GSL_EDOM'.

     When testing whether a matrix is positive-definite, disable the
     error handler first to avoid triggering an error.

 -- Function: int gsl_linalg_cholesky_solve (const gsl_matrix *
          CHOLESKY, const gsl_vector * B, gsl_vector * X)
 -- Function: int gsl_linalg_complex_cholesky_solve (const
          gsl_matrix_complex * CHOLESKY, const gsl_vector_complex * B,
          gsl_vector_complex * X)
     These functions solve the system A x = b using the Cholesky
     decomposition of A held in the matrix CHOLESKY which must have
     been previously computed by `gsl_linalg_cholesky_decomp' or
     `gsl_linalg_complex_cholesky_decomp'.

 -- Function: int gsl_linalg_cholesky_svx (const gsl_matrix * CHOLESKY,
          gsl_vector * X)
 -- Function: int gsl_linalg_complex_cholesky_svx (const
          gsl_matrix_complex * CHOLESKY, gsl_vector_complex * X)
     These functions solve the system A x = b in-place using the
     Cholesky decomposition of A held in the matrix CHOLESKY which must
     have been previously computed by `gsl_linalg_cholesky_decomp' or
     `gsl_linalg_complex_cholesky_decomp'. On input X should contain
     the right-hand side b, which is replaced by the solution on output.

 -- Function: int gsl_linalg_cholesky_invert (gsl_matrix * CHOLESKY)
 -- Function: int gsl_linalg_complex_cholesky_invert
          (gsl_matrix_complex * CHOLESKY)
     These functions compute the inverse of a matrix from its Cholesky
     decomposition CHOLESKY, which must have been previously computed
     by `gsl_linalg_cholesky_decomp' or
     `gsl_linalg_complex_cholesky_decomp'.  On output, the inverse is
     stored in-place in CHOLESKY.


File: gsl-ref.info,  Node: Tridiagonal Decomposition of Real Symmetric Matrices,  Next: Tridiagonal Decomposition of Hermitian Matrices,  Prev: Cholesky Decomposition,  Up: Linear Algebra

14.6 Tridiagonal Decomposition of Real Symmetric Matrices
=========================================================

A symmetric matrix A can be factorized by similarity transformations
into the form,

     A = Q T Q^T

where Q is an orthogonal matrix and T is a symmetric tridiagonal matrix.

 -- Function: int gsl_linalg_symmtd_decomp (gsl_matrix * A, gsl_vector
          * TAU)
     This function factorizes the symmetric square matrix A into the
     symmetric tridiagonal decomposition Q T Q^T.  On output the
     diagonal and subdiagonal part of the input matrix A contain the
     tridiagonal matrix T.  The remaining lower triangular part of the
     input matrix contains the Householder vectors which, together with
     the Householder coefficients TAU, encode the orthogonal matrix Q.
     This storage scheme is the same as used by LAPACK.  The upper
     triangular part of A is not referenced.

 -- Function: int gsl_linalg_symmtd_unpack (const gsl_matrix * A, const
          gsl_vector * TAU, gsl_matrix * Q, gsl_vector * DIAG,
          gsl_vector * SUBDIAG)
     This function unpacks the encoded symmetric tridiagonal
     decomposition (A, TAU) obtained from `gsl_linalg_symmtd_decomp'
     into the orthogonal matrix Q, the vector of diagonal elements DIAG
     and the vector of subdiagonal elements SUBDIAG.

 -- Function: int gsl_linalg_symmtd_unpack_T (const gsl_matrix * A,
          gsl_vector * DIAG, gsl_vector * SUBDIAG)
     This function unpacks the diagonal and subdiagonal of the encoded
     symmetric tridiagonal decomposition (A, TAU) obtained from
     `gsl_linalg_symmtd_decomp' into the vectors DIAG and SUBDIAG.


File: gsl-ref.info,  Node: Tridiagonal Decomposition of Hermitian Matrices,  Next: Hessenberg Decomposition of Real Matrices,  Prev: Tridiagonal Decomposition of Real Symmetric Matrices,  Up: Linear Algebra

14.7 Tridiagonal Decomposition of Hermitian Matrices
====================================================

A hermitian matrix A can be factorized by similarity transformations
into the form,

     A = U T U^T

where U is a unitary matrix and T is a real symmetric tridiagonal
matrix.

 -- Function: int gsl_linalg_hermtd_decomp (gsl_matrix_complex * A,
          gsl_vector_complex * TAU)
     This function factorizes the hermitian matrix A into the symmetric
     tridiagonal decomposition U T U^T.  On output the real parts of
     the diagonal and subdiagonal part of the input matrix A contain
     the tridiagonal matrix T.  The remaining lower triangular part of
     the input matrix contains the Householder vectors which, together
     with the Householder coefficients TAU, encode the unitary matrix
     U. This storage scheme is the same as used by LAPACK.  The upper
     triangular part of A and imaginary parts of the diagonal are not
     referenced.

 -- Function: int gsl_linalg_hermtd_unpack (const gsl_matrix_complex *
          A, const gsl_vector_complex * TAU, gsl_matrix_complex * U,
          gsl_vector * DIAG, gsl_vector * SUBDIAG)
     This function unpacks the encoded tridiagonal decomposition (A,
     TAU) obtained from `gsl_linalg_hermtd_decomp' into the unitary
     matrix U, the real vector of diagonal elements DIAG and the real
     vector of subdiagonal elements SUBDIAG.

 -- Function: int gsl_linalg_hermtd_unpack_T (const gsl_matrix_complex
          * A, gsl_vector * DIAG, gsl_vector * SUBDIAG)
     This function unpacks the diagonal and subdiagonal of the encoded
     tridiagonal decomposition (A, TAU) obtained from the
     `gsl_linalg_hermtd_decomp' into the real vectors DIAG and SUBDIAG.


File: gsl-ref.info,  Node: Hessenberg Decomposition of Real Matrices,  Next: Hessenberg-Triangular Decomposition of Real Matrices,  Prev: Tridiagonal Decomposition of Hermitian Matrices,  Up: Linear Algebra

14.8 Hessenberg Decomposition of Real Matrices
==============================================

A general real matrix A can be decomposed by orthogonal similarity
transformations into the form

     A = U H U^T

   where U is orthogonal and H is an upper Hessenberg matrix, meaning
that it has zeros below the first subdiagonal. The Hessenberg reduction
is the first step in the Schur decomposition for the nonsymmetric
eigenvalue problem, but has applications in other areas as well.

 -- Function: int gsl_linalg_hessenberg_decomp (gsl_matrix * A,
          gsl_vector * TAU)
     This function computes the Hessenberg decomposition of the matrix
     A by applying the similarity transformation H = U^T A U.  On
     output, H is stored in the upper portion of A. The information
     required to construct the matrix U is stored in the lower
     triangular portion of A. U is a product of N - 2 Householder
     matrices. The Householder vectors are stored in the lower portion
     of A (below the subdiagonal) and the Householder coefficients are
     stored in the vector TAU.  TAU must be of length N.

 -- Function: int gsl_linalg_hessenberg_unpack (gsl_matrix * H,
          gsl_vector * TAU, gsl_matrix * U)
     This function constructs the orthogonal matrix U from the
     information stored in the Hessenberg matrix H along with the
     vector TAU. H and TAU are outputs from
     `gsl_linalg_hessenberg_decomp'.

 -- Function: int gsl_linalg_hessenberg_unpack_accum (gsl_matrix * H,
          gsl_vector * TAU, gsl_matrix * V)
     This function is similar to `gsl_linalg_hessenberg_unpack', except
     it accumulates the matrix U into V, so that V' = VU.  The matrix V
     must be initialized prior to calling this function.  Setting V to
     the identity matrix provides the same result as
     `gsl_linalg_hessenberg_unpack'. If H is order N, then V must have
     N columns but may have any number of rows.

 -- Function: int gsl_linalg_hessenberg_set_zero (gsl_matrix * H)
     This function sets the lower triangular portion of H, below the
     subdiagonal, to zero. It is useful for clearing out the
     Householder vectors after calling `gsl_linalg_hessenberg_decomp'.


File: gsl-ref.info,  Node: Hessenberg-Triangular Decomposition of Real Matrices,  Next: Bidiagonalization,  Prev: Hessenberg Decomposition of Real Matrices,  Up: Linear Algebra

14.9 Hessenberg-Triangular Decomposition of Real Matrices
=========================================================

A general real matrix pair (A, B) can be decomposed by orthogonal
similarity transformations into the form

     A = U H V^T
     B = U R V^T

   where U and V are orthogonal, H is an upper Hessenberg matrix, and R
is upper triangular. The Hessenberg-Triangular reduction is the first
step in the generalized Schur decomposition for the generalized
eigenvalue problem.

 -- Function: int gsl_linalg_hesstri_decomp (gsl_matrix * A, gsl_matrix
          * B, gsl_matrix * U, gsl_matrix * V, gsl_vector * WORK)
     This function computes the Hessenberg-Triangular decomposition of
     the matrix pair (A, B). On output, H is stored in A, and R is
     stored in B. If U and V are provided (they may be null), the
     similarity transformations are stored in them.  Additional
     workspace of length N is needed in WORK.


File: gsl-ref.info,  Node: Bidiagonalization,  Next: Householder Transformations,  Prev: Hessenberg-Triangular Decomposition of Real Matrices,  Up: Linear Algebra

14.10 Bidiagonalization
=======================

A general matrix A can be factorized by similarity transformations into
the form,

     A = U B V^T

where U and V are orthogonal matrices and B is a N-by-N bidiagonal
matrix with non-zero entries only on the diagonal and superdiagonal.
The size of U is M-by-N and the size of V is N-by-N.

 -- Function: int gsl_linalg_bidiag_decomp (gsl_matrix * A, gsl_vector
          * TAU_U, gsl_vector * TAU_V)
     This function factorizes the M-by-N matrix A into bidiagonal form
     U B V^T.  The diagonal and superdiagonal of the matrix B are
     stored in the diagonal and superdiagonal of A.  The orthogonal
     matrices U and V are stored as compressed Householder vectors in
     the remaining elements of A.  The Householder coefficients are
     stored in the vectors TAU_U and TAU_V.  The length of TAU_U must
     equal the number of elements in the diagonal of A and the length
     of TAU_V should be one element shorter.

 -- Function: int gsl_linalg_bidiag_unpack (const gsl_matrix * A, const
          gsl_vector * TAU_U, gsl_matrix * U, const gsl_vector * TAU_V,
          gsl_matrix * V, gsl_vector * DIAG, gsl_vector * SUPERDIAG)
     This function unpacks the bidiagonal decomposition of A produced by
     `gsl_linalg_bidiag_decomp', (A, TAU_U, TAU_V) into the separate
     orthogonal matrices U, V and the diagonal vector DIAG and
     superdiagonal SUPERDIAG.  Note that U is stored as a compact
     M-by-N orthogonal matrix satisfying U^T U = I for efficiency.

 -- Function: int gsl_linalg_bidiag_unpack2 (gsl_matrix * A, gsl_vector
          * TAU_U, gsl_vector * TAU_V, gsl_matrix * V)
     This function unpacks the bidiagonal decomposition of A produced by
     `gsl_linalg_bidiag_decomp', (A, TAU_U, TAU_V) into the separate
     orthogonal matrices U, V and the diagonal vector DIAG and
     superdiagonal SUPERDIAG.  The matrix U is stored in-place in A.

 -- Function: int gsl_linalg_bidiag_unpack_B (const gsl_matrix * A,
          gsl_vector * DIAG, gsl_vector * SUPERDIAG)
     This function unpacks the diagonal and superdiagonal of the
     bidiagonal decomposition of A from `gsl_linalg_bidiag_decomp', into
     the diagonal vector DIAG and superdiagonal vector SUPERDIAG.


File: gsl-ref.info,  Node: Householder Transformations,  Next: Householder solver for linear systems,  Prev: Bidiagonalization,  Up: Linear Algebra

14.11 Householder Transformations
=================================

A Householder transformation is a rank-1 modification of the identity
matrix which can be used to zero out selected elements of a vector.  A
Householder matrix P takes the form,

     P = I - \tau v v^T

where v is a vector (called the "Householder vector") and \tau = 2/(v^T
v).  The functions described in this section use the rank-1 structure
of the Householder matrix to create and apply Householder
transformations efficiently.

 -- Function: double gsl_linalg_householder_transform (gsl_vector * V)
 -- Function: gsl_complex gsl_linalg_complex_householder_transform
          (gsl_vector_complex * V)
     This function prepares a Householder transformation P = I - \tau v
     v^T which can be used to zero all the elements of the input vector
     except the first.  On output the transformation is stored in the
     vector V and the scalar \tau is returned.

 -- Function: int gsl_linalg_householder_hm (double TAU, const
          gsl_vector * V, gsl_matrix * A)
 -- Function: int gsl_linalg_complex_householder_hm (gsl_complex TAU,
          const gsl_vector_complex * V, gsl_matrix_complex * A)
     This function applies the Householder matrix P defined by the
     scalar TAU and the vector V to the left-hand side of the matrix A.
     On output the result P A is stored in A.

 -- Function: int gsl_linalg_householder_mh (double TAU, const
          gsl_vector * V, gsl_matrix * A)
 -- Function: int gsl_linalg_complex_householder_mh (gsl_complex TAU,
          const gsl_vector_complex * V, gsl_matrix_complex * A)
     This function applies the Householder matrix P defined by the
     scalar TAU and the vector V to the right-hand side of the matrix
     A. On output the result A P is stored in A.

 -- Function: int gsl_linalg_householder_hv (double TAU, const
          gsl_vector * V, gsl_vector * W)
 -- Function: int gsl_linalg_complex_householder_hv (gsl_complex TAU,
          const gsl_vector_complex * V, gsl_vector_complex * W)
     This function applies the Householder transformation P defined by
     the scalar TAU and the vector V to the vector W.  On output the
     result P w is stored in W.


File: gsl-ref.info,  Node: Householder solver for linear systems,  Next: Tridiagonal Systems,  Prev: Householder Transformations,  Up: Linear Algebra

14.12 Householder solver for linear systems
===========================================

 -- Function: int gsl_linalg_HH_solve (gsl_matrix * A, const gsl_vector
          * B, gsl_vector * X)
     This function solves the system A x = b directly using Householder
     transformations. On output the solution is stored in X and B is
     not modified. The matrix A is destroyed by the Householder
     transformations.

 -- Function: int gsl_linalg_HH_svx (gsl_matrix * A, gsl_vector * X)
     This function solves the system A x = b in-place using Householder
     transformations.  On input X should contain the right-hand side b,
     which is replaced by the solution on output.  The matrix A is
     destroyed by the Householder transformations.


File: gsl-ref.info,  Node: Tridiagonal Systems,  Next: Balancing,  Prev: Householder solver for linear systems,  Up: Linear Algebra

14.13 Tridiagonal Systems
=========================

The functions described in this section efficiently solve symmetric,
non-symmetric and cyclic tridiagonal systems with minimal storage.
Note that the current implementations of these functions use a variant
of Cholesky decomposition, so the tridiagonal matrix must be positive
definite.  For non-positive definite matrices, the functions return the
error code `GSL_ESING'.

 -- Function: int gsl_linalg_solve_tridiag (const gsl_vector * DIAG,
          const gsl_vector * E, const gsl_vector * F, const gsl_vector
          * B, gsl_vector * X)
     This function solves the general N-by-N system A x = b where A is
     tridiagonal (N >= 2). The super-diagonal and sub-diagonal vectors
     E and F must be one element shorter than the diagonal vector DIAG.
     The form of A for the 4-by-4 case is shown below,

          A = ( d_0 e_0  0   0  )
              ( f_0 d_1 e_1  0  )
              (  0  f_1 d_2 e_2 )
              (  0   0  f_2 d_3 )


 -- Function: int gsl_linalg_solve_symm_tridiag (const gsl_vector *
          DIAG, const gsl_vector * E, const gsl_vector * B, gsl_vector
          * X)
     This function solves the general N-by-N system A x = b where A is
     symmetric tridiagonal (N >= 2).  The off-diagonal vector E must be
     one element shorter than the diagonal vector DIAG.  The form of A
     for the 4-by-4 case is shown below,

          A = ( d_0 e_0  0   0  )
              ( e_0 d_1 e_1  0  )
              (  0  e_1 d_2 e_2 )
              (  0   0  e_2 d_3 )

 -- Function: int gsl_linalg_solve_cyc_tridiag (const gsl_vector *
          DIAG, const gsl_vector * E, const gsl_vector * F, const
          gsl_vector * B, gsl_vector * X)
     This function solves the general N-by-N system A x = b where A is
     cyclic tridiagonal (N >= 3).  The cyclic super-diagonal and
     sub-diagonal vectors E and F must have the same number of elements
     as the diagonal vector DIAG.  The form of A for the 4-by-4 case is
     shown below,

          A = ( d_0 e_0  0  f_3 )
              ( f_0 d_1 e_1  0  )
              (  0  f_1 d_2 e_2 )
              ( e_3  0  f_2 d_3 )

 -- Function: int gsl_linalg_solve_symm_cyc_tridiag (const gsl_vector *
          DIAG, const gsl_vector * E, const gsl_vector * B, gsl_vector
          * X)
     This function solves the general N-by-N system A x = b where A is
     symmetric cyclic tridiagonal (N >= 3).  The cyclic off-diagonal
     vector E must have the same number of elements as the diagonal
     vector DIAG.  The form of A for the 4-by-4 case is shown below,

          A = ( d_0 e_0  0  e_3 )
              ( e_0 d_1 e_1  0  )
              (  0  e_1 d_2 e_2 )
              ( e_3  0  e_2 d_3 )


File: gsl-ref.info,  Node: Balancing,  Next: Linear Algebra Examples,  Prev: Tridiagonal Systems,  Up: Linear Algebra

14.14 Balancing
===============

The process of balancing a matrix applies similarity transformations to
make the rows and columns have comparable norms. This is useful, for
example, to reduce roundoff errors in the solution of eigenvalue
problems. Balancing a matrix A consists of replacing A with a similar
matrix

     A' = D^(-1) A D

   where D is a diagonal matrix whose entries are powers of the
floating point radix.

 -- Function: int gsl_linalg_balance_matrix (gsl_matrix * A, gsl_vector
          * D)
     This function replaces the matrix A with its balanced counterpart
     and stores the diagonal elements of the similarity transformation
     into the vector D.


File: gsl-ref.info,  Node: Linear Algebra Examples,  Next: Linear Algebra References and Further Reading,  Prev: Balancing,  Up: Linear Algebra

14.15 Examples
==============

The following program solves the linear system A x = b. The system to
be solved is,

     [ 0.18 0.60 0.57 0.96 ] [x0]   [1.0]
     [ 0.41 0.24 0.99 0.58 ] [x1] = [2.0]
     [ 0.14 0.30 0.97 0.66 ] [x2]   [3.0]
     [ 0.51 0.13 0.19 0.85 ] [x3]   [4.0]

and the solution is found using LU decomposition of the matrix A.

     #include <stdio.h>
     #include <gsl/gsl_linalg.h>

     int
     main (void)
     {
       double a_data[] = { 0.18, 0.60, 0.57, 0.96,
                           0.41, 0.24, 0.99, 0.58,
                           0.14, 0.30, 0.97, 0.66,
                           0.51, 0.13, 0.19, 0.85 };

       double b_data[] = { 1.0, 2.0, 3.0, 4.0 };

       gsl_matrix_view m
         = gsl_matrix_view_array (a_data, 4, 4);

       gsl_vector_view b
         = gsl_vector_view_array (b_data, 4);

       gsl_vector *x = gsl_vector_alloc (4);

       int s;

       gsl_permutation * p = gsl_permutation_alloc (4);

       gsl_linalg_LU_decomp (&m.matrix, p, &s);

       gsl_linalg_LU_solve (&m.matrix, p, &b.vector, x);

       printf ("x = \n");
       gsl_vector_fprintf (stdout, x, "%g");

       gsl_permutation_free (p);
       gsl_vector_free (x);
       return 0;
     }

Here is the output from the program,

     x = -4.05205
     -12.6056
     1.66091
     8.69377

This can be verified by multiplying the solution x by the original
matrix A using GNU OCTAVE,

     octave> A = [ 0.18, 0.60, 0.57, 0.96;
                   0.41, 0.24, 0.99, 0.58;
                   0.14, 0.30, 0.97, 0.66;
                   0.51, 0.13, 0.19, 0.85 ];

     octave> x = [ -4.05205; -12.6056; 1.66091; 8.69377];

     octave> A * x
     ans =
       1.0000
       2.0000
       3.0000
       4.0000

This reproduces the original right-hand side vector, b, in accordance
with the equation A x = b.


File: gsl-ref.info,  Node: Linear Algebra References and Further Reading,  Prev: Linear Algebra Examples,  Up: Linear Algebra

14.16 References and Further Reading
====================================

Further information on the algorithms described in this section can be
found in the following book,

     G. H. Golub, C. F. Van Loan, `Matrix Computations' (3rd Ed, 1996),
     Johns Hopkins University Press, ISBN 0-8018-5414-8.

The LAPACK library is described in the following manual,

     `LAPACK Users' Guide' (Third Edition, 1999), Published by SIAM,
     ISBN 0-89871-447-8.

     `http://www.netlib.org/lapack'

The LAPACK source code can be found at the website above, along with an
online copy of the users guide.

The Modified Golub-Reinsch algorithm is described in the following
paper,

     T.F. Chan, "An Improved Algorithm for Computing the Singular Value
     Decomposition", `ACM Transactions on Mathematical Software', 8
     (1982), pp 72-83.

The Jacobi algorithm for singular value decomposition is described in
the following papers,

     J.C. Nash, "A one-sided transformation method for the singular
     value decomposition and algebraic eigenproblem", `Computer
     Journal', Volume 18, Number 1 (1975), p 74-76

     J.C. Nash and S. Shlien "Simple algorithms for the partial singular
     value decomposition", `Computer Journal', Volume 30 (1987), p
     268-275.

     James Demmel, Kres<imir Veselic', "Jacobi's Method is more
     accurate than QR", `Lapack Working Note 15' (LAWN-15), October
     1989. Available from netlib, `http://www.netlib.org/lapack/' in
     the `lawns' or `lawnspdf' directories.


File: gsl-ref.info,  Node: Eigensystems,  Next: Fast Fourier Transforms,  Prev: Linear Algebra,  Up: Top

15 Eigensystems
***************

This chapter describes functions for computing eigenvalues and
eigenvectors of matrices.  There are routines for real symmetric, real
nonsymmetric, complex hermitian, real generalized symmetric-definite,
complex generalized hermitian-definite, and real generalized
nonsymmetric eigensystems. Eigenvalues can be computed with or without
eigenvectors.  The hermitian and real symmetric matrix algorithms are
symmetric bidiagonalization followed by QR reduction. The nonsymmetric
algorithm is the Francis QR double-shift.  The generalized nonsymmetric
algorithm is the QZ method due to Moler and Stewart.

   The functions described in this chapter are declared in the header
file `gsl_eigen.h'.

* Menu:

* Real Symmetric Matrices::
* Complex Hermitian Matrices::
* Real Nonsymmetric Matrices::
* Real Generalized Symmetric-Definite Eigensystems::
* Complex Generalized Hermitian-Definite Eigensystems::
* Real Generalized Nonsymmetric Eigensystems::
* Sorting Eigenvalues and Eigenvectors::
* Eigenvalue and Eigenvector Examples::
* Eigenvalue and Eigenvector References::


File: gsl-ref.info,  Node: Real Symmetric Matrices,  Next: Complex Hermitian Matrices,  Up: Eigensystems

15.1 Real Symmetric Matrices
============================

For real symmetric matrices, the library uses the symmetric
bidiagonalization and QR reduction method.  This is described in Golub
& van Loan, section 8.3.  The computed eigenvalues are accurate to an
absolute accuracy of \epsilon ||A||_2, where \epsilon is the machine
precision.

 -- Function: gsl_eigen_symm_workspace * gsl_eigen_symm_alloc (const
          size_t N)
     This function allocates a workspace for computing eigenvalues of
     N-by-N real symmetric matrices.  The size of the workspace is
     O(2n).

 -- Function: void gsl_eigen_symm_free (gsl_eigen_symm_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_symm (gsl_matrix * A, gsl_vector * EVAL,
          gsl_eigen_symm_workspace * W)
     This function computes the eigenvalues of the real symmetric matrix
     A.  Additional workspace of the appropriate size must be provided
     in W.  The diagonal and lower triangular part of A are destroyed
     during the computation, but the strict upper triangular part is
     not referenced.  The eigenvalues are stored in the vector EVAL and
     are unordered.

 -- Function: gsl_eigen_symmv_workspace * gsl_eigen_symmv_alloc (const
          size_t N)
     This function allocates a workspace for computing eigenvalues and
     eigenvectors of N-by-N real symmetric matrices.  The size of the
     workspace is O(4n).

 -- Function: void gsl_eigen_symmv_free (gsl_eigen_symmv_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_symmv (gsl_matrix * A, gsl_vector * EVAL,
          gsl_matrix * EVEC, gsl_eigen_symmv_workspace * W)
     This function computes the eigenvalues and eigenvectors of the real
     symmetric matrix A.  Additional workspace of the appropriate size
     must be provided in W.  The diagonal and lower triangular part of
     A are destroyed during the computation, but the strict upper
     triangular part is not referenced.  The eigenvalues are stored in
     the vector EVAL and are unordered.  The corresponding eigenvectors
     are stored in the columns of the matrix EVEC.  For example, the
     eigenvector in the first column corresponds to the first
     eigenvalue.  The eigenvectors are guaranteed to be mutually
     orthogonal and normalised to unit magnitude.


