root/qd-bessel.lisp @ a5a4c7acd95d1946e7cf426f9a927a918c9e2afc

;;;; -*- Mode: lisp -*-
;;;;
;;;; Copyright (c) 2011 Raymond Toy
;;;; Permission is hereby granted, free of charge, to any person
;;;; obtaining a copy of this software and associated documentation
;;;; files (the "Software"), to deal in the Software without
;;;; restriction, including without limitation the rights to use,
;;;; copy, modify, merge, publish, distribute, sublicense, and/or sell
;;;; copies of the Software, and to permit persons to whom the
;;;; Software is furnished to do so, subject to the following
;;;; conditions:
;;;;
;;;; The above copyright notice and this permission notice shall be
;;;; included in all copies or substantial portions of the Software.
;;;;
;;;; THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
;;;; EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
;;;; OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
;;;; NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
;;;; HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
;;;; WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
;;;; FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
;;;; OTHER DEALINGS IN THE SOFTWARE.

(in-package #:oct)

;;; References:
;;;
;;; [1] Borwein, Borwein, Crandall, "Effective Laguerre Asymptotics",
;;; http://people.reed.edu/~crandall/papers/Laguerre-f.pdf
;;;
;;; [2] Borwein, Borwein, Chan, "The Evaluation of Bessel Functions
;;; via Exp-Arc Integrals", http://web.cs.dal.ca/~jborwein/bessel.pdf
;;;

(defvar *debug-exparc* nil)

;; B[k](p) = 1/2^(k+3/2)*integrate(exp(-p*u)*u^(k-1/2),u,0,1)
;;         = 1/2^(k+3/2)/p^(k+1/2)*integrate(t^(k-1/2)*exp(-t),t,0,p)
;;         = 1/2^(k+3/2)/p^(k+1/2) * g(k+1/2, p)
;;
;; where G(a,z) is the lower incomplete gamma function.
;;
;; There is the continued fraction expansion for G(a,z) (see
;; cf-incomplete-gamma in qd-gamma.lisp):
;;
;;  G(a,z) = z^a*exp(-z)/ CF
;;
;; So
;;
;;  B[k](p) = 1/2^(k+3/2)/p^(k+1/2)*p^(k+1/2)*exp(-p)/CF
;;          = exp(-p)/2^(k+3/2)/CF
;;
;;
;; Note also that [2] gives a recurrence relationship for B[k](p) in
;; eq (2.6), but there is an error there.  The correct relationship is
;;
;;  B[k](p) = -exp(-p)/(p*sqrt(2)*2^(k+1)) + (k-1/2)*B[k-1](p)/(2*p)
;;
;; The paper is missing the division by p in the term containing
;; B[k-1](p).  This is easily derived from the recurrence relationship
;; for the (lower) incomplete gamma function.
;;
;; Note too that as k increases, the recurrence appears to be unstable
;; and B[k](p) begins to increase even though it is strictly bounded.
;; (This is also easy to see from the integral.)  Hence, we do not use
;; the recursion.  However, it might be stable for use with
;; double-float precision; this has not been tested.
;;
(defun bk (k p)
  (/ (exp (- p))
     (* (sqrt (float 2 (realpart p))) (ash 1 (+ k 1)))
     (let ((a (float (+ k 1/2) (realpart p))))
       (lentz #'(lambda (n)
                  (+ n a))
              #'(lambda (n)
                  (if (evenp n)
                      (* (ash n -1) p)
                      (- (* (+ a (ash n -1)) p))))))))

