Visual Numerics IMSL MATH/LIBRARY Special Functions Version 6.0 Technical Manual
Below you will find brief information for IMSL MATH/LIBRARY Special Functions Version 6.0. This document serves as a comprehensive guide to a collection of FORTRAN subroutines and functions, designed for use in research and statistical analysis. It details routines for elementary, trigonometric, hyperbolic, exponential integrals, gamma, error, Bessel, Kelvin, Airy, and elliptic functions, among others, facilitating complex mathematical computations.
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™ Fortran Numerical Library Special Functions MATH/LIBRARY V E R S I O N 6 . 0 Visual Numerics Corporate Headquarters 2500 Wilcrest Drive Suite 200 Houston, TX 77042 USA Contact Information Toll Free: Houston, TX: Westminster, CO: Email: Web site: 800.222.4675 713.784.3131 303.379.3040 [email protected] www.vni.com Visual Numerics has Offices Worldwide USA • UK • France • Germany •Mexico Japan • Korea • Taiwan For contact information, please visit www.vni.com/contact © 1970-2006 Visual Numerics, Inc. All rights reserved. Visual Numerics and PV-WAVE are registered trademarks of Visual Numerics, Inc. in the U.S. and other countries. IMSL, JMSL, JWAVE, TS-WAVE and Knowledge in Motion are trademarks of Visual Numerics, Inc. All other company, product or brand names are the property of their respective owners. IMPORTANT NOTICE: Information contained in this documentation is subject to change without notice. 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C, C#, Java™, and Fortran Application Development Tools Table of Contents Introduction ix The IMSL Fortran Numerical Libraries ....................................................................................ix Getting Started ..........................................................................................................................ix Finding the Right Routine..........................................................................................................x Organization of the Documentation ...........................................................................................x Naming Conventions.................................................................................................................xi Using Library Subprograms.................................................................................................... xii Programming Conventions .................................................................................................... xiii Module Usage ........................................................................................................................ xiii Programming Tips...................................................................................................................xiv Optional Subprogram Arguments ...........................................................................................xiv Error Handling .........................................................................................................................xv Printing Results........................................................................................................................xv Chapter 1: Elementary Functions 1 Routines .....................................................................................................................................1 Usage Notes ...............................................................................................................................1 CARG ........................................................................................................................................1 CBRT .........................................................................................................................................2 EXPRL.......................................................................................................................................4 LOG10 .......................................................................................................................................6 ALNREL....................................................................................................................................7 Chapter 2: Trigonometric and Hyperbolic Functions 11 Routines ...................................................................................................................................11 Usage Notes .............................................................................................................................11 TAN .........................................................................................................................................12 COT .........................................................................................................................................13 SINDG .....................................................................................................................................16 COSDG....................................................................................................................................17 ASIN ........................................................................................................................................18 ACOS.......................................................................................................................................19 ATAN ......................................................................................................................................20 ATAN2 ....................................................................................................................................21 SINH ........................................................................................................................................23 COSH.......................................................................................................................................24 TANH ......................................................................................................................................25 MATH LIBRARY Special Functions Table of Contents • i ASINH .....................................................................................................................................27 ACOSH ....................................................................................................................................28 ATANH....................................................................................................................................30 Chapter 3: Exponential Integrals and Related Functions 33 Routines ...................................................................................................................................33 Usage Notes .............................................................................................................................33 EI..............................................................................................................................................34 E1 .............................................................................................................................................35 ENE..........................................................................................................................................37 ALI...........................................................................................................................................38 SI ..............................................................................................................................................40 CI..............................................................................................................................................41 CIN...........................................................................................................................................43 SHI ...........................................................................................................................................44 CHI...........................................................................................................................................45 CINH........................................................................................................................................47 Chapter 4: Gamma Function and Related Functions 49 Routines ...................................................................................................................................49 Usage Notes .............................................................................................................................50 FAC..........................................................................................................................................50 BINOM ....................................................................................................................................52 GAMMA..................................................................................................................................53 GAMR......................................................................................................................................56 ALNGAM ................................................................................................................................58 ALGAMS.................................................................................................................................60 GAMI .......................................................................................................................................62 GAMIC ....................................................................................................................................64 GAMIT.....................................................................................................................................65 PSI............................................................................................................................................67 POCH.......................................................................................................................................69 POCH1 .....................................................................................................................................70 BETA .......................................................................................................................................72 ALBETA..................................................................................................................................74 BETAI......................................................................................................................................76 Chapter 5: Error Function and Related Functions 79 Routines ...................................................................................................................................79 Usage Notes .............................................................................................................................79 ERF ..........................................................................................................................................80 ERFC........................................................................................................................................82 ERFCE .....................................................................................................................................84 CERFE .....................................................................................................................................85 ERFI.........................................................................................................................................86 ERFCI ......................................................................................................................................88 DAWS......................................................................................................................................90 ii • Table of Contents MATH LIBRARY Special Functions FRESC .....................................................................................................................................91 FRESS......................................................................................................................................93 Chapter 6: Bessel Functions 95 Routines ...................................................................................................................................95 Usage Notes .............................................................................................................................96 BSJ0 .........................................................................................................................................96 BSJ1 .........................................................................................................................................98 BSY0........................................................................................................................................99 BSY1......................................................................................................................................101 BSI0 .......................................................................................................................................102 BSI1 .......................................................................................................................................104 BSK0......................................................................................................................................105 BSK1......................................................................................................................................107 BSI0E.....................................................................................................................................108 BSI1E.....................................................................................................................................110 BSK0E ...................................................................................................................................111 BSK1E ...................................................................................................................................112 BSJNS....................................................................................................................................113 BSINS ....................................................................................................................................115 BSJS.......................................................................................................................................118 BSYS .....................................................................................................................................120 BSIS .......................................................................................................................................121 BSIES.....................................................................................................................................123 BSKS .....................................................................................................................................124 BSKES ...................................................................................................................................126 CBJS ......................................................................................................................................128 CBYS .....................................................................................................................................130 CBIS.......................................................................................................................................132 CBKS .....................................................................................................................................134 Chapter 7: Kelvin Functions 137 Routines .................................................................................................................................137 Usage Notes ...........................................................................................................................137 BER0......................................................................................................................................139 BEI0 .......................................................................................................................................140 AKER0...................................................................................................................................141 AKEI0....................................................................................................................................142 BERP0 ...................................................................................................................................144 BEIP0.....................................................................................................................................145 AKERP0 ................................................................................................................................146 AKEIP0..................................................................................................................................147 BER1......................................................................................................................................148 BEI1 .......................................................................................................................................150 AKER1...................................................................................................................................151 AKEI1....................................................................................................................................152 MATH LIBRARY Special Functions Table of Contents • iii Chapter 8: Airy Functions 155 Routines .................................................................................................................................155 AI ...........................................................................................................................................155 BI............................................................................................................................................157 AID ........................................................................................................................................158 BID.........................................................................................................................................159 AIE.........................................................................................................................................161 BIE .........................................................................................................................................162 AIDE ......................................................................................................................................163 BIDE ......................................................................................................................................164 