File: gsl-ref.info,  Node: Complex Hermitian Matrices,  Next: Real Nonsymmetric Matrices,  Prev: Real Symmetric Matrices,  Up: Eigensystems

15.2 Complex Hermitian Matrices
===============================

For hermitian matrices, the library uses the complex form of the
symmetric bidiagonalization and QR reduction method.

 -- Function: gsl_eigen_herm_workspace * gsl_eigen_herm_alloc (const
          size_t N)
     This function allocates a workspace for computing eigenvalues of
     N-by-N complex hermitian matrices.  The size of the workspace is
     O(3n).

 -- Function: void gsl_eigen_herm_free (gsl_eigen_herm_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_herm (gsl_matrix_complex * A, gsl_vector *
          EVAL, gsl_eigen_herm_workspace * W)
     This function computes the eigenvalues of the complex hermitian
     matrix A.  Additional workspace of the appropriate size must be
     provided in W.  The diagonal and lower triangular part of A are
     destroyed during the computation, but the strict upper triangular
     part is not referenced.  The imaginary parts of the diagonal are
     assumed to be zero and are not referenced. The eigenvalues are
     stored in the vector EVAL and are unordered.

 -- Function: gsl_eigen_hermv_workspace * gsl_eigen_hermv_alloc (const
          size_t N)
     This function allocates a workspace for computing eigenvalues and
     eigenvectors of N-by-N complex hermitian matrices.  The size of
     the workspace is O(5n).

 -- Function: void gsl_eigen_hermv_free (gsl_eigen_hermv_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_hermv (gsl_matrix_complex * A, gsl_vector *
          EVAL, gsl_matrix_complex * EVEC, gsl_eigen_hermv_workspace *
          W)
     This function computes the eigenvalues and eigenvectors of the
     complex hermitian matrix A.  Additional workspace of the
     appropriate size must be provided in W.  The diagonal and lower
     triangular part of A are destroyed during the computation, but the
     strict upper triangular part is not referenced. The imaginary
     parts of the diagonal are assumed to be zero and are not
     referenced.  The eigenvalues are stored in the vector EVAL and are
     unordered.  The corresponding complex eigenvectors are stored in
     the columns of the matrix EVEC.  For example, the eigenvector in
     the first column corresponds to the first eigenvalue.  The
     eigenvectors are guaranteed to be mutually orthogonal and
     normalised to unit magnitude.


File: gsl-ref.info,  Node: Real Nonsymmetric Matrices,  Next: Real Generalized Symmetric-Definite Eigensystems,  Prev: Complex Hermitian Matrices,  Up: Eigensystems

15.3 Real Nonsymmetric Matrices
===============================

The solution of the real nonsymmetric eigensystem problem for a matrix
A involves computing the Schur decomposition

     A = Z T Z^T

   where Z is an orthogonal matrix of Schur vectors and T, the Schur
form, is quasi upper triangular with diagonal 1-by-1 blocks which are
real eigenvalues of A, and diagonal 2-by-2 blocks whose eigenvalues are
complex conjugate eigenvalues of A. The algorithm used is the
double-shift Francis method.

 -- Function: gsl_eigen_nonsymm_workspace * gsl_eigen_nonsymm_alloc
          (const size_t N)
     This function allocates a workspace for computing eigenvalues of
     N-by-N real nonsymmetric matrices. The size of the workspace is
     O(2n).

 -- Function: void gsl_eigen_nonsymm_free (gsl_eigen_nonsymm_workspace
          * W)
     This function frees the memory associated with the workspace W.

 -- Function: void gsl_eigen_nonsymm_params (const int COMPUTE_T, const
          int BALANCE, gsl_eigen_nonsymm_workspace * W)
     This function sets some parameters which determine how the
     eigenvalue problem is solved in subsequent calls to
     `gsl_eigen_nonsymm'.

     If COMPUTE_T is set to 1, the full Schur form T will be computed
     by `gsl_eigen_nonsymm'. If it is set to 0, T will not be computed
     (this is the default setting). Computing the full Schur form T
     requires approximately 1.5-2 times the number of flops.

     If BALANCE is set to 1, a balancing transformation is applied to
     the matrix prior to computing eigenvalues. This transformation is
     designed to make the rows and columns of the matrix have comparable
     norms, and can result in more accurate eigenvalues for matrices
     whose entries vary widely in magnitude. See *note Balancing:: for
     more information. Note that the balancing transformation does not
     preserve the orthogonality of the Schur vectors, so if you wish to
     compute the Schur vectors with `gsl_eigen_nonsymm_Z' you will
     obtain the Schur vectors of the balanced matrix instead of the
     original matrix. The relationship will be

          T = Q^t D^(-1) A D Q

     where Q is the matrix of Schur vectors for the balanced matrix, and
     D is the balancing transformation. Then `gsl_eigen_nonsymm_Z' will
     compute a matrix Z which satisfies

          T = Z^(-1) A Z

     with Z = D Q. Note that Z will not be orthogonal. For this reason,
     balancing is not performed by default.

 -- Function: int gsl_eigen_nonsymm (gsl_matrix * A, gsl_vector_complex
          * EVAL, gsl_eigen_nonsymm_workspace * W)
     This function computes the eigenvalues of the real nonsymmetric
     matrix A and stores them in the vector EVAL. If T is desired, it
     is stored in the upper portion of A on output.  Otherwise, on
     output, the diagonal of A will contain the 1-by-1 real eigenvalues
     and 2-by-2 complex conjugate eigenvalue systems, and the rest of A
     is destroyed. In rare cases, this function may fail to find all
     eigenvalues. If this happens, an error code is returned and the
     number of converged eigenvalues is stored in `w->n_evals'.  The
     converged eigenvalues are stored in the beginning of EVAL.

 -- Function: int gsl_eigen_nonsymm_Z (gsl_matrix * A,
          gsl_vector_complex * EVAL, gsl_matrix * Z,
          gsl_eigen_nonsymm_workspace * W)
     This function is identical to `gsl_eigen_nonsymm' except that it
     also computes the Schur vectors and stores them into Z.

 -- Function: gsl_eigen_nonsymmv_workspace * gsl_eigen_nonsymmv_alloc
          (const size_t N)
     This function allocates a workspace for computing eigenvalues and
     eigenvectors of N-by-N real nonsymmetric matrices. The size of the
     workspace is O(5n).

 -- Function: void gsl_eigen_nonsymmv_free
          (gsl_eigen_nonsymmv_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: void gsl_eigen_nonsymmv_params (const int BALANCE,
          gsl_eigen_nonsymm_workspace * W)
     This function sets parameters which determine how the eigenvalue
     problem is solved in subsequent calls to `gsl_eigen_nonsymmv'.  If
     BALANCE is set to 1, a balancing transformation is applied to the
     matrix. See `gsl_eigen_nonsymm_params' for more information.
     Balancing is turned off by default since it does not preserve the
     orthogonality of the Schur vectors.

 -- Function: int gsl_eigen_nonsymmv (gsl_matrix * A,
          gsl_vector_complex * EVAL, gsl_matrix_complex * EVEC,
          gsl_eigen_nonsymmv_workspace * W)
     This function computes eigenvalues and right eigenvectors of the
     N-by-N real nonsymmetric matrix A. It first calls
     `gsl_eigen_nonsymm' to compute the eigenvalues, Schur form T, and
     Schur vectors. Then it finds eigenvectors of T and backtransforms
     them using the Schur vectors. The Schur vectors are destroyed in
     the process, but can be saved by using `gsl_eigen_nonsymmv_Z'. The
     computed eigenvectors are normalized to have unit magnitude. On
     output, the upper portion of A contains the Schur form T. If
     `gsl_eigen_nonsymm' fails, no eigenvectors are computed, and an
     error code is returned.

 -- Function: int gsl_eigen_nonsymmv_Z (gsl_matrix * A,
          gsl_vector_complex * EVAL, gsl_matrix_complex * EVEC,
          gsl_matrix * Z, gsl_eigen_nonsymmv_workspace * W)
     This function is identical to `gsl_eigen_nonsymmv' except that it
     also saves the Schur vectors into Z.


File: gsl-ref.info,  Node: Real Generalized Symmetric-Definite Eigensystems,  Next: Complex Generalized Hermitian-Definite Eigensystems,  Prev: Real Nonsymmetric Matrices,  Up: Eigensystems

15.4 Real Generalized Symmetric-Definite Eigensystems
=====================================================

The real generalized symmetric-definite eigenvalue problem is to find
eigenvalues \lambda and eigenvectors x such that
     A x = \lambda B x
   where A and B are symmetric matrices, and B is positive-definite.
This problem reduces to the standard symmetric eigenvalue problem by
applying the Cholesky decomposition to B:
                           A x = \lambda B x
                           A x = \lambda L L^t x
     ( L^{-1} A L^{-t} ) L^t x = \lambda L^t x
   Therefore, the problem becomes C y = \lambda y where C = L^{-1} A
L^{-t} is symmetric, and y = L^t x. The standard symmetric eigensolver
can be applied to the matrix C.  The resulting eigenvectors are
backtransformed to find the vectors of the original problem. The
eigenvalues and eigenvectors of the generalized symmetric-definite
eigenproblem are always real.

 -- Function: gsl_eigen_gensymm_workspace * gsl_eigen_gensymm_alloc
          (const size_t N)
     This function allocates a workspace for computing eigenvalues of
     N-by-N real generalized symmetric-definite eigensystems. The size
     of the workspace is O(2n).

 -- Function: void gsl_eigen_gensymm_free (gsl_eigen_gensymm_workspace
          * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_gensymm (gsl_matrix * A, gsl_matrix * B,
          gsl_vector * EVAL, gsl_eigen_gensymm_workspace * W)
     This function computes the eigenvalues of the real generalized
     symmetric-definite matrix pair (A, B), and stores them in EVAL,
     using the method outlined above. On output, B contains its
     Cholesky decomposition and A is destroyed.

 -- Function: gsl_eigen_gensymmv_workspace * gsl_eigen_gensymmv_alloc
          (const size_t N)
     This function allocates a workspace for computing eigenvalues and
     eigenvectors of N-by-N real generalized symmetric-definite
     eigensystems. The size of the workspace is O(4n).

 -- Function: void gsl_eigen_gensymmv_free
          (gsl_eigen_gensymmv_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_gensymmv (gsl_matrix * A, gsl_matrix * B,
          gsl_vector * EVAL, gsl_matrix * EVEC,
          gsl_eigen_gensymmv_workspace * W)
     This function computes the eigenvalues and eigenvectors of the real
     generalized symmetric-definite matrix pair (A, B), and stores them
     in EVAL and EVEC respectively. The computed eigenvectors are
     normalized to have unit magnitude. On output, B contains its
     Cholesky decomposition and A is destroyed.


File: gsl-ref.info,  Node: Complex Generalized Hermitian-Definite Eigensystems,  Next: Real Generalized Nonsymmetric Eigensystems,  Prev: Real Generalized Symmetric-Definite Eigensystems,  Up: Eigensystems

15.5 Complex Generalized Hermitian-Definite Eigensystems
========================================================

The complex generalized hermitian-definite eigenvalue problem is to find
eigenvalues \lambda and eigenvectors x such that
     A x = \lambda B x
   where A and B are hermitian matrices, and B is positive-definite.
Similarly to the real case, this can be reduced to C y = \lambda y where
C = L^{-1} A L^{-H} is hermitian, and y = L^H x. The standard hermitian
eigensolver can be applied to the matrix C.  The resulting eigenvectors
are backtransformed to find the vectors of the original problem. The
eigenvalues of the generalized hermitian-definite eigenproblem are
always real.

 -- Function: gsl_eigen_genherm_workspace * gsl_eigen_genherm_alloc
          (const size_t N)
     This function allocates a workspace for computing eigenvalues of
     N-by-N complex generalized hermitian-definite eigensystems. The
     size of the workspace is O(3n).

 -- Function: void gsl_eigen_genherm_free (gsl_eigen_genherm_workspace
          * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_genherm (gsl_matrix_complex * A,
          gsl_matrix_complex * B, gsl_vector * EVAL,
          gsl_eigen_genherm_workspace * W)
     This function computes the eigenvalues of the complex generalized
     hermitian-definite matrix pair (A, B), and stores them in EVAL,
     using the method outlined above. On output, B contains its
     Cholesky decomposition and A is destroyed.

 -- Function: gsl_eigen_genhermv_workspace * gsl_eigen_genhermv_alloc
          (const size_t N)
     This function allocates a workspace for computing eigenvalues and
     eigenvectors of N-by-N complex generalized hermitian-definite
     eigensystems. The size of the workspace is O(5n).

 -- Function: void gsl_eigen_genhermv_free
          (gsl_eigen_genhermv_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_genhermv (gsl_matrix_complex * A,
          gsl_matrix_complex * B, gsl_vector * EVAL, gsl_matrix_complex
          * EVEC, gsl_eigen_genhermv_workspace * W)
     This function computes the eigenvalues and eigenvectors of the
     complex generalized hermitian-definite matrix pair (A, B), and
     stores them in EVAL and EVEC respectively. The computed
     eigenvectors are normalized to have unit magnitude. On output, B
     contains its Cholesky decomposition and A is destroyed.


File: gsl-ref.info,  Node: Real Generalized Nonsymmetric Eigensystems,  Next: Sorting Eigenvalues and Eigenvectors,  Prev: Complex Generalized Hermitian-Definite Eigensystems,  Up: Eigensystems

15.6 Real Generalized Nonsymmetric Eigensystems
===============================================

Given two square matrices (A, B), the generalized nonsymmetric
eigenvalue problem is to find eigenvalues \lambda and eigenvectors x
such that
     A x = \lambda B x
   We may also define the problem as finding eigenvalues \mu and
eigenvectors y such that
     \mu A y = B y
   Note that these two problems are equivalent (with \lambda = 1/\mu)
if neither \lambda nor \mu is zero. If say, \lambda is zero, then it is
still a well defined eigenproblem, but its alternate problem involving
\mu is not. Therefore, to allow for zero (and infinite) eigenvalues,
the problem which is actually solved is
     \beta A x = \alpha B x
   The eigensolver routines below will return two values \alpha and
\beta and leave it to the user to perform the divisions \lambda =
\alpha / \beta and \mu = \beta / \alpha.

   If the determinant of the matrix pencil A - \lambda B is zero for
all \lambda, the problem is said to be singular; otherwise it is called
regular.  Singularity normally leads to some \alpha = \beta = 0 which
means the eigenproblem is ill-conditioned and generally does not have
well defined eigenvalue solutions. The routines below are intended for
regular matrix pencils and could yield unpredictable results when
applied to singular pencils.

   The solution of the real generalized nonsymmetric eigensystem
problem for a matrix pair (A, B) involves computing the generalized
Schur decomposition
     A = Q S Z^T
     B = Q T Z^T
   where Q and Z are orthogonal matrices of left and right Schur
vectors respectively, and (S, T) is the generalized Schur form whose
diagonal elements give the \alpha and \beta values. The algorithm used
is the QZ method due to Moler and Stewart (see references).

 -- Function: gsl_eigen_gen_workspace * gsl_eigen_gen_alloc (const
          size_t N)
     This function allocates a workspace for computing eigenvalues of
     N-by-N real generalized nonsymmetric eigensystems. The size of the
     workspace is O(n).

 -- Function: void gsl_eigen_gen_free (gsl_eigen_gen_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: void gsl_eigen_gen_params (const int COMPUTE_S, const int
          COMPUTE_T, const int BALANCE, gsl_eigen_gen_workspace * W)
     This function sets some parameters which determine how the
     eigenvalue problem is solved in subsequent calls to
     `gsl_eigen_gen'.

     If COMPUTE_S is set to 1, the full Schur form S will be computed
     by `gsl_eigen_gen'. If it is set to 0, S will not be computed
     (this is the default setting). S is a quasi upper triangular
     matrix with 1-by-1 and 2-by-2 blocks on its diagonal. 1-by-1
     blocks correspond to real eigenvalues, and 2-by-2 blocks
     correspond to complex eigenvalues.

     If COMPUTE_T is set to 1, the full Schur form T will be computed
     by `gsl_eigen_gen'. If it is set to 0, T will not be computed
     (this is the default setting). T is an upper triangular matrix
     with non-negative elements on its diagonal.  Any 2-by-2 blocks in
     S will correspond to a 2-by-2 diagonal block in T.

     The BALANCE parameter is currently ignored, since generalized
     balancing is not yet implemented.

 -- Function: int gsl_eigen_gen (gsl_matrix * A, gsl_matrix * B,
          gsl_vector_complex * ALPHA, gsl_vector * BETA,
          gsl_eigen_gen_workspace * W)
     This function computes the eigenvalues of the real generalized
     nonsymmetric matrix pair (A, B), and stores them as pairs in
     (ALPHA, BETA), where ALPHA is complex and BETA is real. If \beta_i
     is non-zero, then \lambda = \alpha_i / \beta_i is an eigenvalue.
     Likewise, if \alpha_i is non-zero, then \mu = \beta_i / \alpha_i
     is an eigenvalue of the alternate problem \mu A y = B y. The
     elements of BETA are normalized to be non-negative.

     If S is desired, it is stored in A on output. If T is desired, it
     is stored in B on output. The ordering of eigenvalues in (ALPHA,
     BETA) follows the ordering of the diagonal blocks in the Schur
     forms S and T. In rare cases, this function may fail to find all
     eigenvalues. If this occurs, an error code is returned.

 -- Function: int gsl_eigen_gen_QZ (gsl_matrix * A, gsl_matrix * B,
          gsl_vector_complex * ALPHA, gsl_vector * BETA, gsl_matrix *
          Q, gsl_matrix * Z, gsl_eigen_gen_workspace * W)
     This function is identical to `gsl_eigen_gen' except that it also
     computes the left and right Schur vectors and stores them into Q
     and Z respectively.

 -- Function: gsl_eigen_genv_workspace * gsl_eigen_genv_alloc (const
          size_t N)
     This function allocates a workspace for computing eigenvalues and
     eigenvectors of N-by-N real generalized nonsymmetric eigensystems.
     The size of the workspace is O(7n).

 -- Function: void gsl_eigen_genv_free (gsl_eigen_genv_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_eigen_genv (gsl_matrix * A, gsl_matrix * B,
          gsl_vector_complex * ALPHA, gsl_vector * BETA,
          gsl_matrix_complex * EVEC, gsl_eigen_genv_workspace * W)
     This function computes eigenvalues and right eigenvectors of the
     N-by-N real generalized nonsymmetric matrix pair (A, B). The
     eigenvalues are stored in (ALPHA, BETA) and the eigenvectors are
     stored in EVEC. It first calls `gsl_eigen_gen' to compute the
     eigenvalues, Schur forms, and Schur vectors. Then it finds
     eigenvectors of the Schur forms and backtransforms them using the
     Schur vectors. The Schur vectors are destroyed in the process, but
     can be saved by using `gsl_eigen_genv_QZ'. The computed
     eigenvectors are normalized to have unit magnitude. On output, (A,
     B) contains the generalized Schur form (S, T). If `gsl_eigen_gen'
     fails, no eigenvectors are computed, and an error code is returned.

 -- Function: int gsl_eigen_genv_QZ (gsl_matrix * A, gsl_matrix * B,
          gsl_vector_complex * ALPHA, gsl_vector * BETA,
          gsl_matrix_complex * EVEC, gsl_matrix * Q, gsl_matrix * Z,
          gsl_eigen_genv_workspace * W)
     This function is identical to `gsl_eigen_genv' except that it also
     computes the left and right Schur vectors and stores them into Q
     and Z respectively.


File: gsl-ref.info,  Node: Sorting Eigenvalues and Eigenvectors,  Next: Eigenvalue and Eigenvector Examples,  Prev: Real Generalized Nonsymmetric Eigensystems,  Up: Eigensystems

15.7 Sorting Eigenvalues and Eigenvectors
=========================================

 -- Function: int gsl_eigen_symmv_sort (gsl_vector * EVAL, gsl_matrix *
          EVEC, gsl_eigen_sort_t SORT_TYPE)
     This function simultaneously sorts the eigenvalues stored in the
     vector EVAL and the corresponding real eigenvectors stored in the
     columns of the matrix EVEC into ascending or descending order
     according to the value of the parameter SORT_TYPE,

    `GSL_EIGEN_SORT_VAL_ASC'
          ascending order in numerical value

    `GSL_EIGEN_SORT_VAL_DESC'
          descending order in numerical value

    `GSL_EIGEN_SORT_ABS_ASC'
          ascending order in magnitude

    `GSL_EIGEN_SORT_ABS_DESC'
          descending order in magnitude


 -- Function: int gsl_eigen_hermv_sort (gsl_vector * EVAL,
          gsl_matrix_complex * EVEC, gsl_eigen_sort_t SORT_TYPE)
     This function simultaneously sorts the eigenvalues stored in the
     vector EVAL and the corresponding complex eigenvectors stored in
     the columns of the matrix EVEC into ascending or descending order
     according to the value of the parameter SORT_TYPE as shown above.

 -- Function: int gsl_eigen_nonsymmv_sort (gsl_vector_complex * EVAL,
          gsl_matrix_complex * EVEC, gsl_eigen_sort_t SORT_TYPE)
     This function simultaneously sorts the eigenvalues stored in the
     vector EVAL and the corresponding complex eigenvectors stored in
     the columns of the matrix EVEC into ascending or descending order
     according to the value of the parameter SORT_TYPE as shown above.
     Only `GSL_EIGEN_SORT_ABS_ASC' and `GSL_EIGEN_SORT_ABS_DESC' are
     supported due to the eigenvalues being complex.

 -- Function: int gsl_eigen_gensymmv_sort (gsl_vector * EVAL,
          gsl_matrix * EVEC, gsl_eigen_sort_t SORT_TYPE)
     This function simultaneously sorts the eigenvalues stored in the
     vector EVAL and the corresponding real eigenvectors stored in the
     columns of the matrix EVEC into ascending or descending order
     according to the value of the parameter SORT_TYPE as shown above.

 -- Function: int gsl_eigen_genhermv_sort (gsl_vector * EVAL,
          gsl_matrix_complex * EVEC, gsl_eigen_sort_t SORT_TYPE)
     This function simultaneously sorts the eigenvalues stored in the
     vector EVAL and the corresponding complex eigenvectors stored in
     the columns of the matrix EVEC into ascending or descending order
     according to the value of the parameter SORT_TYPE as shown above.

 -- Function: int gsl_eigen_genv_sort (gsl_vector_complex * ALPHA,
          gsl_vector * BETA, gsl_matrix_complex * EVEC,
          gsl_eigen_sort_t SORT_TYPE)
     This function simultaneously sorts the eigenvalues stored in the
     vectors (ALPHA, BETA) and the corresponding complex eigenvectors
     stored in the columns of the matrix EVEC into ascending or
     descending order according to the value of the parameter SORT_TYPE
     as shown above. Only `GSL_EIGEN_SORT_ABS_ASC' and
     `GSL_EIGEN_SORT_ABS_DESC' are supported due to the eigenvalues
     being complex.


File: gsl-ref.info,  Node: Eigenvalue and Eigenvector Examples,  Next: Eigenvalue and Eigenvector References,  Prev: Sorting Eigenvalues and Eigenvectors,  Up: Eigensystems

15.8 Examples
=============

The following program computes the eigenvalues and eigenvectors of the
4-th order Hilbert matrix, H(i,j) = 1/(i + j + 1).

     #include <stdio.h>
     #include <gsl/gsl_math.h>
     #include <gsl/gsl_eigen.h>

     int
     main (void)
     {
       double data[] = { 1.0  , 1/2.0, 1/3.0, 1/4.0,
                         1/2.0, 1/3.0, 1/4.0, 1/5.0,
                         1/3.0, 1/4.0, 1/5.0, 1/6.0,
                         1/4.0, 1/5.0, 1/6.0, 1/7.0 };

       gsl_matrix_view m
         = gsl_matrix_view_array (data, 4, 4);

       gsl_vector *eval = gsl_vector_alloc (4);
       gsl_matrix *evec = gsl_matrix_alloc (4, 4);

       gsl_eigen_symmv_workspace * w =
         gsl_eigen_symmv_alloc (4);

       gsl_eigen_symmv (&m.matrix, eval, evec, w);

       gsl_eigen_symmv_free (w);

       gsl_eigen_symmv_sort (eval, evec,
                             GSL_EIGEN_SORT_ABS_ASC);

       {
         int i;

         for (i = 0; i < 4; i++)
           {
             double eval_i
                = gsl_vector_get (eval, i);
             gsl_vector_view evec_i
                = gsl_matrix_column (evec, i);

             printf ("eigenvalue = %g\n", eval_i);
             printf ("eigenvector = \n");
             gsl_vector_fprintf (stdout,
                                 &evec_i.vector, "%g");
           }
       }

       gsl_vector_free (eval);
       gsl_matrix_free (evec);

       return 0;
     }

Here is the beginning of the output from the program,

     $ ./a.out
     eigenvalue = 9.67023e-05
     eigenvector =
     -0.0291933
     0.328712
     -0.791411
     0.514553
     ...

