how to implement an integration rule ? - wolfram-mathematica

Suppose I've checked the identity below, how to implement it in Mathematica ?
(* {\[Alpha] \[Element] Reals, \[Beta] \[Element] Reals, \[Mu] \[Element] Reals, \[Sigma] > 0} *)
Integrate[CDF[NormalDistribution[0, 1], \[Alpha] + \[Beta] x] PDF[
NormalDistribution[\[Mu], \[Sigma]],
x], {x, -\[Infinity], \[Infinity]}] -> CDF[NormalDistribution[0, 1], (\[Alpha] +
\[Beta] \[Mu])/Sqrt[1 + \[Beta]^2 \[Sigma]^2]]

Most ways to do what you request would probably involve adding rules to built-in functions (such as Integrate, CDF, PDF, etc), which may not be a good option. Here is a slightly softer way, using the Block trick - based macro:
ClearAll[withIntegrationRule];
SetAttributes[withIntegrationRule, HoldAll];
withIntegrationRule[code_] :=
Block[{CDF, PDF, Integrate, NormalDistribution},
Integrate[
CDF[NormalDistribution[0, 1], \[Alpha]_ + \[Beta]_ x_] PDF[
NormalDistribution[\[Mu]_, \[Sigma]_], x_], {x_, -\[Infinity], \[Infinity]}] :=
CDF[NormalDistribution[0, 1], (\[Alpha] + \[Beta] \[Mu])/
Sqrt[1 + \[Beta]^2 \[Sigma]^2]];
code];
Here is how we can use it:
In[27]:=
withIntegrationRule[a=Integrate[CDF[NormalDistribution[0,1],\[Alpha]+\[Beta] x]
PDF[NormalDistribution[\[Mu],\[Sigma]],x],{x,-\[Infinity],\[Infinity]}]];
a
Out[28]= 1/2 Erfc[-((\[Alpha]+\[Beta] \[Mu])/(Sqrt[2] Sqrt[1+\[Beta]^2 \[Sigma]^2]))]
When our rule does not match, it will still work, automatically switching to the normal evaluation route:
In[36]:=
Block[{$Assumptions = \[Alpha]>0&&\[Beta]==0&&\[Mu]>0&&\[Sigma]>0},
withIntegrationRule[b=Integrate[CDF[NormalDistribution[0,1],\[Alpha]+\[Beta] x]
PDF[NormalDistribution[\[Mu],\[Sigma]],x],{x,0,\[Infinity]}]]]
Out[36]= 1/4 (1+Erf[\[Alpha]/Sqrt[2]]) (1+Erf[\[Mu]/(Sqrt[2] \[Sigma])])
where I set \[Alpha] to 0 in assumptions to make the integration possible in a closed form.
Another alternative may be to implement your own special-purpose integrator.

Related

How to get mathematica to carry out a Sum when only part of it is defined?