CAI.........................................................................................................................................166 CBI.........................................................................................................................................167 CAID......................................................................................................................................169 CBID ......................................................................................................................................171 Chapter 9: Elliptic Integrals 173 Routines .................................................................................................................................173 Usage Notes ...........................................................................................................................173 Carlson Elliptic Integrals ...............................................................................................174 ELK........................................................................................................................................175 ELE ........................................................................................................................................177 ELRF......................................................................................................................................178 ELRD .....................................................................................................................................179 ELRJ ......................................................................................................................................181 ELRC .....................................................................................................................................183 Chapter 10: Elliptic and Related Functions 187 Routines .................................................................................................................................187 Usage Notes ...........................................................................................................................187 CWPL ....................................................................................................................................188 CWPLD..................................................................................................................................189 CWPQ ....................................................................................................................................190 CWPQD .................................................................................................................................192 EJSN ......................................................................................................................................193 EJCN ......................................................................................................................................195 EJDN......................................................................................................................................197 Chapter 11: Probability Distribution Functions and Inverses 201 Routines .................................................................................................................................201 Usage Notes ...........................................................................................................................202 Discrete Random Variables ...........................................................................................203 Continuous Distributions...............................................................................................204 Additional Comments....................................................................................................206 BINDF....................................................................................................................................207 BINPR....................................................................................................................................209 GEODF ..................................................................................................................................211 iv • Table of Contents MATH LIBRARY Special Functions GEOIN ...................................................................................................................................212 GEOPR ..................................................................................................................................213 HYPDF ..................................................................................................................................214 HYPPR...................................................................................................................................216 POIDF....................................................................................................................................218 POIPR ....................................................................................................................................220 UNDDF..................................................................................................................................222 UNDIN...................................................................................................................................223 UNDPR..................................................................................................................................224 AKS1DF ................................................................................................................................225 AKS2DF ................................................................................................................................228 ALNDF ..................................................................................................................................230 ALNIN ...................................................................................................................................232 ALNPR ..................................................................................................................................233 ANORDF ...............................................................................................................................234 ANORIN ................................................................................................................................236 ANORPR ...............................................................................................................................237 BETDF...................................................................................................................................238 BETIN....................................................................................................................................241 BETPR ...................................................................................................................................242 BNRDF ..................................................................................................................................244 CHIDF ...................................................................................................................................245 CHIIN ....................................................................................................................................248 CHIPR....................................................................................................................................250 CSNDF...................................................................................................................................251 CSNIN ...................................................................................................................................254 EXPDF...................................................................................................................................255 EXPIN....................................................................................................................................257 EXPPR ...................................................................................................................................258 EXVDF ..................................................................................................................................259 EXVIN ...................................................................................................................................260 EXVPR ..................................................................................................................................261 FDF ........................................................................................................................................263 FIN .........................................................................................................................................265 FPR ........................................................................................................................................266 GAMDF .................................................................................................................................268 GAMIN..................................................................................................................................270 GAMPR .................................................................................................................................272 RALDF ..................................................................................................................................273 RALIN ...................................................................................................................................274 RALPR...................................................................................................................................275 TDF........................................................................................................................................276 TIN.........................................................................................................................................278 TPR ........................................................................................................................................279 TNDF .....................................................................................................................................281 TNIN......................................................................................................................................283 UNDF.....................................................................................................................................285 UNIN .....................................................................................................................................286 UNPR.....................................................................................................................................287 MATH LIBRARY Special Functions Table of Contents • v WBLDF..................................................................................................................................288 WBLIN...................................................................................................................................290 WBLPR..................................................................................................................................291 GCDF.....................................................................................................................................292 GCIN......................................................................................................................................295 GFNIN ...................................................................................................................................298 Chapter 12: Mathieu Functions 303 Routines .................................................................................................................................303 Usage Notes ...........................................................................................................................303 MATEE..................................................................................................................................303 MATCE..................................................................................................................................306 MATSE ..................................................................................................................................310 Chapter 13: Miscellaneous Functions 315 Routines .................................................................................................................................315 Usage Notes ...........................................................................................................................315 SPENC ...................................................................................................................................317 INITS .....................................................................................................................................318 CSEVL ...................................................................................................................................319 Reference Material 321 User Errors .............................................................................................................................321 What Determines Error Severity ...................................................................................321 Kinds of Errors and Default Actions .............................................................................322 Errors in Lower-Level Routines ....................................................................................323 Routines for Error Handling ..........................................................................................323 ERSET ...................................................................................................................................323 IERCD and N1RTY ...............................................................................................................324 Examples .......................................................................................................................324 Machine-Dependent Constants ..............................................................................................325 IMACH ..................................................................................................................................325 AMACH.................................................................................................................................326 DMACH.................................................................................................................................328 IFNAN(X)..............................................................................................................................328 UMACH.................................................................................................................................329 Reserved Names.....................................................................................................................331 Deprecated Features and Deleted Routines............................................................................332 Automatic Workspace Allocation..................................................................................332 Changing the Amount of Space Allocated.....................................................................332 Character Workspace.....................................................................................................333 Appendix A: GAMS Index A-1 Description ............................................................................................................................ A-1 IMSL MATH/LIBRARY Special Functions......................................................................... A-2 vi • Table of Contents MATH LIBRARY Special Functions Appendix B: Alphabetical Summary of Routines B-1 IMSL MATH LIBRARY Special Functions .........................................................................B-1 Appendix C: References Product Support C-1 i Contacting Visual Numerics Support..........................................................................................i Index MATH LIBRARY Special Functions iii Table of Contents • vii viii • Table of Contents MATH LIBRARY Special Functions Introduction The IMSL Fortran Numerical Libraries The IMSL Libraries consist of two separate, but coordinated Libraries that allow easy user access. These Libraries are organized as follows: • MATH/LIBRARY general applied mathematics and special functions The User’s Guide for IMSL MATH/LIBRARY has two parts: 1. MATH/LIBRARY (Volumes 1 and 2) 2. MATH/LIBRARY Special Functions • STAT/LIBRARY statistics Most of the routines are available in both single and double precision versions. Many routines are also available for complex and complex-double precision arithmetic. The same user interface is found on the many hardware versions that span the range from personal computer to supercomputer. Note that some IMSL routines are not distributed for FORTRAN compiler environments that do not support double precision complex data. The specific names of the IMSL routines that return or accept the type double complex begin with the letter “Z” and, occasionally, “DC.” Getting Started IMSL MATH/LIBRARY Special Functions is a collection of FORTRAN subroutines and functions useful in research and statistical analysis. Each routine is designed and documented to be used in research activities as well as by technical specialists. To use any of these routines, you must write a program in FORTRAN (or possibly some other language) to call the MATH/LIBRARY Special Functions routine. Each routine conforms to established conventions in programming and documentation. We give first priority in development to efficient algorithms, clear documentation, and accurate results. The uniform design of the routines makes it easy to use more than one routine in a given application. Also, you will find that the design consistency enables you to apply your experience with one MATH/LIBRARY Special Functions routine to all other IMSL routines that you use. Introduction The IMSL Fortran Numerical Libraries • ix Finding the Right Routine The organization of IMSL MATH/LIBRARY Special Functions closely parallels that of the National Bureau of Standards’ Handbook of Mathematical Functions, edited by Abramowitz and Stegun (1964). Corresponding to the NBS Handbook, functions are arranged into separate chapters, such as elementary functions, trigonometric and hyperbolic functions, exponential integrals, gamma function and related functions, and Bessel functions. To locate the right routine for a given problem, you may use either the table of contents located in each chapter introduction, or one of the indexes at the end of this manual. GAMS index uses GAMS classification (Boisvert, R.F., S.E. Howe, D.K. Kahaner, and J.L. Springmann 1990, Guide to Available Mathematical Software, National Institute of Standards and Technology NISTIR 90-4237). Use the GAMS index to locate