;; exp-arc I function, as given in the Laguerre paper
;;
;; I(p, q) = 4*exp(p) * sum(g[k](-2*%i*q)/(2*k)!*B[k](p), k, 0, inf)
;;
;; where g[k](p) = product(p^2+(2*j-1)^2, j, 1, k) and B[k](p) as above.
;;
;; For computation, note that g[k](p) = g[k-1](p) * (p^2 + (2*k-1)^2)
;; and (2*k)! = (2*k-2)! * (2*k-1) * (2*k).  Then, let
;;
;;  R[k](p) = g[k](p)/(2*k)!
;;
;; Then
;;
;;  R[k](p) = g[k](p)/(2*k)!
;;          = g[k-1](p)/(2*k-2)! * (p^2 + (2*k-1)^2)/((2*k-1)*(2*k)
;;          = R[k-1](p) * (p^2 + (2*k-1)^2)/((2*k-1)*(2*k)
;;
;; In the exp-arc paper, the function is defined (equivalently) as
;; 
;; I(p, q) = 2*%i*exp(p)/q * sum(r[2*k+1](-2*%i*q)/(2*k)!*B[k](p), k, 0, inf)
;;
;; where r[2*k+1](p) = p*product(p^2 + (2*j-1)^2, j, 1, k)
;;
;; Let's note some properties of I(p, q).
;;
;; I(-%i*z, v) = 2*%i*exp(-%i*z)/q * sum(r[2*k+1](-2*%i*v)/(2*k)!*B[k](-%i*z))
;;
;; Note thate B[k](-%i*z) = 1/2^(k+3/2)*integrate(exp(%i*z*u)*u^(k-1/2),u,0,1)
;;                        = conj(B[k](%i*z).
;;
;; Hence I(-%i*z, v) = conj(I(%i*z, v)) when both z and v are real.
(defun exp-arc-i (p q)
  (let* ((sqrt2 (sqrt (float 2 (realpart p))))
         (exp/p/sqrt2 (/ (exp (- p)) p sqrt2))
         (v (* #c(0 -2) q))
         (v2 (expt v 2))
         (eps (epsilon (realpart p))))
    (when *debug-exparc*
      (format t "sqrt2 = ~S~%" sqrt2)
      (format t "exp/p/sqrt2 = ~S~%" exp/p/sqrt2))
    (do* ((k 0 (1+ k))
          (bk (/ (incomplete-gamma 1/2 p)
                 2 sqrt2 (sqrt p))
              (- (/ (* bk (- k 1/2)) 2 p)
                 (/ exp/p/sqrt2 (ash 1 (+ k 1)))))
          ;; ratio[k] = r[2*k+1](v)/(2*k)!.
          ;; r[1] = v and r[2*k+1](v) = r[2*k-1](v)*(v^2 + (2*k-1)^2)
          ;; ratio[0] = v
          ;; and ratio[k] = r[2*k-1](v)*(v^2+(2*k-1)^2) / ((2*k-2)! * (2*k-1) * 2*k)
          ;;              = ratio[k]*(v^2+(2*k-1)^2)/((2*k-1) * 2 * k)
          (ratio v
                 (* ratio (/ (+ v2 (expt (1- (* 2 k)) 2))
                             (* 2 k (1- (* 2 k))))))
          (term (* ratio bk)
                (* ratio bk))
          (sum term (+ sum term)))
         ((< (abs term) (* (abs sum) eps))
          (* sum #c(0 2) (/ (exp p) q)))
      (when *debug-exparc*
        (format t "k      = ~D~%" k)
        (format t " bk    = ~S~%" bk)
        (format t " ratio = ~S~%" ratio)
        (format t " term  = ~S~%" term)
        (format t " sum   - ~S~%" sum)))))

(defun exp-arc-i-2 (p q)
  (let* ((sqrt2 (sqrt (float 2 (realpart p))))
         (exp/p/sqrt2 (/ (exp (- p)) p sqrt2))
         (v (* #c(0 -2) q))
         (v2 (expt v 2))
         (eps (epsilon (realpart p))))
    (when *debug-exparc*
      (format t "sqrt2 = ~S~%" sqrt2)
      (format t "exp/p/sqrt2 = ~S~%" exp/p/sqrt2))
    (do* ((k 0 (1+ k))
          (bk (bk 0 p)
              (bk k p))
          (ratio v
                 (* ratio (/ (+ v2 (expt (1- (* 2 k)) 2))
                             (* 2 k (1- (* 2 k))))))
          (term (* ratio bk)
                (* ratio bk))
          (sum term (+ sum term)))
         ((< (abs term) (* (abs sum) eps))
          (* sum #c(0 2) (/ (exp p) q)))
      (when *debug-exparc*
        (format t "k      = ~D~%" k)
        (format t " bk    = ~S~%" bk)
        (format t " ratio = ~S~%" ratio)
        (format t " term  = ~S~%" term)
        (format t " sum   - ~S~%" sum)))))