This can be compared with the corresponding output from GNU OCTAVE,

     octave> [v,d] = eig(hilb(4));
     octave> diag(d)
     ans =

        9.6702e-05
        6.7383e-03
        1.6914e-01
        1.5002e+00

     octave> v
     v =

        0.029193   0.179186  -0.582076   0.792608
       -0.328712  -0.741918   0.370502   0.451923
        0.791411   0.100228   0.509579   0.322416
       -0.514553   0.638283   0.514048   0.252161

Note that the eigenvectors can differ by a change of sign, since the
sign of an eigenvector is arbitrary.

   The following program illustrates the use of the nonsymmetric
eigensolver, by computing the eigenvalues and eigenvectors of the
Vandermonde matrix V(x;i,j) = x_i^{n - j} with x = (-1,-2,3,4).

     #include <stdio.h>
     #include <gsl/gsl_math.h>
     #include <gsl/gsl_eigen.h>

     int
     main (void)
     {
       double data[] = { -1.0, 1.0, -1.0, 1.0,
                         -8.0, 4.0, -2.0, 1.0,
                         27.0, 9.0, 3.0, 1.0,
                         64.0, 16.0, 4.0, 1.0 };

       gsl_matrix_view m
         = gsl_matrix_view_array (data, 4, 4);

       gsl_vector_complex *eval = gsl_vector_complex_alloc (4);
       gsl_matrix_complex *evec = gsl_matrix_complex_alloc (4, 4);

       gsl_eigen_nonsymmv_workspace * w =
         gsl_eigen_nonsymmv_alloc (4);

       gsl_eigen_nonsymmv (&m.matrix, eval, evec, w);

       gsl_eigen_nonsymmv_free (w);

       gsl_eigen_nonsymmv_sort (eval, evec,
                                GSL_EIGEN_SORT_ABS_DESC);

       {
         int i, j;

         for (i = 0; i < 4; i++)
           {
             gsl_complex eval_i
                = gsl_vector_complex_get (eval, i);
             gsl_vector_complex_view evec_i
                = gsl_matrix_complex_column (evec, i);

             printf ("eigenvalue = %g + %gi\n",
                     GSL_REAL(eval_i), GSL_IMAG(eval_i));
             printf ("eigenvector = \n");
             for (j = 0; j < 4; ++j)
               {
                 gsl_complex z =
                   gsl_vector_complex_get(&evec_i.vector, j);
                 printf("%g + %gi\n", GSL_REAL(z), GSL_IMAG(z));
               }
           }
       }

       gsl_vector_complex_free(eval);
       gsl_matrix_complex_free(evec);

       return 0;
     }

Here is the beginning of the output from the program,

     $ ./a.out
     eigenvalue = -6.41391 + 0i
     eigenvector =
     -0.0998822 + 0i
     -0.111251 + 0i
     0.292501 + 0i
     0.944505 + 0i
     eigenvalue = 5.54555 + 3.08545i
     eigenvector =
     -0.043487 + -0.0076308i
     0.0642377 + -0.142127i
     -0.515253 + 0.0405118i
     -0.840592 + -0.00148565i
     ...

This can be compared with the corresponding output from GNU OCTAVE,

     octave> [v,d] = eig(vander([-1 -2 3 4]));
     octave> diag(d)
     ans =

       -6.4139 + 0.0000i
        5.5456 + 3.0854i
        5.5456 - 3.0854i
        2.3228 + 0.0000i

     octave> v
     v =

      Columns 1 through 3:

       -0.09988 + 0.00000i  -0.04350 - 0.00755i  -0.04350 + 0.00755i
       -0.11125 + 0.00000i   0.06399 - 0.14224i   0.06399 + 0.14224i
        0.29250 + 0.00000i  -0.51518 + 0.04142i  -0.51518 - 0.04142i
        0.94451 + 0.00000i  -0.84059 + 0.00000i  -0.84059 - 0.00000i

      Column 4:

       -0.14493 + 0.00000i
        0.35660 + 0.00000i
        0.91937 + 0.00000i
        0.08118 + 0.00000i
   Note that the eigenvectors corresponding to the eigenvalue 5.54555 +
3.08545i differ by the multiplicative constant 0.9999984 + 0.0017674i
which is an arbitrary phase factor of magnitude 1.


File: gsl-ref.info,  Node: Eigenvalue and Eigenvector References,  Prev: Eigenvalue and Eigenvector Examples,  Up: Eigensystems

15.9 References and Further Reading
===================================

Further information on the algorithms described in this section can be
found in the following book,

     G. H. Golub, C. F. Van Loan, `Matrix Computations' (3rd Ed, 1996),
     Johns Hopkins University Press, ISBN 0-8018-5414-8.

Further information on the generalized eigensystems QZ algorithm can be
found in this paper,

     C. Moler, G. Stewart, "An Algorithm for Generalized Matrix
     Eigenvalue Problems", SIAM J. Numer. Anal., Vol 10, No 2, 1973.

Eigensystem routines for very large matrices can be found in the
Fortran library LAPACK. The LAPACK library is described in,

     `LAPACK Users' Guide' (Third Edition, 1999), Published by SIAM,
     ISBN 0-89871-447-8.

     `http://www.netlib.org/lapack'

The LAPACK source code can be found at the website above along with an
online copy of the users guide.


File: gsl-ref.info,  Node: Fast Fourier Transforms,  Next: Numerical Integration,  Prev: Eigensystems,  Up: Top

16 Fast Fourier Transforms (FFTs)
*********************************

This chapter describes functions for performing Fast Fourier Transforms
(FFTs).  The library includes radix-2 routines (for lengths which are a
power of two) and mixed-radix routines (which work for any length).  For
efficiency there are separate versions of the routines for real data and
for complex data.  The mixed-radix routines are a reimplementation of
the FFTPACK library of Paul Swarztrauber.  Fortran code for FFTPACK is
available on Netlib (FFTPACK also includes some routines for sine and
cosine transforms but these are currently not available in GSL).  For
details and derivations of the underlying algorithms consult the
document `GSL FFT Algorithms' (*note FFT References and Further
Reading::)

* Menu:

* Mathematical Definitions::
* Overview of complex data FFTs::
* Radix-2 FFT routines for complex data::
* Mixed-radix FFT routines for complex data::
* Overview of real data FFTs::
* Radix-2 FFT routines for real data::
* Mixed-radix FFT routines for real data::
* FFT References and Further Reading::


File: gsl-ref.info,  Node: Mathematical Definitions,  Next: Overview of complex data FFTs,  Up: Fast Fourier Transforms

16.1 Mathematical Definitions
=============================

Fast Fourier Transforms are efficient algorithms for calculating the
discrete Fourier transform (DFT),

     x_j = \sum_{k=0}^{n-1} z_k \exp(-2\pi i j k / n)

   The DFT usually arises as an approximation to the continuous Fourier
transform when functions are sampled at discrete intervals in space or
time.  The naive evaluation of the discrete Fourier transform is a
matrix-vector multiplication W\vec{z}. A general matrix-vector
multiplication takes O(n^2) operations for n data-points.  Fast Fourier
transform algorithms use a divide-and-conquer strategy to factorize the
matrix W into smaller sub-matrices, corresponding to the integer
factors of the length n.  If n can be factorized into a product of
integers f_1 f_2 ... f_m then the DFT can be computed in O(n \sum f_i)
operations.  For a radix-2 FFT this gives an operation count of O(n
\log_2 n).

   All the FFT functions offer three types of transform: forwards,
inverse and backwards, based on the same mathematical definitions.  The
definition of the "forward Fourier transform", x = FFT(z), is,

     x_j = \sum_{k=0}^{n-1} z_k \exp(-2\pi i j k / n)

and the definition of the "inverse Fourier transform", x = IFFT(z), is,

     z_j = {1 \over n} \sum_{k=0}^{n-1} x_k \exp(2\pi i j k / n).

The factor of 1/n makes this a true inverse.  For example, a call to
`gsl_fft_complex_forward' followed by a call to
`gsl_fft_complex_inverse' should return the original data (within
numerical errors).

   In general there are two possible choices for the sign of the
exponential in the transform/ inverse-transform pair. GSL follows the
same convention as FFTPACK, using a negative exponential for the forward
transform.  The advantage of this convention is that the inverse
transform recreates the original function with simple Fourier
synthesis.  Numerical Recipes uses the opposite convention, a positive
exponential in the forward transform.

   The "backwards FFT" is simply our terminology for an unscaled
version of the inverse FFT,

     z^{backwards}_j = \sum_{k=0}^{n-1} x_k \exp(2\pi i j k / n).

When the overall scale of the result is unimportant it is often
convenient to use the backwards FFT instead of the inverse to save
unnecessary divisions.


File: gsl-ref.info,  Node: Overview of complex data FFTs,  Next: Radix-2 FFT routines for complex data,  Prev: Mathematical Definitions,  Up: Fast Fourier Transforms

16.2 Overview of complex data FFTs
==================================

The inputs and outputs for the complex FFT routines are "packed arrays"
of floating point numbers.  In a packed array the real and imaginary
parts of each complex number are placed in alternate neighboring
elements.  For example, the following definition of a packed array of
length 6,

     double x[3*2];
     gsl_complex_packed_array data = x;

can be used to hold an array of three complex numbers, `z[3]', in the
following way,

     data[0] = Re(z[0])
     data[1] = Im(z[0])
     data[2] = Re(z[1])
     data[3] = Im(z[1])
     data[4] = Re(z[2])
     data[5] = Im(z[2])

The array indices for the data have the same ordering as those in the
definition of the DFT--i.e. there are no index transformations or
permutations of the data.

   A "stride" parameter allows the user to perform transforms on the
elements `z[stride*i]' instead of `z[i]'.  A stride greater than 1 can
be used to take an in-place FFT of the column of a matrix. A stride of
1 accesses the array without any additional spacing between elements.

   To perform an FFT on a vector argument, such as `gsl_vector_complex
* v', use the following definitions (or their equivalents) when calling
the functions described in this chapter:

     gsl_complex_packed_array data = v->data;
     size_t stride = v->stride;
     size_t n = v->size;

   For physical applications it is important to remember that the index
appearing in the DFT does not correspond directly to a physical
frequency.  If the time-step of the DFT is \Delta then the
frequency-domain includes both positive and negative frequencies,
ranging from -1/(2\Delta) through 0 to +1/(2\Delta).  The positive
frequencies are stored from the beginning of the array up to the
middle, and the negative frequencies are stored backwards from the end
of the array.

   Here is a table which shows the layout of the array DATA, and the
correspondence between the time-domain data z, and the frequency-domain
data x.

     index    z               x = FFT(z)

     0        z(t = 0)        x(f = 0)
     1        z(t = 1)        x(f = 1/(n Delta))
     2        z(t = 2)        x(f = 2/(n Delta))
     .        ........        ..................
     n/2      z(t = n/2)      x(f = +1/(2 Delta),
                                    -1/(2 Delta))
     .        ........        ..................
     n-3      z(t = n-3)      x(f = -3/(n Delta))
     n-2      z(t = n-2)      x(f = -2/(n Delta))
     n-1      z(t = n-1)      x(f = -1/(n Delta))

When n is even the location n/2 contains the most positive and negative
frequencies (+1/(2 \Delta), -1/(2 \Delta)) which are equivalent.  If n
is odd then general structure of the table above still applies, but n/2
does not appear.


File: gsl-ref.info,  Node: Radix-2 FFT routines for complex data,  Next: Mixed-radix FFT routines for complex data,  Prev: Overview of complex data FFTs,  Up: Fast Fourier Transforms

16.3 Radix-2 FFT routines for complex data
==========================================

The radix-2 algorithms described in this section are simple and compact,
although not necessarily the most efficient.  They use the Cooley-Tukey
algorithm to compute in-place complex FFTs for lengths which are a power
of 2--no additional storage is required.  The corresponding
self-sorting mixed-radix routines offer better performance at the
expense of requiring additional working space.

   All the functions described in this section are declared in the
header file `gsl_fft_complex.h'.

 -- Function: int gsl_fft_complex_radix2_forward
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N)
 -- Function: int gsl_fft_complex_radix2_transform
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N,
          gsl_fft_direction SIGN)
 -- Function: int gsl_fft_complex_radix2_backward
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N)
 -- Function: int gsl_fft_complex_radix2_inverse
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N)
     These functions compute forward, backward and inverse FFTs of
     length N with stride STRIDE, on the packed complex array DATA
     using an in-place radix-2 decimation-in-time algorithm.  The
     length of the transform N is restricted to powers of two.  For the
     `transform' version of the function the SIGN argument can be
     either `forward' (-1) or `backward' (+1).

     The functions return a value of `GSL_SUCCESS' if no errors were
     detected, or `GSL_EDOM' if the length of the data N is not a power
     of two.

 -- Function: int gsl_fft_complex_radix2_dif_forward
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N)
 -- Function: int gsl_fft_complex_radix2_dif_transform
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N,
          gsl_fft_direction SIGN)
 -- Function: int gsl_fft_complex_radix2_dif_backward
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N)
 -- Function: int gsl_fft_complex_radix2_dif_inverse
          (gsl_complex_packed_array DATA, size_t STRIDE, size_t N)
     These are decimation-in-frequency versions of the radix-2 FFT
     functions.


   Here is an example program which computes the FFT of a short pulse
in a sample of length 128.  To make the resulting Fourier transform
real the pulse is defined for equal positive and negative times (-10
... 10), where the negative times wrap around the end of the array.

     #include <stdio.h>
     #include <math.h>
     #include <gsl/gsl_errno.h>
     #include <gsl/gsl_fft_complex.h>

     #define REAL(z,i) ((z)[2*(i)])
     #define IMAG(z,i) ((z)[2*(i)+1])

     int
     main (void)
     {
       int i; double data[2*128];

       for (i = 0; i < 128; i++)
         {
            REAL(data,i) = 0.0; IMAG(data,i) = 0.0;
         }

       REAL(data,0) = 1.0;

       for (i = 1; i <= 10; i++)
         {
            REAL(data,i) = REAL(data,128-i) = 1.0;
         }

       for (i = 0; i < 128; i++)
         {
           printf ("%d %e %e\n", i,
                   REAL(data,i), IMAG(data,i));
         }
       printf ("\n");

       gsl_fft_complex_radix2_forward (data, 1, 128);

       for (i = 0; i < 128; i++)
         {
           printf ("%d %e %e\n", i,
                   REAL(data,i)/sqrt(128),
                   IMAG(data,i)/sqrt(128));
         }

       return 0;
     }

Note that we have assumed that the program is using the default error
handler (which calls `abort' for any errors).  If you are not using a
safe error handler you would need to check the return status of
`gsl_fft_complex_radix2_forward'.

   The transformed data is rescaled by 1/\sqrt n so that it fits on the
same plot as the input.  Only the real part is shown, by the choice of
the input data the imaginary part is zero.  Allowing for the
wrap-around of negative times at t=128, and working in units of k/n,
the DFT approximates the continuum Fourier transform, giving a
modulated sine function.


File: gsl-ref.info,  Node: Mixed-radix FFT routines for complex data,  Next: Overview of real data FFTs,  Prev: Radix-2 FFT routines for complex data,  Up: Fast Fourier Transforms

16.4 Mixed-radix FFT routines for complex data
==============================================

This section describes mixed-radix FFT algorithms for complex data.  The
mixed-radix functions work for FFTs of any length.  They are a
reimplementation of Paul Swarztrauber's Fortran FFTPACK library.  The
theory is explained in the review article `Self-sorting Mixed-radix
FFTs' by Clive Temperton.  The routines here use the same indexing
scheme and basic algorithms as FFTPACK.

   The mixed-radix algorithm is based on sub-transform modules--highly
optimized small length FFTs which are combined to create larger FFTs.
There are efficient modules for factors of 2, 3, 4, 5, 6 and 7.  The
modules for the composite factors of 4 and 6 are faster than combining
the modules for 2*2 and 2*3.

   For factors which are not implemented as modules there is a
fall-back to a general length-n module which uses Singleton's method for
efficiently computing a DFT. This module is O(n^2), and slower than a
dedicated module would be but works for any length n.  Of course,
lengths which use the general length-n module will still be factorized
as much as possible.  For example, a length of 143 will be factorized
into 11*13.  Large prime factors are the worst case scenario, e.g. as
found in n=2*3*99991, and should be avoided because their O(n^2)
scaling will dominate the run-time (consult the document `GSL FFT
Algorithms' included in the GSL distribution if you encounter this
problem).

   The mixed-radix initialization function
`gsl_fft_complex_wavetable_alloc' returns the list of factors chosen by
the library for a given length n.  It can be used to check how well the
length has been factorized, and estimate the run-time.  To a first
approximation the run-time scales as n \sum f_i, where the f_i are the
factors of n.  For programs under user control you may wish to issue a
warning that the transform will be slow when the length is poorly
factorized.  If you frequently encounter data lengths which cannot be
factorized using the existing small-prime modules consult `GSL FFT
Algorithms' for details on adding support for other factors.

   All the functions described in this section are declared in the
header file `gsl_fft_complex.h'.

 -- Function: gsl_fft_complex_wavetable *
gsl_fft_complex_wavetable_alloc (size_t N)
     This function prepares a trigonometric lookup table for a complex
     FFT of length N. The function returns a pointer to the newly
     allocated `gsl_fft_complex_wavetable' if no errors were detected,
     and a null pointer in the case of error.  The length N is
     factorized into a product of subtransforms, and the factors and
     their trigonometric coefficients are stored in the wavetable. The
     trigonometric coefficients are computed using direct calls to
     `sin' and `cos', for accuracy.  Recursion relations could be used
     to compute the lookup table faster, but if an application performs
     many FFTs of the same length then this computation is a one-off
     overhead which does not affect the final throughput.

     The wavetable structure can be used repeatedly for any transform
     of the same length.  The table is not modified by calls to any of
     the other FFT functions.  The same wavetable can be used for both
     forward and backward (or inverse) transforms of a given length.

 -- Function: void gsl_fft_complex_wavetable_free
          (gsl_fft_complex_wavetable * WAVETABLE)
     This function frees the memory associated with the wavetable
     WAVETABLE.  The wavetable can be freed if no further FFTs of the
     same length will be needed.

These functions operate on a `gsl_fft_complex_wavetable' structure
which contains internal parameters for the FFT.  It is not necessary to
set any of the components directly but it can sometimes be useful to
examine them.  For example, the chosen factorization of the FFT length
is given and can be used to provide an estimate of the run-time or
numerical error. The wavetable structure is declared in the header file
`gsl_fft_complex.h'.

 -- Data Type: gsl_fft_complex_wavetable
     This is a structure that holds the factorization and trigonometric
     lookup tables for the mixed radix fft algorithm.  It has the
     following components:

    `size_t n'
          This is the number of complex data points

    `size_t nf'
          This is the number of factors that the length `n' was
          decomposed into.

    `size_t factor[64]'
          This is the array of factors.  Only the first `nf' elements
          are used.

    `gsl_complex * trig'
          This is a pointer to a preallocated trigonometric lookup
          table of `n' complex elements.

    `gsl_complex * twiddle[64]'
          This is an array of pointers into `trig', giving the twiddle
          factors for each pass.

The mixed radix algorithms require additional working space to hold the
intermediate steps of the transform.

 -- Function: gsl_fft_complex_workspace *
gsl_fft_complex_workspace_alloc (size_t N)
     This function allocates a workspace for a complex transform of
     length N.

 -- Function: void gsl_fft_complex_workspace_free
          (gsl_fft_complex_workspace * WORKSPACE)
     This function frees the memory associated with the workspace
     WORKSPACE. The workspace can be freed if no further FFTs of the
     same length will be needed.

The following functions compute the transform,

 -- Function: int gsl_fft_complex_forward (gsl_complex_packed_array
          DATA, size_t STRIDE, size_t N, const
          gsl_fft_complex_wavetable * WAVETABLE,
          gsl_fft_complex_workspace * WORK)
 -- Function: int gsl_fft_complex_transform (gsl_complex_packed_array
          DATA, size_t STRIDE, size_t N, const
          gsl_fft_complex_wavetable * WAVETABLE,
          gsl_fft_complex_workspace * WORK, gsl_fft_direction SIGN)
 -- Function: int gsl_fft_complex_backward (gsl_complex_packed_array
          DATA, size_t STRIDE, size_t N, const
          gsl_fft_complex_wavetable * WAVETABLE,
          gsl_fft_complex_workspace * WORK)
 -- Function: int gsl_fft_complex_inverse (gsl_complex_packed_array
          DATA, size_t STRIDE, size_t N, const
          gsl_fft_complex_wavetable * WAVETABLE,
          gsl_fft_complex_workspace * WORK)
     These functions compute forward, backward and inverse FFTs of
     length N with stride STRIDE, on the packed complex array DATA,
     using a mixed radix decimation-in-frequency algorithm.  There is
     no restriction on the length N.  Efficient modules are provided
     for subtransforms of length 2, 3, 4, 5, 6 and 7.  Any remaining
     factors are computed with a slow, O(n^2), general-n module. The
     caller must supply a WAVETABLE containing the trigonometric lookup
     tables and a workspace WORK.  For the `transform' version of the
     function the SIGN argument can be either `forward' (-1) or
     `backward' (+1).

     The functions return a value of `0' if no errors were detected. The
     following `gsl_errno' conditions are defined for these functions:

    `GSL_EDOM'
          The length of the data N is not a positive integer (i.e. N is
          zero).

    `GSL_EINVAL'
          The length of the data N and the length used to compute the
          given WAVETABLE do not match.

   Here is an example program which computes the FFT of a short pulse
in a sample of length 630 (=2*3*3*5*7) using the mixed-radix algorithm.

     #include <stdio.h>
     #include <math.h>
     #include <gsl/gsl_errno.h>
     #include <gsl/gsl_fft_complex.h>

     #define REAL(z,i) ((z)[2*(i)])
     #define IMAG(z,i) ((z)[2*(i)+1])

     int
     main (void)
     {
       int i;
       const int n = 630;
       double data[2*n];

       gsl_fft_complex_wavetable * wavetable;
       gsl_fft_complex_workspace * workspace;

       for (i = 0; i < n; i++)
         {
           REAL(data,i) = 0.0;
           IMAG(data,i) = 0.0;
         }

       data[0] = 1.0;

       for (i = 1; i <= 10; i++)
         {
           REAL(data,i) = REAL(data,n-i) = 1.0;
         }

       for (i = 0; i < n; i++)
         {
           printf ("%d: %e %e\n", i, REAL(data,i),
                                     IMAG(data,i));
         }
       printf ("\n");

       wavetable = gsl_fft_complex_wavetable_alloc (n);
       workspace = gsl_fft_complex_workspace_alloc (n);

       for (i = 0; i < wavetable->nf; i++)
         {
            printf ("# factor %d: %d\n", i,
                    wavetable->factor[i]);
         }

       gsl_fft_complex_forward (data, 1, n,
                                wavetable, workspace);

       for (i = 0; i < n; i++)
         {
           printf ("%d: %e %e\n", i, REAL(data,i),
                                     IMAG(data,i));
         }

       gsl_fft_complex_wavetable_free (wavetable);
       gsl_fft_complex_workspace_free (workspace);
       return 0;
     }

Note that we have assumed that the program is using the default `gsl'
error handler (which calls `abort' for any errors).  If you are not
using a safe error handler you would need to check the return status of
all the `gsl' routines.


File: gsl-ref.info,  Node: Overview of real data FFTs,  Next: Radix-2 FFT routines for real data,  Prev: Mixed-radix FFT routines for complex data,  Up: Fast Fourier Transforms

16.5 Overview of real data FFTs
===============================

The functions for real data are similar to those for complex data.
However, there is an important difference between forward and inverse
transforms.  The Fourier transform of a real sequence is not real.  It
is a complex sequence with a special symmetry:

     z_k = z_{n-k}^*

A sequence with this symmetry is called "conjugate-complex" or
"half-complex".  This different structure requires different storage
layouts for the forward transform (from real to half-complex) and
inverse transform (from half-complex back to real).  As a consequence
the routines are divided into two sets: functions in `gsl_fft_real'
which operate on real sequences and functions in `gsl_fft_halfcomplex'
which operate on half-complex sequences.

   Functions in `gsl_fft_real' compute the frequency coefficients of a
real sequence.  The half-complex coefficients c of a real sequence x
are given by Fourier analysis,

     c_k = \sum_{j=0}^{n-1} x_j \exp(-2 \pi i j k /n)

Functions in `gsl_fft_halfcomplex' compute inverse or backwards
transforms.  They reconstruct real sequences by Fourier synthesis from
their half-complex frequency coefficients, c,

     x_j = {1 \over n} \sum_{k=0}^{n-1} c_k \exp(2 \pi i j k /n)

The symmetry of the half-complex sequence implies that only half of the
complex numbers in the output need to be stored.  The remaining half can
be reconstructed using the half-complex symmetry condition. This works
for all lengths, even and odd--when the length is even the middle value
where k=n/2 is also real.  Thus only N real numbers are required to
store the half-complex sequence, and the transform of a real sequence
can be stored in the same size array as the original data.