I'm having a sum like this:
Sum[1 + x[i], {i, 1, n}]
Mathematica doesn't simplify it any more. What would I need to do so it translates it into:
n + Sum[x[i],{i,1,n}]
Maybe this?
Distribute[Sum[1 + x[i], {i, 1, n}]]
which returns:
n + Sum[x[i], {i, 1, n}]
AFAIK Sum simply won't give partial answers. But you can always split off the additive part manually, or semi-automatically. Taking your example,
In[1]:= sigma + (x[i] - X)^2 // Expand
Out[1]= sigma + X^2 - 2 X x[i] + x[i]^2
There's nothing we can do with the parts that contain x[i] without knowing anything about x[i], so we just split off the rest:
In[2]:= Plus ## Cases[%, e_ /; FreeQ[e, x[i]]]
Out[2]= sigma + X^2
In[3]:= Sum[%, {i, 1, n}]
Out[3]= n (sigma + X^2)
Unrelated: It is a good idea never to use symbols starting with capital letters to avoid conflicts with builtins. N has a meaning already, and you shouldn't use it as a variable.
A quick and dirty way would be to use Thread, so for example
Thread[Sum[Expand[sigma + (x[i] - X)^2], {i, 1, n}], Plus, 1]
A simpler way would be
Total[Sum[#, {i, 1, n}] & /# {sigma, x[i]}]
If your expression is longer, this should give you the answer without having to manually split the terms
expr = sigma + (x[i] + i)^2 + Cos[Sin[i - x[i]]];
Total[Sum[#, {i, 1, n}] & /# Level[expr, {1}]]
This can also be done in an easy to understand manner with rules:
sumofsumsrule = Sum[a_+b_,{i_,c_,d_}] :> Sum[a,{i,c,d}]+Sum[b,{i,c,d}];
expandsummandrule = Sum[a_,{i_,c_,d_}] :> Sum[Expand[a],{i,c,d}];
MyRules = {sumofsumsrule, expandsummandrule};
Now, if you are messing around, you can use this (here are some examples):
error = Sum[sigma+(x[i]-X)^2,{i,1,n}]
error /. sumofsumsrule
% /. expandsummandrule
error //. MyRules

Finding the Fixed Points of an Iterative Map

I need to find fixed points of iterative map x[n] == 1/2 x[n-1]^2 - Mu.
My approach:
Subscript[g, n_ ][Mu_, x_] := Nest[0.5 * x^2 - Mu, x, n]
fixedPoints[n_] := Solve[Subscript[g, n][Mu, x] == x, x]
Plot[
Evaluate[{x,
Table[Subscript[g, 1][Mu, x], {Mu, 0.5, 4, 0.5}]}
], {x, 0, 0.5}, Frame -> True]
I'll change notation slightly (mostly so I myself can understand it). You might want something like this.
y[n_, mu_, x_] := Nest[#^2/2 - mu &, x, n]
fixedPoints[n_] := Solve[y[n, mu, x] == x, x]
The salient feature is that the "function" being nested now really is a function, in correct format.
Example:
fixedPoints[2]
Out[18]= {{x -> -1 - Sqrt[-3 + 2*mu]},
{x -> -1 + Sqrt[-3 + 2*mu]},
{x -> 1 - Sqrt[ 1 + 2*mu]},
{x -> 1 + Sqrt[ 1 + 2*mu]}}
Daniel Lichtblau
First of all, there is an error in your approach. Nest takes a pure function. Also I would use exact input, i.e. 1/2 instead of 0.5 since Solve is a symbolic rather than numeric solver.
Subscript[g, n_Integer][Mu_, x_] := Nest[Function[z, 1/2 z^2 - Mu], x, n]
Then
In[17]:= fixedPoints[1]
Out[17]= {{x -> 1 - Sqrt[1 + 2 Mu]}, {x -> 1 + Sqrt[1 + 2 Mu]}}
A side note:
Look what happens when you start very near to a fixed point (weird :) :
f[z_, Mu_, n_] := Abs[N#Nest[1/2 #^2 - Mu &, z, n] - z]
g[mu_] := f[1 + Sqrt[1 + 2*mu] - mu 10^-8, mu, 10^4]
Plot[g[mu], {mu, 0, 3}, PlotRange -> {0, 7}]
Edit
In fact, it seems you have an autosimilar structure there:

Using `With` with a list of `Rules` - but without affecting the normal behaviour of `With`