;; This currently only works for v an integer.
;;
(defun integer-bessel-j-exp-arc (v z)
  (let* ((iz (* #c(0 1) z))
         (i+ (exp-arc-i-2 iz v))
         (i- (exp-arc-i-2 (- iz ) v)))
    (/ (+ (* (cis (* v (float-pi i+) -1/2))
             i+)
          (* (cis (* v (float-pi i+) 1/2))
             i-))
       (float-pi i+)
       2)))

;; alpha[n](z) = integrate(exp(-z*s)*s^n, s, 0, 1/2)
;; beta[n](z)  = integrate(exp(-z*s)*s^n, s, -1/2, 1/2)
;;
;; The recurrence in [2] is
;;
;; alpha[n](z) = - exp(-z/2)/2^n/z + n/z*alpha[n-1](z)
;; beta[n]z)   = ((-1)^n*exp(z/2)-exp(-z/2))/2^n/z + n/z*beta[n-1](z)
;;
;; We also note that
;;
;; alpha[n](z) = G(n+1,z/2)/z^(n+1)
;; beta[n](z)  = G(n+1,z/2)/z^(n+1) - G(n+1,-z/2)/z^(n+1)

(defun alpha (n z)
  (let ((n (float n (realpart z))))
    (/ (cf-incomplete-gamma (1+ n) (/ z 2))
       (expt z (1+ n)))))

(defun beta (n z)
  (let ((n (float n (realpart z))))
    (/ (- (cf-incomplete-gamma (1+ n) (/ z 2))
          (cf-incomplete-gamma (1+ n) (/ z -2)))
       (expt z (1+ n)))))

;; a[0](k,v) := (k+sqrt(k^2+1))^(-v);
;; a[1](k,v) := -v*a[0](k,v)/sqrt(k^2+1);
;; a[n](k,v) := 1/(k^2+1)/(n-1)/n*((v^2-(n-2)^2)*a[n-2](k,v)-k*(n-1)*(2*n-3)*a[n-1](k,v));

;; Convert this to iteration instead of using this quick-and-dirty
;; memoization?
(let ((hash (make-hash-table :test 'equal)))
  (defun an-clrhash ()
    (clrhash hash))
  (defun an-dump-hash ()
    (maphash #'(lambda (k v)
                 (format t "~S -> ~S~%" k v))
             hash))
  (defun an (n k v)
    (or (gethash (list n k v) hash)
        (let ((result
                (cond ((= n 0)
                       (expt (+ k (sqrt (float (1+ (* k k)) (realpart v)))) (- v)))
                      ((= n 1)
                       (- (/ (* v (an 0 k v))
                             (sqrt (float (1+ (* k k)) (realpart v))))))
                      (t
                       (/ (- (* (- (* v v) (expt (- n 2) 2)) (an (- n 2) k v))
                             (* k (- n 1) (+ n n -3) (an (- n 1) k v)))
                          (+ 1 (* k k))
                          (- n 1)
                          n)))))
          (setf (gethash (list n k v) hash) result)
          result))))

;; SUM-AN computes the series
;;
;; sum(exp(-k*z)*a[n](k,v), k, 1, N)
;;
(defun sum-an (big-n n v z)
  (let ((sum 0))
    (loop for k from 1 upto big-n
          do
             (incf sum (* (exp (- (* k z)))
                          (an n k v))))
    sum))

;; SUM-AB computes the series
;;
;; sum(alpha[n](z)*a[n](0,v) + beta[n](z)*sum_an(N, n, v, z), n, 0, inf)
(defun sum-ab (big-n v z)
  (let ((eps (epsilon (realpart z))))
    (an-clrhash)
    (do* ((n 0 (+ 1 n))
          (term (+ (* (alpha n z) (an n 0 v))
                   (* (beta n z) (sum-an big-n n v z)))
                (+ (* (alpha n z) (an n 0 v))
                   (* (beta n z) (sum-an big-n n v z))))
          (sum term (+ sum term)))
         ((<= (abs term) (* eps (abs sum)))
          sum)
      (when nil
        (format t "n = ~D~%" n)
        (format t " term = ~S~%" term)
        (format t " sum  = ~S~%" sum)))))