   The precise storage arrangements depend on the algorithm, and are
different for radix-2 and mixed-radix routines.  The radix-2 function
operates in-place, which constrains the locations where each element can
be stored.  The restriction forces real and imaginary parts to be stored
far apart.  The mixed-radix algorithm does not have this restriction,
and it stores the real and imaginary parts of a given term in
neighboring locations (which is desirable for better locality of memory
accesses).


File: gsl-ref.info,  Node: Radix-2 FFT routines for real data,  Next: Mixed-radix FFT routines for real data,  Prev: Overview of real data FFTs,  Up: Fast Fourier Transforms

16.6 Radix-2 FFT routines for real data
=======================================

This section describes radix-2 FFT algorithms for real data.  They use
the Cooley-Tukey algorithm to compute in-place FFTs for lengths which
are a power of 2.

   The radix-2 FFT functions for real data are declared in the header
files `gsl_fft_real.h'

 -- Function: int gsl_fft_real_radix2_transform (double DATA[], size_t
          STRIDE, size_t N)
     This function computes an in-place radix-2 FFT of length N and
     stride STRIDE on the real array DATA.  The output is a
     half-complex sequence, which is stored in-place.  The arrangement
     of the half-complex terms uses the following scheme: for k < n/2
     the real part of the k-th term is stored in location k, and the
     corresponding imaginary part is stored in location n-k.  Terms
     with k > n/2 can be reconstructed using the symmetry z_k =
     z^*_{n-k}.  The terms for k=0 and k=n/2 are both purely real, and
     count as a special case.  Their real parts are stored in locations
     0 and n/2 respectively, while their imaginary parts which are zero
     are not stored.

     The following table shows the correspondence between the output
     DATA and the equivalent results obtained by considering the input
     data as a complex sequence with zero imaginary part (assuming
     STRIDE=1),

          complex[0].real    =    data[0]
          complex[0].imag    =    0
          complex[1].real    =    data[1]
          complex[1].imag    =    data[n-1]
          ...............         ................
          complex[k].real    =    data[k]
          complex[k].imag    =    data[n-k]
          ...............         ................
          complex[n/2].real  =    data[n/2]
          complex[n/2].imag  =    0
          ...............         ................
          complex[k'].real   =    data[k]        k' = n - k
          complex[k'].imag   =   -data[n-k]
          ...............         ................
          complex[n-1].real  =    data[1]
          complex[n-1].imag  =   -data[n-1]
     Note that the output data can be converted into the full complex
     sequence using the function `gsl_fft_halfcomplex_radix2_unpack'
     described below.

   The radix-2 FFT functions for halfcomplex data are declared in the
header file `gsl_fft_halfcomplex.h'.

 -- Function: int gsl_fft_halfcomplex_radix2_inverse (double DATA[],
          size_t STRIDE, size_t N)
 -- Function: int gsl_fft_halfcomplex_radix2_backward (double DATA[],
          size_t STRIDE, size_t N)
     These functions compute the inverse or backwards in-place radix-2
     FFT of length N and stride STRIDE on the half-complex sequence
     DATA stored according the output scheme used by
     `gsl_fft_real_radix2'.  The result is a real array stored in
     natural order.

 -- Function: int gsl_fft_halfcomplex_radix2_unpack (const double
          HALFCOMPLEX_COEFFICIENT[], gsl_complex_packed_array
          COMPLEX_COEFFICIENT, size_t STRIDE, size_t N)
     This function converts HALFCOMPLEX_COEFFICIENT, an array of
     half-complex coefficients as returned by
     `gsl_fft_real_radix2_transform', into an ordinary complex array,
     COMPLEX_COEFFICIENT.  It fills in the complex array using the
     symmetry z_k = z_{n-k}^* to reconstruct the redundant elements.
     The algorithm for the conversion is,

          complex_coefficient[0].real
            = halfcomplex_coefficient[0];
          complex_coefficient[0].imag
            = 0.0;

          for (i = 1; i < n - i; i++)
            {
              double hc_real
                = halfcomplex_coefficient[i*stride];
              double hc_imag
                = halfcomplex_coefficient[(n-i)*stride];
              complex_coefficient[i*stride].real = hc_real;
              complex_coefficient[i*stride].imag = hc_imag;
              complex_coefficient[(n - i)*stride].real = hc_real;
              complex_coefficient[(n - i)*stride].imag = -hc_imag;
            }

          if (i == n - i)
            {
              complex_coefficient[i*stride].real
                = halfcomplex_coefficient[(n - 1)*stride];
              complex_coefficient[i*stride].imag
                = 0.0;
            }


File: gsl-ref.info,  Node: Mixed-radix FFT routines for real data,  Next: FFT References and Further Reading,  Prev: Radix-2 FFT routines for real data,  Up: Fast Fourier Transforms

16.7 Mixed-radix FFT routines for real data
===========================================

This section describes mixed-radix FFT algorithms for real data.  The
mixed-radix functions work for FFTs of any length.  They are a
reimplementation of the real-FFT routines in the Fortran FFTPACK library
by Paul Swarztrauber.  The theory behind the algorithm is explained in
the article `Fast Mixed-Radix Real Fourier Transforms' by Clive
Temperton.  The routines here use the same indexing scheme and basic
algorithms as FFTPACK.

   The functions use the FFTPACK storage convention for half-complex
sequences.  In this convention the half-complex transform of a real
sequence is stored with frequencies in increasing order, starting at
zero, with the real and imaginary parts of each frequency in neighboring
locations.  When a value is known to be real the imaginary part is not
stored.  The imaginary part of the zero-frequency component is never
stored.  It is known to be zero (since the zero frequency component is
simply the sum of the input data (all real)).  For a sequence of even
length the imaginary part of the frequency n/2 is not stored either,
since the symmetry z_k = z_{n-k}^* implies that this is purely real too.

   The storage scheme is best shown by some examples.  The table below
shows the output for an odd-length sequence, n=5.  The two columns give
the correspondence between the 5 values in the half-complex sequence
returned by `gsl_fft_real_transform', HALFCOMPLEX[] and the values
COMPLEX[] that would be returned if the same real input sequence were
passed to `gsl_fft_complex_backward' as a complex sequence (with
imaginary parts set to `0'),

     complex[0].real  =  halfcomplex[0]
     complex[0].imag  =  0
     complex[1].real  =  halfcomplex[1]
     complex[1].imag  =  halfcomplex[2]
     complex[2].real  =  halfcomplex[3]
     complex[2].imag  =  halfcomplex[4]
     complex[3].real  =  halfcomplex[3]
     complex[3].imag  = -halfcomplex[4]
     complex[4].real  =  halfcomplex[1]
     complex[4].imag  = -halfcomplex[2]

The upper elements of the COMPLEX array, `complex[3]' and `complex[4]'
are filled in using the symmetry condition.  The imaginary part of the
zero-frequency term `complex[0].imag' is known to be zero by the
symmetry.

   The next table shows the output for an even-length sequence, n=6 In
the even case there are two values which are purely real,

     complex[0].real  =  halfcomplex[0]
     complex[0].imag  =  0
     complex[1].real  =  halfcomplex[1]
     complex[1].imag  =  halfcomplex[2]
     complex[2].real  =  halfcomplex[3]
     complex[2].imag  =  halfcomplex[4]
     complex[3].real  =  halfcomplex[5]
     complex[3].imag  =  0
     complex[4].real  =  halfcomplex[3]
     complex[4].imag  = -halfcomplex[4]
     complex[5].real  =  halfcomplex[1]
     complex[5].imag  = -halfcomplex[2]

The upper elements of the COMPLEX array, `complex[4]' and `complex[5]'
are filled in using the symmetry condition.  Both `complex[0].imag' and
`complex[3].imag' are known to be zero.

   All these functions are declared in the header files
`gsl_fft_real.h' and `gsl_fft_halfcomplex.h'.

 -- Function: gsl_fft_real_wavetable * gsl_fft_real_wavetable_alloc
          (size_t N)
 -- Function: gsl_fft_halfcomplex_wavetable *
gsl_fft_halfcomplex_wavetable_alloc (size_t N)
     These functions prepare trigonometric lookup tables for an FFT of
     size n real elements.  The functions return a pointer to the newly
     allocated struct if no errors were detected, and a null pointer in
     the case of error.  The length N is factorized into a product of
     subtransforms, and the factors and their trigonometric
     coefficients are stored in the wavetable. The trigonometric
     coefficients are computed using direct calls to `sin' and `cos',
     for accuracy.  Recursion relations could be used to compute the
     lookup table faster, but if an application performs many FFTs of
     the same length then computing the wavetable is a one-off overhead
     which does not affect the final throughput.

     The wavetable structure can be used repeatedly for any transform
     of the same length.  The table is not modified by calls to any of
     the other FFT functions.  The appropriate type of wavetable must
     be used for forward real or inverse half-complex transforms.

 -- Function: void gsl_fft_real_wavetable_free (gsl_fft_real_wavetable
          * WAVETABLE)
 -- Function: void gsl_fft_halfcomplex_wavetable_free
          (gsl_fft_halfcomplex_wavetable * WAVETABLE)
     These functions free the memory associated with the wavetable
     WAVETABLE. The wavetable can be freed if no further FFTs of the
     same length will be needed.

The mixed radix algorithms require additional working space to hold the
intermediate steps of the transform,

 -- Function: gsl_fft_real_workspace * gsl_fft_real_workspace_alloc
          (size_t N)
     This function allocates a workspace for a real transform of length
     N.  The same workspace can be used for both forward real and
     inverse halfcomplex transforms.

 -- Function: void gsl_fft_real_workspace_free (gsl_fft_real_workspace
          * WORKSPACE)
     This function frees the memory associated with the workspace
     WORKSPACE. The workspace can be freed if no further FFTs of the
     same length will be needed.

The following functions compute the transforms of real and half-complex
data,

 -- Function: int gsl_fft_real_transform (double DATA[], size_t STRIDE,
          size_t N, const gsl_fft_real_wavetable * WAVETABLE,
          gsl_fft_real_workspace * WORK)
 -- Function: int gsl_fft_halfcomplex_transform (double DATA[], size_t
          STRIDE, size_t N, const gsl_fft_halfcomplex_wavetable *
          WAVETABLE, gsl_fft_real_workspace * WORK)
     These functions compute the FFT of DATA, a real or half-complex
     array of length N, using a mixed radix decimation-in-frequency
     algorithm.  For `gsl_fft_real_transform' DATA is an array of
     time-ordered real data.  For `gsl_fft_halfcomplex_transform' DATA
     contains Fourier coefficients in the half-complex ordering
     described above.  There is no restriction on the length N.
     Efficient modules are provided for subtransforms of length 2, 3, 4
     and 5.  Any remaining factors are computed with a slow, O(n^2),
     general-n module.  The caller must supply a WAVETABLE containing
     trigonometric lookup tables and a workspace WORK.

 -- Function: int gsl_fft_real_unpack (const double REAL_COEFFICIENT[],
          gsl_complex_packed_array COMPLEX_COEFFICIENT, size_t STRIDE,
          size_t N)
     This function converts a single real array, REAL_COEFFICIENT into
     an equivalent complex array, COMPLEX_COEFFICIENT, (with imaginary
     part set to zero), suitable for `gsl_fft_complex' routines.  The
     algorithm for the conversion is simply,

          for (i = 0; i < n; i++)
            {
              complex_coefficient[i*stride].real
                = real_coefficient[i*stride];
              complex_coefficient[i*stride].imag
                = 0.0;
            }

 -- Function: int gsl_fft_halfcomplex_unpack (const double
          HALFCOMPLEX_COEFFICIENT[], gsl_complex_packed_array
          COMPLEX_COEFFICIENT, size_t STRIDE, size_t N)
     This function converts HALFCOMPLEX_COEFFICIENT, an array of
     half-complex coefficients as returned by `gsl_fft_real_transform',
     into an ordinary complex array, COMPLEX_COEFFICIENT.  It fills in
     the complex array using the symmetry z_k = z_{n-k}^* to
     reconstruct the redundant elements.  The algorithm for the
     conversion is,

          complex_coefficient[0].real
            = halfcomplex_coefficient[0];
          complex_coefficient[0].imag
            = 0.0;

          for (i = 1; i < n - i; i++)
            {
              double hc_real
                = halfcomplex_coefficient[(2 * i - 1)*stride];
              double hc_imag
                = halfcomplex_coefficient[(2 * i)*stride];
              complex_coefficient[i*stride].real = hc_real;
              complex_coefficient[i*stride].imag = hc_imag;
              complex_coefficient[(n - i)*stride].real = hc_real;
              complex_coefficient[(n - i)*stride].imag = -hc_imag;
            }

          if (i == n - i)
            {
              complex_coefficient[i*stride].real
                = halfcomplex_coefficient[(n - 1)*stride];
              complex_coefficient[i*stride].imag
                = 0.0;
            }

   Here is an example program using `gsl_fft_real_transform' and
`gsl_fft_halfcomplex_inverse'.  It generates a real signal in the shape
of a square pulse.  The pulse is Fourier transformed to frequency
space, and all but the lowest ten frequency components are removed from
the array of Fourier coefficients returned by `gsl_fft_real_transform'.

   The remaining Fourier coefficients are transformed back to the
time-domain, to give a filtered version of the square pulse.  Since
Fourier coefficients are stored using the half-complex symmetry both
positive and negative frequencies are removed and the final filtered
signal is also real.

     #include <stdio.h>
     #include <math.h>
     #include <gsl/gsl_errno.h>
     #include <gsl/gsl_fft_real.h>
     #include <gsl/gsl_fft_halfcomplex.h>

     int
     main (void)
     {
       int i, n = 100;
       double data[n];

       gsl_fft_real_wavetable * real;
       gsl_fft_halfcomplex_wavetable * hc;
       gsl_fft_real_workspace * work;

       for (i = 0; i < n; i++)
         {
           data[i] = 0.0;
         }

       for (i = n / 3; i < 2 * n / 3; i++)
         {
           data[i] = 1.0;
         }

       for (i = 0; i < n; i++)
         {
           printf ("%d: %e\n", i, data[i]);
         }
       printf ("\n");

       work = gsl_fft_real_workspace_alloc (n);
       real = gsl_fft_real_wavetable_alloc (n);

       gsl_fft_real_transform (data, 1, n,
                               real, work);

       gsl_fft_real_wavetable_free (real);

       for (i = 11; i < n; i++)
         {
           data[i] = 0;
         }

       hc = gsl_fft_halfcomplex_wavetable_alloc (n);

       gsl_fft_halfcomplex_inverse (data, 1, n,
                                    hc, work);
       gsl_fft_halfcomplex_wavetable_free (hc);

       for (i = 0; i < n; i++)
         {
           printf ("%d: %e\n", i, data[i]);
         }

       gsl_fft_real_workspace_free (work);
       return 0;
     }


File: gsl-ref.info,  Node: FFT References and Further Reading,  Prev: Mixed-radix FFT routines for real data,  Up: Fast Fourier Transforms

16.8 References and Further Reading
===================================

A good starting point for learning more about the FFT is the review
article `Fast Fourier Transforms: A Tutorial Review and A State of the
Art' by Duhamel and Vetterli,

     P. Duhamel and M. Vetterli.  Fast Fourier transforms: A tutorial
     review and a state of the art.  `Signal Processing', 19:259-299,
     1990.

To find out about the algorithms used in the GSL routines you may want
to consult the document `GSL FFT Algorithms' (it is included in GSL, as
`doc/fftalgorithms.tex').  This has general information on FFTs and
explicit derivations of the implementation for each routine.  There are
also references to the relevant literature.  For convenience some of
the more important references are reproduced below.

There are several introductory books on the FFT with example programs,
such as `The Fast Fourier Transform' by Brigham and `DFT/FFT and
Convolution Algorithms' by Burrus and Parks,

     E. Oran Brigham.  `The Fast Fourier Transform'.  Prentice Hall,
     1974.

     C. S. Burrus and T. W. Parks.  `DFT/FFT and Convolution
     Algorithms'.  Wiley, 1984.

Both these introductory books cover the radix-2 FFT in some detail.
The mixed-radix algorithm at the heart of the FFTPACK routines is
reviewed in Clive Temperton's paper,

     Clive Temperton.  Self-sorting mixed-radix fast Fourier transforms.
     `Journal of Computational Physics', 52(1):1-23, 1983.

The derivation of FFTs for real-valued data is explained in the
following two articles,

     Henrik V. Sorenson, Douglas L. Jones, Michael T. Heideman, and C.
     Sidney Burrus.  Real-valued fast Fourier transform algorithms.
     `IEEE Transactions on Acoustics, Speech, and Signal Processing',
     ASSP-35(6):849-863, 1987.

     Clive Temperton.  Fast mixed-radix real Fourier transforms.
     `Journal of Computational Physics', 52:340-350, 1983.

In 1979 the IEEE published a compendium of carefully-reviewed Fortran
FFT programs in `Programs for Digital Signal Processing'.  It is a
useful reference for implementations of many different FFT algorithms,

     Digital Signal Processing Committee and IEEE Acoustics, Speech,
     and Signal Processing Committee, editors.  `Programs for Digital
     Signal Processing'.  IEEE Press, 1979.

For large-scale FFT work we recommend the use of the dedicated FFTW
library by Frigo and Johnson.  The FFTW library is self-optimizing--it
automatically tunes itself for each hardware platform in order to
achieve maximum performance.  It is available under the GNU GPL.

     FFTW Website, `http://www.fftw.org/'

The source code for FFTPACK is available from Netlib,

     FFTPACK, `http://www.netlib.org/fftpack/'


File: gsl-ref.info,  Node: Numerical Integration,  Next: Random Number Generation,  Prev: Fast Fourier Transforms,  Up: Top

17 Numerical Integration
************************

This chapter describes routines for performing numerical integration
(quadrature) of a function in one dimension.  There are routines for
adaptive and non-adaptive integration of general functions, with
specialised routines for specific cases.  These include integration over
infinite and semi-infinite ranges, singular integrals, including
logarithmic singularities, computation of Cauchy principal values and
oscillatory integrals.  The library reimplements the algorithms used in
QUADPACK, a numerical integration package written by Piessens, de
Doncker-Kapenga, Ueberhuber and Kahaner.  Fortran code for QUADPACK is
available on Netlib.  Also included are non-adaptive, fixed-order
Gauss-Legendre integration routines with high precision coefficients by
Pavel Holoborodko.

   The functions described in this chapter are declared in the header
file `gsl_integration.h'.

* Menu:

* Numerical Integration Introduction::
* QNG non-adaptive Gauss-Kronrod integration::
* QAG adaptive integration::
* QAGS adaptive integration with singularities::
* QAGP adaptive integration with known singular points::
* QAGI adaptive integration on infinite intervals::
* QAWC adaptive integration for Cauchy principal values::
* QAWS adaptive integration for singular functions::
* QAWO adaptive integration for oscillatory functions::
* QAWF adaptive integration for Fourier integrals::
* CQUAD doubly-adaptive integration::
* Fixed order Gauss-Legendre integration::
* Numerical integration error codes::
* Numerical integration examples::
* Numerical integration References and Further Reading::


File: gsl-ref.info,  Node: Numerical Integration Introduction,  Next: QNG non-adaptive Gauss-Kronrod integration,  Up: Numerical Integration

17.1 Introduction
=================

Each algorithm computes an approximation to a definite integral of the
form,

     I = \int_a^b f(x) w(x) dx

where w(x) is a weight function (for general integrands w(x)=1).  The
user provides absolute and relative error bounds (epsabs, epsrel) which
specify the following accuracy requirement,

     |RESULT - I|  <= max(epsabs, epsrel |I|)

where RESULT is the numerical approximation obtained by the algorithm.
The algorithms attempt to estimate the absolute error ABSERR = |RESULT
- I| in such a way that the following inequality holds,

     |RESULT - I| <= ABSERR <= max(epsabs, epsrel |I|)

In short, the routines return the first approximation which has an
absolute error smaller than epsabs or a relative error smaller than
epsrel.

   Note that this is an either-or constraint, not simultaneous.  To
compute to a specified absolute error, set epsrel to zero.  To compute
to a specified relative error, set epsabs to zero.  The routines will
fail to converge if the error bounds are too stringent, but always
return the best approximation obtained up to that stage.

   The algorithms in QUADPACK use a naming convention based on the
following letters,

     `Q' - quadrature routine

     `N' - non-adaptive integrator
     `A' - adaptive integrator

     `G' - general integrand (user-defined)
     `W' - weight function with integrand

     `S' - singularities can be more readily integrated
     `P' - points of special difficulty can be supplied
     `I' - infinite range of integration
     `O' - oscillatory weight function, cos or sin
     `F' - Fourier integral
     `C' - Cauchy principal value

The algorithms are built on pairs of quadrature rules, a higher order
rule and a lower order rule.  The higher order rule is used to compute
the best approximation to an integral over a small range.  The
difference between the results of the higher order rule and the lower
order rule gives an estimate of the error in the approximation.

* Menu:

* Integrands without weight functions::
* Integrands with weight functions::
* Integrands with singular weight functions::


File: gsl-ref.info,  Node: Integrands without weight functions,  Next: Integrands with weight functions,  Up: Numerical Integration Introduction

17.1.1 Integrands without weight functions
------------------------------------------

The algorithms for general functions (without a weight function) are
based on Gauss-Kronrod rules.

   A Gauss-Kronrod rule begins with a classical Gaussian quadrature
rule of order m.  This is extended with additional points between each
of the abscissae to give a higher order Kronrod rule of order 2m+1.
The Kronrod rule is efficient because it reuses existing function
evaluations from the Gaussian rule.

   The higher order Kronrod rule is used as the best approximation to
the integral, and the difference between the two rules is used as an
estimate of the error in the approximation.


File: gsl-ref.info,  Node: Integrands with weight functions,  Next: Integrands with singular weight functions,  Prev: Integrands without weight functions,  Up: Numerical Integration Introduction

17.1.2 Integrands with weight functions
---------------------------------------

For integrands with weight functions the algorithms use Clenshaw-Curtis
quadrature rules.

   A Clenshaw-Curtis rule begins with an n-th order Chebyshev
polynomial approximation to the integrand.  This polynomial can be
integrated exactly to give an approximation to the integral of the
original function.  The Chebyshev expansion can be extended to higher
orders to improve the approximation and provide an estimate of the
error.


File: gsl-ref.info,  Node: Integrands with singular weight functions,  Prev: Integrands with weight functions,  Up: Numerical Integration Introduction

17.1.3 Integrands with singular weight functions
------------------------------------------------

The presence of singularities (or other behavior) in the integrand can
cause slow convergence in the Chebyshev approximation.  The modified
Clenshaw-Curtis rules used in QUADPACK separate out several common
weight functions which cause slow convergence.

   These weight functions are integrated analytically against the
Chebyshev polynomials to precompute "modified Chebyshev moments".
Combining the moments with the Chebyshev approximation to the function
gives the desired integral.  The use of analytic integration for the
singular part of the function allows exact cancellations and
substantially improves the overall convergence behavior of the
integration.


File: gsl-ref.info,  Node: QNG non-adaptive Gauss-Kronrod integration,  Next: QAG adaptive integration,  Prev: Numerical Integration Introduction,  Up: Numerical Integration

17.2 QNG non-adaptive Gauss-Kronrod integration
===============================================

The QNG algorithm is a non-adaptive procedure which uses fixed
Gauss-Kronrod-Patterson abscissae to sample the integrand at a maximum
of 87 points.  It is provided for fast integration of smooth functions.

 -- Function: int gsl_integration_qng (const gsl_function * F, double
          A, double B, double EPSABS, double EPSREL, double * RESULT,
          double * ABSERR, size_t * NEVAL)
     This function applies the Gauss-Kronrod 10-point, 21-point,
     43-point and 87-point integration rules in succession until an
     estimate of the integral of f over (a,b) is achieved within the
     desired absolute and relative error limits, EPSABS and EPSREL.  The
     function returns the final approximation, RESULT, an estimate of
     the absolute error, ABSERR and the number of function evaluations
     used, NEVAL.  The Gauss-Kronrod rules are designed in such a way
     that each rule uses all the results of its predecessors, in order
     to minimize the total number of function evaluations.


File: gsl-ref.info,  Node: QAG adaptive integration,  Next: QAGS adaptive integration with singularities,  Prev: QNG non-adaptive Gauss-Kronrod integration,  Up: Numerical Integration

17.3 QAG adaptive integration
=============================

The QAG algorithm is a simple adaptive integration procedure.  The
integration region is divided into subintervals, and on each iteration
the subinterval with the largest estimated error is bisected.  This
reduces the overall error rapidly, as the subintervals become
concentrated around local difficulties in the integrand.  These
subintervals are managed by a `gsl_integration_workspace' struct, which
handles the memory for the subinterval ranges, results and error
estimates.

 -- Function: gsl_integration_workspace *
gsl_integration_workspace_alloc (size_t N)
     This function allocates a workspace sufficient to hold N double
     precision intervals, their integration results and error estimates.