Say I have a list of Rules
rules = {a -> b, c -> d};
which I use throughout a notebook. Then, at one point, it makes sense to want the rules to apply before any other evaluations take place in an expression. Normally if you want something like this you would use
In[2]:= With[{a=b,c=d}, expr[a,b,c,d]]
Out[2]= expr[b, b, d, d]
How can I take rules and insert it into the first argument of With?
Edit
BothSome solutions fail do all that I was looking for - but I should have emphasised this point a little more. See the bold part above.
For example, let's look at
rules = {a -> {1, 2}, c -> 1};
If I use these vaules in With, I get
In[10]:= With[{a={1,2},c=1}, Head/#{a,c}]
Out[10]= {List,Integer}
Some versions of WithRules yield
In[11]:= WithRules[rules, Head/#{a,c}]
Out[11]= {Symbol, Symbol}
(Actually, I didn't notice that Andrew's answer had the Attribute HoldRest - so it works just like I wanted.)
You want to use Hold to build up your With statement. Here is one way; there may be a simpler:
In[1]:= SetAttributes[WithRules, HoldRest]
In[2]:= WithRules[rules_, expr_] :=
With ## Append[Apply[Set, Hold#rules, {2}], Unevaluated[expr]]
Test it out:
In[3]:= f[args___] := Print[{args}]
In[4]:= rules = {a -> b, c -> d};
In[5]:= WithRules[rules, f[a, c]]
During evaluation of In[5]:= {b,d}
(I used Print so that any bug involving me accidentally evaluating expr too early would be made obvious.)
I have been using the following form of WithRules for a long time. Compared to the one posted by Andrew Moylan, it binds sequentially so that you can say e.g. WithRules[{a->b+1, b->2},expr] and get a expanded to 3:
SetAttributes[WithRules, HoldRest]
WithRules[rules_, expr_] := ReleaseHold#Module[{notSet}, Quiet[
With[{args = Reverse[rules /. Rule[a_, b_] -> notSet[a, b]]},
Fold[With[{#2}, #1] &, Hold#expr, args]] /. notSet -> Set,
With::lvw]]
This was also posted as an answer to an unrelated question, and as noted there, it has been discussed (at least) a couple of times on usenet:
A version of With that binds variables sequentially
Add syntax highlighting to own command
HTH
EDIT: Added a ReleaseHold, Hold pair to keep expr unevaluated until the rules have been applied.
One problem with Andrew's solution is that it maps the problem back to With, and that does not accept subscripted variables. So the following generates messages.
WithRules[{Subscript[x, 1] -> 2, Subscript[x, 2] -> 3},
Power[Subscript[x, 1], Subscript[x, 2]]]
Given that With performs syntactic replacement on its body, we can set WithRules alternatively as follows:
ClearAll[WithRules]; SetAttributes[WithRules, HoldRest];
WithRules[r : {(_Rule | _RuleDelayed) ..}, body_] :=
ReleaseHold[Hold[body] /. r]
Then
In[113]:= WithRules[{Subscript[x, 1] -> 2,
Subscript[x, 2] -> 3}, Subscript[x, 1]^Subscript[x, 2]]
Out[113]= 8
Edit: Addressing valid concerns raised by Leonid, the following version would be safe:
ClearAll[WithRules3]; SetAttributes[WithRules3, HoldRest];
WithRules3[r : {(_Rule | _RuleDelayed) ..}, body_] :=
Developer`ReplaceAllUnheld[Unevaluated[body], r]
Then
In[194]:= WithRules3[{Subscript[x, 1] -> 2, Subscript[x, 2] -> 3},
Subscript[x, 1]^Subscript[x, 2]]
Out[194]= 8
In[195]:= WithRules3[{x -> y}, f[y_] :> Function[x, x + y]]
Out[195]= f[y_] :> Function[x, x + y]
Edit 2: Even WithRules3 is not completely equivalent to Andrew's version:
In[206]:= WithRules3[{z -> 2}, f[y_] :> Function[x, x + y + z]]
Out[206]= f[y_] :> Function[x, x + y + z]
In[207]:= WithRules[{z -> 2}, f[y_] :> Function[x, x + y + z]]
Out[207]= f[y$_] :> Function[x$, x$ + y$ + 2]