which MATH/LIBRARY Special Functions routines pertain to a particular topic or problem. Organization of the Documentation This manual contains a concise description of each routine, with at least one demonstrated example of each routine, including sample input and results. You will find all information pertaining to the Special Functions Library in this manual. Moreover, all information pertaining to a particular routine is in one place within a chapter. Each chapter begins with an introduction followed by a table of contents that lists the routines included in the chapter. Documentation of the routines consists of the following information: • IMSL Routine’s Generic Name • Purpose: a statement of the purpose of the routine. If the routine is a function rather than a subroutine the purpose statement will reflect this fact. • Function Return Value: a description of the return value (for functions only). • Required Arguments: a description of the required arguments in the order of their occurrence. Input arguments usually occur first, followed by input/output arguments, with output arguments described last. Futhermore, the following terms apply to arguments: Input Argument must be initialized; it is not changed by the routine. Input/Output Argument must be initialized; the routine returns output through this argument; cannot be a constant or an expression. Input or Output Select appropriate option to define the argument as either input or output. See individual routines for further instructions. Output No initialization is necessary; cannot be a constant or an expression. The routine returns output through this argument. • Optional Arguments: a description of the optional arguments in the order of their occurrence. • Fortran 90 Interface: a section that describes the generic and specific interfaces to the routine. • Fortran 77 Style Interface: an optional section, which describes Fortran 77 style interfaces, is supplied for backwards compatibility with previous versions of the Library. x • Introduction Finding the Right Routine • ScaLAPACK Interface: an optional section, which describes an interface to a ScaLAPACK based version of this routine. • Description: a description of the algorithm and references to detailed information. In many cases, other IMSL routines with similar or complementary functions are noted. • Comments: details pertaining to code usage. • Programming notes: an optional section that contains programming details not covered elsewhere. • Example: at least one application of this routine showing input and required dimension and type statements. • Output: results from the example(s). • Additional Examples: an optional section with additional applications of this routine showing input and required dimension and type statements. Naming Conventions The names of the routines are mnemonic and unique. Most routines are available in both a single precision and a double precision version, with names of the two versions sharing a common root. The root name is also the generic interface name. The name of the double precision specific version begins with a “D_.” The single precision specific version begins with an “S_”. For example, the following pairs are precision specific names of routines in the two different precisions: S_GAMDF/D_GAMDF (the root is “GAMDF ,” for “Gamma distribution function”) and S_POIDF/D_POIDF (the root is “POIDF,” for “Poisson distribution function”). The precision specific names of the IMSL routines that return or accept the type complex data begin with the letter “C_” or “Z_” for complex or double complex, respectively. Of course the generic name can be used as an entry point for all precisions supported. When this convention is not followed the generic and specific interfaces are noted in the documentation. For example, in the case of the BLAS and trigonometric intrinsic functions where standard names are already established, the standard names are used as the precision specific names. There may also be other interfaces supplied to the routine to provide for backwards compatibility with previous versions of the Library. These alternate interfaces are noted in the documentation when they are available. Except when expressly stated otherwise, the names of the variables in the argument lists follow the FORTRAN default type for integer and floating point. In other words, a variable whose name begins with one of the letters “I” through “N” is of type INTEGER, and otherwise is of type REAL or DOUBLE PRECISION, depending on the precision of the routine. An assumed-size array with more than one dimension that is used as a FORTRAN argument can have an assumed-size declarator for the last dimension only. In the MATH/LIBRARY Special Functions routines, the information about the first dimension is passed by a variable with the prefix “LD” and with the array name as the root. For example, the argument LDA contains the leading dimension of array A. In most cases, information about the dimensions of arrays is obtained from the array through the use of Fortran 90’s size function. Therefore, arguments carrying this type of information are usually defined as optional arguments. MATH LIBRARY Special Functions Introduction • xi Where appropriate, the same variable name is used consistently throughout a chapter in the MATH/LIBRARY Special Functions. For example, in the routines for random number generation, NR denotes the number of random numbers to be generated, and R or IR denotes the array that stores the numbers. When writing programs accessing the MATH/LIBRARY Special Functions, the user should choose FORTRAN names that do not conflict with names of IMSL subroutines, functions, or named common blocks. The careful user can avoid any conflicts with IMSL names if, in choosing names, the following rules are observed: • Do not choose a name that appears in the Alphabetical Summary of Routines, at the end of the User’s Manual, nor one of these names preceded by a D, S_, D_, C_, or Z_. • Do not choose a name consisting of more than three characters with a numeral in the second or third position. For further details, see the section on “Reserved Names” in the Reference Material. Using Library Subprograms The documentation for the routines uses the generic name and omits the prefix, and hence the entire suite of routines for that subject is documented under the generic name. Examples that appear in the documentation also use the generic name. To further illustrate this principle, note the BSJNS documentation (see Chapter 6, Bessel Functions, of this manual). A description is provided for just one data type. There are four documented routines in this subject area: S_BSJNS, D_BSJNS, C_BSJNS, and Z_BSJNS. These routines constitute single-precision, double-precision, complex, and complex doubleprecision versions of the code. The appropriate routine is identified by the Fortran 90 compiler. Use of a module is required with the routines. The naming convention for modules joins the suffix “_int” to the generic routine name. Thus, the line “use BSJNS_INT” is inserted near the top of any routine that calls the subprogram “BSJNS”. More inclusive modules are also available. For example, the module named “imsl_libraries” contains the interface modules for all routines in the library. When dealing with a complex matrix, all references to the transpose of a matrix, A T , are replaced by the adjoint matrix A T ≡ A∗ = A H where the overstrike denotes complex conjugation. IMSL Fortran Numerical Library linear algebra software uses this convention to conserve the utility of generic documentation for that code subject. References to orthogonal matrices are replaced by their complex counterparts, unitary matrices. Thus, an n × n orthogonal matrix Q satisfies the condition Q T Q = I n . An n × n unitary matrix V satisfies the analogous condition for complex matrices, V *V = I n . xii • Introduction Using Library Subprograms Programming Conventions In general, the IMSL MATH/LIBRARY Special Functions codes are written so that computations are not affected by underflow, provided the system (hardware or software) places a zero value in the register. In this case, system error messages indicating underflow should be ignored. IMSL codes also are written to avoid overflow. A program that produces system error messages indicating overflow should be examined for programming errors such as incorrect input data, mismatch of argument types, or improper dimensioning. In many cases, the documentation for a routine points out common pitfalls that can lead to failure of the algorithm. Library routines detect error conditions, classify them as to severity, and treat them accordingly. This error-handling capability provides automatic protection for the user without requiring the user to make any specific provisions for the treatment of error conditions. See the section on “User Errors” in the Reference Material for further details. Module Usage Users are required to incorporate a “use” statement near the top of their program for the IMSL routine being called when writing new code that uses this library. However, legacy code which calls routines in the previous version of the library without the presence of a “use” statement will continue to work as before. The example programs throughout this manual demonstrate the syntax for including use statements in your program. In addition to the examples programs, common cases of when and how to employ a use statement are described below. • Users writing new programs calling the generic interface to IMSL routines must include a use statement near the top of any routine that calls the IMSL routines. The naming convention for modules joins the suffix “_int” to the generic routine name. For example, if a new program is written calling the IMSL routines LFTRG and LFSRG, then the following use statements should be inserted inserted near the top of the program USE LFTRG_INT USE LFSRG_INT In addition to providing interface modules for each routine individually, we also provide a module named “imsl_libraries”, which contains the generic interfaces for all routines in the library. For programs that call several different IMSL routines using generic interfaces, it can be simpler to insert the line USE IMSL_LIBRARIES rather than list use statements for every IMSL subroutine called. • Users wishing to update existing programs to call other routines from this library should incorporate a use statement for the new routine being called. (Here, the term “new routine” implies any routine in the library, only “new” to the user’s program.) For example, if a call to the generic interface for the routine LSARG is added to an existing program, then USE LSARG_INT should be inserted near the top of your program. MATH LIBRARY Special Functions Introduction • xiii • Users wishing to update existing programs to call the new generic versions of the routines must change their calls to the existing routines to match the new calling sequences and use either the routine specific interface modules or the all encompassing “imsl_libraries” module. • Code which employed the “use numerical_libraries” statement from the previous version of the library will continue to work properly with this version of the library. Programming Tips It is strongly suggested that users force all program variables to be explicitly typed. This is done by including the line “IMPLICIT NONE” as close to the first line as possible. Study some of the examples accompanying an IMSL Fortran Numerical Library routine early on. These examples are available online as part of the product. Each subject routine called or otherwise referenced requires the “use” statement for an interface block designed for that subject routine. The contents of this interface block are the interfaces to the separate routines available for that subject. Packaged descriptive names for option numbers that modify documented optional data or internal parameters might also be provided in the interface block. Although this seems like an additional complication, many typographical errors are avoided at an early stage in development through the use of these interface blocks. The “use” statement is required for each routine called in the user’s program. However, if one is only using the Fortran 77 interfaces supplied for backwards compatibility then the “use” statements are not required. Optional Subprogram Arguments IMSL Fortran Numerical Library routines have required arguments and may have optional arguments. All arguments are documented for each routine. For example, consider the routine GCIN which evaluates the inverse of a general continuous CDF. The required arguments are P, X, and F. The optional arguments are IOPT and M. Both IOPT and M take on default values so are not required as input by the user unless the user wishes for these arguments to take on some value other than the default. Often there are other output arguments that are listed as optional because although they may contain information that is closely connected with the computation they are not as compelling as the primary problem. In our example code, GCIN, if the user wishes to input the optional argument “IOPT” then the use of the keyword “IOPT=” in the argument list to assign an input value to IOPT would be necessary. For compatibility with previous versions of the IMSL Libraries, the NUMERICAL_LIBRARIES interface module includes backwards compatible positional argument interfaces to all routines which existed in the Fortran 77 version of the Library. Note that it is not necessary to use “use” statements when calling these routines by themselves. Existing programs which called these routines will continue to work in the same manner as before. xiv • Introduction Programming Tips Error Handling The routines in IMSL MATH/LIBRARY Special Functions attempt to detect and report errors and invalid input. Errors are classified and are assigned a code number. By default, errors of moderate or worse severity result in messages being automatically printed by the routine. Moreover, errors of worse severity cause program execution to stop. The severity level as well as the general nature of the error is designated by an “error type” with numbers from 0 to 5. An error type 0 is no error; types 1 through 5 are progressively more severe. In most cases, you need not be concerned with our method of handling errors. For those interested, a complete description of the error-handling system is given in the Reference Material, which also describes how you can change the default actions and access the error code numbers. Printing Results None of the routines in IMSL MATH/LIBRARY Special Functions print results (but error messages may be printed). The output is returned in FORTRAN variables, and you can print these yourself. The IMSL routine UMACH (see the Reference Material section of this manual) retrieves the FORTRAN device unit number for printing. Because this routine obtains device unit numbers, it can be used to redirect the input or output. The section on “Machine-Dependent Constants” in the Reference Material contains a description of the routine UMACH. MATH LIBRARY Special Functions Introduction • xv xvi • Introduction Printing Results Chapter 1: Elementary Functions Routines Evaluates the argument of a complex number ......................CARG Evaluates the cube root of a real or complex number 3 x .... CBRT Evaluates (e x – 1)/x for real or complex x ........................... EXPRL Evaluates the complex base 10 logarithm, log10 z ............... LOG10 Evaluates ln(x + 1) for real or complex x ........................... ALNREL 1 2 4 6 7 Usage Notes The “relative” function EXPRL is useful for accurately computing ex − 1 near x = 0. Computing ex − 1 using EXP(X) − 1 near x = 0 is subject to large cancellation errors. Similarly, ALNREL can be used to accurately compute ln(x + 1) near x = 0. Using the routine ALOG to compute ln(x + 1) near x = 0 is subject to large cancellation errors in the computation of 1 + X. CARG This function evaluates the argument of a complex number. Function Return Value CARG — Function value. (Output) If z = x + iy, then arctan(y/x) is returned except when both x and y are zero. In this case, zero is returned. Required Arguments Z — Complex number for which the argument is to be evaluated. (Input) FORTRAN 90 Interface Generic: CARG (Z) Specific: The specific interface names are S_CARG and D_CARG. MATH LIBRARY Special Functions Chapter 1: Elementary Functions • 1 FORTRAN 77 Interface Single: CARG (Z) Double: The double precision function name is ZARG. Description Arg(z) is the angle θ in the polar representation z = |z| ei θ, where i = −1 If z = x + iy, then θ = tan−1(y/x) except when both x and y are zero. In this case, θ is defined to be zero. Example In this example, Arg(1 + i) is computed and printed. USE CARG_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL COMPLEX NOUT VALUE Z ! Declare variables ! Compute Z = (1.0, 1.0) VALUE = CARG(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' CARG(', F6.3, ',', F6.3, ') = ', F6.3) END Output CARG( 1.000, 1.000) = 0.785 CBRT This funcion evaluates the cube root. Function Return Value CBRT — Function value. (Output) Required Arguments X — Argument for which the cube root is desired. (Input) 2 • Chapter 1: Elementary Functions CBRT FORTRAN 90 Interface Generic: CBRT (X) Specific: The specific interface names are S_CBRT, D_CBRT, C_CBRT, and Z_CBRT. FORTRAN 77 Interface Single: CBRT (X) Double: The double precision name is DCBRT. Complex: The complex precision name is CCBRT. Double Complex: The double complex precision name is ZCBRT. Description The function CBRT(X) evaluates x1/3. All arguments are legal. For complex argument, x, the value of |x| must not overflow. Comments For complex arguments, the branch cut for the cube root is taken along the negative real axis. The argument of the result, therefore, is greater than –π/3 and less than or equal to π/3. The other two roots are obtained by rotating the principal root by 2π/3 and π/3. Example 1 In this example, the cube root of 3.45 is computed and printed. USE CBRT_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 3.45 VALUE = CBRT(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' CBRT(', F6.3, ') = ', F6.3) END Output CBRT( 3.450) = 1.511 MATH LIBRARY Special Functions Chapter 1: Elementary Functions • 3 Additional Example Example 2 In this example, the cube root of –3 + 0.0076i is computed and printed. USE UMACH_INT USE CBRT_INT IMPLICIT NONE ! Declare variables INTEGER COMPLEX NOUT VALUE, Z ! Compute Z = (-3.0, 0.0076) VALUE = CBRT(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (’ CBRT((’, F7.4, ’,’, F7.4, ’)) = (’, & F6.3, ’,’, F6.3, ’)’) END Output CBRT((-3.0000, 0.0076)) = ( 0.722, 1.248) EXPRL This function evaluates the exponential function factored from first order, (EXP(X) – 1.0)/X. Function Return Value EXPRL — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: EXPRL (X) Specific: The specific interface names are S_EXPRL, D_EXPRL, and C_EXPRL. FORTRAN 77 Interface Single: EXPRL (X) Double: The double precision function name is DEXPRL. 