 -- Function: void gsl_integration_workspace_free
          (gsl_integration_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_integration_qag (const gsl_function * F, double
          A, double B, double EPSABS, double EPSREL, size_t LIMIT, int
          KEY, gsl_integration_workspace * WORKSPACE, double * RESULT,
          double * ABSERR)
     This function applies an integration rule adaptively until an
     estimate of the integral of f over (a,b) is achieved within the
     desired absolute and relative error limits, EPSABS and EPSREL.
     The function returns the final approximation, RESULT, and an
     estimate of the absolute error, ABSERR.  The integration rule is
     determined by the value of KEY, which should be chosen from the
     following symbolic names,

          GSL_INTEG_GAUSS15  (key = 1)
          GSL_INTEG_GAUSS21  (key = 2)
          GSL_INTEG_GAUSS31  (key = 3)
          GSL_INTEG_GAUSS41  (key = 4)
          GSL_INTEG_GAUSS51  (key = 5)
          GSL_INTEG_GAUSS61  (key = 6)

     corresponding to the 15, 21, 31, 41, 51 and 61 point Gauss-Kronrod
     rules.  The higher-order rules give better accuracy for smooth
     functions, while lower-order rules save time when the function
     contains local difficulties, such as discontinuities.

     On each iteration the adaptive integration strategy bisects the
     interval with the largest error estimate.  The subintervals and
     their results are stored in the memory provided by WORKSPACE.  The
     maximum number of subintervals is given by LIMIT, which may not
     exceed the allocated size of the workspace.


File: gsl-ref.info,  Node: QAGS adaptive integration with singularities,  Next: QAGP adaptive integration with known singular points,  Prev: QAG adaptive integration,  Up: Numerical Integration

17.4 QAGS adaptive integration with singularities
=================================================

The presence of an integrable singularity in the integration region
causes an adaptive routine to concentrate new subintervals around the
singularity.  As the subintervals decrease in size the successive
approximations to the integral converge in a limiting fashion.  This
approach to the limit can be accelerated using an extrapolation
procedure.  The QAGS algorithm combines adaptive bisection with the Wynn
epsilon-algorithm to speed up the integration of many types of
integrable singularities.

 -- Function: int gsl_integration_qags (const gsl_function * F, double
          A, double B, double EPSABS, double EPSREL, size_t LIMIT,
          gsl_integration_workspace * WORKSPACE, double * RESULT,
          double * ABSERR)
     This function applies the Gauss-Kronrod 21-point integration rule
     adaptively until an estimate of the integral of f over (a,b) is
     achieved within the desired absolute and relative error limits,
     EPSABS and EPSREL.  The results are extrapolated using the
     epsilon-algorithm, which accelerates the convergence of the
     integral in the presence of discontinuities and integrable
     singularities.  The function returns the final approximation from
     the extrapolation, RESULT, and an estimate of the absolute error,
     ABSERR.  The subintervals and their results are stored in the
     memory provided by WORKSPACE.  The maximum number of subintervals
     is given by LIMIT, which may not exceed the allocated size of the
     workspace.



File: gsl-ref.info,  Node: QAGP adaptive integration with known singular points,  Next: QAGI adaptive integration on infinite intervals,  Prev: QAGS adaptive integration with singularities,  Up: Numerical Integration

17.5 QAGP adaptive integration with known singular points
=========================================================

 -- Function: int gsl_integration_qagp (const gsl_function * F, double
          * PTS, size_t NPTS, double EPSABS, double EPSREL, size_t
          LIMIT, gsl_integration_workspace * WORKSPACE, double *
          RESULT, double * ABSERR)
     This function applies the adaptive integration algorithm QAGS
     taking account of the user-supplied locations of singular points.
     The array PTS of length NPTS should contain the endpoints of the
     integration ranges defined by the integration region and locations
     of the singularities.  For example, to integrate over the region
     (a,b) with break-points at x_1, x_2, x_3 (where a < x_1 < x_2 <
     x_3 < b) the following PTS array should be used

          pts[0] = a
          pts[1] = x_1
          pts[2] = x_2
          pts[3] = x_3
          pts[4] = b

     with NPTS = 5.

     If you know the locations of the singular points in the integration
     region then this routine will be faster than `QAGS'.



File: gsl-ref.info,  Node: QAGI adaptive integration on infinite intervals,  Next: QAWC adaptive integration for Cauchy principal values,  Prev: QAGP adaptive integration with known singular points,  Up: Numerical Integration

17.6 QAGI adaptive integration on infinite intervals
====================================================

 -- Function: int gsl_integration_qagi (gsl_function * F, double
          EPSABS, double EPSREL, size_t LIMIT,
          gsl_integration_workspace * WORKSPACE, double * RESULT,
          double * ABSERR)
     This function computes the integral of the function F over the
     infinite interval (-\infty,+\infty).  The integral is mapped onto
     the semi-open interval (0,1] using the transformation x = (1-t)/t,

          \int_{-\infty}^{+\infty} dx f(x) =
               \int_0^1 dt (f((1-t)/t) + f((-1+t)/t))/t^2.

     It is then integrated using the QAGS algorithm.  The normal
     21-point Gauss-Kronrod rule of QAGS is replaced by a 15-point
     rule, because the transformation can generate an integrable
     singularity at the origin.  In this case a lower-order rule is
     more efficient.

 -- Function: int gsl_integration_qagiu (gsl_function * F, double A,
          double EPSABS, double EPSREL, size_t LIMIT,
          gsl_integration_workspace * WORKSPACE, double * RESULT,
          double * ABSERR)
     This function computes the integral of the function F over the
     semi-infinite interval (a,+\infty).  The integral is mapped onto
     the semi-open interval (0,1] using the transformation x = a +
     (1-t)/t,

          \int_{a}^{+\infty} dx f(x) =
               \int_0^1 dt f(a + (1-t)/t)/t^2

     and then integrated using the QAGS algorithm.

 -- Function: int gsl_integration_qagil (gsl_function * F, double B,
          double EPSABS, double EPSREL, size_t LIMIT,
          gsl_integration_workspace * WORKSPACE, double * RESULT,
          double * ABSERR)
     This function computes the integral of the function F over the
     semi-infinite interval (-\infty,b).  The integral is mapped onto
     the semi-open interval (0,1] using the transformation x = b -
     (1-t)/t,

          \int_{-\infty}^{b} dx f(x) =
               \int_0^1 dt f(b - (1-t)/t)/t^2

     and then integrated using the QAGS algorithm.


File: gsl-ref.info,  Node: QAWC adaptive integration for Cauchy principal values,  Next: QAWS adaptive integration for singular functions,  Prev: QAGI adaptive integration on infinite intervals,  Up: Numerical Integration

17.7 QAWC adaptive integration for Cauchy principal values
==========================================================

 -- Function: int gsl_integration_qawc (gsl_function * F, double A,
          double B, double C, double EPSABS, double EPSREL, size_t
          LIMIT, gsl_integration_workspace * WORKSPACE, double *
          RESULT, double * ABSERR)
     This function computes the Cauchy principal value of the integral
     of f over (a,b), with a singularity at C,

          I = \int_a^b dx f(x) / (x - c)

     The adaptive bisection algorithm of QAG is used, with
     modifications to ensure that subdivisions do not occur at the
     singular point x = c.  When a subinterval contains the point x = c
     or is close to it then a special 25-point modified Clenshaw-Curtis
     rule is used to control the singularity.  Further away from the
     singularity the algorithm uses an ordinary 15-point Gauss-Kronrod
     integration rule.



File: gsl-ref.info,  Node: QAWS adaptive integration for singular functions,  Next: QAWO adaptive integration for oscillatory functions,  Prev: QAWC adaptive integration for Cauchy principal values,  Up: Numerical Integration

17.8 QAWS adaptive integration for singular functions
=====================================================

The QAWS algorithm is designed for integrands with algebraic-logarithmic
singularities at the end-points of an integration region.  In order to
work efficiently the algorithm requires a precomputed table of
Chebyshev moments.

 -- Function: gsl_integration_qaws_table *
gsl_integration_qaws_table_alloc (double ALPHA, double BETA, int MU,
          int NU)
     This function allocates space for a `gsl_integration_qaws_table'
     struct describing a singular weight function W(x) with the
     parameters (\alpha, \beta, \mu, \nu),

          W(x) = (x-a)^alpha (b-x)^beta log^mu (x-a) log^nu (b-x)

     where \alpha > -1, \beta > -1, and \mu = 0, 1, \nu = 0, 1.  The
     weight function can take four different forms depending on the
     values of \mu and \nu,

          W(x) = (x-a)^alpha (b-x)^beta                   (mu = 0, nu = 0)
          W(x) = (x-a)^alpha (b-x)^beta log(x-a)          (mu = 1, nu = 0)
          W(x) = (x-a)^alpha (b-x)^beta log(b-x)          (mu = 0, nu = 1)
          W(x) = (x-a)^alpha (b-x)^beta log(x-a) log(b-x) (mu = 1, nu = 1)

     The singular points (a,b) do not have to be specified until the
     integral is computed, where they are the endpoints of the
     integration range.

     The function returns a pointer to the newly allocated table
     `gsl_integration_qaws_table' if no errors were detected, and 0 in
     the case of error.

 -- Function: int gsl_integration_qaws_table_set
          (gsl_integration_qaws_table * T, double ALPHA, double BETA,
          int MU, int NU)
     This function modifies the parameters (\alpha, \beta, \mu, \nu) of
     an existing `gsl_integration_qaws_table' struct T.

 -- Function: void gsl_integration_qaws_table_free
          (gsl_integration_qaws_table * T)
     This function frees all the memory associated with the
     `gsl_integration_qaws_table' struct T.

 -- Function: int gsl_integration_qaws (gsl_function * F, const double
          A, const double B, gsl_integration_qaws_table * T, const
          double EPSABS, const double EPSREL, const size_t LIMIT,
          gsl_integration_workspace * WORKSPACE, double * RESULT,
          double * ABSERR)
     This function computes the integral of the function f(x) over the
     interval (a,b) with the singular weight function (x-a)^\alpha
     (b-x)^\beta \log^\mu (x-a) \log^\nu (b-x).  The parameters of the
     weight function (\alpha, \beta, \mu, \nu) are taken from the table
     T.  The integral is,

          I = \int_a^b dx f(x) (x-a)^alpha (b-x)^beta log^mu (x-a) log^nu (b-x).

     The adaptive bisection algorithm of QAG is used.  When a
     subinterval contains one of the endpoints then a special 25-point
     modified Clenshaw-Curtis rule is used to control the
     singularities.  For subintervals which do not include the
     endpoints an ordinary 15-point Gauss-Kronrod integration rule is
     used.



File: gsl-ref.info,  Node: QAWO adaptive integration for oscillatory functions,  Next: QAWF adaptive integration for Fourier integrals,  Prev: QAWS adaptive integration for singular functions,  Up: Numerical Integration

17.9 QAWO adaptive integration for oscillatory functions
========================================================

The QAWO algorithm is designed for integrands with an oscillatory
factor, \sin(\omega x) or \cos(\omega x).  In order to work efficiently
the algorithm requires a table of Chebyshev moments which must be
pre-computed with calls to the functions below.

 -- Function: gsl_integration_qawo_table *
gsl_integration_qawo_table_alloc (double OMEGA, double L, enum
          gsl_integration_qawo_enum SINE, size_t N)
     This function allocates space for a `gsl_integration_qawo_table'
     struct and its associated workspace describing a sine or cosine
     weight function W(x) with the parameters (\omega, L),

          W(x) = sin(omega x)
          W(x) = cos(omega x)

     The parameter L must be the length of the interval over which the
     function will be integrated L = b - a.  The choice of sine or
     cosine is made with the parameter SINE which should be chosen from
     one of the two following symbolic values:

          GSL_INTEG_COSINE
          GSL_INTEG_SINE

     The `gsl_integration_qawo_table' is a table of the trigonometric
     coefficients required in the integration process.  The parameter N
     determines the number of levels of coefficients that are computed.
     Each level corresponds to one bisection of the interval L, so that
     N levels are sufficient for subintervals down to the length L/2^n.
     The integration routine `gsl_integration_qawo' returns the error
     `GSL_ETABLE' if the number of levels is insufficient for the
     requested accuracy.


 -- Function: int gsl_integration_qawo_table_set
          (gsl_integration_qawo_table * T, double OMEGA, double L, enum
          gsl_integration_qawo_enum SINE)
     This function changes the parameters OMEGA, L and SINE of the
     existing workspace T.

 -- Function: int gsl_integration_qawo_table_set_length
          (gsl_integration_qawo_table * T, double L)
     This function allows the length parameter L of the workspace T to
     be changed.

 -- Function: void gsl_integration_qawo_table_free
          (gsl_integration_qawo_table * T)
     This function frees all the memory associated with the workspace T.

 -- Function: int gsl_integration_qawo (gsl_function * F, const double
          A, const double EPSABS, const double EPSREL, const size_t
          LIMIT, gsl_integration_workspace * WORKSPACE,
          gsl_integration_qawo_table * WF, double * RESULT, double *
          ABSERR)
     This function uses an adaptive algorithm to compute the integral of
     f over (a,b) with the weight function \sin(\omega x) or
     \cos(\omega x) defined by the table WF,

          I = \int_a^b dx f(x) sin(omega x)
          I = \int_a^b dx f(x) cos(omega x)

     The results are extrapolated using the epsilon-algorithm to
     accelerate the convergence of the integral.  The function returns
     the final approximation from the extrapolation, RESULT, and an
     estimate of the absolute error, ABSERR.  The subintervals and
     their results are stored in the memory provided by WORKSPACE.  The
     maximum number of subintervals is given by LIMIT, which may not
     exceed the allocated size of the workspace.

     Those subintervals with "large" widths d where d\omega > 4 are
     computed using a 25-point Clenshaw-Curtis integration rule, which
     handles the oscillatory behavior.  Subintervals with a "small"
     widths where d\omega < 4 are computed using a 15-point
     Gauss-Kronrod integration.



File: gsl-ref.info,  Node: QAWF adaptive integration for Fourier integrals,  Next: CQUAD doubly-adaptive integration,  Prev: QAWO adaptive integration for oscillatory functions,  Up: Numerical Integration

17.10 QAWF adaptive integration for Fourier integrals
=====================================================

 -- Function: int gsl_integration_qawf (gsl_function * F, const double
          A, const double EPSABS, const size_t LIMIT,
          gsl_integration_workspace * WORKSPACE,
          gsl_integration_workspace * CYCLE_WORKSPACE,
          gsl_integration_qawo_table * WF, double * RESULT, double *
          ABSERR)
     This function attempts to compute a Fourier integral of the
     function F over the semi-infinite interval [a,+\infty).

          I = \int_a^{+\infty} dx f(x) sin(omega x)
          I = \int_a^{+\infty} dx f(x) cos(omega x)

     The parameter \omega and choice of \sin or \cos is taken from the
     table WF (the length L can take any value, since it is overridden
     by this function to a value appropriate for the Fourier
     integration).  The integral is computed using the QAWO algorithm
     over each of the subintervals,

          C_1 = [a, a + c]
          C_2 = [a + c, a + 2 c]
          ... = ...
          C_k = [a + (k-1) c, a + k c]

     where c = (2 floor(|\omega|) + 1) \pi/|\omega|.  The width c is
     chosen to cover an odd number of periods so that the contributions
     from the intervals alternate in sign and are monotonically
     decreasing when F is positive and monotonically decreasing.  The
     sum of this sequence of contributions is accelerated using the
     epsilon-algorithm.

     This function works to an overall absolute tolerance of ABSERR.
     The following strategy is used: on each interval C_k the algorithm
     tries to achieve the tolerance

          TOL_k = u_k abserr

     where u_k = (1 - p)p^{k-1} and p = 9/10.  The sum of the geometric
     series of contributions from each interval gives an overall
     tolerance of ABSERR.

     If the integration of a subinterval leads to difficulties then the
     accuracy requirement for subsequent intervals is relaxed,

          TOL_k = u_k max(abserr, max_{i<k}{E_i})

     where E_k is the estimated error on the interval C_k.

     The subintervals and their results are stored in the memory
     provided by WORKSPACE.  The maximum number of subintervals is
     given by LIMIT, which may not exceed the allocated size of the
     workspace.  The integration over each subinterval uses the memory
     provided by CYCLE_WORKSPACE as workspace for the QAWO algorithm.



File: gsl-ref.info,  Node: CQUAD doubly-adaptive integration,  Next: Fixed order Gauss-Legendre integration,  Prev: QAWF adaptive integration for Fourier integrals,  Up: Numerical Integration

17.11 CQUAD doubly-adaptive integration
=======================================

CQUAD is a new doubly-adaptive general-purpose quadrature routine which
can handle most types of singularities, non-numerical function values
such as `Inf' or `NaN', as well as some divergent integrals. It
generally requires more function evaluations than the integration
routines in QUADPACK, yet fails less often for difficult integrands.

   The underlying algorithm uses a doubly-adaptive scheme in which
Clenshaw-Curtis quadrature rules of increasing degree are used to
compute the integral in each interval. The L_2-norm of the difference
between the underlying interpolatory polynomials of two successive
rules is used as an error estimate. The interval is subdivided if the
difference between two successive rules is too large or a rule of
maximum degree has been reached.

 -- Function: gsl_integration_cquad_workspace *
gsl_integration_cquad_workspace_alloc (size_t N)
     This function allocates a workspace sufficient to hold the data for
     N intervals. The number N is not the maximum number of intervals
     that will be evaluated. If the workspace is full, intervals with
     smaller error estimates will be discarded. A minimum of 3
     intervals is required and or most functions, a workspace of size
     100 is sufficient.

 -- Function: void gsl_integration_cquad_workspace_free
          (gsl_integration_cquad_workspace * W)
     This function frees the memory associated with the workspace W.

 -- Function: int gsl_integration_cquad (const gsl_function * F, double
          A, double B, double EPSABS, double EPSREL,
          gsl_integration_cquad_workspace * WORKSPACE, double * RESULT,
          double * ABSERR, size_t * NEVALS)
     This function computes the integral of f over (a,b) within the
     desired absolute and relative error limits, EPSABS and EPSREL
     using the CQUAD algorithm.  The function returns the final
     approximation, RESULT, an estimate of the absolute error, ABSERR,
     and the number of function evaluations required, NEVALS.

     The CQUAD algorithm divides the integration region into
     subintervals, and in each iteration, the subinterval with the
     largest estimated error is processed.  The algorithm uses
     Clenshaw-Curits quadrature rules of degree 4, 8, 16 and 32 over 5,
     9, 17 and 33 nodes respectively. Each interval is initialized with
     the lowest-degree rule. When an interval is processed, the
     next-higher degree rule is evaluated and an error estimate is
     computed based on the L_2-norm of the difference between the
     underlying interpolating polynomials of both rules. If the
     highest-degree rule has already been used, or the interpolatory
     polynomials differ significantly, the interval is bisected.

     The subintervals and their results are stored in the memory
     provided by WORKSPACE. If the error estimate or the number of
     function evaluations is not needed, the pointers ABSERR and NEVALS
     can be set to `NULL'.


File: gsl-ref.info,  Node: Fixed order Gauss-Legendre integration,  Next: Numerical integration error codes,  Prev: CQUAD doubly-adaptive integration,  Up: Numerical Integration

17.12 Gauss-Legendre integration
================================

The fixed-order Gauss-Legendre integration routines are provided for
fast integration of smooth functions with known polynomial order.  The
n-point Gauss-Legendre rule is exact for polynomials of order 2*n-1 or
less.  For example, these rules are useful when integrating basis
functions to form mass matrices for the Galerkin method.  Unlike other
numerical integration routines within the library, these routines do
not accept absolute or relative error bounds.

 -- Function: gsl_integration_glfixed_table *
gsl_integration_glfixed_table_alloc (size_t N)
     This function determines the Gauss-Legendre abscissae and weights
     necessary for an n-point fixed order integration scheme.  If
     possible, high precision precomputed coefficients are used.  If
     precomputed weights are not available, lower precision
     coefficients are computed on the fly.

 -- Function: double gsl_integration_glfixed (const gsl_function * F,
          double A, double B, const gsl_integration_glfixed_table * T)
     This function applies the Gauss-Legendre integration rule
     contained in table T and returns the result.

 -- Function: int gsl_integration_glfixed_point (double A, double B,
          size_t I, double * XI, double * WI, const
          gsl_integration_glfixed_table * T)
     For I in [0, ..., t->n - 1], this function obtains the I-th
     Gauss-Legendre point XI and weight WI on the interval [A,B].  The
     points and weights are ordered by increasing point value.  A
     function f may be integrated on [A,B] by summing wi * f(xi) over I.

 -- Function: void gsl_integration_glfixed_table_free
          (gsl_integration_glfixed_table * T)
     This function frees the memory associated with the table T.


File: gsl-ref.info,  Node: Numerical integration error codes,  Next: Numerical integration examples,  Prev: Fixed order Gauss-Legendre integration,  Up: Numerical Integration

17.13 Error codes
=================

In addition to the standard error codes for invalid arguments the
functions can return the following values,

`GSL_EMAXITER'
     the maximum number of subdivisions was exceeded.

`GSL_EROUND'
     cannot reach tolerance because of roundoff error, or roundoff
     error was detected in the extrapolation table.

`GSL_ESING'
     a non-integrable singularity or other bad integrand behavior was
     found in the integration interval.

`GSL_EDIVERGE'
     the integral is divergent, or too slowly convergent to be
     integrated numerically.


File: gsl-ref.info,  Node: Numerical integration examples,  Next: Numerical integration References and Further Reading,  Prev: Numerical integration error codes,  Up: Numerical Integration

17.14 Examples
==============

The integrator `QAGS' will handle a large class of definite integrals.
For example, consider the following integral, which has an
algebraic-logarithmic singularity at the origin,

     \int_0^1 x^{-1/2} log(x) dx = -4

The program below computes this integral to a relative accuracy bound of
`1e-7'.

     #include <stdio.h>
     #include <math.h>
     #include <gsl/gsl_integration.h>

     double f (double x, void * params) {
       double alpha = *(double *) params;
       double f = log(alpha*x) / sqrt(x);
       return f;
     }

     int
     main (void)
     {
       gsl_integration_workspace * w
         = gsl_integration_workspace_alloc (1000);

       double result, error;
       double expected = -4.0;
       double alpha = 1.0;

       gsl_function F;
       F.function = &f;
       F.params = &alpha;

       gsl_integration_qags (&F, 0, 1, 0, 1e-7, 1000,
                             w, &result, &error);

       printf ("result          = % .18f\n", result);
       printf ("exact result    = % .18f\n", expected);
       printf ("estimated error = % .18f\n", error);
       printf ("actual error    = % .18f\n", result - expected);
       printf ("intervals =  %d\n", w->size);

       gsl_integration_workspace_free (w);

       return 0;
     }

The results below show that the desired accuracy is achieved after 8
subdivisions.

     $ ./a.out
     result          = -3.999999999999973799
     exact result    = -4.000000000000000000
     estimated error =  0.000000000000246025
     actual error    =  0.000000000000026201
     intervals =  8

In fact, the extrapolation procedure used by `QAGS' produces an
accuracy of almost twice as many digits.  The error estimate returned by
the extrapolation procedure is larger than the actual error, giving a
margin of safety of one order of magnitude.


File: gsl-ref.info,  Node: Numerical integration References and Further Reading,  Prev: Numerical integration examples,  Up: Numerical Integration

17.15 References and Further Reading
====================================

The following book is the definitive reference for QUADPACK, and was
written by the original authors.  It provides descriptions of the
algorithms, program listings, test programs and examples.  It also
includes useful advice on numerical integration and many references to
the numerical integration literature used in developing QUADPACK.

     R. Piessens, E. de Doncker-Kapenga, C.W. Ueberhuber, D.K. Kahaner.
     `QUADPACK A subroutine package for automatic integration' Springer
     Verlag, 1983.

The CQUAD integration algorithm is described in the following paper:

     P. Gonnet, "Increasing the Reliability of Adaptive Quadrature Using
     Explicit Interpolants", `ACM Transactions on Mathematical
     Software', Volume 37 (2010), Issue 3, Article 26.


File: gsl-ref.info,  Node: Random Number Generation,  Next: Quasi-Random Sequences,  Prev: Numerical Integration,  Up: Top

18 Random Number Generation
***************************

The library provides a large collection of random number generators
which can be accessed through a uniform interface.  Environment
variables allow you to select different generators and seeds at runtime,
so that you can easily switch between generators without needing to
recompile your program.  Each instance of a generator keeps track of its
own state, allowing the generators to be used in multi-threaded
programs.  Additional functions are available for transforming uniform
random numbers into samples from continuous or discrete probability
distributions such as the Gaussian, log-normal or Poisson distributions.

   These functions are declared in the header file `gsl_rng.h'.

* Menu:

* General comments on random numbers::
* The Random Number Generator Interface::
* Random number generator initialization::
* Sampling from a random number generator::
* Auxiliary random number generator functions::
* Random number environment variables::
* Copying random number generator state::
* Reading and writing random number generator state::
* Random number generator algorithms::
* Unix random number generators::
* Other random number generators::
* Random Number Generator Performance::
* Random Number Generator Examples::
* Random Number References and Further Reading::
* Random Number Acknowledgements::


File: gsl-ref.info,  Node: General comments on random numbers,  Next: The Random Number Generator Interface,  Up: Random Number Generation

18.1 General comments on random numbers
=======================================

In 1988, Park and Miller wrote a paper entitled "Random number
generators: good ones are hard to find." [Commun. ACM, 31, 1192-1201].
Fortunately, some excellent random number generators are available,
though poor ones are still in common use.  You may be happy with the
system-supplied random number generator on your computer, but you should
be aware that as computers get faster, requirements on random number
generators increase.  Nowadays, a simulation that calls a random number
generator millions of times can often finish before you can make it down
the hall to the coffee machine and back.