Mathematica: branch points for real roots of polynomial

I am doing a brute force search for "gradient extremals" on the following example function
fv[{x_, y_}] = ((y - (x/4)^2)^2 + 1/(4 (1 + (x - 1)^2)))/2;
This involves finding the following zeros
gecond = With[{g = D[fv[{x, y}], {{x, y}}], h = D[fv[{x, y}], {{x, y}, 2}]},
g.RotationMatrix[Pi/2].h.g == 0]
Which Reduce happily does for me:
geyvals = y /. Cases[List#ToRules#Reduce[gecond, {x, y}], {y -> _}];
geyvals is the three roots of a cubic polynomial, but the expression is a bit large to put here.
Now to my question: For different values of x, different numbers of these roots are real, and I would like to pick out the values of x where the solutions branch in order to piece together the gradient extremals along the valley floor (of fv). In the present case, since the polynomial is only cubic, I could probably do it by hand -- but I am looking for a simple way of having Mathematica do it for me?
Edit: To clarify: The gradient extremals stuff is just background -- and a simple way to set up a hard problem. I am not so interested in the specific solution to this problem as in a general hand-off way of spotting the branch points for polynomial roots. Have added an answer below with a working approach.
Edit 2: Since it seems that the actual problem is much more fun than root branching: rcollyer suggests using ContourPlot directly on gecond to get the gradient extremals. To make this complete we need to separate valleys and ridges, which is done by looking at the eigenvalue of the Hessian perpendicular to the gradient. Putting a check for "valleynes" in as a RegionFunction we are left with only the valley line:
valleycond = With[{
g = D[fv[{x, y}], {{x, y}}],
h = D[fv[{x, y}], {{x, y}, 2}]},
g.RotationMatrix[Pi/2].h.RotationMatrix[-Pi/2].g >= 0];
gbuf["gevalley"]=ContourPlot[gecond // Evaluate, {x, -2, 4}, {y, -.5, 1.2},
RegionFunction -> Function[{x, y}, Evaluate#valleycond],
PlotPoints -> 41];
Which gives just the valley floor line. Including some contours and the saddle point:
fvSaddlept = {x, y} /. First#Solve[Thread[D[fv[{x, y}], {{x, y}}] == {0, 0}]]
gbuf["contours"] = ContourPlot[fv[{x, y}],
{x, -2, 4}, {y, -.7, 1.5}, PlotRange -> {0, 1/2},
Contours -> fv#fvSaddlept (Range[6]/3 - .01),
PlotPoints -> 41, AspectRatio -> Automatic, ContourShading -> None];
gbuf["saddle"] = Graphics[{Red, Point[fvSaddlept]}];
Show[gbuf /# {"contours", "saddle", "gevalley"}]
We end up with a plot like this:
Not sure if this (belatedly) helps, but it seems you are interested in discriminant points, that is, where both polynomial and derivative (wrt y) vanish. You can solve this system for {x,y} and throw away complex solutions as below.
fv[{x_, y_}] = ((y - (x/4)^2)^2 + 1/(4 (1 + (x - 1)^2)))/2;
gecond = With[{g = D[fv[{x, y}], {{x, y}}],
h = D[fv[{x, y}], {{x, y}, 2}]}, g.RotationMatrix[Pi/2].h.g]
In[14]:= Cases[{x, y} /.
NSolve[{gecond, D[gecond, y]} == 0, {x, y}], {_Real, _Real}]
Out[14]= {{-0.0158768, -15.2464}, {1.05635, -0.963629}, {1.,
0.0625}, {1., 0.0625}}
If you only want to plot the result then use StreamPlot[] on the gradients:
grad = D[fv[{x, y}], {{x, y}}];
StreamPlot[grad, {x, -5, 5}, {y, -5, 5},
RegionFunction -> Function[{x, y}, fv[{x, y}] < 1],
StreamScale -> 1]
You may have to fiddle around with the plot's precision, StreamStyle, and the RegionFunction to get it perfect. Especially useful would be using the solution for the valley floor to seed StreamPoints programmatically.
Updated: see below.
I'd approach this first by visualizing the imaginary parts of the roots:
This tells you three things immediately: 1) the first root is always real, 2) the second two are the conjugate pairs, and 3) there is a small region near zero in which all three are real. Additionally, note that the exclusions only got rid of the singular point at x=0, and we can see why when we zoom in:
We can then use the EvalutionMonitor to generate the list of roots directly:
Map[Module[{f, fcn = #1},
f[x_] := Im[fcn];
Reap[Plot[f[x], {x, 0, 1.5},
Exclusions -> {True, f[x] == 1, f[x] == -1},
EvaluationMonitor :> Sow[{x, f[x]}][[2, 1]] //
SortBy[#, First] &];]
]&, geyvals]