4 • Chapter 1: Elementary Functions EXPRL Complex: The complex name is CEXPRL. Description The function EXPRL(X) evaluates (ex – 1)/x. It will overflow if ex overflows. For complex arguments, z, the argument z must not be so close to a multiple of 2πi that substantial significance is lost due to cancellation. Also, the result must not overflow and |ℑz| must not be so large that the trigonometric functions are inaccurate. Example 1 In this example, EXPRL(0.184) is computed and printed. USE EXPRL_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.184 VALUE = EXPRL(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' EXPRL(', F6.3, ') = ', F6.3) END Output EXPRL( 0.184) = 1.098 Additional Example Example 2 In this example, EXPRL(0.0076i) is computed and printed. USE EXPRL_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! DECLARE VARIABLES ! COMPUTE Z = (0.0, 0.0076) VALUE = EXPRL(Z) ! PRINT THE RESULTS CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' EXPRL((', F7.4, ',', F7.4, ')) = (', & MATH LIBRARY Special Functions Chapter 1: Elementary Functions • 5 F6.3, ',' F6.3, ')') END Output EXPRL(( 0.0000, 0.0076)) = ( 1.000, 0.004) LOG10 This function extends FORTRAN’s generic log10 function to evauate the principal value of the complex common logarithm. Function Return Value LOG10 — Complex function value. (Output) Required Arguments Z — Complex argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: LOG10 (Z) Specific: The specific interface names are CLOG10 and ZLOG10. FORTRAN 77 Interface Complex: CLOG10 (Z) Double complex: The double complex function name is ZLOG10. Description The function LOG10(Z) evaluates log10(z) . The argument must not be zero, and |z| must not overflow. Example In this example, the log10(0.0076i) is computed and printed. USE LOG10_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! 6 • Chapter 1: Elementary Functions Compute LOG10 Z = (0.0, 0.0076) VALUE = LOG10(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' LOG10((', F7.4, ',', F7.4, ')) = (', & F6.3, ',', F6.3, ')') END Output LOG10(( 0.0000, 0.0076)) = (-2.119, 0.682) ALNREL This function evaluates the natural logarithm of one plus the argument, or, in the case of complex argument, the principal value of the complex natural logarithm of one plus the argument. Function Return Value ALNREL — Function value. (Output) Required Arguments X — Argument for the function. (Input) FORTRAN 90 Interface Generic: ALNREL (X) Specific: The specific interface names are S_ALNREL, D_ALNREL, and C_ALNREL. FORTRAN 77 Interface Single: ALNREL (X) Double: The double precision name function is DLNREL. Complex: The comlpex name is CLNREL. Description For real arguments, the function ALNREL(X) evaluates ln(1 + x) for x > –1. The argument x must be greater than –1.0 to avoid evaluating the logarithm of zero or a negative number. In addition, x must not be so close to –1.0 that considerable significance is lost in evaluating 1 + x. For complex arguments, the function CLNREL(Z) evaluates ln(1 + z). The argument z must not be so close to –1 that considerable significance is lost in evaluating 1 + z. If it is, a recoverable error MATH LIBRARY Special Functions Chapter 1: Elementary Functions • 7 is issued; however, z = –1 is a fatal error because ln(1 + z) is infinite. Finally, |z| must not overflow. Let ρ = |z|, z = x + iy and r2 = |1 + z|2 = (1 + x)2 + y2 = 1 + 2x + ρ2. Now, if ρ is small, we may evaluate CLNREL(Z) accurately by log(1 + z) = log r + iArg(z + 1) = 1/2 log r2 + iArg(z + 1) = 1/2 ALNREL(2x + ρ2) + iCARG(1 + z) Comments 1. Informational error Type Code 3 2. 2 Result of ALNREL(X) is accurate to less than one-half precision because X is too near –1.0. ALNREL evaluates the natural logarithm of (1 + X) accurate in the sense of relative error even when X is very small. This routine (as opposed to the intrinsic ALOG) should be used to maintain relative accuracy whenever X is small and accurately known. Example 1 In this example, ln(1.189) = ALNREL(0.189) is computed and printed. USE ALNREL_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.189 VALUE = ALNREL(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ALNREL(', F6.3, ') = ', F6.3) END Output ALNREL( 0.189) = 0.173 Additional Example Example 2 In this example, ln(0.0076i) = ALNREL(–1 + 0.0076i) is computed and printed. 8 • Chapter 1: Elementary Functions ALNREL USE UMACH_INT USE ALNREL_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (-1.0, 0.0076) VALUE = ALNREL(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ALNREL((', F8.4, ',', F8.4, ')) = (', & F8.4, ',', F8.4, ')') END Output ALNREL(( -1.0000, 0.0076)) = ( -4.8796, MATH LIBRARY Special Functions 1.5708) Chapter 1: Elementary Functions • 9 10 • Chapter 1: Elementary Functions ALNREL Chapter 2: Trigonometric and Hyperbolic Functions Routines 2.1 2.2 2.3 Trigonometric Functions Evaluates tan z for complex z...................................................TAN Evaluates cot x for real x ......................................................... COT Evaluates sin x for x a real angle in degrees........................SINDG Evaluates cos x for x a real angle in degrees.....................COSDG Evaluates sin−1 z for complex z................................................ASIN Evaluates cos−1 z for complex z.............................................ACOS Evaluates tan−1 z for complex z ............................................. ATAN Evaluates tan−1(x/y) for x and y complex ............................. ATAN2 12 13 16 17 18 19 20 21 Hyperbolic Functions Evaluates sinh z for complex z ............................................... SINH Evaluates cosh z for complex z .............................................COSH Evaluates tanh z for complex z.............................................. TANH 23 24 25 Inverse Hyperbolic Functions Evaluates sinh−1 x for real or complex x ............................... ASINH Evaluates cosh−1 x for real or complex x ............................ ACOSH Evaluates tanh−1 x for real or complex x ..............................ATANH 27 28 30 Usage Notes The complex inverse trigonometric hyperbolic functions are single-valued and regular in a slit complex plane. The branch cuts are shown below for z = x + iy, i.e., x = ℜz and y = ℑz are the real and imaginary parts of z, respectively. MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 11 y y +i –1 x +1 x –i sin−1z, cos−1z and tanh−1(z) tan−1z and sinh−1z y +1 x cosh−1z Branch Cuts for Inverse Trigonometric and Hyperbolic Functions TAN This function extends FORTRAN’s generic tan to evaluate the complex tangent. Function Return Value TAN — Complex function value. (Output) Required Arguments Z — Complex number representing the angle in radians for which the tangent is desired. (Input) FORTRAN 90 Interface Generic: TAN (Z) Specific: The specific interface names are CTAN and ZTAN. FORTRAN 77 Interface Complex : CTAN (Z) Double complex: The double complex function name is ZTAN. Description Let z = x + iy. If |cos z|2 is very small, that is, if x is very close to π/2 or 3π/2 and if y is small, then tan z is nearly singular and a fatal error condition is reported. If |cos z|2 is somewhat larger but still small, then the result will be less accurate than half precision. When 2x is so large that sin 2x cannot be evaluated to any nonzero precision, the following situation results. If |y| < 3/2, then 12 • Chapter 2: Trigonometric and Hyperbolic Functions TAN CTAN cannot be evaluated accurately to better than one significant figure. If 3/2 ≤ |y| < −1/2 ln ε/2, then CTAN can be evaluated by ignoring the real part of the argument; however, the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Comments Informational error Type Code 3 2 Result of CTAN(Z) is accurate to less than one-half precision because the real part of Z is too near π/2 or 3π/2 when the imaginary part of Z is near zero or because the absolute value of the real part is very large and the absolute value of the imaginary part is small. Example In this example, tan(1 + i) is computed and printed. USE TAN_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.0, 1.0) VALUE = TAN(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' TAN((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END Output TAN(( 1.000, 1.000)) = ( 0.272, 1.084) COT This function evaluates the cotangent. Function Value Return COT — Function value. (Output) Required Arguments X — Angle in radians for which the cotangent is desired. (Input) MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 13 FORTRAN 90 Interface Generic: COT (X) Specific: The specific interface names are COT, DCOT, CCOT, and ZCOT. FORTRAN 77 Interface Single: COT (X) Double: The double precision function name is DCOT. Complex: The complex name is CCOT. Double Complex: The double complex name is ZCOT. Description For real x, the magnitude of x must not be so large that most of the computer word contains the integer part of x. Likewise, x must not be too near an integer multiple of π, although x close to the origin causes no accuracy loss. Finally, x must not be so close to the origin that COT(X) ≈ 1/x overflows. For complex arguments, let z = x + iy. If |sin z|2 is very small, that is, if x is very close to a multiple of π and if |y| is small, then cot z is nearly singular and a fatal error condition is reported. If |sin z|2 is somewhat larger but still small, then the result will be less accurate than half precision. When |2x| is so large that sin 2x cannot be evaluated accurately to even zero precision, the following situation results. If |y| < 3/2, then CCOT cannot be evaluated accurately to be better than one significant figure. If 3/2 ≤ |y| < −1/2 ln ε/2, where ε = AMACH(4) is the machine precision, then CCOT can be evaluated by ignoring the real part of the argument; however, the answer will be less accurate than half precision. Finally, |z| must not be so small that cot z ≈ 1/z overflows. Comments 1. Informational error for Real arguments: Type Code 3 2 Result of COT(X) is accurate to less than one-half precision because ABS(X) is too large, or X is nearly a multiple of π. Informational error for complex arguments Type Code 3 2 Result of CCOT(Z) is accurate to less than one-half precision because the real part of Z is too near a multiple of π when the imaginary part of Z is zero, or because the absolute value of the real part is very large and the absolute value of the imaginary part is small 14 • Chapter 2: Trigonometric and Hyperbolic Functions COT 2. Referencing COT(X) is NOT the same as computing 1.0/TAN(X) because the error conditions are quite different. For example, when X is near π/2, TAN(X) cannot be evaluated accurately and an error message must be issued. However, COT(X) can be evaluated accurately in the sense of absolute error. Example 1 In this example, cot(0.3) is computed and printed. USE COT_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.3 VALUE = COT(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' COT(', F6.3, ') = ', F6.3) END Output COT( 0.300) = 3.233 Additional Example Example 2 In this example, cot(1 + i) is computed and printed. USE COT_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.0, 1.0) VALUE = COT(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' COT((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 15 Output COT(( 1.000, 1.000)) = ( 0.218,-0.868) SINDG This function evaluates the sine for the argument in degrees. Function Return Value SINDG — Function value. (Output) Required Arguments X — Argument in degrees for which the sine is desired. (Input) FORTRAN 90 Interface Generic: SINDG (X) Specific: The specific interface names are S_SINDG and D_SINDG. FORTRAN 77 Interface Single: SINDG (X) Double: The double precision function name is DSINDG. Description To avoid unduly inaccurate results, the magnitude of x must not be so large that the integer part fills more than the computer word. Under no circumstances is the magnitude of x allowed to be larger than the largest representable integer because complete loss of accuracy occurs in this case. Example In this example, sin 45° is computed and printed. USE SINDG_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 45.0 VALUE = SINDG(X) ! Print the results 16 • Chapter 2: Trigonometric and Hyperbolic Functions SINDG CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' SIN(', F6.3, ' deg) = ', F6.3) END Output SIN(45.000 deg) = 0.707. COSDG This function evaluates the cosine for the argument in degrees. Function Return Value COSDG — Function value. (Output) Required Arguments X — Argument in degrees for which the cosine is desired. (Input) FORTRAN 90 Interface Generic: COSDG (X) Specific: The specific interface names are S_COSDG and D_COSDG. FORTRAN 77 Interface Single: COSDG (X) Double: The double precision function name is DCOSDG. Description To avoid unduly inaccurate results, the magnitude of x must not be so large that the integer part fills more than the computer word. Under no circumstances is the magnitude of x allowed to be larger than the largest representable integer because complete loss of accuracy occurs in this case. Example In this example, cos 100° computed and printed. USE COSDG_INT USE UMACH_INT IMPLICIT NONE INTEGER NOUT ! Declare variables MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 17 REAL VALUE, X ! Compute X = 100.0 VALUE = COSDG(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' COS(', F6.2, ' deg) = ', F6.3) END Output COS(100.00 deg) = -0.174 ASIN This function extends FORTRAN’s generic ASIN function to evaluate the complex arc sine. Function Return Value ASIN — Complex function value in units of radians and the real part in the first or fourth quadrant. (Output) Required Arguments ZINP — Complex argument for which the arc sine is desired. (Input) FORTRAN 90 Interface Generic: ASIN (ZINP) Specific: The specific interface names are CASIN and ZASIN. FORTRAN 77 Interface Complex: CASIN (ZINP) Double complex: The double complex function name is ZASIN. Description Almost all arguments are legal. Only when |z| > b/2 can an overflow occur. Here, b = AMACH(2) is the largest floating point number. This error is not detected by ASIN. See Pennisi (1963, page 126) for reference. Example In this example, sin−1(1 − i) is computed and printed. 18 • Chapter 2: Trigonometric and Hyperbolic Functions ASIN USE ASIN_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! DECLARE VARIABLES ! COMPUTE Z = (1.0, -1.0) VALUE = ASIN(Z) ! PRINT THE RESULTS CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ASIN((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END Output ASIN(( 1.000,-1.000)) = ( 0.666,-1.061) ACOS This function extends FORTRAN’s generic ACOS function evaluate the complex arc cosine. Function Return Value ACOS — Complex function value in units of radians with the real part in the first or second quadrant. (Output) Required Arguments Z — Complex argument for which the arc cosine is desired. (Input) FORTRAN 90 Interface Generic: ACOS (Z) Specific: The specific interface names are CACOS and ZACOS. FORTRAN 77 Interface Complex: CACOS (Z) Double complex: The double complex function name is ZACOS. MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 19 Description Almost all arguments are legal. Only when |z| > b/2 can an overflow occur. Here, b = AMACH(2) is the largest floating point number. This error is not detected by ACOS. Example In this example, cos−1(1 − i) is computed and printed. USE ACOS_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! DECLARE VARIABLES ! COMPUTE Z = (1.0, -1.0) VALUE = ACOS(Z) ! PRINT THE RESULTS CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ACOS((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END Output ACOS(( 1.000,-1.000)) = ( 0.905, 1.061) ATAN This function extends FORTRAN’s generic function ATAN to evaluate the complex arc tangent. Function Return Value ATAN — Complex function value in units of radians with the real part in the first or fourth quadrant. (Output) Required Arguments Z — Complex argument for which the arc tangent is desired. (Input) FORTRAN 90 Interface Generic: ATAN (Z) Specific: The specific interface names are CATAN and ZATAN. 20 • Chapter 2: Trigonometric and Hyperbolic Functions ATAN FORTRAN 77 Interface Complex: CATAN (Z) Double complex: The double complex function name is ZATAN. Description The argument z must not be exactly ± i, because tan−1 z is undefined there. In addition, z must not be so close to ± i that substantial significance is lost. Comments Informational error Type Code 3 2 Result of ATAN(Z) is accurate to less than one-half precision because |Z2| is too close to −1.0. Example In this example, tan−1(0.01 − 0.01i) is computed and printed. USE ATAN_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (0.01, 0.01) VALUE = ATAN(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ATAN((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END Output ATAN(( 0.010, 0.010)) = ( 0.010, 0.010) ATAN2 This function extends FORTRAN’s generic function ATAN2 to evaluate the complex arc tangent of a ratio. MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 21 Function Return Value ATAN2 — Complex function value in units of radians with the real part between −π and π. (Output) Required Arguments CSN — Complex numerator of the ratio for which the arc tangent is desired. (Input) CCS — Complex denominator of the ratio. (Input) FORTRAN 90 Interface Generic: ATAN2 (CSN, CCS) Specific: The specific interface names are CATAN2 and ZATAN2. FORTRAN 77 Interface Complex: CATAN2 (CSN, CCS) Double complex: The double complex function name is ZATAN2. Description Let z1 = CSN and z2 = CCS. The ratio z = z1/z2 must not be ± i because tan−1(± i) is undefined. Likewise, z1 and z2 should not both be zero. Finally, z must not be so close to ±i that substantial accuracy loss occurs. Comments The result is returned in the correct quadrant (modulo 2π). Example In this example, tan −1 (1/ 2 ) + ( i / 2 ) 2+i is computed and printed. USE ATAN2_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, X, Y ! ! Declare variables Compute 22 • Chapter 2: Trigonometric and Hyperbolic Functions ATAN2 X = (2.0, 1.0) Y = (0.5, 0.5) VALUE = ATAN2(Y, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Y, X, VALUE 99999 FORMAT (' ATAN2((', F6.3, ',', F6.3, '), (', F6.3, ',', F6.3,& ')) = (', F6.3, ',', F6.3, ')') END Output ATAN2(( 0.500, 0.500), ( 2.000, 1.000)) = ( 0.294, 0.092) SINH This function extends FORTRAN’s generic function SINH to evaluate the complex hyperbolic sine. Function Return Value SINH — Complex function value. (Output) Required Arguments Z — Complex number representing the angle in radians for which the complex hyperbolic sine is desired. (Input) FORTRAN 90 Interface Generic: SINH (Z) Specific: The specific interface names are CSINH and ZSINH. FORTRAN 77 Interface Complex: CSINH (Z) Double complex: The double complex function name is ZSINH. Description The argument z must satisfy ℑz ≤ 1/ ε where ε = AMACH(4) is the machine precision and ℑz is the imaginary part of z. MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 23 Example In this example, sinh(5 − i) is computed and printed. USE SINH_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (5.0, -1.0) VALUE = SINH(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' SINH((', F6.3, ',', F6.3, ')) = (',& F7.3, ',', F7.3, ')') END Output SINH(( 5.000,-1.000)) = ( 40.092,-62.446) COSH The function extends FORTRAN’s generic function COSH to evaluate the complex hyperbolic cosine. Function Return Value COSH — Complex function value. (Output) Required Arguments Z — Complex number representing the angle in radians for which the hyperbolic cosine is desired. (Input) FORTRAN 90 Interface Generic: COSH (Z) Specific: The specific interface names are CCOSH and ZCOSH. FORTRAN 77 Interface Complex: CCOSH (Z) Double complex: The double complex function name is ZCOSH. 