// boost-no-inspect /* * Copyright Nick Thompson, Matt Borland, 2023 * Use, modification and distribution are subject to the * Boost Software License, Version 1.0. (See accompanying file * LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) */ #ifndef BOOST_MATH_SPECIAL_FOURIER_TRANSFORM_DAUBECHIES_HPP #define BOOST_MATH_SPECIAL_FOURIER_TRANSFORM_DAUBECHIES_HPP #include #include #include #include #include #include #include #include namespace boost::math { namespace detail { // See the Table 6.2 of Daubechies, Ten Lectures on Wavelets. // These constants are precisely those divided by 1/sqrt(2), because otherwise // we'd immediately just have to divide through by 1/sqrt(2). // These numbers agree with Table 6.2, but are generated via example/calculate_fourier_transform_daubechies_constants.cpp template constexpr std::array ft_daubechies_scaling_polynomial_coefficients() { static_assert(N >= 1 && N <= 10, "Scaling function only implemented for 1-10 vanishing moments."); if constexpr (N == 1) { return std::array{static_cast(1)}; } if constexpr (N == 2) { return {BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 1.36602540378443864676372317075293618347140262690519031402790348972596650842632007803393058), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.366025403784438646763723170752936183471402626905190314027903489725966508441952115116994061)}; } if constexpr (N == 3) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 1.88186883113665472301331643028468183320710177910151845853383427363197699204347143889269703), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -1.08113883008418966599944677221635926685977756966260841342875242639629721931484516409937898), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.199269998947534942986130341931677433652675790561089954894918152764320227250084833874126086)}; } if constexpr (N == 4) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 2.60642742441038678619616138456320274846457112268350230103083547418823666924354637907021821), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -2.33814397690691624172277875654682595239896411009843420976312905955518655953831321619717516), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.851612467139421235087502761217605775743179492713667860409024360383174560120738199344383827), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.119895914642891779560885389233982571808786505298735951676730775016224669960397338539830347)}; } if constexpr (N == 5) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 3.62270372133693372237431371824382790538377237674943454540758419371854887218301659611796287), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -4.45042192340421529271926241961545172940077367856833333571968270791760393243895360839974479), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 2.41430351179889241160444590912469777504146155873489898274561148139247721271772284677196254), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.662064156756696785656360678859372223233256033099757083735935493062448802216759690564503751), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.0754788470250859443968634711062982722087957761837568913024225258690266500301041274151679859)}; } if constexpr (N == 6) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 5.04775782409284533508504459282823265081102702143912881539214595513121059428213452194161891), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -7.90242489414953082292172067801361411066690749603940036372954720647258482521355701761199), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 5.69062231972011992229557724635729642828799628244009852056657089766265949751788181912632318), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -2.29591465417352749013350971621495843275025605194376564457120763045109729714936982561585742), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.508712486289373262241383448555327418882885930043157873517278143590549199629822225076344289), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.0487530817792802065667748935122839545647456859392192011752401594607371693280512344274717466)}; } if constexpr (N == 7) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 7.0463635677199166580912954330590360004554457287730448872409828895500755049108034478397642), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -13.4339028220058085795120274851204982381087988043552711869584397724404274044947626280185946), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 12.0571882966390397563079887516068140052534768286900467252199152570563053103366694003818755), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -6.39124482303930285525880162640679389779540687632321120940980371544051534690730897661850842), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 2.07674879424918331569327229402057948161936796436510457676789758815816492768386639712643599), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.387167532162867697386347232520843525988806810788254462365009860280979111139408537312553398), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.0320145185998394020646198653617061745647219696385406695044576133973761206215673170563538)}; } if constexpr (N == 8) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 9.85031962984351656604584909868313752909650830419035084214249929687665775818153930511533915), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -22.1667494032601530437943449172929277733925779301673358406203340024653233856852379126537395), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 23.8272728452144265698978643079553442578633838793866258585693705776047828901217069807060715), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -15.6065825916019064469551268429136774427686552695820632173344334583910793479437661751737998), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 6.63923943761238270605338141020386331691362835005178161341935720370310013774320917891051914), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -1.81462830704498058848677549516134095104668450780318379608495409574150643627578462439190617), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.292393958692487086036895445298600849998803161432207979583488595754566344585039785927586499), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.0212655694557728487977430067729997866644059875083834396749941173411979591559303697954912042)}; } if constexpr (N == 9) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 13.7856894948673536752299497816200874595462540239049618127984616645562437295073582057283235), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -35.79362367743347676734569335180426263053917566987500206688713345532850076082533131311371), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 44.8271517576868325408174336351944130389504383168376658969692365144162452669941793147313), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -34.9081281226625998193992072777004811412863069972654446089639166067029872995118090115016879), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 18.2858070519930071738884732413420775324549836290768317032298177553411077249931094333824682), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -6.53714271572640296907117142447372145396492988681610221640307755553450246302777187366825001), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 1.5454286423270706293059630490222623728433659436325762803842722481655127844136128434034519), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.219427682644567750633335191213222483839627852234602683427115193605056655384931679751929029), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.0142452515927832872075875380128473058349984927391158822994546286919376896668596927857450578)}; } if constexpr (N == 10) { return std::array{ BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 19.3111846872275854185286532829110292444580572106276740012656292351880418629976266671349603), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -56.8572892818288577904562616825768121532988312416110097001327598719988644787442373891037268), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 81.3040184941182201969442916535886223134891624078921290339772790298979750863332417443823932), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -73.3067370305702272426402835488383512315892354877130132060680994033122368453226804355121917), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 45.5029913577892585869595005785056707790215969761054467083138479721524945862678794713356742), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -20.0048938122958245128650205249242185678760602333821352917865992073643758821417211689052482), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 6.18674372398711325312495154772282340531430890354257911422818567803548535981484584999007723), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -1.29022235346655645559407302793903682217361613280994725979138999393113139183198020070701239), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, 0.16380852384056875506684562409582514726612462486206657238854671180228210790016298829595125), BOOST_MATH_BIG_CONSTANT(Real, std::numeric_limits::digits, -0.00960430880128020906860390254555211461150702751378997239464015046967050703218076318595987803)}; } } } // namespace detail /* * Given ω∈ℝ, computes a numerical approximation to 𝓕[𝜙](ω), * where 𝜙 is the Daubechies scaling function. * Fast and accurate evaluation of these function seems to me to be a rather involved research project, * which I have not endeavored to complete. * In particular, recovering ~1ULP evaluation is not possible using the techniques * employed here-you should use this with the understanding it is good enough for almost * all uses with empirical data, but probably doesn't recover enough accuracy * for pure mathematical uses (other than graphing-in which case it's fine). * The implementation uses an infinite product of trigonometric polynomials. * See Daubechies, 10 Lectures on Wavelets, equation 5.1.17, 5.1.18. * It uses the factorization of m₀ shown in Corollary 5.5.4 and equation 5.5.5. * See more discusion near equation 6.1.1, * as well as efficiency gains from equation 7.1.4. */ template std::complex fourier_transform_daubechies_scaling(Real omega) { // This arg promotion is kinda sad, but IMO the accuracy is not good enough in // float precision using this method. Requesting a better algorithm! if constexpr (std::is_same_v) { return static_cast>(fourier_transform_daubechies_scaling(static_cast(omega))); } using boost::math::constants::one_div_root_two_pi; using std::abs; using std::exp; using std::norm; using std::pow; using std::sqrt; using std::cbrt; // Equation 7.1.4 of 10 Lectures on Wavelets is singular at ω=0: if (omega == 0) { return std::complex(one_div_root_two_pi(), 0); } // For whatever reason, this starts returning NaNs rather than zero for |ω|≫1. // But we know that this function decays rather quickly with |ω|, // and hence it is "numerically zero", even if in actuality the function does not have compact support. // Now, should we probably do a fairly involved, exhaustive calculation to see where exactly we should set this threshold // and store them in a table? .... yes. if (abs(omega) >= sqrt(std::numeric_limits::max())) { return std::complex(0, 0); } auto const constexpr lxi = detail::ft_daubechies_scaling_polynomial_coefficients(); auto xi = -omega / 2; std::complex phi{one_div_root_two_pi(), 0}; do { std::complex arg{0, xi}; auto z = exp(arg); phi *= boost::math::tools::evaluate_polynomial_estrin(lxi, z); xi /= 2; } while (abs(xi) > std::numeric_limits::epsilon()); std::complex arg{0, omega}; // There is no std::expm1 for complex numbers. // We may therefore be leaving accuracy gains on the table for small |ω|: std::complex prefactor = (Real(1) - exp(-arg))/arg; return phi * static_cast>(pow(prefactor, p)); } template std::complex fourier_transform_daubechies_wavelet(Real omega) { // See Daubechies, 10 Lectures on Wavelets, page 193, unlabelled equation in Theorem 6.3.6: // 𝓕[ψ](ω) = -exp(-iω/2)m₀(ω/2 + π)^{*}𝓕[𝜙](ω/2) if constexpr (std::is_same_v) { return static_cast>(fourier_transform_daubechies_wavelet(static_cast(omega))); } using std::exp; using std::pow; auto Fphi = fourier_transform_daubechies_scaling(omega/2); auto phase = -exp(std::complex(0, -omega/2)); // See Section 6.4 for the sign convention on the argument, // as well as Table 6.2: auto z = phase; // strange coincidence. //auto z = exp(std::complex(0, -omega/2 - boost::math::constants::pi())); auto constexpr lxi = detail::ft_daubechies_scaling_polynomial_coefficients(); auto m0 = std::complex(pow((Real(1) + z)/Real(2), p))*boost::math::tools::evaluate_polynomial_estrin(lxi, z); return Fphi*std::conj(m0)*phase; } } // namespace boost::math #endif