   A very nice review of random number generators was written by Pierre
L'Ecuyer, as Chapter 4 of the book: Handbook on Simulation, Jerry Banks,
ed. (Wiley, 1997).  The chapter is available in postscript from
L'Ecuyer's ftp site (see references).  Knuth's volume on Seminumerical
Algorithms (originally published in 1968) devotes 170 pages to random
number generators, and has recently been updated in its 3rd edition
(1997).  It is brilliant, a classic.  If you don't own it, you should
stop reading right now, run to the nearest bookstore, and buy it.

   A good random number generator will satisfy both theoretical and
statistical properties.  Theoretical properties are often hard to obtain
(they require real math!), but one prefers a random number generator
with a long period, low serial correlation, and a tendency _not_ to
"fall mainly on the planes."  Statistical tests are performed with
numerical simulations.  Generally, a random number generator is used to
estimate some quantity for which the theory of probability provides an
exact answer.  Comparison to this exact answer provides a measure of
"randomness".


File: gsl-ref.info,  Node: The Random Number Generator Interface,  Next: Random number generator initialization,  Prev: General comments on random numbers,  Up: Random Number Generation

18.2 The Random Number Generator Interface
==========================================

It is important to remember that a random number generator is not a
"real" function like sine or cosine.  Unlike real functions, successive
calls to a random number generator yield different return values.  Of
course that is just what you want for a random number generator, but to
achieve this effect, the generator must keep track of some kind of
"state" variable.  Sometimes this state is just an integer (sometimes
just the value of the previously generated random number), but often it
is more complicated than that and may involve a whole array of numbers,
possibly with some indices thrown in.  To use the random number
generators, you do not need to know the details of what comprises the
state, and besides that varies from algorithm to algorithm.

   The random number generator library uses two special structs,
`gsl_rng_type' which holds static information about each type of
generator and `gsl_rng' which describes an instance of a generator
created from a given `gsl_rng_type'.

   The functions described in this section are declared in the header
file `gsl_rng.h'.


File: gsl-ref.info,  Node: Random number generator initialization,  Next: Sampling from a random number generator,  Prev: The Random Number Generator Interface,  Up: Random Number Generation

18.3 Random number generator initialization
===========================================

 -- Function: gsl_rng * gsl_rng_alloc (const gsl_rng_type * T)
     This function returns a pointer to a newly-created instance of a
     random number generator of type T.  For example, the following
     code creates an instance of the Tausworthe generator,

          gsl_rng * r = gsl_rng_alloc (gsl_rng_taus);

     If there is insufficient memory to create the generator then the
     function returns a null pointer and the error handler is invoked
     with an error code of `GSL_ENOMEM'.

     The generator is automatically initialized with the default seed,
     `gsl_rng_default_seed'.  This is zero by default but can be changed
     either directly or by using the environment variable `GSL_RNG_SEED'
     (*note Random number environment variables::).

     The details of the available generator types are described later
     in this chapter.

 -- Function: void gsl_rng_set (const gsl_rng * R, unsigned long int S)
     This function initializes (or `seeds') the random number
     generator.  If the generator is seeded with the same value of S on
     two different runs, the same stream of random numbers will be
     generated by successive calls to the routines below.  If different
     values of S >= 1 are supplied, then the generated streams of random
     numbers should be completely different.  If the seed S is zero
     then the standard seed from the original implementation is used
     instead.  For example, the original Fortran source code for the
     `ranlux' generator used a seed of 314159265, and so choosing S
     equal to zero reproduces this when using `gsl_rng_ranlux'.

     When using multiple seeds with the same generator, choose seed
     values greater than zero to avoid collisions with the default
     setting.

     Note that the most generators only accept 32-bit seeds, with higher
     values being reduced modulo 2^32.  For generators with smaller
     ranges the maximum seed value will typically be lower.

 -- Function: void gsl_rng_free (gsl_rng * R)
     This function frees all the memory associated with the generator R.


File: gsl-ref.info,  Node: Sampling from a random number generator,  Next: Auxiliary random number generator functions,  Prev: Random number generator initialization,  Up: Random Number Generation

18.4 Sampling from a random number generator
============================================

The following functions return uniformly distributed random numbers,
either as integers or double precision floating point numbers.  Inline
versions of these functions are used when `HAVE_INLINE' is defined.  To
obtain non-uniform distributions *note Random Number Distributions::.

 -- Function: unsigned long int gsl_rng_get (const gsl_rng * R)
     This function returns a random integer from the generator R.  The
     minimum and maximum values depend on the algorithm used, but all
     integers in the range [MIN,MAX] are equally likely.  The values of
     MIN and MAX can determined using the auxiliary functions
     `gsl_rng_max (r)' and `gsl_rng_min (r)'.

 -- Function: double gsl_rng_uniform (const gsl_rng * R)
     This function returns a double precision floating point number
     uniformly distributed in the range [0,1).  The range includes 0.0
     but excludes 1.0.  The value is typically obtained by dividing the
     result of `gsl_rng_get(r)' by `gsl_rng_max(r) + 1.0' in double
     precision.  Some generators compute this ratio internally so that
     they can provide floating point numbers with more than 32 bits of
     randomness (the maximum number of bits that can be portably
     represented in a single `unsigned long int').

 -- Function: double gsl_rng_uniform_pos (const gsl_rng * R)
     This function returns a positive double precision floating point
     number uniformly distributed in the range (0,1), excluding both
     0.0 and 1.0.  The number is obtained by sampling the generator
     with the algorithm of `gsl_rng_uniform' until a non-zero value is
     obtained.  You can use this function if you need to avoid a
     singularity at 0.0.

 -- Function: unsigned long int gsl_rng_uniform_int (const gsl_rng * R,
          unsigned long int N)
     This function returns a random integer from 0 to n-1 inclusive by
     scaling down and/or discarding samples from the generator R.  All
     integers in the range [0,n-1] are produced with equal probability.
     For generators with a non-zero minimum value an offset is applied
     so that zero is returned with the correct probability.

     Note that this function is designed for sampling from ranges
     smaller than the range of the underlying generator.  The parameter
     N must be less than or equal to the range of the generator R.  If
     N is larger than the range of the generator then the function
     calls the error handler with an error code of `GSL_EINVAL' and
     returns zero.

     In particular, this function is not intended for generating the
     full range of unsigned integer values [0,2^32-1]. Instead choose a
     generator with the maximal integer range and zero minimum value,
     such as `gsl_rng_ranlxd1', `gsl_rng_mt19937' or `gsl_rng_taus',
     and sample it directly using `gsl_rng_get'.  The range of each
     generator can be found using the auxiliary functions described in
     the next section.


File: gsl-ref.info,  Node: Auxiliary random number generator functions,  Next: Random number environment variables,  Prev: Sampling from a random number generator,  Up: Random Number Generation

18.5 Auxiliary random number generator functions
================================================

The following functions provide information about an existing
generator.  You should use them in preference to hard-coding the
generator parameters into your own code.

 -- Function: const char * gsl_rng_name (const gsl_rng * R)
     This function returns a pointer to the name of the generator.  For
     example,

          printf ("r is a '%s' generator\n",
                  gsl_rng_name (r));

     would print something like `r is a 'taus' generator'.

 -- Function: unsigned long int gsl_rng_max (const gsl_rng * R)
     `gsl_rng_max' returns the largest value that `gsl_rng_get' can
     return.

 -- Function: unsigned long int gsl_rng_min (const gsl_rng * R)
     `gsl_rng_min' returns the smallest value that `gsl_rng_get' can
     return.  Usually this value is zero.  There are some generators
     with algorithms that cannot return zero, and for these generators
     the minimum value is 1.

 -- Function: void * gsl_rng_state (const gsl_rng * R)
 -- Function: size_t gsl_rng_size (const gsl_rng * R)
     These functions return a pointer to the state of generator R and
     its size.  You can use this information to access the state
     directly.  For example, the following code will write the state of
     a generator to a stream,

          void * state = gsl_rng_state (r);
          size_t n = gsl_rng_size (r);
          fwrite (state, n, 1, stream);

 -- Function: const gsl_rng_type ** gsl_rng_types_setup (void)
     This function returns a pointer to an array of all the available
     generator types, terminated by a null pointer. The function should
     be called once at the start of the program, if needed.  The
     following code fragment shows how to iterate over the array of
     generator types to print the names of the available algorithms,

          const gsl_rng_type **t, **t0;

          t0 = gsl_rng_types_setup ();

          printf ("Available generators:\n");

          for (t = t0; *t != 0; t++)
            {
              printf ("%s\n", (*t)->name);
            }


File: gsl-ref.info,  Node: Random number environment variables,  Next: Copying random number generator state,  Prev: Auxiliary random number generator functions,  Up: Random Number Generation

18.6 Random number environment variables
========================================

The library allows you to choose a default generator and seed from the
environment variables `GSL_RNG_TYPE' and `GSL_RNG_SEED' and the
function `gsl_rng_env_setup'.  This makes it easy try out different
generators and seeds without having to recompile your program.

 -- Function: const gsl_rng_type * gsl_rng_env_setup (void)
     This function reads the environment variables `GSL_RNG_TYPE' and
     `GSL_RNG_SEED' and uses their values to set the corresponding
     library variables `gsl_rng_default' and `gsl_rng_default_seed'.
     These global variables are defined as follows,

          extern const gsl_rng_type *gsl_rng_default
          extern unsigned long int gsl_rng_default_seed

     The environment variable `GSL_RNG_TYPE' should be the name of a
     generator, such as `taus' or `mt19937'.  The environment variable
     `GSL_RNG_SEED' should contain the desired seed value.  It is
     converted to an `unsigned long int' using the C library function
     `strtoul'.

     If you don't specify a generator for `GSL_RNG_TYPE' then
     `gsl_rng_mt19937' is used as the default.  The initial value of
     `gsl_rng_default_seed' is zero.


Here is a short program which shows how to create a global generator
using the environment variables `GSL_RNG_TYPE' and `GSL_RNG_SEED',

     #include <stdio.h>
     #include <gsl/gsl_rng.h>

     gsl_rng * r;  /* global generator */

     int
     main (void)
     {
       const gsl_rng_type * T;

       gsl_rng_env_setup();

       T = gsl_rng_default;
       r = gsl_rng_alloc (T);

       printf ("generator type: %s\n", gsl_rng_name (r));
       printf ("seed = %lu\n", gsl_rng_default_seed);
       printf ("first value = %lu\n", gsl_rng_get (r));

       gsl_rng_free (r);
       return 0;
     }

Running the program without any environment variables uses the initial
defaults, an `mt19937' generator with a seed of 0,

     $ ./a.out
     generator type: mt19937
     seed = 0
     first value = 4293858116

By setting the two variables on the command line we can change the
default generator and the seed,

     $ GSL_RNG_TYPE="taus" GSL_RNG_SEED=123 ./a.out
     GSL_RNG_TYPE=taus
     GSL_RNG_SEED=123
     generator type: taus
     seed = 123
     first value = 2720986350


File: gsl-ref.info,  Node: Copying random number generator state,  Next: Reading and writing random number generator state,  Prev: Random number environment variables,  Up: Random Number Generation

18.7 Copying random number generator state
==========================================

The above methods do not expose the random number `state' which changes
from call to call.  It is often useful to be able to save and restore
the state.  To permit these practices, a few somewhat more advanced
functions are supplied.  These include:

 -- Function: int gsl_rng_memcpy (gsl_rng * DEST, const gsl_rng * SRC)
     This function copies the random number generator SRC into the
     pre-existing generator DEST, making DEST into an exact copy of
     SRC.  The two generators must be of the same type.

 -- Function: gsl_rng * gsl_rng_clone (const gsl_rng * R)
     This function returns a pointer to a newly created generator which
     is an exact copy of the generator R.


File: gsl-ref.info,  Node: Reading and writing random number generator state,  Next: Random number generator algorithms,  Prev: Copying random number generator state,  Up: Random Number Generation

18.8 Reading and writing random number generator state
======================================================

The library provides functions for reading and writing the random
number state to a file as binary data.

 -- Function: int gsl_rng_fwrite (FILE * STREAM, const gsl_rng * R)
     This function writes the random number state of the random number
     generator R to the stream STREAM in binary format.  The return
     value is 0 for success and `GSL_EFAILED' if there was a problem
     writing to the file.  Since the data is written in the native
     binary format it may not be portable between different
     architectures.

 -- Function: int gsl_rng_fread (FILE * STREAM, gsl_rng * R)
     This function reads the random number state into the random number
     generator R from the open stream STREAM in binary format.  The
     random number generator R must be preinitialized with the correct
     random number generator type since type information is not saved.
     The return value is 0 for success and `GSL_EFAILED' if there was a
     problem reading from the file.  The data is assumed to have been
     written in the native binary format on the same architecture.


File: gsl-ref.info,  Node: Random number generator algorithms,  Next: Unix random number generators,  Prev: Reading and writing random number generator state,  Up: Random Number Generation

18.9 Random number generator algorithms
=======================================

The functions described above make no reference to the actual algorithm
used.  This is deliberate so that you can switch algorithms without
having to change any of your application source code.  The library
provides a large number of generators of different types, including
simulation quality generators, generators provided for compatibility
with other libraries and historical generators from the past.

   The following generators are recommended for use in simulation.  They
have extremely long periods, low correlation and pass most statistical
tests.  For the most reliable source of uncorrelated numbers, the
second-generation RANLUX generators have the strongest proof of
randomness.

 -- Generator: gsl_rng_mt19937
     The MT19937 generator of Makoto Matsumoto and Takuji Nishimura is a
     variant of the twisted generalized feedback shift-register
     algorithm, and is known as the "Mersenne Twister" generator.  It
     has a Mersenne prime period of 2^19937 - 1 (about 10^6000) and is
     equi-distributed in 623 dimensions.  It has passed the DIEHARD
     statistical tests.  It uses 624 words of state per generator and is
     comparable in speed to the other generators.  The original
     generator used a default seed of 4357 and choosing S equal to zero
     in `gsl_rng_set' reproduces this.  Later versions switched to 5489
     as the default seed, you can choose this explicitly via
     `gsl_rng_set' instead if you require it.

     For more information see,
          Makoto Matsumoto and Takuji Nishimura, "Mersenne Twister: A
          623-dimensionally equidistributed uniform pseudorandom number
          generator". `ACM Transactions on Modeling and Computer
          Simulation', Vol. 8, No. 1 (Jan. 1998), Pages 3-30

     The generator `gsl_rng_mt19937' uses the second revision of the
     seeding procedure published by the two authors above in 2002.  The
     original seeding procedures could cause spurious artifacts for
     some seed values. They are still available through the alternative
     generators `gsl_rng_mt19937_1999' and `gsl_rng_mt19937_1998'.

 -- Generator: gsl_rng_ranlxs0
 -- Generator: gsl_rng_ranlxs1
 -- Generator: gsl_rng_ranlxs2
     The generator `ranlxs0' is a second-generation version of the
     RANLUX algorithm of Lu"scher, which produces "luxury random
     numbers".  This generator provides single precision output (24
     bits) at three luxury levels `ranlxs0', `ranlxs1' and `ranlxs2',
     in increasing order of strength.  It uses double-precision
     floating point arithmetic internally and can be significantly
     faster than the integer version of `ranlux', particularly on
     64-bit architectures.  The period of the generator is about
     10^171.  The algorithm has mathematically proven properties and
     can provide truly decorrelated numbers at a known level of
     randomness.  The higher luxury levels provide increased
     decorrelation between samples as an additional safety margin.

     Note that the range of allowed seeds for this generator is
     [0,2^31-1]. Higher seed values are wrapped modulo 2^31.

 -- Generator: gsl_rng_ranlxd1
 -- Generator: gsl_rng_ranlxd2
     These generators produce double precision output (48 bits) from the
     RANLXS generator.  The library provides two luxury levels
     `ranlxd1' and `ranlxd2', in increasing order of strength.

 -- Generator: gsl_rng_ranlux
 -- Generator: gsl_rng_ranlux389
     The `ranlux' generator is an implementation of the original
     algorithm developed by Lu"scher.  It uses a
     lagged-fibonacci-with-skipping algorithm to produce "luxury random
     numbers".  It is a 24-bit generator, originally designed for
     single-precision IEEE floating point numbers.  This implementation
     is based on integer arithmetic, while the second-generation
     versions RANLXS and RANLXD described above provide floating-point
     implementations which will be faster on many platforms.  The
     period of the generator is about 10^171.  The algorithm has
     mathematically proven properties and it can provide truly
     decorrelated numbers at a known level of randomness.  The default
     level of decorrelation recommended by Lu"scher is provided by
     `gsl_rng_ranlux', while `gsl_rng_ranlux389' gives the highest
     level of randomness, with all 24 bits decorrelated.  Both types of
     generator use 24 words of state per generator.

     For more information see,
          M. Lu"scher, "A portable high-quality random number generator
          for lattice field theory calculations", `Computer Physics
          Communications', 79 (1994) 100-110.

          F. James, "RANLUX: A Fortran implementation of the
          high-quality pseudo-random number generator of Lu"scher",
          `Computer Physics Communications', 79 (1994) 111-114

 -- Generator: gsl_rng_cmrg
     This is a combined multiple recursive generator by L'Ecuyer.  Its
     sequence is,

          z_n = (x_n - y_n) mod m_1

     where the two underlying generators x_n and y_n are,

          x_n = (a_1 x_{n-1} + a_2 x_{n-2} + a_3 x_{n-3}) mod m_1
          y_n = (b_1 y_{n-1} + b_2 y_{n-2} + b_3 y_{n-3}) mod m_2

     with coefficients a_1 = 0, a_2 = 63308, a_3 = -183326, b_1 = 86098,
     b_2 = 0, b_3 = -539608, and moduli m_1 = 2^31 - 1 = 2147483647 and
     m_2 = 2145483479.

     The period of this generator is lcm(m_1^3-1, m_2^3-1), which is
     approximately 2^185 (about 10^56).  It uses 6 words of state per
     generator.  For more information see,

          P. L'Ecuyer, "Combined Multiple Recursive Random Number
          Generators", `Operations Research', 44, 5 (1996), 816-822.

 -- Generator: gsl_rng_mrg
     This is a fifth-order multiple recursive generator by L'Ecuyer,
     Blouin and Coutre.  Its sequence is,

          x_n = (a_1 x_{n-1} + a_5 x_{n-5}) mod m

     with a_1 = 107374182, a_2 = a_3 = a_4 = 0, a_5 = 104480 and m =
     2^31 - 1.

     The period of this generator is about 10^46.  It uses 5 words of
     state per generator.  More information can be found in the
     following paper,
          P. L'Ecuyer, F. Blouin, and R. Coutre, "A search for good
          multiple recursive random number generators", `ACM
          Transactions on Modeling and Computer Simulation' 3, 87-98
          (1993).

 -- Generator: gsl_rng_taus
 -- Generator: gsl_rng_taus2
     This is a maximally equidistributed combined Tausworthe generator
     by L'Ecuyer.  The sequence is,

          x_n = (s1_n ^^ s2_n ^^ s3_n)

     where,

          s1_{n+1} = (((s1_n&4294967294)<<12)^^(((s1_n<<13)^^s1_n)>>19))
          s2_{n+1} = (((s2_n&4294967288)<< 4)^^(((s2_n<< 2)^^s2_n)>>25))
          s3_{n+1} = (((s3_n&4294967280)<<17)^^(((s3_n<< 3)^^s3_n)>>11))

     computed modulo 2^32.  In the formulas above ^^ denotes
     "exclusive-or".  Note that the algorithm relies on the properties
     of 32-bit unsigned integers and has been implemented using a
     bitmask of `0xFFFFFFFF' to make it work on 64 bit machines.

     The period of this generator is 2^88 (about 10^26).  It uses 3
     words of state per generator.  For more information see,

          P. L'Ecuyer, "Maximally Equidistributed Combined Tausworthe
          Generators", `Mathematics of Computation', 65, 213 (1996),
          203-213.

     The generator `gsl_rng_taus2' uses the same algorithm as
     `gsl_rng_taus' but with an improved seeding procedure described in
     the paper,

          P. L'Ecuyer, "Tables of Maximally Equidistributed Combined
          LFSR Generators", `Mathematics of Computation', 68, 225
          (1999), 261-269

     The generator `gsl_rng_taus2' should now be used in preference to
     `gsl_rng_taus'.

 -- Generator: gsl_rng_gfsr4
     The `gfsr4' generator is like a lagged-fibonacci generator, and
     produces each number as an `xor''d sum of four previous values.

          r_n = r_{n-A} ^^ r_{n-B} ^^ r_{n-C} ^^ r_{n-D}

     Ziff (ref below) notes that "it is now widely known" that two-tap
     registers (such as R250, which is described below) have serious
     flaws, the most obvious one being the three-point correlation that
     comes from the definition of the generator.  Nice mathematical
     properties can be derived for GFSR's, and numerics bears out the
     claim that 4-tap GFSR's with appropriately chosen offsets are as
     random as can be measured, using the author's test.

     This implementation uses the values suggested the example on p392
     of Ziff's article: A=471, B=1586, C=6988, D=9689.

     If the offsets are appropriately chosen (such as the one ones in
     this implementation), then the sequence is said to be maximal;
     that means that the period is 2^D - 1, where D is the longest lag.
     (It is one less than 2^D because it is not permitted to have all
     zeros in the `ra[]' array.)  For this implementation with D=9689
     that works out to about 10^2917.

     Note that the implementation of this generator using a 32-bit
     integer amounts to 32 parallel implementations of one-bit
     generators.  One consequence of this is that the period of this
     32-bit generator is the same as for the one-bit generator.
     Moreover, this independence means that all 32-bit patterns are
     equally likely, and in particular that 0 is an allowed random
     value.  (We are grateful to Heiko Bauke for clarifying for us these
     properties of GFSR random number generators.)

     For more information see,
          Robert M. Ziff, "Four-tap shift-register-sequence
          random-number generators", `Computers in Physics', 12(4),
          Jul/Aug 1998, pp 385-392.


File: gsl-ref.info,  Node: Unix random number generators,  Next: Other random number generators,  Prev: Random number generator algorithms,  Up: Random Number Generation

18.10 Unix random number generators
===================================

The standard Unix random number generators `rand', `random' and
`rand48' are provided as part of GSL. Although these generators are
widely available individually often they aren't all available on the
same platform.  This makes it difficult to write portable code using
them and so we have included the complete set of Unix generators in GSL
for convenience.  Note that these generators don't produce high-quality
randomness and aren't suitable for work requiring accurate statistics.
However, if you won't be measuring statistical quantities and just want
to introduce some variation into your program then these generators are
quite acceptable.

 -- Generator: gsl_rng_rand
     This is the BSD `rand' generator.  Its sequence is

          x_{n+1} = (a x_n + c) mod m

     with a = 1103515245, c = 12345 and m = 2^31.  The seed specifies
     the initial value, x_1.  The period of this generator is 2^31, and
     it uses 1 word of storage per generator.

 -- Generator: gsl_rng_random_bsd
 -- Generator: gsl_rng_random_libc5
 -- Generator: gsl_rng_random_glibc2
     These generators implement the `random' family of functions, a set
     of linear feedback shift register generators originally used in BSD
     Unix.  There are several versions of `random' in use today: the
     original BSD version (e.g. on SunOS4), a libc5 version (found on
     older GNU/Linux systems) and a glibc2 version.  Each version uses a
     different seeding procedure, and thus produces different sequences.

     The original BSD routines accepted a variable length buffer for the
     generator state, with longer buffers providing higher-quality
     randomness.  The `random' function implemented algorithms for
     buffer lengths of 8, 32, 64, 128 and 256 bytes, and the algorithm
     with the largest length that would fit into the user-supplied
     buffer was used.  To support these algorithms additional
     generators are available with the following names,

          gsl_rng_random8_bsd
          gsl_rng_random32_bsd
          gsl_rng_random64_bsd
          gsl_rng_random128_bsd
          gsl_rng_random256_bsd

     where the numeric suffix indicates the buffer length.  The
     original BSD `random' function used a 128-byte default buffer and
     so `gsl_rng_random_bsd' has been made equivalent to
     `gsl_rng_random128_bsd'.  Corresponding versions of the `libc5'
     and `glibc2' generators are also available, with the names
     `gsl_rng_random8_libc5', `gsl_rng_random8_glibc2', etc.

 -- Generator: gsl_rng_rand48
     This is the Unix `rand48' generator.  Its sequence is

          x_{n+1} = (a x_n + c) mod m

     defined on 48-bit unsigned integers with a = 25214903917, c = 11
     and m = 2^48.  The seed specifies the upper 32 bits of the initial
     value, x_1, with the lower 16 bits set to `0x330E'.  The function
     `gsl_rng_get' returns the upper 32 bits from each term of the
     sequence.  This does not have a direct parallel in the original
     `rand48' functions, but forcing the result to type `long int'
     reproduces the output of `mrand48'.  The function
     `gsl_rng_uniform' uses the full 48 bits of internal state to return
     the double precision number x_n/m, which is equivalent to the
     function `drand48'.  Note that some versions of the GNU C Library
     contained a bug in `mrand48' function which caused it to produce
     different results (only the lower 16-bits of the return value were
     set).