24 • Chapter 2: Trigonometric and Hyperbolic Functions COSH Description Let ε = AMACH(4) be the machine precision. If |ℑz| is larger than 1/ ε then the result will be less than half precision, and a recoverable error condition is reported. If |ℑz| is larger than 1/ε, the result has no precision and a fatal error is reported. Finally, if |ℜz| is too large, the result overflows and a fatal error results. Here, ℜz and ℑz represent the real and imaginary parts of z, respectively. Example In this example, cosh(−2 + 2i) is computed and printed. USE COSH_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (-2.0, 2.0) VALUE = COSH(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' COSH((', F6.3, ',', F6.3, ')) = (',& F6.3, ',', F6.3, ')') END Output COSH((-2.000, 2.000)) = (-1.566,-3.298) TANH This function extends FORTRAN’s generic function TANH to evaluate the complex hyperbolic tangent. Function Return Value TANH — Complex function value. (Output) Required Arguments Z — Complex number representing the angle in radians for which the hyperbolic tangent is desired. (Input) MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 25 FORTRAN 90 Interface Generic: TANH (Z) Specific: The specific interface names are CTANH and ZTANH. FORTRAN 77 Interface Complex: CTANH (Z) Double complex: The double complex function name is ZTANH. Description Let z = x + iy. If |cosh z|2 is very small, that is, if y mod 2π is very close to π/2 or 3π/2 and if x is small, then tanh z is nearly singular; a fatal error condition is reported. If |cosh z|2 is somewhat larger but still small, then the result will be less accurate than half precision. When 2y (z = x + iy) is so large that sin 2y cannot be evaluated accurately to even zero precision, the following situation results. If |x| < 3/2, then TANH cannot be evaluated accurately to better than one significant figure. If 3/2 ≤ |y| < –1/2 ln (ε/2), then TANH can be evaluated by ignoring the imaginary part of the argument; however, the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Example In this example, tanh(1 + i) is computed and printed. USE TANH_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.0, 1.0) VALUE = TANH(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' TANH((', F6.3, ',', F6.3, ')) = (',& F6.3, ',', F6.3, ')') END Output TANH(( 1.000, 1.000)) = ( 1.084, 0.272) 26 • Chapter 2: Trigonometric and Hyperbolic Functions TANH ASINH This function evaluates the arc hyperbolic sine. Function Return Value ASINH — Function value. (Output) Required Arguments X — Argument for which the arc hyperbolic sine is desired. (Input) FORTRAN 90 Interface Generic: ASINH (X) Specific: The specific interface names are ASINH, DASINH, CASINH, and ZASINH. FORTRAN 77 Interface Single: ASINH (X) Double: The double precision function name is DASINH. Complex: The complex name is CASINH. Double Complex: The double complex name is ZASINH. Description The function ASINH(X) computes the inverse hyperbolic sine of x, sinh−1x. For complex arguments, almost all arguments are legal. Only when |z| > b/2 can an overflow occur, where b = AMACH(2) is the largest floating point number. This error is not detected by ASINH. Example 1 In this example, sinh−1(2.0) is computed and printed. USE ASINH_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 2.0 MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 27 VALUE = ASINH(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ASINH(', F6.3, ') = ', F6.3) END Output ASINH( 2.000) = 1.444 Additional Example Example 2 In this example, sinh−1(−1 + i) is computed and printed. USE ASINH_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (-1.0, 1.0) VALUE = ASINH(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ASINH((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END Output ASINH((-1.000, 1.000)) = (-1.061, 0.666) ACOSH This function evaluates the arc hyperbolic cosine. Function Return Value ACOSH — Function value. (Output) Required Arguments X — Argument for which the arc hyperbolic cosine is desired. (Input) 28 • Chapter 2: Trigonometric and Hyperbolic Functions ACOSH FORTRAN 90 Interface Generic: ACOSH (X) Specific: The specific interface names are ACOSH, DACOSH, CACOSH, and ZACOSH. FORTRAN 77 Interface Single: ACOSH (X) Double: The double precision function name is DACOSH. Complex: The complex name is CACOSH. Double Complex: The double complex name is ZACOSH. Description The function ACOSH(X) computes the inverse hyperbolic cosine of x, cosh−1x. For complex arguments, almost all arguments are legal. Only when |z| > b/2 can an overflow occur, where b = AMACH(2) is the largest floating point number. This error is not detected by ACOSH. Comments The result of ACOSH(X) is returned on the positive branch. Recall that, like SQRT(X), ACOSH(X) has multiple values. Example 1 In this example, cosh−1(1.4) is computed and printed. USE ACOSH_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.4 VALUE = ACOSH(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ACOSH(', F6.3, ') = ', F6.3) END Output MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 29 ACOSH( 1.400) = 0.867 Additional Example Example 2 In this example, cosh−1(1 − i) is computed and printed. USE ACOSH_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.0, -1.0) VALUE = ACOSH(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ACOSH((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END Output ACOSH(( 1.000,-1.000)) = (-1.061, 0.905) ATANH This function evaluates the arc hyperbolic tangent. Function Return Value ATANH — Function value. (Output) Required Arguments X — Argument for which the arc hyperbolic tangent is desired. (Input) FORTRAN 90 Interface Generic: ATANH (X) Specific: The specific interface names are ATANH, DATANH, CATANH, and ZATANH FORTRAN 77 Interface Single: ATANH (X) 30 • Chapter 2: Trigonometric and Hyperbolic Functions ATANH Double: The double precision function name is DATANH. Complex: The complex name is CATANH. Double Complex: The double complex name is ZATANH. Description ATANH(X) computes the inverse hyperbolic tangent of x, tanh−1x. The argument x must satisfy x < 1− ε where ε = AMACH(4) is the machine precision. Note that |x| must not be so close to one that the result is less accurate than half precision. Comments Informational error Type Code 3 2 Result of ATANH(X) is accurate to less than one-half precision because the absolute value of the argument is too close to 1.0. Example In this example, tanh−1(−1/4) is computed and printed. USE ATANH_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = -0.25 VALUE = ATANH(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ATANH(', F6.3, ') = ', F6.3) END Output ATANH(-0.250) = -0.255 Additional Example Example 2 In this example, tanh−1(1/2 + i/2) is computed and printed. MATH LIBRARY Special Functions Chapter 2: Trigonometric and Hyperbolic Functions • 31 USE ATANH_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (0.5, 0.5) VALUE = ATANH(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ATANH((', F6.3, ',', F6.3, ')) = (', & F6.3, ',', F6.3, ')') END Output ATANH(( 0.500, 0.500)) = ( 0.402, 0.554) 32 • Chapter 2: Trigonometric and Hyperbolic Functions ATANH Chapter 3: Exponential Integrals and Related Functions Routines Evaluates the exponential integral, Ei(x) ......................................EI Evaluates the exponential integral, E1(x).....................................E1 Evaluates the scaled exponential integrals, integer order, En(x) ..........................................................................................ENE Evaluates the logarithmic integral, li(x).......................................ALI Evaluates the sine integral, Si(x) ..................................................SI Evaluates the cosine integral, Ci(x) ............................................. CI Evaluates the cosine integral (alternate definition)....................CIN Evaluates the hyperbolic sine integral, Shi(x)............................ SHI Evaluates the hyperbolic cosine integral, Chi(x)........................CHI Evaluates the hyperbolic cosine integral (alternate definition)CINH 34 35 37 38 40 41 43 44 45 47 Usage Notes The notation used in this chapter follows that of Abramowitz and Stegun (1964). The following is a plot of the exponential integral functions that can be computed by the routines described in this chapter. MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 33 x Figure 3- 1 Plot of e E(x), E1(x) and Ei(x) EI This function evaluates the exponential integral for arguments greater than zero and the Cauchy principal value for arguments less than zero. Function Return Value EI — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: EI (X) Specific: The specific interface names are S_EI and D_EI. FORTRAN 77 Interface Single: EI (X) 34 • Chapter 3: Exponential Integrals and Related Functions EI The double precision function name is DEI. Double: Description The exponential integral, Ei(x), is defined to be ∞ Ei( x) = − ∫ e − t / t dt for x ≠ 0 −x The argument x must be large enough to insure that the asymptotic formula ex/x does not underflow, and x must not be so large that ex overflows. Comments If principal values are used everywhere, then for all X, EI(X) = −E1(−X) and E1(X) = −EI(−X). Example In this example, Ei(1.15) is computed and printed. USE EI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.15 VALUE = EI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' EI(', F6.3, ') = ', F6.3) END Output EI( 1.150) = 2.304 E1 This function evaluates the exponential integral for arguments greater than zero and the Cauchy principal value of the integral for arguments less than zero. Function Return Value E1 — Function value. (Output) MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 35 Required Arguments X — Argument for which the integral is to be evaluated. (Input) FORTRAN 90 Interface Generic: E1 (X) Specific: The specific interface names are S_E1 and D_E1. FORTRAN 77 Interface Single: E1 (X) Double: The double precision function name is DE1. Description The alternate definition of the exponential integral, E1(x), is ∞ E1 ( x) = ∫ e − t / t dt x for x ≠ 0 The path of integration must exclude the origin and not cross the negative real axis. The argument x must be large enough that e- x does not overflow, and x must be small enough to insure that e- x/x does not underflow. Comments Informational error Type Code 2 1 The function underflows because X is too large. Example In this example, E1(1.3) is computed and printed. USE E1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.3 VALUE = E1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 36 • Chapter 3: Exponential Integrals and Related Functions E1 99999 FORMAT (' E1(', F6.3, ') = ', F6.3) END Output E1( 1.300) = 0.135 ENE Evaluates the exponential integral of integer order for arguments greater than zero scaled by EXP(X). Required Arguments X — Argument for which the integral is to be evaluated. (Input) It must be greater than zero. N — Integer specifying the maximum order for which the exponential integral is to be calculated. (Input) F — Vector of length N containing the computed exponential integrals scaled by EXP(X). (Output) FORTRAN 90 Interface Generic: CALL ENE (X, N, F) Specific: The specific interface names are S_ENE and D_ENE. FORTRAN 77 Interface Single: CALL ENE (X, N, F) Double: The double precision function name is DENE. Description The scaled exponential integral of order n, En(x), is defined to be ∞ En ( x) = e x ∫ e − xt t − n dt 1 for x > 0 The argument x must satisfy x > 0. The integer n must also be greater than zero. This code is based on a code due to Gautschi (1974). Example In this example, Ez(10) for n = 1, ..., n is computed and printed. MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 37 USE ENE_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=10) INTEGER REAL K, NOUT F(N), X ! Declare variables ! ! Compute X = 10.0 CALL ENE (X, N, F) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) K, X, F(K) 10 CONTINUE 99999 FORMAT (' E sub ', I2, ' (', F6.3, ') = ', F6.3) END Output E E E E E E E E E E sub 1 sub 2 sub 3 sub 4 sub 5 sub 6 sub 7 sub 8 sub 9 sub 10 (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) = = = = = = = = = = 0.092 0.084 0.078 0.073 0.068 0.064 0.060 0.057 0.054 0.051 ALI This function evaluates the logarithmic integral. Function Return Value ALI — Function value. (Output) Required Arguments X — Argument for which the logarithmic integral is desired. (Input) It must be greater than zero and not equal to one. FORTRAN 90 Interface Generic: ALI (X) Specific: The specific interface names are S_ALI and D_ALI. 38 • Chapter 3: Exponential Integrals and Related Functions ALI FORTRAN 77 Interface Single: ALI (X) Double: The double precision function name is DALI. Description The logarithmic integral, li(x), is defined to be li( x) = − ∫ x 0 dt ln t for x > 0 and x ≠ 1 The argument x must be greater than zero and not equal to one. To avoid an undue loss of accuracy, x must be different from one at least by the square root of the machine precision. The function li(x) approximates the function π(x), the number of primes less than or equal to x. Assuming the Riemann hypothesis (all non-real zeros of ζ(z) are on the line ℜz = 1/2), then li( x ) − π( x ) = O ( x ln x ) Figure 3- 2 Plot of li(x) and π(x) MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 39 Comments Informational error Type Code 3 2 Result of ALI(X) is accurate to less than one-half precision because X is too close to 1.0. Example In this example, li(2.3) is computed and printed. USE ALI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 2.3 VALUE = ALI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ALI(', F6.3, ') = ', F6.3) END Output ALI( 2.300) = 1.439 SI This function evaluates the sine integral. Function Return Value SI — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: SI (X) Specific: The specific interface names are S_SI and D_SI. 40 • Chapter 3: Exponential Integrals and Related Functions SI FORTRAN 77 Interface Single: SI (X) Double: The double precision function name is DSI. Description The sine integral, Si(x), is defined to be x Si(x)= ∫ 0 sin t dt t If x > 1/ ε the answer is less accurate than half precision, while for |x| > 1 /ε, the answer has no precision. Here, ε = AMACH(4) is the machine precision. Example In this example, Si(1.25) is computed and printed. USE SI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.25 VALUE = SI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' SI(', F6.3, ') = ', F6.3) END Output SI( 1.250) = 1.146 CI This function evaluates the cosine integral. Function Return Value CI — Function value. (Output) MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 41 Required Arguments X — Argument for which the function value is desired. (Input) It must be greater than zero. FORTRAN 90 Interface Generic: CI (X) Specific: The specific interface names are S_CI and D_CI. FORTRAN 77 Interface Single: CI (X) Double: The double precision function name is DCI. Description The cosine integral, Ci(x), is defined to be Ci( x) = γ + ln x + ∫ 0 x 1 − cos t dt t where γ ≈0.57721566 is Euler’s constant. The argument x must be larger than zero. If x > 1/ ε then the result will be less accurate than half precision. If x > 1/ε, the result will have no precision. Here, ε = AMACH(4) is the machine precision. Example In this example, Ci(1.5) is computed and printed. USE CI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.5 VALUE = CI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' CI(', F6.3, ') = ', F6.3) END 42 • Chapter 3: Exponential Integrals and Related Functions CI Output CI( 1.500) = 0.470 CIN This function evaluates a function closely related to the cosine integral. Function Return Value CIN — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CIN (X) Specific: The specific interface names are S_CIN and D_CIN. FORTRAN 77 Interface Single: CIN (X) Double: The double precision function name is DCIN. Description The alternate definition of the cosine integral, Cin(x), is Cin( x) = ∫ 0 x 1 − cos t dt t For 0< x < s where s = AMACH(1) is the smallest representable positive number, the result underflows. For x > 1/ ε the answer is less accurate than half precision, while for |x| > 1 /ε, the answer has no precision. Here, ε = AMACH(4) is the machine precision. MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 43 Comments Informational error Type Code 2 1 The function underflows because X is too small. Example In this example, Cin(2π) is computed and printed. USE CIN_INT USE UMACH_INT USE CONST_INT IMPLICIT NONE ! ! Declare variables INTEGER REAL NOUT VALUE, X ! Compute X = CONST('pi') X = 2.0* X VALUE = CIN(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' CIN(', F6.3, ') = ', F6.3) END Output CIN( 6.283) = 2.438 SHI This function evaluates the hyperbolic sine integral. Function Return Value SHI— function value. (Output) SHI equals ∫ x 0 sinh(t ) / t dt Required Arguments X — Argument for which the function value is desired. (Input) 44 • Chapter 3: Exponential Integrals and Related Functions SHI FORTRAN 90 Interface Generic: SHI (X) Specific: The specific interface names are S_SHI and D_SHI. FORTRAN 77 Interface Single: SHI (X) Double: The double precision function name is DSHI. Description The hyperbolic sine integral, Shi(x), is defined to be Shi( x) = ∫ x 0 sinh t dt t The argument x must be large enough that e-x/x does not underflow, and x must be small enough that ex does not overflow. Example In this example, Shi(3.5) is computed and printed. USE SHI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 3.5 VALUE = SHI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' SHI(', F6.3, ') = ', F6.3) END Output SHI( 3.500) = 6.966 CHI This function evaluates the hyperbolic cosine integral. MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 45 Function Return Value CHI — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CHI (X) Specific: The specific interface names are S_CHI and D_CHI. FORTRAN 77 Interface Single: CHI (X) Double: The double precision function name is DCHI. Description The hyperbolic cosine integral, Chi(x), is defined to be Chi( x) = γ + ln x + ∫ x 0 cosh t − 1 dt t for x > 0 where γ ≈ 0.57721566 is Euler’s constant. The argument x must be large enough that e-x/x does not underflow, and x must be small enough that ex does not overflow. Comments When X is negative, the principal value is used. Example In this example, Chi(2.5) is computed and printed. USE CHI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 2.5 VALUE = CHI(X) ! Print the results 46 • Chapter 3: Exponential Integrals and Related Functions CHI CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' CHI(', F6.3, ') = ', F6.3) END Output CHI(2.500) = 3.524 CINH This function evaluates a function closely related to the hyperbolic cosine integral. Function Return Value CINH — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CINH (X) Specific: The specific interface names are S_CINH and D_CINH. FORTRAN 77 Interface Single: CINH (X) Double: The double precision function name is DCINH. Description The alternate definition of the hyperbolic cosine integral, Cinh(x), is Cinh( x) = ∫ x 0 cosh t − 1 dt t For 0< x <2 s where s = AMACH(1) is the smallest representable positive number, the result underflows. The argument x must be large enough that e-x/x does not underflow, and x must be small enough that ex does not overflow. MATH LIBRARY Special Functions Chapter 3: Exponential Integrals and Related Functions • 47 Comments Informational error Type Code 2 1 The function underflows because X is too small. Example In this example, Cinh(2.5) is computed and printed. USE CINH_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 2.5 VALUE = CINH(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' CINH(', F6.3, ') = ', F6.3) END Output CINH( 2.500) = 2.031 48 • Chapter 3: Exponential Integrals and Related Functions CINH Chapter 4: Gamma Function and Related Functions Routines 4.1 Factorial Function Evaluates the factorial, n! .........................................................FAC Evaluates the binomial coefficient, 4.2 4.3. 