;; Convert to iteration instead of this quick-and-dirty memoization?
(let ((hash (make-hash-table :test 'equal)))
  (defun %big-a-clrhash ()
    (clrhash hash))
  (defun %big-a-dump-hash ()
    (maphash #'(lambda (k v)
                 (format t "~S -> ~S~%" k v))
             hash))
  (defun %big-a (n v)
    (or (gethash (list n v) hash)
        (let ((result
                (cond ((zerop n)
                       (expt 2 (- v)))
                      (t
                       (* (%big-a (- n 1) v)
                          (/ (* (+ v n n -2) (+ v n n -1))
                             (* 4 n (+ n v))))))))
          (setf (gethash (list n v) hash) result)
          result))))

;; Computes A[n](v) =
;; (-1)^n*v*2^(-v)*pochhammer(v+n+1,n-1)/(2^(2*n)*n!)  If v is a
;; negative integer -m, use A[n](-m) = (-1)^(m+1)*A[n-m](m) for n >=
;; m.
(defun big-a (n v)
  (let ((m (ftruncate v)))
    (cond ((and (= m v) (minusp m))
           (if (< n m)
               (%big-a n v)
               (let ((result (%big-a (+ n m) v)))
                 (if (oddp (truncate m))
                     result
                     (- result)))))
          (t
           (%big-a n v)))))

;; I[n](t, z, v) = exp(-t*z)/t^(2*n+v-1) *
;;                  integrate(exp(-t*z*s)*(1+s)^(-2*n-v), s, 0, inf)
;;
;; Use the substitution u=1+s to get a new integral
;;
;; integrate(exp(-t*z*s)*(1+s)^(-2*n-v), s, 0, inf)
;;   = exp(t*z) * integrate(u^(-v-2*n)*exp(-t*u*z), u, 1, inf)
;;   = exp(t*z)*t^(v+2*n-1)*z^(v+2*n-1)*incomplete_gamma_tail(1-v-2*n,t*z)
;;
;; The continued fraction for incomplete_gamma_tail(a,z) is
;;
;;   z^a*exp(-z)/CF
;;
;; So incomplete_gamma_tail(1-v-2*n, t*z) is
;;
;;   (t*z)^(1-v-2*n)*exp(-t*z)/CF
;;
;; which finally gives
;;
;; integrate(exp(-t*z*s)*(1+s)^(-2*n-v), s, 0, inf)
;;   = CF
;;
;; and I[n](t, z, v) = exp(-t*z)/t^(2*n+v-1)/CF
(defun big-i (n t z v)
  (/ (exp (- (* t z)))
     (expt t (+ n n v -1))
     (let* ((a (- 1 v n n))
            (z-a (- z a)))
       (lentz #'(lambda (n)
                  (+ n n 1 z-a))
              #'(lambda (n)
                  (* n (- a n)))))))

(defun sum-big-ia (big-n v z)
  )

(defun bessel-j (v z)
  (let ((vv (ftruncate v)))
    (cond ((= vv v)
           ;; v is an integer
           (integer-bessel-j-exp-arc v z))
          (t
           (let ((big-n 100)
                 (vpi (* v (float-pi (realpart z)))))
             (+ (integer-bessel-j-exp-arc v z)
                (* z
                   (/ (sin vpi) vpi)
                   (+ (/ -1 z)
                      (sum-ab big-n v z)))))))))

(defun paris-series (v z n)
  (labels ((pochhammer (a k)
             (/ (gamma (+ a k))
                (gamma a)))
           (a (v k)
             (* (/ (pochhammer (+ 1/2 v) k)
                   (gamma (float (1+ k) z)))
                (pochhammer (- 1/2 v) k))))
    (* (loop for k from 0 below n
             sum (* (/ (a v k)
                       (expt (* 2 z) k))
                    (/ (cf-incomplete-gamma (+ k v 1/2) (* 2 z))
                       (gamma (+ k v 1/2)))))
       (/ (exp z)
          (sqrt (* 2 (float-pi z) z))))))