File: gsl-ref.info,  Node: Other random number generators,  Next: Random Number Generator Performance,  Prev: Unix random number generators,  Up: Random Number Generation

18.11 Other random number generators
====================================

The generators in this section are provided for compatibility with
existing libraries.  If you are converting an existing program to use
GSL then you can select these generators to check your new
implementation against the original one, using the same random number
generator.  After verifying that your new program reproduces the
original results you can then switch to a higher-quality generator.

   Note that most of the generators in this section are based on single
linear congruence relations, which are the least sophisticated type of
generator.  In particular, linear congruences have poor properties when
used with a non-prime modulus, as several of these routines do (e.g.
with a power of two modulus, 2^31 or 2^32).  This leads to periodicity
in the least significant bits of each number, with only the higher bits
having any randomness.  Thus if you want to produce a random bitstream
it is best to avoid using the least significant bits.

 -- Generator: gsl_rng_ranf
     This is the CRAY random number generator `RANF'.  Its sequence is

          x_{n+1} = (a x_n) mod m

     defined on 48-bit unsigned integers with a = 44485709377909 and m
     = 2^48.  The seed specifies the lower 32 bits of the initial value,
     x_1, with the lowest bit set to prevent the seed taking an even
     value.  The upper 16 bits of x_1 are set to 0. A consequence of
     this procedure is that the pairs of seeds 2 and 3, 4 and 5, etc.
     produce the same sequences.

     The generator compatible with the CRAY MATHLIB routine RANF. It
     produces double precision floating point numbers which should be
     identical to those from the original RANF.

     There is a subtlety in the implementation of the seeding.  The
     initial state is reversed through one step, by multiplying by the
     modular inverse of a mod m.  This is done for compatibility with
     the original CRAY implementation.

     Note that you can only seed the generator with integers up to
     2^32, while the original CRAY implementation uses non-portable
     wide integers which can cover all 2^48 states of the generator.

     The function `gsl_rng_get' returns the upper 32 bits from each term
     of the sequence.  The function `gsl_rng_uniform' uses the full 48
     bits to return the double precision number x_n/m.

     The period of this generator is 2^46.

 -- Generator: gsl_rng_ranmar
     This is the RANMAR lagged-fibonacci generator of Marsaglia, Zaman
     and Tsang.  It is a 24-bit generator, originally designed for
     single-precision IEEE floating point numbers.  It was included in
     the CERNLIB high-energy physics library.

 -- Generator: gsl_rng_r250
     This is the shift-register generator of Kirkpatrick and Stoll.  The
     sequence is based on the recurrence

          x_n = x_{n-103} ^^ x_{n-250}

     where ^^ denotes "exclusive-or", defined on 32-bit words.  The
     period of this generator is about 2^250 and it uses 250 words of
     state per generator.

     For more information see,
          S. Kirkpatrick and E. Stoll, "A very fast shift-register
          sequence random number generator", `Journal of Computational
          Physics', 40, 517-526 (1981)

 -- Generator: gsl_rng_tt800
     This is an earlier version of the twisted generalized feedback
     shift-register generator, and has been superseded by the
     development of MT19937.  However, it is still an acceptable
     generator in its own right.  It has a period of 2^800 and uses 33
     words of storage per generator.

     For more information see,
          Makoto Matsumoto and Yoshiharu Kurita, "Twisted GFSR
          Generators II", `ACM Transactions on Modelling and Computer
          Simulation', Vol. 4, No. 3, 1994, pages 254-266.

 -- Generator: gsl_rng_vax
     This is the VAX generator `MTH$RANDOM'.  Its sequence is,

          x_{n+1} = (a x_n + c) mod m

     with a = 69069, c = 1 and m = 2^32.  The seed specifies the
     initial value, x_1.  The period of this generator is 2^32 and it
     uses 1 word of storage per generator.

 -- Generator: gsl_rng_transputer
     This is the random number generator from the INMOS Transputer
     Development system.  Its sequence is,

          x_{n+1} = (a x_n) mod m

     with a = 1664525 and m = 2^32.  The seed specifies the initial
     value, x_1.

 -- Generator: gsl_rng_randu
     This is the IBM `RANDU' generator.  Its sequence is

          x_{n+1} = (a x_n) mod m

     with a = 65539 and m = 2^31.  The seed specifies the initial value,
     x_1.  The period of this generator was only 2^29.  It has become a
     textbook example of a poor generator.

 -- Generator: gsl_rng_minstd
     This is Park and Miller's "minimal standard" MINSTD generator, a
     simple linear congruence which takes care to avoid the major
     pitfalls of such algorithms.  Its sequence is,

          x_{n+1} = (a x_n) mod m

     with a = 16807 and m = 2^31 - 1 = 2147483647.  The seed specifies
     the initial value, x_1.  The period of this generator is about
     2^31.

     This generator is used in the IMSL Library (subroutine RNUN) and in
     MATLAB (the RAND function).  It is also sometimes known by the
     acronym "GGL" (I'm not sure what that stands for).

     For more information see,
          Park and Miller, "Random Number Generators: Good ones are
          hard to find", `Communications of the ACM', October 1988,
          Volume 31, No 10, pages 1192-1201.

 -- Generator: gsl_rng_uni
 -- Generator: gsl_rng_uni32
     This is a reimplementation of the 16-bit SLATEC random number
     generator RUNIF. A generalization of the generator to 32 bits is
     provided by `gsl_rng_uni32'.  The original source code is
     available from NETLIB.

 -- Generator: gsl_rng_slatec
     This is the SLATEC random number generator RAND. It is ancient.
     The original source code is available from NETLIB.

 -- Generator: gsl_rng_zuf
     This is the ZUFALL lagged Fibonacci series generator of Peterson.
     Its sequence is,

          t = u_{n-273} + u_{n-607}
          u_n  = t - floor(t)

     The original source code is available from NETLIB.  For more
     information see,
          W. Petersen, "Lagged Fibonacci Random Number Generators for
          the NEC SX-3", `International Journal of High Speed
          Computing' (1994).

 -- Generator: gsl_rng_knuthran2
     This is a second-order multiple recursive generator described by
     Knuth in `Seminumerical Algorithms', 3rd Ed., page 108.  Its
     sequence is,

          x_n = (a_1 x_{n-1} + a_2 x_{n-2}) mod m

     with a_1 = 271828183, a_2 = 314159269, and m = 2^31 - 1.

 -- Generator: gsl_rng_knuthran2002
 -- Generator: gsl_rng_knuthran
     This is a second-order multiple recursive generator described by
     Knuth in `Seminumerical Algorithms', 3rd Ed., Section 3.6.  Knuth
     provides its C code.  The updated routine `gsl_rng_knuthran2002'
     is from the revised 9th printing and corrects some weaknesses in
     the earlier version, which is implemented as `gsl_rng_knuthran'.

 -- Generator: gsl_rng_borosh13
 -- Generator: gsl_rng_fishman18
 -- Generator: gsl_rng_fishman20
 -- Generator: gsl_rng_lecuyer21
 -- Generator: gsl_rng_waterman14
     These multiplicative generators are taken from Knuth's
     `Seminumerical Algorithms', 3rd Ed., pages 106-108. Their sequence
     is,

          x_{n+1} = (a x_n) mod m

     where the seed specifies the initial value, x_1.  The parameters a
     and m are as follows, Borosh-Niederreiter: a = 1812433253, m =
     2^32, Fishman18: a = 62089911, m = 2^31 - 1, Fishman20: a = 48271,
     m = 2^31 - 1, L'Ecuyer: a = 40692, m = 2^31 - 249, Waterman: a =
     1566083941, m = 2^32.

 -- Generator: gsl_rng_fishman2x
     This is the L'Ecuyer-Fishman random number generator. It is taken
     from Knuth's `Seminumerical Algorithms', 3rd Ed., page 108. Its
     sequence is,

          z_{n+1} = (x_n - y_n) mod m

     with m = 2^31 - 1.  x_n and y_n are given by the `fishman20' and
     `lecuyer21' algorithms.  The seed specifies the initial value, x_1.


 -- Generator: gsl_rng_coveyou
     This is the Coveyou random number generator. It is taken from
     Knuth's `Seminumerical Algorithms', 3rd Ed., Section 3.2.2. Its
     sequence is,

          x_{n+1} = (x_n (x_n + 1)) mod m

     with m = 2^32.  The seed specifies the initial value, x_1.


File: gsl-ref.info,  Node: Random Number Generator Performance,  Next: Random Number Generator Examples,  Prev: Other random number generators,  Up: Random Number Generation

18.12 Performance
=================

The following table shows the relative performance of a selection the
available random number generators.  The fastest simulation quality
generators are `taus', `gfsr4' and `mt19937'.  The generators which
offer the best mathematically-proven quality are those based on the
RANLUX algorithm.

     1754 k ints/sec,    870 k doubles/sec, taus
     1613 k ints/sec,    855 k doubles/sec, gfsr4
     1370 k ints/sec,    769 k doubles/sec, mt19937
      565 k ints/sec,    571 k doubles/sec, ranlxs0
      400 k ints/sec,    405 k doubles/sec, ranlxs1
      490 k ints/sec,    389 k doubles/sec, mrg
      407 k ints/sec,    297 k doubles/sec, ranlux
      243 k ints/sec,    254 k doubles/sec, ranlxd1
      251 k ints/sec,    253 k doubles/sec, ranlxs2
      238 k ints/sec,    215 k doubles/sec, cmrg
      247 k ints/sec,    198 k doubles/sec, ranlux389
      141 k ints/sec,    140 k doubles/sec, ranlxd2


File: gsl-ref.info,  Node: Random Number Generator Examples,  Next: Random Number References and Further Reading,  Prev: Random Number Generator Performance,  Up: Random Number Generation

18.13 Examples
==============

The following program demonstrates the use of a random number generator
to produce uniform random numbers in the range [0.0, 1.0),

     #include <stdio.h>
     #include <gsl/gsl_rng.h>

     int
     main (void)
     {
       const gsl_rng_type * T;
       gsl_rng * r;

       int i, n = 10;

       gsl_rng_env_setup();

       T = gsl_rng_default;
       r = gsl_rng_alloc (T);

       for (i = 0; i < n; i++)
         {
           double u = gsl_rng_uniform (r);
           printf ("%.5f\n", u);
         }

       gsl_rng_free (r);

       return 0;
     }

Here is the output of the program,

     $ ./a.out
     0.99974
     0.16291
     0.28262
     0.94720
     0.23166
     0.48497
     0.95748
     0.74431
     0.54004
     0.73995

The numbers depend on the seed used by the generator.  The default seed
can be changed with the `GSL_RNG_SEED' environment variable to produce
a different stream of numbers.  The generator itself can be changed
using the environment variable `GSL_RNG_TYPE'.  Here is the output of
the program using a seed value of 123 and the multiple-recursive
generator `mrg',

     $ GSL_RNG_SEED=123 GSL_RNG_TYPE=mrg ./a.out
     GSL_RNG_TYPE=mrg
     GSL_RNG_SEED=123
     0.33050
     0.86631
     0.32982
     0.67620
     0.53391
     0.06457
     0.16847
     0.70229
     0.04371
     0.86374


File: gsl-ref.info,  Node: Random Number References and Further Reading,  Next: Random Number Acknowledgements,  Prev: Random Number Generator Examples,  Up: Random Number Generation

18.14 References and Further Reading
====================================

The subject of random number generation and testing is reviewed
extensively in Knuth's `Seminumerical Algorithms'.

     Donald E. Knuth, `The Art of Computer Programming: Seminumerical
     Algorithms' (Vol 2, 3rd Ed, 1997), Addison-Wesley, ISBN 0201896842.

Further information is available in the review paper written by Pierre
L'Ecuyer,

     P. L'Ecuyer, "Random Number Generation", Chapter 4 of the Handbook
     on Simulation, Jerry Banks Ed., Wiley, 1998, 93-137.

     `http://www.iro.umontreal.ca/~lecuyer/papers.html' in the file
     `handsim.ps'.

The source code for the DIEHARD random number generator tests is also
available online,

     `DIEHARD source code' G. Marsaglia,

     `http://stat.fsu.edu/pub/diehard/'

A comprehensive set of random number generator tests is available from
NIST,

     NIST Special Publication 800-22, "A Statistical Test Suite for the
     Validation of Random Number Generators and Pseudo Random Number
     Generators for Cryptographic Applications".

     `http://csrc.nist.gov/rng/'


File: gsl-ref.info,  Node: Random Number Acknowledgements,  Prev: Random Number References and Further Reading,  Up: Random Number Generation

18.15 Acknowledgements
======================

Thanks to Makoto Matsumoto, Takuji Nishimura and Yoshiharu Kurita for
making the source code to their generators (MT19937, MM&TN; TT800,
MM&YK) available under the GNU General Public License.  Thanks to Martin
Lu"scher for providing notes and source code for the RANLXS and RANLXD
generators.


File: gsl-ref.info,  Node: Quasi-Random Sequences,  Next: Random Number Distributions,  Prev: Random Number Generation,  Up: Top

19 Quasi-Random Sequences
*************************

This chapter describes functions for generating quasi-random sequences
in arbitrary dimensions.  A quasi-random sequence progressively covers a
d-dimensional space with a set of points that are uniformly
distributed.  Quasi-random sequences are also known as low-discrepancy
sequences.  The quasi-random sequence generators use an interface that
is similar to the interface for random number generators, except that
seeding is not required--each generator produces a single sequence.

   The functions described in this section are declared in the header
file `gsl_qrng.h'.

* Menu:

* Quasi-random number generator initialization::
* Sampling from a quasi-random number generator::
* Auxiliary quasi-random number generator functions::
* Saving and resorting quasi-random number generator state::
* Quasi-random number generator algorithms::
* Quasi-random number generator examples::
* Quasi-random number references::


File: gsl-ref.info,  Node: Quasi-random number generator initialization,  Next: Sampling from a quasi-random number generator,  Up: Quasi-Random Sequences

19.1 Quasi-random number generator initialization
=================================================

 -- Function: gsl_qrng * gsl_qrng_alloc (const gsl_qrng_type * T,
          unsigned int D)
     This function returns a pointer to a newly-created instance of a
     quasi-random sequence generator of type T and dimension D.  If
     there is insufficient memory to create the generator then the
     function returns a null pointer and the error handler is invoked
     with an error code of `GSL_ENOMEM'.

 -- Function: void gsl_qrng_free (gsl_qrng * Q)
     This function frees all the memory associated with the generator Q.

 -- Function: void gsl_qrng_init (gsl_qrng * Q)
     This function reinitializes the generator Q to its starting point.
     Note that quasi-random sequences do not use a seed and always
     produce the same set of values.


File: gsl-ref.info,  Node: Sampling from a quasi-random number generator,  Next: Auxiliary quasi-random number generator functions,  Prev: Quasi-random number generator initialization,  Up: Quasi-Random Sequences

19.2 Sampling from a quasi-random number generator
==================================================

 -- Function: int gsl_qrng_get (const gsl_qrng * Q, double X[])
     This function stores the next point from the sequence generator Q
     in the array X.  The space available for X must match the
     dimension of the generator.  The point X will lie in the range 0 <
     x_i < 1 for each x_i.  An inline version of this function is used
     when `HAVE_INLINE' is defined.


File: gsl-ref.info,  Node: Auxiliary quasi-random number generator functions,  Next: Saving and resorting quasi-random number generator state,  Prev: Sampling from a quasi-random number generator,  Up: Quasi-Random Sequences

19.3 Auxiliary quasi-random number generator functions
======================================================

 -- Function: const char * gsl_qrng_name (const gsl_qrng * Q)
     This function returns a pointer to the name of the generator.

 -- Function: size_t gsl_qrng_size (const gsl_qrng * Q)
 -- Function: void * gsl_qrng_state (const gsl_qrng * Q)
     These functions return a pointer to the state of generator R and
     its size.  You can use this information to access the state
     directly.  For example, the following code will write the state of
     a generator to a stream,

          void * state = gsl_qrng_state (q);
          size_t n = gsl_qrng_size (q);
          fwrite (state, n, 1, stream);


File: gsl-ref.info,  Node: Saving and resorting quasi-random number generator state,  Next: Quasi-random number generator algorithms,  Prev: Auxiliary quasi-random number generator functions,  Up: Quasi-Random Sequences

19.4 Saving and resorting quasi-random number generator state
=============================================================

 -- Function: int gsl_qrng_memcpy (gsl_qrng * DEST, const gsl_qrng *
          SRC)
     This function copies the quasi-random sequence generator SRC into
     the pre-existing generator DEST, making DEST into an exact copy of
     SRC.  The two generators must be of the same type.

 -- Function: gsl_qrng * gsl_qrng_clone (const gsl_qrng * Q)
     This function returns a pointer to a newly created generator which
     is an exact copy of the generator Q.


File: gsl-ref.info,  Node: Quasi-random number generator algorithms,  Next: Quasi-random number generator examples,  Prev: Saving and resorting quasi-random number generator state,  Up: Quasi-Random Sequences

19.5 Quasi-random number generator algorithms
=============================================

The following quasi-random sequence algorithms are available,

 -- Generator: gsl_qrng_niederreiter_2
     This generator uses the algorithm described in Bratley, Fox,
     Niederreiter, `ACM Trans. Model. Comp. Sim.' 2, 195 (1992). It is
     valid up to 12 dimensions.

 -- Generator: gsl_qrng_sobol
     This generator uses the Sobol sequence described in Antonov,
     Saleev, `USSR Comput. Maths. Math. Phys.' 19, 252 (1980). It is
     valid up to 40 dimensions.

 -- Generator: gsl_qrng_halton
 -- Generator: gsl_qrng_reversehalton
     These generators use the Halton and reverse Halton sequences
     described in J.H. Halton, `Numerische Mathematik' 2, 84-90 (1960)
     and B. Vandewoestyne and R. Cools `Computational and Applied
     Mathematics' 189, 1&2, 341-361 (2006).  They are valid up to 1229
     dimensions.


File: gsl-ref.info,  Node: Quasi-random number generator examples,  Next: Quasi-random number references,  Prev: Quasi-random number generator algorithms,  Up: Quasi-Random Sequences

19.6 Examples
=============

The following program prints the first 1024 points of the 2-dimensional
Sobol sequence.

     #include <stdio.h>
     #include <gsl/gsl_qrng.h>

     int
     main (void)
     {
       int i;
       gsl_qrng * q = gsl_qrng_alloc (gsl_qrng_sobol, 2);

       for (i = 0; i < 1024; i++)
         {
           double v[2];
           gsl_qrng_get (q, v);
           printf ("%.5f %.5f\n", v[0], v[1]);
         }

       gsl_qrng_free (q);
       return 0;
     }

Here is the output from the program,

     $ ./a.out
     0.50000 0.50000
     0.75000 0.25000
     0.25000 0.75000
     0.37500 0.37500
     0.87500 0.87500
     0.62500 0.12500
     0.12500 0.62500
     ....

It can be seen that successive points progressively fill-in the spaces
between previous points.


File: gsl-ref.info,  Node: Quasi-random number references,  Prev: Quasi-random number generator examples,  Up: Quasi-Random Sequences

19.7 References
===============

The implementations of the quasi-random sequence routines are based on
the algorithms described in the following paper,

     P. Bratley and B.L. Fox and H. Niederreiter, "Algorithm 738:
     Programs to Generate Niederreiter's Low-discrepancy Sequences",
     `ACM Transactions on Mathematical Software', Vol. 20, No. 4,
     December, 1994, p. 494-495.


File: gsl-ref.info,  Node: Random Number Distributions,  Next: Statistics,  Prev: Quasi-Random Sequences,  Up: Top

20 Random Number Distributions
******************************

This chapter describes functions for generating random variates and
computing their probability distributions.  Samples from the
distributions described in this chapter can be obtained using any of the
random number generators in the library as an underlying source of
randomness.

   In the simplest cases a non-uniform distribution can be obtained
analytically from the uniform distribution of a random number generator
by applying an appropriate transformation.  This method uses one call to
the random number generator.  More complicated distributions are created
by the "acceptance-rejection" method, which compares the desired
distribution against a distribution which is similar and known
analytically.  This usually requires several samples from the generator.

   The library also provides cumulative distribution functions and
inverse cumulative distribution functions, sometimes referred to as
quantile functions.  The cumulative distribution functions and their
inverses are computed separately for the upper and lower tails of the
distribution, allowing full accuracy to be retained for small results.

   The functions for random variates and probability density functions
described in this section are declared in `gsl_randist.h'.  The
corresponding cumulative distribution functions are declared in
`gsl_cdf.h'.

   Note that the discrete random variate functions always return a
value of type `unsigned int', and on most platforms this has a maximum
value of 2^32-1 ~=~ 4.29e9. They should only be called with a safe
range of parameters (where there is a negligible probability of a
variate exceeding this limit) to prevent incorrect results due to
overflow.

* Menu:

* Random Number Distribution Introduction::
* The Gaussian Distribution::
* The Gaussian Tail Distribution::
* The Bivariate Gaussian Distribution::
* The Exponential Distribution::
* The Laplace Distribution::
* The Exponential Power Distribution::
* The Cauchy Distribution::
* The Rayleigh Distribution::
* The Rayleigh Tail Distribution::
* The Landau Distribution::
* The Levy alpha-Stable Distributions::
* The Levy skew alpha-Stable Distribution::
* The Gamma Distribution::
* The Flat (Uniform) Distribution::
* The Lognormal Distribution::
* The Chi-squared Distribution::
* The F-distribution::
* The t-distribution::
* The Beta Distribution::
* The Logistic Distribution::
* The Pareto Distribution::
* Spherical Vector Distributions::
* The Weibull Distribution::
* The Type-1 Gumbel Distribution::
* The Type-2 Gumbel Distribution::
* The Dirichlet Distribution::
* General Discrete Distributions::
* The Poisson Distribution::
* The Bernoulli Distribution::
* The Binomial Distribution::
* The Multinomial Distribution::
* The Negative Binomial Distribution::
* The Pascal Distribution::
* The Geometric Distribution::
* The Hypergeometric Distribution::
* The Logarithmic Distribution::
* Shuffling and Sampling::
* Random Number Distribution Examples::
* Random Number Distribution References and Further Reading::


File: gsl-ref.info,  Node: Random Number Distribution Introduction,  Next: The Gaussian Distribution,  Up: Random Number Distributions

20.1 Introduction
=================

Continuous random number distributions are defined by a probability
density function, p(x), such that the probability of x occurring in the
infinitesimal range x to x+dx is p dx.

   The cumulative distribution function for the lower tail P(x) is
defined by the integral,

     P(x) = \int_{-\infty}^{x} dx' p(x')

and gives the probability of a variate taking a value less than x.

   The cumulative distribution function for the upper tail Q(x) is
defined by the integral,

     Q(x) = \int_{x}^{+\infty} dx' p(x')

and gives the probability of a variate taking a value greater than x.

   The upper and lower cumulative distribution functions are related by
P(x) + Q(x) = 1 and satisfy 0 <= P(x) <= 1, 0 <= Q(x) <= 1.

   The inverse cumulative distributions, x=P^{-1}(P) and x=Q^{-1}(Q)
give the values of x which correspond to a specific value of P or Q.
They can be used to find confidence limits from probability values.

   For discrete distributions the probability of sampling the integer
value k is given by p(k), where \sum_k p(k) = 1.  The cumulative
distribution for the lower tail P(k) of a discrete distribution is
defined as,

     P(k) = \sum_{i <= k} p(i)

where the sum is over the allowed range of the distribution less than
or equal to k.

   The cumulative distribution for the upper tail of a discrete
distribution Q(k) is defined as

     Q(k) = \sum_{i > k} p(i)

giving the sum of probabilities for all values greater than k.  These
two definitions satisfy the identity P(k)+Q(k)=1.

   If the range of the distribution is 1 to n inclusive then P(n)=1,
Q(n)=0 while P(1) = p(1), Q(1)=1-p(1).


File: gsl-ref.info,  Node: The Gaussian Distribution,  Next: The Gaussian Tail Distribution,  Prev: Random Number Distribution Introduction,  Up: Random Number Distributions

20.2 The Gaussian Distribution
==============================

 -- Function: double gsl_ran_gaussian (const gsl_rng * R, double SIGMA)
     This function returns a Gaussian random variate, with mean zero and
     standard deviation SIGMA.  The probability distribution for
     Gaussian random variates is,

          p(x) dx = {1 \over \sqrt{2 \pi \sigma^2}} \exp (-x^2 / 2\sigma^2) dx

     for x in the range -\infty to +\infty.  Use the transformation z =
     \mu + x on the numbers returned by `gsl_ran_gaussian' to obtain a
     Gaussian distribution with mean \mu.  This function uses the
     Box-Muller algorithm which requires two calls to the random number
     generator R.

 -- Function: double gsl_ran_gaussian_pdf (double X, double SIGMA)
     This function computes the probability density p(x) at X for a
     Gaussian distribution with standard deviation SIGMA, using the
     formula given above.


 -- Function: double gsl_ran_gaussian_ziggurat (const gsl_rng * R,
          double SIGMA)
 -- Function: double gsl_ran_gaussian_ratio_method (const gsl_rng * R,
          double SIGMA)
     This function computes a Gaussian random variate using the
     alternative Marsaglia-Tsang ziggurat and Kinderman-Monahan-Leva
     ratio methods.  The Ziggurat algorithm is the fastest available
     algorithm in most cases.