(Note, the Part specification is a little odd, Reap returns a List of what is sown as the second item in a List, so this results in a nested list. Also, Plot doesn't sample the points in a straightforward manner, so SortBy is needed.) There may be a more elegant route to determine where the last two roots become complex, but since their imaginary parts are piecewise continuous, it just seemed easier to brute force it.
Edit: Since you've mentioned that you want an automatic method for generating where some of the roots become complex, I've been exploring what happens when you substitute in y -> p + I q. Now this assumes that x is real, but you've already done that in your solution. Specifically, I do the following
In[1] := poly = g.RotationMatrix[Pi/2].h.g /. {y -> p + I q} // ComplexExpand;
In[2] := {pr,pi} = poly /. Complex[a_, b_] :> a + z b & // CoefficientList[#, z] & //
Simplify[#, {x, p, q} \[Element] Reals]&;
where the second step allows me to isolate the real and imaginary parts of the equation and simplify them independent of each other. Doing this same thing with the generic 2D polynomial, f + d x + a x^2 + e y + 2 c x y + b y^2, but making both x and y complex; I noted that Im[poly] = Im[x] D[poly, Im[x]] + Im[y] D[poly,[y]], and this may hold for your equation, also. By making x real, the imaginary part of poly becomes q times some function of x, p, and q. So, setting q=0 always gives Im[poly] == 0. But, that does not tell us anything new. However, if we
In[3] := qvals = Cases[List#ToRules#RReduce[ pi == 0 && q != 0, {x,p,q}],
{q -> a_}:> a];
we get several formulas for q involving x and p. For some values of x and p, those formulas may be imaginary, and we can use Reduce to determine where Re[qvals] == 0. In other words, we want the "imaginary" part of y to be real and this can be accomplished by allowing q to be zero or purely imaginary. Plotting the region where Re[q]==0 and overlaying the gradient extremal lines via
With[{rngs = Sequence[{x,-2,2},{y,-10,10}]},
Show#{
RegionPlot[Evaluate[Thread[Re[qvals]==0]/.p-> y], rngs],
ContourPlot[g.RotationMatrix[Pi/2].h.g==0,rngs
ContourStyle -> {Darker#Red,Dashed}]}]
gives
which confirms the regions in the first two plots showing the 3 real roots.
Ended up trying myself since the goal really was to do it 'hands off'. I'll leave the question open for a good while to see if anybody finds a better way.
The code below uses bisection to bracket the points where CountRoots changes value. This works for my case (spotting the singularity at x=0 is pure luck):
In[214]:= findRootBranches[Function[x, Evaluate#geyvals[[1, 1]]], {-5, 5}]
Out[214]= {{{-5., -0.0158768}, 1}, {{-0.0158768, -5.96046*10^-9}, 3}, {{0., 0.}, 2}, {{5.96046*10^-9, 1.05635}, 3}, {{1.05635, 5.}, 1}}
Implementation:
Options[findRootBranches] = {
AccuracyGoal -> $MachinePrecision/2,
"SamplePoints" -> 100};
findRootBranches::usage =
"findRootBranches[f,{x0,x1}]: Find the the points in [x0,x1] \
where the number of real roots of a polynomial changes.
Returns list of {<interval>,<root count>} pairs.
f: Real -> Polynomial as pure function, e.g f=Function[x,#^2-x&]." ;
findRootBranches[f_, {xa_, xb_}, OptionsPattern[]] := Module[
{bisect, y, rootCount, acc = 10^-OptionValue[AccuracyGoal]},
rootCount[x_] := {x, CountRoots[f[x][y], y]};
(* Define a ecursive bisector w/ automatic subdivision *)
bisect[{{x1_, n1_}, {x2_, n2_}} /; Abs[x1 - x2] > acc] :=
Module[{x3, n3},
{x3, n3} = rootCount[(x1 + x2)/2];
Which[
n1 == n3, bisect[{{x3, n3}, {x2, n2}}],
n2 == n3, bisect[{{x1, n1}, {x3, n3}}],
True, {bisect[{{x1, n1}, {x3, n3}}],
bisect[{{x3, n3}, {x2, n2}}]}]];
(* Find initial brackets and bisect *)
Module[{xn, samplepoints, brackets},
samplepoints = N#With[{sp = OptionValue["SamplePoints"]},
If[NumberQ[sp], xa + (xb - xa) Range[0, sp]/sp, Union[{xa, xb}, sp]]];
(* Start by counting roots at initial sample points *)
xn = rootCount /# samplepoints;
(* Then, identify and refine the brackets *)
brackets = Flatten[bisect /#
Cases[Partition[xn, 2, 1], {{_, a_}, {_, b_}} /; a != b]];
(* Reinclude the endpoints and partition into same-rootcount segments: *)
With[{allpts = Join[{First#xn},
Flatten[brackets /. bisect -> List, 2], {Last#xn}]},
{#1, Last[#2]} & ### Transpose /# Partition[allpts, 2]
]]]