4.4. 4.5. 4.6. ⎛n⎞ ⎜ ⎟ ⎜ m⎟ ⎝ ⎠ ............................... BINOM Gamma Function Evaluates the real or complex gamma function, Γ(x) ........ GAMMA Evaluates the reciprocal of the real or complex gamma function, 1/Γ(x) ...................................................................... GAMR Evaluates the real or complex function, ln |γ(x)|................ALNGAM Evaluates the log abs gamma function and its sign ......... ALGAMS Incomplete Gamma Function Evaluates the incomplete gamma function, γ(a,x) ..................GAMI Evaluates the complementary incomplete gamma function, Γ(a,x).................................................................................... GAMIC Evaluates Tricomi’s incomplete gamma function, γ*(a, x) ....GAMIT Psi Function Evaluates the real or complex psi function, ψ(x) ....................... PSI Pochhammer’s Function Evaluates Pochhammer’s generalized symbol, (a)x ..............POCH Evaluates Pochhammer’s symbol starting from the first order ...............................................................POCH1 Beta Function Evaluates the real or complex beta function, β(a,b) ...............BETA Evaluates the log of the real or complex beta function, ln β(a,b).............................................................................. ALBETA Evaluates the incomplete beta function, Ix(a,b) .....................BETAI MATH LIBRARY Special Functions 50 52 53 56 58 60 62 64 65 67 69 70 72 74 76 Chapter 4: Gamma Function and Related Functions • 49 Usage Notes The notation used in this chapter follows that of Abramowitz and Stegun (1964). The following is a table of the functions defined in this chapter: FAC BINOM GAMMA n! = Γ(n + 1) n!/m!(n − m)!, 0 ≤ m ≤ n ∞ Γ ( x ) = ∫0 e − t t x −1dt , x ≠ 0, − 1, − 2, … GAMI 1/Γ(x) ln |Γ(x)|, x ≠ 0, −1, −2, … ln |Γ(x)| and sign Γ(x), x ≠ 0, −1, −2, … γ ( a, x ) = ∫0x t a −1e −t dt , a > 0, x ≥ 0 GAMIC Γ ( a, x ) = ∫x t a −1e − t dt , x > 0 GAMR ALNGAM ALGAMS GAMIT PSI POCH POCH1 BETA CBETA ALBETA BETAI ∞ γ*(a, x) = (x−a/Γ(a))γ(a, x), x ≥ 0 ψ(x) = Γ′(x)/Γ(x), x ≠ 0, −1, −2, … (a)x = Γ(a + x)/Γ(a), if a + x = 0, −1, −2, … then a must = 0, −1, −2, … ((a)x − 1)/x, if a + x = 0, −1, −2, … then a must = 0, −1, −2, … β(x1, x2) = Γ(x1)Γ(x2)/Γ(x1 + x2), x1 > 0 and x2 > 0 β(z1, z2) = Γ(z1)Γ(z2)/Γ(z1 + z2), z1 > 0 and z2 > 0 ln β(a, b), a > 0, b > 0 Ix(a, b) = βx(a, b)/β(a, b), 0 ≤ x ≤ 1, a > 0, b > 0 FAC This function evaluates the factorial of the argument. Function Return Value FAC — Function value. (Output) See Comment 1. Required Arguments N — Argument for which the factorial is desired. (Input) FORTRAN 90 Interface Generic: FAC (N) Specific: The specific interface names are S_FAC and D_FAC. 50 • Chapter 4: Gamma Function and Related Functions Usage Notes FORTRAN 77 Interface Single: FAC (N) Double: The double precision function name is DFAC. Description The factorial is computed using the relation n! = Γ(n + 1). The function Γ(x) is defined in GAMMA. The argument n must be greater than or equal to zero, and it must not be so large that n! overflows. Approximately, n! overflows when nne-n overflows. Comments 1. If the generic version of this function is used, the immediate result must be stored in a variable before use in an expression. For example: X = FAC(6) Y = SQRT(X) must be used rather than Y = SQRT(FAC(6)). If this is too much of a restriction on the programmer, then the specific name can be used without this restriction. To evaluate the factorial for nonintegral values of the argument, the gamma function should be used. For large values of the argument, the log gamma function should be used. Example In this example, 6! is computed and printed. USE FAC_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL N, NOUT VALUE ! Declare variables ! Compute N = 6 VALUE = FAC(N) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) N, VALUE 99999 FORMAT (' FAC(', I1, ') = ', F6.2) END Output MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 51 FAC(6) = 720.00 BINOM This function evaluates the binomial coefficient. Function Return Value BINOM — Function value. (Output) See Comment 1. Required Arguments N — First parameter of the binomial coefficient. (Input) N must be nonnegative. M — Second parameter of the binomial coefficient. (Input) M must be nonnegative and less than or equal to N. FORTRAN 90 Interface Generic: BINOM (N, M) Specific: The specific interface names are S_BINOM and D_BINOM. FORTRAN 77 Interface Single: BINOM (N, M) Double: The double precision function name is DBINOM. Description The binomial function is defined to be ⎛n ⎞ n! ⎜ ⎟= m m !( n − m)! ⎝ ⎠ with n ≥ m ≥ 0. Also, n must not be so large that the function overflows. Comments 1. If the generic version of this function is used, the immediate result must be stored in a variable before use in an expression. For example: X = BINOM(9, 5) Y = SQRT(X) 52 • Chapter 4: Gamma Function and Related Functions BINOM must be used rather than Y = SQRT(BINOM(9, 5)). If this is too much of a restriction on the programmer, then the specific name can be used without this restriction. 2. To evaluate binomial coefficients for nonintegral values of the arguments, the complete beta function or log beta function should be used. Example ⎛9⎞ In this example, ⎜ ⎟ is computed and printed. ⎝ 5⎠ USE BINOM_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL M, N, NOUT VALUE ! Declare variables ! Compute N = 9 M = 5 VALUE = BINOM(N, M) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) N, M, VALUE 99999 FORMAT (' BINOM(', I1, ',', I1, ') = ', F6.2) END Output BINOM(9,5) = 126.00 GAMMA This function evaluates the complete gamma function. Function Return Value GAMMA — Function value. (Output) Required Arguments X — Argument for which the complete gamma function is desired. (Input) MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 53 FORTRAN 90 Interface Generic: GAMMA (X) Specific: The specific interface names are S_GAMMA, D_GAMMA, and C_GAMMA. FORTRAN 77 Interface Single: GAMMA (X) Double: The double precision function name is DGAMMA. Complex: The complex name is CGAMMA. Description The gamma function, Γ(z), is defined to be ∞ Γ ( z ) = ∫ t z −1e − t dt 0 for ℜz > 0 For ℜ(z) < 0, the above definition is extended by analytic continuation. z must not be so close to a negative integer that the result is less accurate than half precision. If ℜ (z) is too small, then the result will underflow. Users who need such values should use the log gamma function ALNGAM. When ℑ(z) ≈ 0, ℜ(z) should be greater than x∃ so that the result does not underflow, and ℜ(z) should be less than x∀ so that the result does not overflow. x∃ and x∀ are available by CALL R9GAML (XMIN, XMAX) Note that z must not be too far from the real axis because the result will underflow. 54 • Chapter 4: Gamma Function and Related Functions GAMMA Figure 4- 1 Plot of Γ(x) and 1/Γ(x) Comments Informational errors Type Code 2 3 1 2 The function underflows because X is too small. Result is accurate to less than one-half precision because X is too near a negative integer. Example 1 In this example, Γ(5.0) is computed and printed. USE GAMMA_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 5.0 VALUE = GAMMA(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' GAMMA(', F6.3, ') = ', F6.3) MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 55 END Output GAMMA( 5.000) = 24.000 Additional Example Example 2 In this example, Γ(1.4 + 3i) is computed and printed. USE GAMMA_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.4, 3.0) VALUE = GAMMA(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' GAMMA(', F6.3, ',', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output GAMMA( 1.400, 3.000) = (-0.001, 0.061) GAMR This function evaluates the reciprocal gamma function. Function Return Value GAMR — Function value. (Output) Required Arguments X — Argument for which the reciprocal gamma function is desired. (Input) FORTRAN 90 Interface Generic: GAMR (X) Specific: The specific interface names are S_GAMR, D_GAMR, and C_GAMR 56 • Chapter 4: Gamma Function and Related Functions GAMR FORTRAN 77 Interface Single: GAMR (X) Double: The double precision function name is DGAMR. Complex: The complex name is CGAMR. Description The function GAMR computes 1/Γ(z). See GAMMA for the definition of Γ(z). For ℑ(z) ≈ 0, z must be larger than x∃ so that 1/Γ(z) does not underflow, and x must be smaller than x∀ so that 1/Γ(z) does not overflow. Symmetric overflow and underflow limits x∃ and x∀ are obtainable from CALL R9GAML (XMIN, XMAX) Note that z must not be too far from the real axis because the result will overflow there. Comments This function is well behaved near zero and negative integers. Example 1 In this example, 1/Γ(1.85) is computed and printed. USE GAMR_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.85 VALUE = GAMR(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' GAMR(', F6.3, ') = ', F6.3) END Output GAMR( 1.850) = 1.058 Additional Example Example 2 In this example, ln Γ(1.4 + 3i) is computed and printed. MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 57 USE GAMR_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.4, 3.0) VALUE = GAMR(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' GAMR(', F6.3, ',', F6.3, ') = (', F7.3, ',', F7.3, ')') END Output GAMR( 1.400, 3.000) = ( -0.303,-16.367) ALNGAM The function evaluates the logarithm of the absolute value of the gamma function. Function Return Value ALNGAM — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: ALNGAM (X) Specific: The specific interface names are S_ALNGAM, D_ALNGAM, and C_ALNGAM. FORTRAN 77 Interface Single: ALNGAM (X) Double: The double precision function name is DLNGAM. Complex: The complex name is CLNGAM. 58 • Chapter 4: Gamma Function and Related Functions ALNGAM Description The function ALNGAM computes ln |Γ(x)|. See GAMMA for the definition of Γ(x). The gamma function is not defined for integers less than or equal to zero. Also, |x| must not be so large that the result overflows. Neither should x be so close to a negative integer that the accuracy is worse than half precision. Figure 4- 2 Plot of log|Γ(x)| Comments Informational error Type Code 3 2 Result of ALNGAM(X) is accurate to less than one-half precision because X is too near a negative integer. Example 1 In this example, ln |Γ(1.85)| is computed and printed. USE ALNGAM_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 59 ! Compute X = 1.85 VALUE = ALNGAM(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ALNGAM(', F6.3, ') = ', F6.3) END Output ALNGAM( 1.850) = -0.056 Additional Example Example 2 In this example, ln Γ(1.4 + 3i) is computed and printed. USE ALNGAM_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.4, 3.0) VALUE = ALNGAM(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' ALNGAM(', F6.3, ',', F6.3, ') = (',& F6.3, ',', F6.3, ')') END Output ALNGAM( 1.400, 3.000) = (-2.795, 1.589) ALGAMS Returns the logarithm of the absolute value of the gamma function and the sign of gamma. Required Arguments X — Argument for which the logarithm of the absolute value of the gamma function is desired. (Input) ALGM — Result of the calculation. (Output) 60 • Chapter 4: Gamma Function and Related Functions ALGAMS S — Sign of gamma(X). (Output) If gamma(X) is greater than or equal to zero, S = 1.0. If gamma(X) is less than zero, S = −1.0. FORTRAN 90 Interface Generic: CALL ALGAMS (X, ALGM, S) Specific: The specific interface names are S_ALGAMS and D_ALGAMS. FORTRAN 77 Interface Single: CALL ALGAMS (X, ALGM, S) Double: The double precision function name is DLGAMS. Description The function ALGAMS computes ln |Γ(x)| and the sign of Γ(x). See GAMMA for the definition of Γ(x). The result overflows if |x| is too large. The accuracy is worse than half precision if x is too close to a negative integer. Comments Informational error Type Code 3 2 Result of ALGAMS is accurate to less than one-half precision because X is too near a negative integer. Example In this example, ln |Γ(1.85)| and the sign of Γ(1.85) are computed and printed. USE ALGAMS_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, S, X ! Declare variables ! Compute X = 1.85 CALL ALGAMS(X, VALUE, S) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99998) X, VALUE 99998 FORMAT (' Log Abs(Gamma(', F6.3, ')) = ', F6.3) WRITE (NOUT,99999) X, S 99999 FORMAT (' Sign(Gamma(', F6.3, ')) = ', F6.2) END MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 61 Output Log Abs(Gamma( 1.850)) = -0.056 Sign(Gamma( 1.850)) = 1.00 GAMI This funciton evaluates the incomplete gamma function. Function Return Value GAMI — Function value. (Output) Required Arguments A — The integrand exponent parameter. (Input) It must be positive. X — The upper limit of the integral definition of GAMI. (Input) It must be nonnegative. FORTRAN 90 Interface Generic: GAMI (A, X) Specific: The specific interface names are S_GAMI and D_GAMI. FORTRAN 77 Interface Single: GAMI (A, X) Double: The double precision function name is DGAMI. Description The incomplete gamma function is defined to be γ ( a, x ) = ∫ t a −1e − t dt x 0 for a > 0 and x ≥ 0 The function γ(a, x) is defined only for a greater than zero. Although γ(a, x) is well defined for x > −∞, this algorithm does not calculate γ(a, x) for negative x. For large a and sufficiently large x, γ(a, x) may overflow. γ(a, x) is bounded by Γ(a), and users may find this bound a useful guide in determining legal values of a. Because logarithmic variables are used, a slight deterioration of two or three digits of accuracy will occur when GAMI is very large or very small. 62 • Chapter 4: Gamma Function and Related Functions GAMI Figure 4- 3 Contour Plot of γ(a, x) Example In this example, γ(2.5, 0.9) is computed and printed. USE GAMI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT A, VALUE, X ! Declare variables ! Compute A = 2.5 X = 0.9 VALUE = GAMI(A, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, X, VALUE 99999 FORMAT (' GAMI(', F6.3, ',', F6.3, ') = ', F6.4) END Output GAMI( 2.500, 0.900) = 0.1647 MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 63 GAMIC Evaluates the complementary incomplete gamma function. Function Return Value GAMIC — Function value. (Output) Required Arguments A — The integrand exponent parameter as per the remarks. (Input) X — The upper limit of the integral definition of GAMIC. (Input) If A is positive, then X must be positive. Otherwise, X must be nonnegative. FORTRAN 90 Interface Generic: GAMIC (A, X) Specific: The specific interface names are S_GAMIC and D_GAMIC. FORTRAN 77 Interface Single: GAMIC (A, X) Double: The double precision function name is DGAMIC. Description The incomplete gamma function is defined to be ∞ Γ ( a, x ) = ∫ t a −1e − t dt x The only general restrictions on a are that it must be positive if x is zero; otherwise, it must not be too close to a negative integer such that the accuracy of the result is less than half precision. Furthermore, Γ(a, x) must not be so small that it underflows, or so large that it overflows. Although Γ(a, x) is well defined for x > −∞ and a > 0, this algorithm does not calculate Γ(a, x) for negative x. The function GAMIC is based on a code by Gautschi (1979). Comments Informational error Type Code 3 2 Result of GAMIC(A, X) is accurate to less than one-half precision because A is too near a negative integer. 64 • Chapter 4: Gamma Function and Related Functions GAMIC Example In this example, Γ(2.5, 0.9) is computed and printed. USE GAMIC_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT A, VALUE, X ! Declare variables ! Compute A = 2.5 X = 0.9 VALUE = GAMIC(A, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, X, VALUE 99999 FORMAT (' GAMIC(', F6.3, ',', F6.3, ') = ', F6.4) END Output GAMIC( 2.500, 0.900) = 1.1646 GAMIT This function evaluates the Tricomi form of the incomplete gamma function. Function Return Value GAMIT — Function value. (Output) Required Arguments A — The integrand exponent parameter as per the comments. (Input) X — The upper limit of the integral definition of GAMIT. (Input) It must be nonnegative. FORTRAN 90 Interface Generic: GAMIT (A, X) Specific: The specific interface names are S_GAMIT and D_GAMIT. FORTRAN 77 Interface Single: GAMIT (A, X) MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 65 Double: The double precision function name is DGAMIT. Description The Tricomi’s incomplete gamma function is defined to be γ *(a, x) = x − aγ (a, x) x − a ∞ a −1 − t t e dt = Γ(a ) Γ ( a ) ∫x where γ(a, x) is the incomplete gamma function. See GAMI for the definition of γ(a, x). The only general restriction on a is that it must not be too close to a negative integer such that the accuracy of the result is less than half precision. Furthermore, |γ∗(a, x)| must not underflow or overflow. Although γ∗(a, x) is well defined for x > −∞, this algorithm does not calculate γ * (a, x) for negative x. A slight deterioration of two or three digits of accuracy will occur when GAMIT is very large or very small in absolute value because logarithmic variables are used. Also, if the parameter a is very close to a negative integer (but not quite a negative integer), there is a loss of accuracy which is reported if the result is less than half machine precision. The function GAMIT is based on a code by Gautschi (1979). Comments Informational error Type Code 3 2 Result of GAMIT(A, X) is accurate to less than one-half precision because A is too close to a negative integer. Example In this example, γ∗(3.2, 2.1) is computed and printed. USE GAMIT_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT A, VALUE, X ! Declare variables ! Compute A = 3.2 X = 2.1 VALUE = GAMIT(A, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, X, VALUE 99999 FORMAT (' GAMIT(', F6.3, ',', F6.3, ') = ', F6.4) END 66 • Chapter 4: Gamma Function and Related Functions GAMIT Output GAMIT( 3.200, 2.100) = 0.0284 PSI This function evaluates the logarithmic derivative of the gamma function. Function Return Value PSI — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: PSI (X) Specific: The specific interface names are S_PSI, D_PSI, and C_PSI. FORTRAN 77 Interface Single: PSI (X) Double: The double precision function name is DPSI. Complex: The complex name is CPSI. Description The psi function, also called the digamma function, is defined to be ψ ( x) = d Γ′( x ) ln Γ( x) = dx Γ( x) See GAMMA for the definition of Γ(x). The argument x must not be exactly zero or a negative integer, or ψ(x) is undefined. Also, x must not be too close to a negative integer such that the accuracy of the result is less than half precision. Comments Informational error Type Code 3 2 Result of PSI(X) is accurate to less than one-half precision because X is too near a negative integer. MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 67 Example 1 In this example, ψ(1.915) is computed and printed. USE PSI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.915 VALUE = PSI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' PSI(', F6.3, ') = ', F6.3) END Output PSI( 1.915) = 0.366 Additional Example Example 2 In this example, ψ(1.9 + 4.3i) is computed and printed. USE PSI_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (1.9, 4.3) VALUE = PSI(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' PSI(', F6.3, ',', F6.3, ') = (', F6.3, ',', F6.3, ')') END Output PSI( 1.900, 4.300) = ( 1.507, 1.255) 68 • Chapter 4: Gamma Function and Related Functions PSI POCH This function evaluates a generalization of Pochhammer’s symbol. Function Return Value POCH — Function value. (Output) The generalized Pochhammer symbol is Γ(a + x)/Γ(a). Required Arguments A — The first argument. (Input) X — The second, differential argument. (Input) FORTRAN 90 Interface Generic: POCH (A, X) Specific: The specific interface names are S_POCH and D_POCH. FORTRAN 77 Interface Single: POCH (A, X) Double: The double precision function name is DPOCH. Description Pochhammer’s symbol is (a)n = (a)(a − 1)…(a − n + 1) for n a nonnegative integer. Pochhammer’s generalized symbol is defined to be (a ) x = Γ(a + x) Γ( a ) See GAMMA for the definition of Γ(x). Note that a straightforward evaluation of Pochhammer’s generalized symbol with either gamma or log gamma functions can be especially unreliable when a is large or x is small. Substantial loss can occur if a + x or a are close to a negative integer unless |x| is sufficiently small. To insure that the result does not overflow or underflow, one can keep the arguments a and a + x well within the range dictated by the gamma function routine GAMMA or one can keep |x| small whenever a is large. POCH also works for a variety of arguments outside these rough limits, but any more general limits that are also useful are difficult to specify. MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 69 Comments 1. 