 -- Function: double gsl_ran_ugaussian (const gsl_rng * R)
 -- Function: double gsl_ran_ugaussian_pdf (double X)
 -- Function: double gsl_ran_ugaussian_ratio_method (const gsl_rng * R)
     These functions compute results for the unit Gaussian
     distribution.  They are equivalent to the functions above with a
     standard deviation of one, SIGMA = 1.

 -- Function: double gsl_cdf_gaussian_P (double X, double SIGMA)
 -- Function: double gsl_cdf_gaussian_Q (double X, double SIGMA)
 -- Function: double gsl_cdf_gaussian_Pinv (double P, double SIGMA)
 -- Function: double gsl_cdf_gaussian_Qinv (double Q, double SIGMA)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the Gaussian distribution with
     standard deviation SIGMA.

 -- Function: double gsl_cdf_ugaussian_P (double X)
 -- Function: double gsl_cdf_ugaussian_Q (double X)
 -- Function: double gsl_cdf_ugaussian_Pinv (double P)
 -- Function: double gsl_cdf_ugaussian_Qinv (double Q)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the unit Gaussian distribution.


File: gsl-ref.info,  Node: The Gaussian Tail Distribution,  Next: The Bivariate Gaussian Distribution,  Prev: The Gaussian Distribution,  Up: Random Number Distributions

20.3 The Gaussian Tail Distribution
===================================

 -- Function: double gsl_ran_gaussian_tail (const gsl_rng * R, double
          A, double SIGMA)
     This function provides random variates from the upper tail of a
     Gaussian distribution with standard deviation SIGMA.  The values
     returned are larger than the lower limit A, which must be
     positive.  The method is based on Marsaglia's famous
     rectangle-wedge-tail algorithm (Ann.  Math. Stat. 32, 894-899
     (1961)), with this aspect explained in Knuth, v2, 3rd ed, p139,586
     (exercise 11).

     The probability distribution for Gaussian tail random variates is,

          p(x) dx = {1 \over N(a;\sigma) \sqrt{2 \pi \sigma^2}} \exp (- x^2/(2 \sigma^2)) dx

     for x > a where N(a;\sigma) is the normalization constant,

          N(a;\sigma) = (1/2) erfc(a / sqrt(2 sigma^2)).


 -- Function: double gsl_ran_gaussian_tail_pdf (double X, double A,
          double SIGMA)
     This function computes the probability density p(x) at X for a
     Gaussian tail distribution with standard deviation SIGMA and lower
     limit A, using the formula given above.


 -- Function: double gsl_ran_ugaussian_tail (const gsl_rng * R, double
          A)
 -- Function: double gsl_ran_ugaussian_tail_pdf (double X, double A)
     These functions compute results for the tail of a unit Gaussian
     distribution.  They are equivalent to the functions above with a
     standard deviation of one, SIGMA = 1.


File: gsl-ref.info,  Node: The Bivariate Gaussian Distribution,  Next: The Exponential Distribution,  Prev: The Gaussian Tail Distribution,  Up: Random Number Distributions

20.4 The Bivariate Gaussian Distribution
========================================

 -- Function: void gsl_ran_bivariate_gaussian (const gsl_rng * R,
          double SIGMA_X, double SIGMA_Y, double RHO, double * X,
          double * Y)
     This function generates a pair of correlated Gaussian variates,
     with mean zero, correlation coefficient RHO and standard deviations
     SIGMA_X and SIGMA_Y in the x and y directions.  The probability
     distribution for bivariate Gaussian random variates is,

          p(x,y) dx dy = {1 \over 2 \pi \sigma_x \sigma_y \sqrt{1-\rho^2}} \exp (-(x^2/\sigma_x^2 + y^2/\sigma_y^2 - 2 \rho x y/(\sigma_x\sigma_y))/2(1-\rho^2)) dx dy

     for x,y in the range -\infty to +\infty.  The correlation
     coefficient RHO should lie between 1 and -1.

 -- Function: double gsl_ran_bivariate_gaussian_pdf (double X, double
          Y, double SIGMA_X, double SIGMA_Y, double RHO)
     This function computes the probability density p(x,y) at (X,Y) for
     a bivariate Gaussian distribution with standard deviations
     SIGMA_X, SIGMA_Y and correlation coefficient RHO, using the
     formula given above.



File: gsl-ref.info,  Node: The Exponential Distribution,  Next: The Laplace Distribution,  Prev: The Bivariate Gaussian Distribution,  Up: Random Number Distributions

20.5 The Exponential Distribution
=================================

 -- Function: double gsl_ran_exponential (const gsl_rng * R, double MU)
     This function returns a random variate from the exponential
     distribution with mean MU. The distribution is,

          p(x) dx = {1 \over \mu} \exp(-x/\mu) dx

     for x >= 0.

 -- Function: double gsl_ran_exponential_pdf (double X, double MU)
     This function computes the probability density p(x) at X for an
     exponential distribution with mean MU, using the formula given
     above.


 -- Function: double gsl_cdf_exponential_P (double X, double MU)
 -- Function: double gsl_cdf_exponential_Q (double X, double MU)
 -- Function: double gsl_cdf_exponential_Pinv (double P, double MU)
 -- Function: double gsl_cdf_exponential_Qinv (double Q, double MU)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the exponential distribution
     with mean MU.


File: gsl-ref.info,  Node: The Laplace Distribution,  Next: The Exponential Power Distribution,  Prev: The Exponential Distribution,  Up: Random Number Distributions

20.6 The Laplace Distribution
=============================

 -- Function: double gsl_ran_laplace (const gsl_rng * R, double A)
     This function returns a random variate from the Laplace
     distribution with width A.  The distribution is,

          p(x) dx = {1 \over 2 a}  \exp(-|x/a|) dx

     for -\infty < x < \infty.

 -- Function: double gsl_ran_laplace_pdf (double X, double A)
     This function computes the probability density p(x) at X for a
     Laplace distribution with width A, using the formula given above.


 -- Function: double gsl_cdf_laplace_P (double X, double A)
 -- Function: double gsl_cdf_laplace_Q (double X, double A)
 -- Function: double gsl_cdf_laplace_Pinv (double P, double A)
 -- Function: double gsl_cdf_laplace_Qinv (double Q, double A)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the Laplace distribution with
     width A.


File: gsl-ref.info,  Node: The Exponential Power Distribution,  Next: The Cauchy Distribution,  Prev: The Laplace Distribution,  Up: Random Number Distributions

20.7 The Exponential Power Distribution
=======================================

 -- Function: double gsl_ran_exppow (const gsl_rng * R, double A,
          double B)
     This function returns a random variate from the exponential power
     distribution with scale parameter A and exponent B.  The
     distribution is,

          p(x) dx = {1 \over 2 a \Gamma(1+1/b)} \exp(-|x/a|^b) dx

     for x >= 0.  For b = 1 this reduces to the Laplace distribution.
     For b = 2 it has the same form as a Gaussian distribution, but
     with a = \sqrt{2} \sigma.

 -- Function: double gsl_ran_exppow_pdf (double X, double A, double B)
     This function computes the probability density p(x) at X for an
     exponential power distribution with scale parameter A and exponent
     B, using the formula given above.


 -- Function: double gsl_cdf_exppow_P (double X, double A, double B)
 -- Function: double gsl_cdf_exppow_Q (double X, double A, double B)
     These functions compute the cumulative distribution functions
     P(x), Q(x) for the exponential power distribution with parameters
     A and B.


File: gsl-ref.info,  Node: The Cauchy Distribution,  Next: The Rayleigh Distribution,  Prev: The Exponential Power Distribution,  Up: Random Number Distributions

20.8 The Cauchy Distribution
============================

 -- Function: double gsl_ran_cauchy (const gsl_rng * R, double A)
     This function returns a random variate from the Cauchy
     distribution with scale parameter A.  The probability distribution
     for Cauchy random variates is,

          p(x) dx = {1 \over a\pi (1 + (x/a)^2) } dx

     for x in the range -\infty to +\infty.  The Cauchy distribution is
     also known as the Lorentz distribution.

 -- Function: double gsl_ran_cauchy_pdf (double X, double A)
     This function computes the probability density p(x) at X for a
     Cauchy distribution with scale parameter A, using the formula
     given above.


 -- Function: double gsl_cdf_cauchy_P (double X, double A)
 -- Function: double gsl_cdf_cauchy_Q (double X, double A)
 -- Function: double gsl_cdf_cauchy_Pinv (double P, double A)
 -- Function: double gsl_cdf_cauchy_Qinv (double Q, double A)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the Cauchy distribution with
     scale parameter A.


File: gsl-ref.info,  Node: The Rayleigh Distribution,  Next: The Rayleigh Tail Distribution,  Prev: The Cauchy Distribution,  Up: Random Number Distributions

20.9 The Rayleigh Distribution
==============================

 -- Function: double gsl_ran_rayleigh (const gsl_rng * R, double SIGMA)
     This function returns a random variate from the Rayleigh
     distribution with scale parameter SIGMA.  The distribution is,

          p(x) dx = {x \over \sigma^2} \exp(- x^2/(2 \sigma^2)) dx

     for x > 0.

 -- Function: double gsl_ran_rayleigh_pdf (double X, double SIGMA)
     This function computes the probability density p(x) at X for a
     Rayleigh distribution with scale parameter SIGMA, using the
     formula given above.


 -- Function: double gsl_cdf_rayleigh_P (double X, double SIGMA)
 -- Function: double gsl_cdf_rayleigh_Q (double X, double SIGMA)
 -- Function: double gsl_cdf_rayleigh_Pinv (double P, double SIGMA)
 -- Function: double gsl_cdf_rayleigh_Qinv (double Q, double SIGMA)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the Rayleigh distribution with
     scale parameter SIGMA.


File: gsl-ref.info,  Node: The Rayleigh Tail Distribution,  Next: The Landau Distribution,  Prev: The Rayleigh Distribution,  Up: Random Number Distributions

20.10 The Rayleigh Tail Distribution
====================================

 -- Function: double gsl_ran_rayleigh_tail (const gsl_rng * R, double
          A, double SIGMA)
     This function returns a random variate from the tail of the
     Rayleigh distribution with scale parameter SIGMA and a lower limit
     of A.  The distribution is,

          p(x) dx = {x \over \sigma^2} \exp ((a^2 - x^2) /(2 \sigma^2)) dx

     for x > a.

 -- Function: double gsl_ran_rayleigh_tail_pdf (double X, double A,
          double SIGMA)
     This function computes the probability density p(x) at X for a
     Rayleigh tail distribution with scale parameter SIGMA and lower
     limit A, using the formula given above.



File: gsl-ref.info,  Node: The Landau Distribution,  Next: The Levy alpha-Stable Distributions,  Prev: The Rayleigh Tail Distribution,  Up: Random Number Distributions

20.11 The Landau Distribution
=============================

 -- Function: double gsl_ran_landau (const gsl_rng * R)
     This function returns a random variate from the Landau
     distribution.  The probability distribution for Landau random
     variates is defined analytically by the complex integral,

          p(x) = (1/(2 \pi i)) \int_{c-i\infty}^{c+i\infty} ds exp(s log(s) + x s)
     For numerical purposes it is more convenient to use the following
     equivalent form of the integral,

          p(x) = (1/\pi) \int_0^\infty dt \exp(-t \log(t) - x t) \sin(\pi t).

 -- Function: double gsl_ran_landau_pdf (double X)
     This function computes the probability density p(x) at X for the
     Landau distribution using an approximation to the formula given
     above.



File: gsl-ref.info,  Node: The Levy alpha-Stable Distributions,  Next: The Levy skew alpha-Stable Distribution,  Prev: The Landau Distribution,  Up: Random Number Distributions

20.12 The Levy alpha-Stable Distributions
=========================================

 -- Function: double gsl_ran_levy (const gsl_rng * R, double C, double
          ALPHA)
     This function returns a random variate from the Levy symmetric
     stable distribution with scale C and exponent ALPHA.  The symmetric
     stable probability distribution is defined by a Fourier transform,

          p(x) = {1 \over 2 \pi} \int_{-\infty}^{+\infty} dt \exp(-it x - |c t|^alpha)

     There is no explicit solution for the form of p(x) and the library
     does not define a corresponding `pdf' function.  For \alpha = 1
     the distribution reduces to the Cauchy distribution.  For \alpha =
     2 it is a Gaussian distribution with \sigma = \sqrt{2} c.  For
     \alpha < 1 the tails of the distribution become extremely wide.

     The algorithm only works for 0 < alpha <= 2.



File: gsl-ref.info,  Node: The Levy skew alpha-Stable Distribution,  Next: The Gamma Distribution,  Prev: The Levy alpha-Stable Distributions,  Up: Random Number Distributions

20.13 The Levy skew alpha-Stable Distribution
=============================================

 -- Function: double gsl_ran_levy_skew (const gsl_rng * R, double C,
          double ALPHA, double BETA)
     This function returns a random variate from the Levy skew stable
     distribution with scale C, exponent ALPHA and skewness parameter
     BETA.  The skewness parameter must lie in the range [-1,1].  The
     Levy skew stable probability distribution is defined by a Fourier
     transform,

          p(x) = {1 \over 2 \pi} \int_{-\infty}^{+\infty} dt \exp(-it x - |c t|^alpha (1-i beta sign(t) tan(pi alpha/2)))

     When \alpha = 1 the term \tan(\pi \alpha/2) is replaced by
     -(2/\pi)\log|t|.  There is no explicit solution for the form of
     p(x) and the library does not define a corresponding `pdf'
     function.  For \alpha = 2 the distribution reduces to a Gaussian
     distribution with \sigma = \sqrt{2} c and the skewness parameter
     has no effect.  For \alpha < 1 the tails of the distribution
     become extremely wide.  The symmetric distribution corresponds to
     \beta = 0.

     The algorithm only works for 0 < alpha <= 2.

   The Levy alpha-stable distributions have the property that if N
alpha-stable variates are drawn from the distribution p(c, \alpha,
\beta) then the sum Y = X_1 + X_2 + \dots + X_N will also be
distributed as an alpha-stable variate, p(N^(1/\alpha) c, \alpha,
\beta).



File: gsl-ref.info,  Node: The Gamma Distribution,  Next: The Flat (Uniform) Distribution,  Prev: The Levy skew alpha-Stable Distribution,  Up: Random Number Distributions

20.14 The Gamma Distribution
============================

 -- Function: double gsl_ran_gamma (const gsl_rng * R, double A, double
          B)
     This function returns a random variate from the gamma
     distribution.  The distribution function is,

          p(x) dx = {1 \over \Gamma(a) b^a} x^{a-1} e^{-x/b} dx

     for x > 0.

     The gamma distribution with an integer parameter A is known as the
     Erlang distribution.

     The variates are computed using the Marsaglia-Tsang fast gamma
     method.  This function for this method was previously called
     `gsl_ran_gamma_mt' and can still be accessed using this name.

 -- Function: double gsl_ran_gamma_knuth (const gsl_rng * R, double A,
          double B)
     This function returns a gamma variate using the algorithms from
     Knuth (vol 2).

 -- Function: double gsl_ran_gamma_pdf (double X, double A, double B)
     This function computes the probability density p(x) at X for a
     gamma distribution with parameters A and B, using the formula
     given above.


 -- Function: double gsl_cdf_gamma_P (double X, double A, double B)
 -- Function: double gsl_cdf_gamma_Q (double X, double A, double B)
 -- Function: double gsl_cdf_gamma_Pinv (double P, double A, double B)
 -- Function: double gsl_cdf_gamma_Qinv (double Q, double A, double B)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the gamma distribution with
     parameters A and B.


File: gsl-ref.info,  Node: The Flat (Uniform) Distribution,  Next: The Lognormal Distribution,  Prev: The Gamma Distribution,  Up: Random Number Distributions

20.15 The Flat (Uniform) Distribution
=====================================

 -- Function: double gsl_ran_flat (const gsl_rng * R, double A, double
          B)
     This function returns a random variate from the flat (uniform)
     distribution from A to B. The distribution is,

          p(x) dx = {1 \over (b-a)} dx

     if a <= x < b and 0 otherwise.

 -- Function: double gsl_ran_flat_pdf (double X, double A, double B)
     This function computes the probability density p(x) at X for a
     uniform distribution from A to B, using the formula given above.


 -- Function: double gsl_cdf_flat_P (double X, double A, double B)
 -- Function: double gsl_cdf_flat_Q (double X, double A, double B)
 -- Function: double gsl_cdf_flat_Pinv (double P, double A, double B)
 -- Function: double gsl_cdf_flat_Qinv (double Q, double A, double B)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for a uniform distribution from A to
     B.


File: gsl-ref.info,  Node: The Lognormal Distribution,  Next: The Chi-squared Distribution,  Prev: The Flat (Uniform) Distribution,  Up: Random Number Distributions

20.16 The Lognormal Distribution
================================

 -- Function: double gsl_ran_lognormal (const gsl_rng * R, double ZETA,
          double SIGMA)
     This function returns a random variate from the lognormal
     distribution.  The distribution function is,

          p(x) dx = {1 \over x \sqrt{2 \pi \sigma^2} } \exp(-(\ln(x) - \zeta)^2/2 \sigma^2) dx

     for x > 0.

 -- Function: double gsl_ran_lognormal_pdf (double X, double ZETA,
          double SIGMA)
     This function computes the probability density p(x) at X for a
     lognormal distribution with parameters ZETA and SIGMA, using the
     formula given above.


 -- Function: double gsl_cdf_lognormal_P (double X, double ZETA, double
          SIGMA)
 -- Function: double gsl_cdf_lognormal_Q (double X, double ZETA, double
          SIGMA)
 -- Function: double gsl_cdf_lognormal_Pinv (double P, double ZETA,
          double SIGMA)
 -- Function: double gsl_cdf_lognormal_Qinv (double Q, double ZETA,
          double SIGMA)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the lognormal distribution with
     parameters ZETA and SIGMA.


File: gsl-ref.info,  Node: The Chi-squared Distribution,  Next: The F-distribution,  Prev: The Lognormal Distribution,  Up: Random Number Distributions

20.17 The Chi-squared Distribution
==================================

The chi-squared distribution arises in statistics.  If Y_i are n
independent Gaussian random variates with unit variance then the
sum-of-squares,

     X_i = \sum_i Y_i^2

has a chi-squared distribution with n degrees of freedom.

 -- Function: double gsl_ran_chisq (const gsl_rng * R, double NU)
     This function returns a random variate from the chi-squared
     distribution with NU degrees of freedom. The distribution function
     is,

          p(x) dx = {1 \over 2 \Gamma(\nu/2) } (x/2)^{\nu/2 - 1} \exp(-x/2) dx

     for x >= 0.

 -- Function: double gsl_ran_chisq_pdf (double X, double NU)
     This function computes the probability density p(x) at X for a
     chi-squared distribution with NU degrees of freedom, using the
     formula given above.


 -- Function: double gsl_cdf_chisq_P (double X, double NU)
 -- Function: double gsl_cdf_chisq_Q (double X, double NU)
 -- Function: double gsl_cdf_chisq_Pinv (double P, double NU)
 -- Function: double gsl_cdf_chisq_Qinv (double Q, double NU)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the chi-squared distribution
     with NU degrees of freedom.


File: gsl-ref.info,  Node: The F-distribution,  Next: The t-distribution,  Prev: The Chi-squared Distribution,  Up: Random Number Distributions

20.18 The F-distribution
========================

The F-distribution arises in statistics.  If Y_1 and Y_2 are
chi-squared deviates with \nu_1 and \nu_2 degrees of freedom then the
ratio,

     X = { (Y_1 / \nu_1) \over (Y_2 / \nu_2) }

has an F-distribution F(x;\nu_1,\nu_2).

 -- Function: double gsl_ran_fdist (const gsl_rng * R, double NU1,
          double NU2)
     This function returns a random variate from the F-distribution
     with degrees of freedom NU1 and NU2. The distribution function is,

          p(x) dx =
             { \Gamma((\nu_1 + \nu_2)/2)
                  \over \Gamma(\nu_1/2) \Gamma(\nu_2/2) }
             \nu_1^{\nu_1/2} \nu_2^{\nu_2/2}
             x^{\nu_1/2 - 1} (\nu_2 + \nu_1 x)^{-\nu_1/2 -\nu_2/2}

     for x >= 0.

 -- Function: double gsl_ran_fdist_pdf (double X, double NU1, double
          NU2)
     This function computes the probability density p(x) at X for an
     F-distribution with NU1 and NU2 degrees of freedom, using the
     formula given above.


 -- Function: double gsl_cdf_fdist_P (double X, double NU1, double NU2)
 -- Function: double gsl_cdf_fdist_Q (double X, double NU1, double NU2)
 -- Function: double gsl_cdf_fdist_Pinv (double P, double NU1, double
          NU2)
 -- Function: double gsl_cdf_fdist_Qinv (double Q, double NU1, double
          NU2)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the F-distribution with NU1 and
     NU2 degrees of freedom.


File: gsl-ref.info,  Node: The t-distribution,  Next: The Beta Distribution,  Prev: The F-distribution,  Up: Random Number Distributions

20.19 The t-distribution
========================

The t-distribution arises in statistics.  If Y_1 has a normal
distribution and Y_2 has a chi-squared distribution with \nu degrees of
freedom then the ratio,

     X = { Y_1 \over \sqrt{Y_2 / \nu} }

has a t-distribution t(x;\nu) with \nu degrees of freedom.

 -- Function: double gsl_ran_tdist (const gsl_rng * R, double NU)
     This function returns a random variate from the t-distribution.
     The distribution function is,

          p(x) dx = {\Gamma((\nu + 1)/2) \over \sqrt{\pi \nu} \Gamma(\nu/2)}
             (1 + x^2/\nu)^{-(\nu + 1)/2} dx

     for -\infty < x < +\infty.

 -- Function: double gsl_ran_tdist_pdf (double X, double NU)
     This function computes the probability density p(x) at X for a
     t-distribution with NU degrees of freedom, using the formula given
     above.


 -- Function: double gsl_cdf_tdist_P (double X, double NU)
 -- Function: double gsl_cdf_tdist_Q (double X, double NU)
 -- Function: double gsl_cdf_tdist_Pinv (double P, double NU)
 -- Function: double gsl_cdf_tdist_Qinv (double Q, double NU)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the t-distribution with NU
     degrees of freedom.


File: gsl-ref.info,  Node: The Beta Distribution,  Next: The Logistic Distribution,  Prev: The t-distribution,  Up: Random Number Distributions

20.20 The Beta Distribution
===========================

 -- Function: double gsl_ran_beta (const gsl_rng * R, double A, double
          B)
     This function returns a random variate from the beta distribution.
     The distribution function is,

          p(x) dx = {\Gamma(a+b) \over \Gamma(a) \Gamma(b)} x^{a-1} (1-x)^{b-1} dx

     for 0 <= x <= 1.

 -- Function: double gsl_ran_beta_pdf (double X, double A, double B)
     This function computes the probability density p(x) at X for a
     beta distribution with parameters A and B, using the formula given
     above.


 -- Function: double gsl_cdf_beta_P (double X, double A, double B)
 -- Function: double gsl_cdf_beta_Q (double X, double A, double B)
 -- Function: double gsl_cdf_beta_Pinv (double P, double A, double B)
 -- Function: double gsl_cdf_beta_Qinv (double Q, double A, double B)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the beta distribution with
     parameters A and B.


File: gsl-ref.info,  Node: The Logistic Distribution,  Next: The Pareto Distribution,  Prev: The Beta Distribution,  Up: Random Number Distributions

20.21 The Logistic Distribution
===============================

 -- Function: double gsl_ran_logistic (const gsl_rng * R, double A)
     This function returns a random variate from the logistic
     distribution.  The distribution function is,

          p(x) dx = { \exp(-x/a) \over a (1 + \exp(-x/a))^2 } dx

     for -\infty < x < +\infty.

 -- Function: double gsl_ran_logistic_pdf (double X, double A)
     This function computes the probability density p(x) at X for a
     logistic distribution with scale parameter A, using the formula
     given above.


 -- Function: double gsl_cdf_logistic_P (double X, double A)
 -- Function: double gsl_cdf_logistic_Q (double X, double A)
 -- Function: double gsl_cdf_logistic_Pinv (double P, double A)
 -- Function: double gsl_cdf_logistic_Qinv (double Q, double A)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the logistic distribution with
     scale parameter A.


File: gsl-ref.info,  Node: The Pareto Distribution,  Next: Spherical Vector Distributions,  Prev: The Logistic Distribution,  Up: Random Number Distributions

20.22 The Pareto Distribution
=============================

 -- Function: double gsl_ran_pareto (const gsl_rng * R, double A,
          double B)
     This function returns a random variate from the Pareto
     distribution of order A.  The distribution function is,

          p(x) dx = (a/b) / (x/b)^{a+1} dx

     for x >= b.

 -- Function: double gsl_ran_pareto_pdf (double X, double A, double B)
     This function computes the probability density p(x) at X for a
     Pareto distribution with exponent A and scale B, using the formula
     given above.


 -- Function: double gsl_cdf_pareto_P (double X, double A, double B)
 -- Function: double gsl_cdf_pareto_Q (double X, double A, double B)
 -- Function: double gsl_cdf_pareto_Pinv (double P, double A, double B)
 -- Function: double gsl_cdf_pareto_Qinv (double Q, double A, double B)
     These functions compute the cumulative distribution functions
     P(x), Q(x) and their inverses for the Pareto distribution with
     exponent A and scale B.

