gsl_filter_gaussian_workspace * gsl_filter_gaussian_alloc(const size_t K) { const size_t H = K / 2; gsl_filter_gaussian_workspace *w; size_t state_size; w = calloc(1, sizeof(gsl_filter_gaussian_workspace)); if (w == 0) { GSL_ERROR_NULL ("failed to allocate space for workspace", GSL_ENOMEM); } w->K = 2 * H + 1; w->kernel = malloc(w->K * sizeof(double)); if (w->kernel == 0) { gsl_filter_gaussian_free(w); GSL_ERROR_NULL ("failed to allocate space for kernel", GSL_ENOMEM); return NULL; } state_size = gaussian_size(w->K); w->movstat_workspace_p = gsl_movstat_alloc_with_size(state_size, H, H); if (!w->movstat_workspace_p) { gsl_filter_gaussian_free(w); GSL_ERROR_NULL ("failed to allocate space for movstat workspace", GSL_ENOMEM); } return w; }
int main(void) { const size_t N = 500; /* length of time series */ const size_t K = 51; /* window size */ const double alpha[3] = { 0.5, 3.0, 10.0 }; /* alpha values */ gsl_vector *x = gsl_vector_alloc(N); /* input vector */ gsl_vector *y1 = gsl_vector_alloc(N); /* filtered output vector for alpha1 */ gsl_vector *y2 = gsl_vector_alloc(N); /* filtered output vector for alpha2 */ gsl_vector *y3 = gsl_vector_alloc(N); /* filtered output vector for alpha3 */ gsl_vector *k1 = gsl_vector_alloc(K); /* Gaussian kernel for alpha1 */ gsl_vector *k2 = gsl_vector_alloc(K); /* Gaussian kernel for alpha2 */ gsl_vector *k3 = gsl_vector_alloc(K); /* Gaussian kernel for alpha3 */ gsl_rng *r = gsl_rng_alloc(gsl_rng_default); gsl_filter_gaussian_workspace *gauss_p = gsl_filter_gaussian_alloc(K); size_t i; double sum = 0.0; /* generate input signal */ for (i = 0; i < N; ++i) { double ui = gsl_ran_gaussian(r, 1.0); sum += ui; gsl_vector_set(x, i, sum); } /* compute kernels without normalization */ gsl_filter_gaussian_kernel(alpha[0], 0, 0, k1); gsl_filter_gaussian_kernel(alpha[1], 0, 0, k2); gsl_filter_gaussian_kernel(alpha[2], 0, 0, k3); /* apply filters */ gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[0], 0, x, y1, gauss_p); gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[1], 0, x, y2, gauss_p); gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[2], 0, x, y3, gauss_p); /* print kernels */ for (i = 0; i < K; ++i) { double k1i = gsl_vector_get(k1, i); double k2i = gsl_vector_get(k2, i); double k3i = gsl_vector_get(k3, i); printf("%e %e %e\n", k1i, k2i, k3i); } printf("\n\n"); /* print filter results */ for (i = 0; i < N; ++i) { double xi = gsl_vector_get(x, i); double y1i = gsl_vector_get(y1, i); double y2i = gsl_vector_get(y2, i); double y3i = gsl_vector_get(y3, i); printf("%.12e %.12e %.12e %.12e\n", xi, y1i, y2i, y3i); } gsl_vector_free(x); gsl_vector_free(y1); gsl_vector_free(y2); gsl_vector_free(y3); gsl_vector_free(k1); gsl_vector_free(k2); gsl_vector_free(k3); gsl_rng_free(r); gsl_filter_gaussian_free(gauss_p); return 0; }
int main(void) { const size_t N = 1000; /* length of time series */ const size_t K = 61; /* window size */ const double alpha = 3.0; /* Gaussian kernel has +/- 3 standard deviations */ gsl_vector *x = gsl_vector_alloc(N); /* input vector */ gsl_vector *y = gsl_vector_alloc(N); /* filtered output vector */ gsl_vector *dy = gsl_vector_alloc(N); /* first derivative filtered vector */ gsl_vector *d2y = gsl_vector_alloc(N); /* second derivative filtered vector */ gsl_rng *r = gsl_rng_alloc(gsl_rng_default); gsl_filter_gaussian_workspace *gauss_p = gsl_filter_gaussian_alloc(K); size_t i; /* generate input signal */ for (i = 0; i < N; ++i) { double xi = (i > N / 2) ? 0.5 : 0.0; double ei = gsl_ran_gaussian(r, 0.1); gsl_vector_set(x, i, xi + ei); } /* apply filters */ gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha, 0, x, y, gauss_p); gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha, 1, x, dy, gauss_p); gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha, 2, x, d2y, gauss_p); /* print results */ for (i = 0; i < N; ++i) { double xi = gsl_vector_get(x, i); double yi = gsl_vector_get(y, i); double dyi = gsl_vector_get(dy, i); double d2yi = gsl_vector_get(d2y, i); double dxi; /* compute finite difference of x vector */ if (i == 0) dxi = gsl_vector_get(x, i + 1) - xi; else if (i == N - 1) dxi = gsl_vector_get(x, i) - gsl_vector_get(x, i - 1); else dxi = 0.5 * (gsl_vector_get(x, i + 1) - gsl_vector_get(x, i - 1)); printf("%.12e %.12e %.12e %.12e %.12e\n", xi, yi, dxi, dyi, d2yi); } gsl_vector_free(x); gsl_vector_free(y); gsl_vector_free(dy); gsl_vector_free(d2y); gsl_rng_free(r); gsl_filter_gaussian_free(gauss_p); return 0; }