2. Informational errors Type Code 3 2 3 2 Result of POCH(A, X) is accurate to less than one-half precision because the absolute value of the X is too large. Therefore, A + X cannot be evaluated accurately. Result of POCH(A, X) is accurate to less than one-half precision because either A or A + X is too close to a negative integer. For X a nonnegative integer, POCH(A, X) is just Pochhammer’s symbol. Example In this example, (1.6)0.8 is computed and printed. USE POCH_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT A, VALUE, X ! Declare variables ! Compute A = 1.6 X = 0.8 VALUE = POCH(A, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, X, VALUE 99999 FORMAT (' POCH(', F6.3, ',', F6.3, ') = ', F6.4) END Output POCH( 1.600, 0.800) = 1.3902 POCH1 This function evaluates a generalization of Pochhammer’s symbol starting from the first order. Function Return Value POCH1 — Function value. (Output) POCH1(A, X) = (POCH(A, X) − 1)/X. Required Arguments A — The first argument. (Input) 70 • Chapter 4: Gamma Function and Related Functions POCH1 X — The second, differential argument. (Input) FORTRAN 90 Interface Generic: POCH1 (A, X) Specific: The specific interface names are S_POCH1 and D_POCH1. FORTRAN 77 Interface Single: POCH1 (A, X) Double: The double precision function name is DPOCH1. Description Pochhammer’s symbol from the first order is defined to be POCH1 ( a, x ) = ( a ) x − 1 Γ( a + x) = /x x Γ (a ) − 1 where (a)x is Pochhammer’s generalized symbol. See POCH for the definition of (a)x. It is useful in special situations that require especially accurate values when x is small. This specification is particularly suited for stability when computing expressions such as ⎡ Γ(a + x) Γ(b + x) ⎤ − ⎢ ⎥ / x = POCH1 ( a, x ) − POCH1 ( b, x ) Γ(b) ⎦ ⎣ Γ(a ) Note that POCH1(a, 0) = ψ(a). See PSI for the definition of ψ(a). When |x| is so small that substantial cancellation will occur if the straightforward formula is used, we use an expansion due to fields and discussed by Luke (1969). The ratio (a)x = Γ(a + x)/Γ(a) is written by Luke as (a + (x − 1)/2)x times a polynomial in (a + (x − 1)/2)−2. To maintain significance in POCH1, we write for positive a. (a + (x − 1)/2)x = exp(x ln(a + (x − 1)/2)) = eq = 1 + qEXPRL(q) where EXPRL = (ex − 1)/x. Likewise, the polynomial is written P = 1 + xP1(a, x). Thus, POCH1 (a, x) = ((a)x − 1)/x = EXPRL(q)(q/x + qP1(a, x)) + P1(a, x) Substantial significance loss can occur if a + x or a are close to a negative integer even when |x| is very small. To insure that the result does not overflow or underflow, one can keep the arguments a and a + x well within the range dictated by the gamma function routine GAMMA or one can keep |x| small whenever a is large. POCH also works for a variety of arguments outside these rough limits, but any more general limits that are also useful are difficult to specify. Example In this example, POCH1(1.6, 0.8) is computed and printed. MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 71 USE POCH1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT A, VALUE, X ! Declare variables ! Compute A = 1.6 X = 0.8 VALUE = POCH1(A, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, X, VALUE 99999 FORMAT (' POCH1(', F6.3, ',', F6.3, ') = ', F6.4) END Output POCH1( 1.600, 0.800) = 0.4878 BETA This function evaluates the complete beta function. Function Return Value BETA — Function value. (Output) Required Arguments A — First beta parameter. (Input) For real arguments, A must be positive. B — Second beta parameter. (Input) For real arguments, B must be positive. FORTRAN 90 Interface Generic: BETA (A, B) Specific: The specific interface names are S_BETA, D_BETA, and C_BETA. FORTRAN 77 Interface Single: BETA (A, B) Double: The double precision function name is DBETA. 72 • Chapter 4: Gamma Function and Related Functions BETA Complex: The complex name is CBETA. Description The beta function is defined to be β ( a, b) = 1 Γ(a )Γ(b) = ∫ t a −1 (1 − t )b −1 dt 0 Γ ( a + b) See GAMMA for the definition of Γ(x). For real arguments the function BETA requires that both arguments be positive. In addition, the arguments must not be so large that the result underflows. For complex arguments, the arguments a and a + b must not be close to negative integers. The arguments should not be so large (near the real axis) that the result underflows. Also, a + b should not be so far from the real axis that the result overflows. Comments Informational error Type Code 2 1 The function underflows because A and/or B is too large. Example 1 In this example, β(2.2, 3.7) is computed and printed. USE BETA_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT A, VALUE, X ! Declare variables ! Compute A = 2.2 X = 3.7 VALUE = BETA(A, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, X, VALUE 99999 FORMAT (' BETA(', F6.3, ',', F6.3, ') = ', F6.4) END Output BETA( 2.200, 3.700) = 0.0454 MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 73 Additional Example Example 2 In this example, β(1.7 + 2.2i, 3.7 + 0.4i) is computed and printed. USE BETA_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT A, B, VALUE ! Declare variables ! Compute A = (1.7, 2.2) B = (3.7, 0.4) VALUE = BETA(A, B) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, B, VALUE 99999 FORMAT (' BETA((', F6.3, ',', F6.3, '), (', F6.3, ',', F6.3,& ')) = (', F6.3, ',', F6.3, ')') END Output BETA(( 1.700, 2.200), ( 3.700, 0.400)) = (-0.033,-0.017) ALBETA This function evaluates the natural logarithm of the complete beta function for positive arguments. Function Return Value ALBETA — Function value. (Output) ALBETA returns ln β(A, B) = ln(Γ(A)Γ(B))/Γ(A + B). Required Arguments A — The first argument of the BETA function. (Input) For real arguments, A must be greater than zero. B — The second argument of the BETA function. (Input) For real arguments, B must be greater than zero. FORTRAN 90 Interface Generic: ALBETA (A, B) Specific: The specific interface names are S_ALBETA, D_ALBETA, and C_ALBETA. 74 • Chapter 4: Gamma Function and Related Functions ALBETA FORTRAN 77 Interface Single: ALBETA (A, B) Double: The double precision function name is DLBETA. Complex: The complex name is CLBETA. Description ALBETA computes ln β(a, b) = ln β(b, a). See BETA for the definition of β(a, b). For real arguments, the function ALBETA is defined for a > 0 and b > 0. It returns accurate results even when a or b is very small. It can overflow for very large arguments; this error condition is not detected except by the computer hardware. For complex arguments, the arguments a, b and a + b must not be close to negative integers (even though some combinations ought to be allowed). The arguments should not be so large that the logarithm of the gamma function overflows (presumably an improbable condition). Comments Note that ln β(A, B) = ln β(B, A). Example 1 In this example, ln β(2.2, 3.7) is computed and printed. USE ALBETA_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT A, VALUE, X ! Declare variables ! Compute A = 2.2 X = 3.7 VALUE = ALBETA(A, X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, X, VALUE 99999 FORMAT (' ALBETA(', F6.3, ',', F6.3, ') = ', F8.4) END Output ALBETA( 2.200, 3.700) = MATH LIBRARY Special Functions -3.0928 Chapter 4: Gamma Function and Related Functions • 75 Additional Example Example 2 In this example, ln β(1.7 + 2.2i, 3.7 + 0.4i) is computed and printed. USE ALBETA_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT A, B, VALUE ! Declare variables ! Compute A = (1.7, 2.2) B = (3.7, 0.4) VALUE = ALBETA(A, B) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) A, B, VALUE 99999 FORMAT (' ALBETA((', F6.3, ',', F6.3, '), (', F6.3, ',', F6.3, & ')) = (', F6.3, ',', F6.3, ')') END Output ALBETA(( 1.700, 2.200), ( 3.700, 0.400)) = (-3.280,-2.659) BETAI This function evaluates the incomplete beta function ratio. Function Return Value BETAI — Probability that a random variable from a beta distribution having parameters PIN and QIN will be less than or equal to X. (Output) Required Arguments X — Upper limit of integration. (Input) X must be in the interval (0.0, 1.0) inclusive. PIN — First beta distribution parameter. (Input) PIN must be positive. QIN — Second beta distribution parameter. (Input) QIN must be positive. 76 • Chapter 4: Gamma Function and Related Functions BETAI FORTRAN 90 Interface Generic: BETAI (X, PIN, QIN) Specific: The specific interface names are S_BETAI and D_BETAI. FORTRAN 77 Interface Single: BETAI (X, PIN, QIN) Double: The double precision function name is DBETAI. Description The incomplete beta function is defined to be I x ( p, q ) = x β x ( p, q ) 1 = t p −1 (1 − t ) q −1 dt ∫ 0 β ( p, q ) β ( p, q ) for 0 ≤ x ≤ 1, p > 0, q > 0 See BETA for the definition of β(p, q). The parameters p and q must both be greater than zero. The argument x must lie in the range 0 to 1. The incomplete beta function can underflow for sufficiently small x and large p; however, this underflow is not reported as an error. Instead, the value zero is returned as the function value. The function BETAI is based on the work of Bosten and Battiste (1974). Example In this example, I0.61(2.2, 3.7) is computed and printed. USE BETAI_INT USE UMACH_INT IMPLICIT NONE ! Declare variables NOUT PIN, QIN, VALUE, X ! Compute X = 0.61 PIN = 2.2 QIN = 3.7 VALUE = BETAI(X, PIN, QIN) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, PIN, QIN, VALUE 99999 FORMAT (' BETAI(', F6.3, ',', F6.3, ',', F6.3, ') = ', F6.4) END INTEGER REAL MATH LIBRARY Special Functions Chapter 4: Gamma Function and Related Functions • 77 Output BETAI( 0.610, 2.200, 3.700) = 0.8822 78 • Chapter 4: Gamma Function and Related Functions BETAI Chapter 5: Error Function and Related Functions Routines 5.1. Error Functions Evaluates the error function, erf x.............................................ERF Evaluates the complementary error function, erfc x .............. ERFC Evaluates the scaled complementary error function, 2 e x erfc x .............................................................................ERFCE Evaluates a scaled function related to erfc, e − z erfc ( −iz ) ......................................................................CERFE 2 −1 Evaluates the inverse error function, erf x.............................ERFI Evaluates the inverse complementary error function, erfc−1 x................................................................................... ERFCI Evaluates Dawson’s function................................................ DAWS 5.2. Fresnel Integrals Evaluates the cosine Fresnel integral, C(x).........................FRESC Evaluate the sine Fresnel integral, S(x)............................... FRESS 80 82 84 85 86 88 90 91 93 Usage Notes The error function is 2 erf ( x) = π ∫ x 0 2 e − t dt The complementary error function is erfc(x) = 1 − erf(x). Dawson’s function is e− x 2 ∫ x 0 2 et dt The Fresnel integrals are MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 79 x ⎛π ⎞ C ( x) = ∫ cos ⎜ t 2 ⎟ dt 0 ⎝2 ⎠ and x ⎛π ⎞ S ( x) = ∫ sin ⎜ t 2 ⎟ dt 0 ⎝2 ⎠ They are related to the error function by C ( z ) + iS ( z ) = ⎛ π ⎞ 1+ i erf ⎜⎜ (1 − i ) z ⎟⎟ 2 ⎝ 2 ⎠ ERF This function evaluates the error function. Function Return Value ERF — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: ERF (X) Specific: The specific interface names are S_ERF and D_ERF. FORTRAN 77 Interface Single: ERF (X) Double: The double precision function name is DERF. Description The error function, erf(x), is defined to be erf ( x) = 2 π ∫ x 0 e − t 2 dt All values of x are legal. 80 • Chapter 5: Error Function and Related Functions ERF Figure 5- 1 Plot of erf (x) Example In this example, erf(1.0) is computed and printed. USE ERF_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.0 VALUE = ERF(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ERF(', F6.3, ') = ', F6.3) END Output ERF( 1.000) = 0.843 MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 81 ERFC This function evaluates the complementary error function. Function Return Value ERFC — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: ERFC (X) Specific: The specific interface names are S_ERFC and D_ERFC. FORTRAN 77 Interface Single: ERFC (X) Double: The double precision function name is DERFC. Description The complementary error function, erfc(x), is defined to be erfc( x) = 2 π ∫ ∞ e − t 2 dt x The argument x must not be so large that the result underflows. Approximately, x should be less than ⎡ − ln ⎣ ( )⎦ 1/ 2 πs ⎤ where s = AMACH(1) (see the Reference Material section of this manual) is the smallest representable positive floating-point number. 82 • Chapter 5: Error Function and Related Functions ERFC Figure 5- 2 Plot of erfc (x) Comments Informational error Type Code 2 1 The function underflows because X is too large. Example In this example, erfc(1.0) is computed and printed. USE ERFC_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.0 VALUE = ERFC(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ERFC(', F6.3, ') = ', F6.3) END MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 83 Output ERFC( 1.000) = 0.157 ERFCE This function evaluates the exponentially scaled complementary error function. Function Return Value ERFCE — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: ERFCE (X) Specific: The specific interface names are S_ERFCE and D_ERFCE. FORTRAN 77 Interface Single: ERFCE (X) Double: The double precision function name is DERFCE. Description The function ERFCE(X) computes e x erfc ( x ) 2 where erfc(x) is the complementary error function. See ERFC for its definition. To prevent the answer from underflowing, x must be greater than xmin − − ln(b / 2) where b = AMACH(2) is the largest representable floating-point number. Comments Informational error Type Code 2 1 The function underflows because X is too large. 84 • Chapter 5: Error Function and Related Functions ERFCE Example In this example, ERFCE(1.0) = e1.0 erfc(1.0) is computed and printed. USE ERFCE_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.0 VALUE = ERFCE(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ERFCE(', F6.3, ') = ', F6.3) END Output ERFCE( 1.000) = 0.428 CERFE This function evaluates a scaled function related to ERFC. Function Return Value CERFE — Complex function value. (Output) Required Arguments Z — Complex argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CERFE (Z) Specific: The specific interface names are C_CERFE and Z_CERFE. FORTRAN 77 Interface Complex: CERFE (Z) Double complex: The double complex function name is ZERFE. MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 85 Description Function CERFE is defined to be 2 e − z erfc(−iz ) = −ie− z 2 2 π ∫ ∞ z 2 et dt Let b = AMACH(2) be the largest floating-point number. The argument z must satisfy z ≤ b or else the value returned is zero. If the argument z does not satisfy (ℑz)2 − (ℜz)2 ≤ log b, then b is returned. All other arguments are legal (Gautschi 1969, 1970). Example In this example, CERFE(2.5 + 2.5i) is computed and printed. USE CERFE_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (2.5, 2.5) VALUE = CERFE(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' CERFE(', F6.3, ',', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output CERFE( 2.500, 2.500) = ( 0.117, 0.108) ERFI This function evaluates the inverse error function. Function Return Value ERFI — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) 86 • Chapter 5: Error Function and Related Functions ERFI FORTRAN 90 Interface Generic: ERFI (X) Specific: The specific interface names are S_ERFI and D_ERFI. FORTRAN 77 Interface Single: ERFI (X) Double: The double precision function name is DERFI. Description Function ERFI(X) computes the inverse of the error function erf x, defined in ERF. The function ERFI(X) is defined for |x| < 1. If x∀ < |x| < 1, then the answer will be less accurate than half precision. Very approximately, xmax ≈ 1 − ε /(4π ) where ε = AMACH(4) is the machine precision. Figure 5- 3 Plot of erf−1 (x) MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 87 Comments Informational error Type Code 3 2 Result of ERFI(X) is accurate to less than one-half precision because the absolute value of the argument is too large. Example In this example, erf−1(erf(1.0)) is computed and printed. USE ERFI_INT USE ERF_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = ERF(1.0) VALUE = ERFI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ERFI(', F6.3, ') = ', F6.3) END Output ERFI( 0.843) = 1.000 ERFCI This function evaluates the inverse complementary error function. Function Return Value ERFCI — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: ERFCI (X) Specific: The specific interface names are S_ERFCI and D_ERFCI. 88 • Chapter 5: Error Function and Related Functions ERFCI FORTRAN 77 Interface Single: ERFCI (X) Double: The double precision function name is DERFCI. Description The function ERFCI(X) computes the inverse of the complementary error function erfc x, defined in ERFC. The function ERFCI(X) is defined for 0 < x < 2. If x∀ < x < 2, then the answer will be less accurate than half precision. Very approximately, xmax ≈ 2 − ε /(4π ) where ε = AMACH(4) is the machine precision. Figure 5- 4 Plot of erf−1 (x) Comments Informational error Type Code 3 2 Result of ERFCI(X) is accurate to less than one-half precision because the argument is too close to 2.0. MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 89 Example In this example, erfc−1(erfc(1.0)) is computed and printed. USE ERFCI_INT USE ERFC_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = ERFC(1.0) VALUE = ERFCI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ERFCI(', F6.3, ') = ', F6.3) END Output ERFCI( 0.157) = 1.000 DAWS This function evaluates Dawson’s function. Function Return Value DAWS — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: DAWS (X) Specific: The specific interface names are S_DAWS and D_DAWS. FORTRAN 77 Interface Single: DAWS (X) Double: The double precision function name is DDAWS. 