Take positive square root in Mathematica

I'm currently doing some normalization along the lines of:
J = Integrate[Psi[x, 0]^2, {x, 0, a}]
sol = Solve[J == 1, A]
A /. sol
For this type of normalization, the negative square root is extraneous. The result of this calculation is:
In[49]:= J = Integrate[Psi[x, 0]^2, {x, 0, a}]
Out[49]= 2 A^2
In[68]:= sol = Solve[J == 1, A]
Out[68]= {{A -> -(1/Sqrt[2])}, {A -> 1/Sqrt[2]}}
Even if I try giving it an Assuming[...] or Simplify[...], it still gives me the same results:
In[69]:= sol = Assuming[A > 0, Solve[J == 1, A]]
Out[69]= {{A -> -(1/Sqrt[2])}, {A -> 1/Sqrt[2]}}
In[70]:= sol = FullSimplify[Solve[J == 1, A], A > 0]
Out[70]= {{A -> -(1/Sqrt[2])}, {A -> 1/Sqrt[2]}}
Can anyone tell me what I'm doing wrong here?
I'm running Mathematica 7 on Windows 7 64-bit.
ToRules does what the box says: converts equations (as in Reduce output) to rules. In your case:
In[1]:= ToRules[Reduce[{x^2==1,x>0},x]]
Out[1]= {x->1}
In[2]:= {ToRules[Reduce[{x^2==1},x]]}
Out[2]= {{x->-1},{x->1}}
For more complex cases, I have often found it useful to just check the value of the symbolic solutions after pluging in typical parameter values. This is not foolproof, of course, but if you know there is one and only one solution then it is a simple and efficient method:
Solve[x^2==someparameter,x]
Select[%,((x/.#)/.{someparameter-> 0.1})>0&]
Out[3]= {{x->-Sqrt[someparameter]},{x->Sqrt[someparameter]}}
Out[4]= {{x->Sqrt[someparameter]}}
Solve doesn't work like this. You might try Reduce, instead, e.g.
In[1]:= Reduce[{x^2 == 1, x > 0}, x]
Out[1]= x == 1
It's then a little tricky to transform this output to replacement rules, at least in the general case, because Reduce might use arbitrary many logical connectives. In this case, we could just hack:
In[2]:= Solve[Reduce[{x^2 == 1, x > 0}, x], x]
Out[2]= {{x->1}}

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