90 • Chapter 5: Error Function and Related Functions DAWS Description Dawson’s function is defined to be e− x 2 ∫ x 0 e t 2 dt It is closely related to the error function for imaginary arguments. So that Dawson’s function does not underflow, |x| must be less than 1/(2s). Here, s = AMACH(1) is the smallest representable positive floating-point number. Comments 1. Informational error Type Code 2 2. 1 The function underflows because the absolute value of X is too large. The Dawson function is closely related to the error function for imaginary arguments. Example In this example, DAWS(1.0) is computed and printed. USE DAWS_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.0 VALUE = DAWS(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' DAWS(', F6.3, ') = ', F6.3) END Output DAWS( 1.000) = 0.538 FRESC This function evaluates the cosine Fresnel integral. Function Return Value FRESC — Function value. (Output) MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 91 Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: FRESC (X) Specific: The specific interface names are S_FRESC and D_FRESC. FORTRAN 77 Interface Single: FRESC (X) Double: The double precision function name is DFRESC. Description The cosine Fresnel integral is defined to be x ⎛π ⎞ C ( x) = ∫ cos ⎜ t 2 ⎟ dt 0 ⎝2 ⎠ All values of x are legal. Example In this example, C(1.75) is computed and printed. USE FRESC_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.75 VALUE = FRESC(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' FRESC(', F6.3, ') = ', F6.3) END Output FRESC( 1.750) = 0.322 92 • Chapter 5: Error Function and Related Functions FRESC FRESS This function evaluates the sine Fresnel integral. Function Value Return FRESS — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: FRESS (X) Specific: The specific interface names are S_FRESS and D_FRESS. FORTRAN 77 Interface Single: FRESS (X) Double: The double precision function name is DFRESS. Description The sine Fresnel integral is defined to be x ⎛π ⎞ S ( x) = ∫ sin ⎜ t 2 ⎟ dt 0 ⎝2 ⎠ All values of x are legal. Example In this example, S(1.75) is computed and printed. USE FRESS_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 1.75 VALUE = FRESS(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE MATH LIBRARY Special Functions Chapter 5: Error Function and Related Functions • 93 99999 FORMAT (' FRESS(', F6.3, ') = ', F6.3) END Output FRESS( 1.750) = 0.499 94 • Chapter 5: Error Function and Related Functions FRESS Chapter 6: Bessel Functions Routines 6.1. 6.2. 6.3. 6.4. Bessel Functions of Order 0 and 1 Evaluates J0(x)........................................................................ BSJ0 Evaluates J1(x)........................................................................ BSJ1 Evaluates Y0(x) .......................................................................BSY0 Evaluates Y1(x) .......................................................................BSY1 Evaluates I0(x).......................................................................... BSI0 Evaluates I1(x).......................................................................... BSI1 Evaluates K0(x) .......................................................................BSK0 Evaluates K1(x) .......................................................................BSK1 Evaluates e−|x|I0(x)..................................................................BSI0E Evaluates e−|x|I1(x)..................................................................BSI1E Evaluates exK0(x) ................................................................. BSK0E Evaluates exK1(x) ................................................................. BSK1E 96 98 99 101 102 104 105 107 108 110 111 112 Series of Bessel Functions, Integer Order Evaluates Jk(x), k = 0, …, n − 1 ........................................... BSJNS Evaluates Ik(x), k = 0, …, n − 1 ............................................. BSINS 113 115 Series of Bessel Functions, Real Order and Argument Evaluates Jν + k(x), k = 0, …, n − 1 .......................................... BSJS Evaluates Yν + k(x), k = 0, …, n − 1......................................... BSYS Evaluates Iν + k(x), k = 0, …, n − 1 ............................................BSIS Evaluates e−xIν + k(x), k = 0, …, n − 1..................................... BSIES Evaluates Kν + k(x), k = 0, …, n − 1......................................... BSKS Evaluates exKν + k(x), k = 0, …, n − 1.................................... BSKES 118 120 121 123 124 126 Series of Bessel Functions, Real Order and Complex Argument Evaluates Jν + k(z), k = 0, …, n − 1 ..........................................CBJS Evaluates Yν + k(z), k = 0, …, n − 1......................................... CBYS Evaluates Iν + k(z), k = 0, …, n − 1 ............................................CBIS 128 130 132 Chapter 6: Bessel Functions Routines • 95 Evaluates Kν + k(z), k = 0, …, n − 1 .........................................CBKS 134 Usage Notes The following table lists the Bessel function routines by argument and order type: Real Argument Complex Argument Order Function 0 Order 1 Integer Real Integer Real Jν(x) BSJ0 BSJ1 BSJNS BSJS BSJNS CBJS Yν(x) BSY0 BSY1 Iν(x) BSI0 BSI1 BSI0E BSI1E BSIES Kν(x) BSK0 BSK1 BSKS e− Kν(x) BSK0E BSK1E BSKES e −|x| Iν(x) |x| BSYS BSINS BSIS CBYS BSINS CBIS CBKS BSJ0 This function evaluates the Bessel function of the first kind of order zero. Function Value Return BSJ0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSJ0 (X) Specific: The specific interface names are S_BSJ0 and D_BSJ0. FORTRAN 77 Interface Single: BSJ0 (X) Double: The double precision function name is DBSJ0. Description The Bessel function J0(x) is defined to be 96 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions J0 ( x) = 1 π∫ π 0 cos ( x sin θ ) d θ To prevent the answer from being less accurate than half precision, |x| should be smaller than 1/ ε For the result to have any precision at all, |x| must be less than 1/ε. Here, ε is the machine precision, ε = AMACH(4). Figure 6- 1 Plot of J0(x) and J1(x) Example In this example, J0(3.0) is computed and printed. USE BSJ0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 3.0 VALUE = BSJ0(X) ! Print the results CALL UMACH (2, NOUT) Chapter 6: Bessel Functions BSJ0 • 97 WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSJ0(', F6.3, ') = ', F6.3) END Output BSJ0( 3.000) = -0.260 BSJ1 This function evaluates the Bessel function of the first kind of order one. Function Return Value BSJ1 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSJ1 (X) Specific: The specific interface names are S_BSJ1 and D_BSJ1. FORTRAN 77 Interface Single: BSJ1 (X) Double: The double precision function name is DBSJ1. Description The Bessel function J1(x) is defined to be J1 ( x ) = 1 π∫ π 0 cos ( x sin θ − θ ) d θ The argument x must be zero or larger in absolute value than 2s to prevent J1(x) from underflowing. Also, |x| should be smaller than 1/ ε to prevent the answer from being less accurate than half precision. |x| must be less than 1/ε for the result to have any precision at all. Here, ε is the machine precision, ε = AMACH(4), and s = AMACH(1) is the smallest representable positive floating-point number. 98 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Comments Informational error Type Code 2 1 The function underflows because the absolute value of X is too small. Example In this example, J1(2.5) is computed and printed. USE BSJ1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 2.5 VALUE = BSJ1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSJ1(', F6.3, ') = ', F6.3) END Output BSJ1( 2.500) = 0.497 BSY0 This function evaluates the Bessel function of the second kind of order zero. Function Return Value BSY0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSY0 (X) Specific: The specific interface names are S_BSY0 and D_BSY0. Chapter 6: Bessel Functions BSY0 • 99 FORTRAN 77 Interface Single: BSY0 (X) Double: The double precision function name is DBSY0. Description The Bessel function Y0(x) is defined to be Y0 ( x ) = 1 π∫ π 0 sin ( xsinθ ) dθ − 2 π∫ ∞ 0 e− zsinh t dt To prevent the answer from being less accurate than half precision, x should be smaller than 1/ ε For the result to have any precision at all, |x| must be less than 1/ε. Here, ε is the machine precision, ε = AMACH(4). Figure 6- 2 Plot of Y0(x) and Y1(x) Example In this example, Y0(3.0) is computed and printed. USE BSY0_INT USE UMACH_INT 100 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 3.0 VALUE = BSY0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSY0(', F6.3, ') = ', F6.3) END Output BSY0( 3.000) = 0.377 BSY1 This function evaluates the Bessel function of the second kind of order one. Function Return Value BSY1 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSY1 (X) Specific: The specific interface names are S_BSY1 and D_BSY1. FORTRAN 77 Interface Single: BSY1 (X) Double: The double precision function name is DBSY1. Description The Bessel function Y1(x) is defined to be Y1 ( x ) = − Chapter 6: Bessel Functions 1 π∫ π 0 sin (θ − x sin θ ) dθ − 1 {e π∫ ∞ 0 t − e − t }e − zsinh t dt BSY1 • 101 Y1(x) is defined for x > 0. To prevent the answer from being less accurate than half precision, x should be smaller than 1/ ε For the result to have any precision at all, |x| must be less than 1/ε. Here, ε is the machine precision, ε = AMACH(4). Example In this example, Y1(3.0) is computed and printed. USE BSY1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 3.0 VALUE = BSY1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSY1(', F6.3, ') = ', F6.3) END Output BSY1( 3.000) = 0.325 BSI0 This function evaluates the modified Bessel function of the first kind of order zero. Function Return Value BSI0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSI0 (X) Specific: The specific interface names are S_BSI0 and D_BSI0. 102 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions FORTRAN 77 Interface Single: BSI0 (X) Double: The double precision function name is DBSI0. Description The Bessel function I0(x) is defined to be I0 ( x ) = 1 π∫ π 0 cosh ( x cos θ ) d θ The absolute value of the argument x must not be so large that e|x| overflows. Figure 6- 3 Plot of I0(x) and I1(x) Example In this example, I0(4.5) is computed and printed. USE BSI0_INT USE UMACH_INT IMPLICIT NONE ! Chapter 6: Bessel Functions Declare variables BSI0 • 103 INTEGER REAL NOUT VALUE, X ! Compute X = 4.5 VALUE = BSI0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSI0(', F6.3, ') = ', F6.3) END Output BSI0( 4.500) = 17.481 BSI1 This function evaluates the modified Bessel function of the first kind of order one. Function Return Value BSI1 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSI1 (X) Specific: The specific interface names are S_BSI1 and D_BSI1. FORTRAN 77 Interface Single: BSI1 (X) Double: The double precision function name is DBSI1. Description The Bessel function I1(x) is defined to be I1 ( x ) = 1 π∫ π 0 e x cos θ cos θ d θ The argument should not be so close to zero that I1(x) ≈ x/2 underflows, nor so large in absolute value that e|x| and, therefore, I1(x) overflows. 104 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Comments Informational error Type Code 2 1 The function underflows because the absolute value of X is too small. Example In this example, I1(4.5) is computed and printed. USE BSI1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 4.5 VALUE = BSI1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSI1(', F6.3, ') = ', F6.3) END Output BSI1( 4.500) = 15.389 BSK0 This function evaluates the modified Bessel function of the second kind of order zero. Function Return Value BSK0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSK0 (X) Specific: The specific interface names are S_BSK0 and D_BSK0. Chapter 6: Bessel Functions BSK0 • 105 FORTRAN 77 Interface Single: BSK0 (X) Double: The double precision function name is DBSK0. Description The Bessel function K0(x) is defined to be ∞ K 0 ( x ) = ∫ cos ( x sinh t ) dt 0 The argument must be larger than zero, but not so large that the result, approximately equal to π / ( 2 x ) e− x underflows. Figure 6- 4 Plot of K0(x) and K1(x) Comments Informational error Type Code 2 1 The function underflows because X is too large. 106 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Example In this example, K0(0.5) is computed and printed. USE BSK0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.5 VALUE = BSK0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSK0(', F6.3, ') = ', F6.3) END Output BSK0( 0.500) = 0.924 BSK1 This function evaluates the modified Bessel function of the second kind of order one. Function Return Value BSK1 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSK1 (X) Specific: The specific interface names are S_BSK1 and D_BSK1. FORTRAN 77 Interface Single: BSK1 (X) Double: The double precision function name is DBSK1. Chapter 6: Bessel Functions BSK1 • 107 Description The Bessel function K1(x) is defined to be ∞ K1 ( x ) = ∫ sin ( x sinh t ) sinh t dt 0 The argument x must be large enough (> max(1/b, s)) that K1(x) does not overflow, and x must be small enough that the approximate answer, π / ( 2 x ) e− x does not underflow. Here, s is the smallest representable positive floating-point number, s = AMACH(1) , and b = AMACH(2) is the largest representable floating-point number. Comments Informational error Type Code 2 1 The function underflows because X is too large. Example In this example, K1(0.5) is computed and printed. USE BSK1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.5 VALUE = BSK1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSK1(', F6.3, ') = ', F6.3) END Output BSK1( 0.500) = 1.656 BSI0E This function evaluates the exponentially scaled modified Bessel function of the first kind of order zero. 108 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Function Return Value BSI0E — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSI0E (X) Specific: The specific interface names are S_BSI0E and D_BSI0E. FORTRAN 77 Interface Single: BSI0E (X) Double: The double precision function name is DBSI0E. Description Function BSI0E computes e−|x| I0(x). For the definition of the Bessel function I0(x), see BSI0. Example In this example, BSI0E(4.5) is computed and printed. USE BSI0E_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 4.5 VALUE = BSI0E(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSI0E(', F6.3, ') = ', F6.3) END Output BSI0E( 4.500) = 0.194 Chapter 6: Bessel Functions BSI0E • 109 BSI1E This function evaluates the exponentially scaled modified Bessel function of the first kind of order one. Function Return Value BSI1E — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSI1E (X) Specific: The specific interface names are S_BSI1E and D_BSI1E. FORTRAN 77 Interface Single: BSI1E (X) Double: The double precision function name is DBSI1E. Description Function BSI1E computes e-|x| I1(x). For the definition of the Bessel function I1(x), see BSJ1. The function BSI1E underflows if |x|/2 underflows. Comments Informational error Type Code 2 1 The function underflows because the absolute value of X is too small. Example In this example, BSI1E(4.5) is computed and printed. USE BSI1E_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 4.5 110 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions VALUE = BSI1E(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSI1E(', F6.3, ') = ', F6.3) END Output BSI1E( 4.500) = 0.171 BSK0E This function evaluates the exponentially scaled modified Bessel function of the second kind of order zero. Function Return Value BSK0E — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSK0E (X) Specific: The specific interface names are S_BSK0E and D_BSK0E. FORTRAN 77 Interface Single: BSK0E (X) Double: The double precision function name is DBSK0E. Description Function BSK0E computes exK0(x). For the definition of the Bessel function K0(x), see BSK0. The argument must be greater than zero for the result to be defined. Example In this example, BSK0E(0.5) is computed and printed. USE BSK0E_INT USE UMACH_INT Chapter 6: Bessel Functions BSK0E • 111 IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.5 VALUE = BSK0E(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSK0E(', F6.3, ') = ', F6.3) END Output BSK0E( 0.500) = 1.524 BSK1E This function evaluates the exponentially scaled modified Bessel function of the second kind of order one. Function Return Value BSK1E — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BSK1E (X) Specific: The specific interface names are S_BSK1E and D_BSK1E. FORTRAN 77 Interface Single: BSK1E (X) Double: The double precision function name is DBSK1E. Description Function BSK1E computes exK1(x). For the definition of the Bessel function K1(x), see BSK1. The answer BSK1E = exK1(x) ≈ 1/x overflows if x is too close to zero. 112 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Example In this example, BSK1E(0.5) is computed and printed. USE BSK1E_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.5 VALUE = BSK1E(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BSK1E(', F6.3, ') = ', F6.3) END Output BSK1E( 0.500) = 2.731 BSJNS Evaluates a sequence of Bessel functions of the first kind with integer order and real or complex arguments. Required Arguments X — Argument for which the sequence of Bessel functions is to be evaluated. (Input) The absolute value of real arguments must be less than 105. The absolute value of complex arguments must be less than 104. N — Number of elements in the sequence. (Input) It must be a positive integer. BS — Vector of length N containing the values of the function through the series. (Output) BS(I) contains the value of the Bessel function of order I − 1 at x for I = 1 to N. FORTRAN 90 Interface Generic: CALL BSJNS (X, N, BS) Specific: The specific interface names are S_BSJNS, D_BSJNS, C_BSJNS, and Z_BSJNS. Chapter 6: Bessel Functions BSJNS • 113 FORTRAN 77 Interface Single: CALL BSJNS (X, N, BS) Double: The double precision name is DBSJNS. Complex: The complex name is CBJNS. Double Complex: The double complex name is DCBJNS. Description The complex Bessel function Jn(z) is defined to be Jn ( z ) = 1 π∫ π 0 cos ( z sin θ − n θ ) d θ This code is based on the work of Sookne (1973a) and Olver and Sookne (1972). It uses backward recursion with strict error control. Example 1 In this example, Jn(10.0), n = 0, …, 9 is computed and printed. USE BSJNS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=10) INTEGER REAL K, NOUT BS(N), X ! Declare variables ! ! Compute X = 10.0 CALL BSJNS (X, N, BS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) K-1, X, BS(K) 10 CONTINUE 99999 FORMAT (' J sub ', I2, ' (', F6.3, ') = ', F6.3) END Output J J J J J J sub sub sub sub sub sub 0 1 2 3 4 5 (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) = -0.246 = 0.043 = 0.255 = 0.058 = -0.220 = -0.234 114 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions J J J J sub sub sub sub 6 7 8 9 (10.000) (10.000) (10.000) (10.000) = -0.014 = 0.217 = 0.318 = 0.292 Additional Example Example 2 In this example, Jn(10 + 10i), n = 0, …, 10 is computed and printed. USE BSJNS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=11) INTEGER COMPLEX K, NOUT CBS(N), Z ! Declare variables ! ! Compute Z = (10.0, 10.0) CALL BSJNS (Z, N, CBS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) K-1, Z, CBS(K) 10 CONTINUE 99999 FORMAT (' J sub ', I2, ' ((', F6.3, ',', F6.3, & ')) = (', F9.3, ',', F9.3, ')') END Output J J J J J J J J J J J sub 0 sub 1 sub 2 sub 3 sub 4 sub 5 sub 6 sub 7 sub 8 sub 9 sub 10 ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) = = = = = = = = = = = (-2314.975, 411.563) ( -460.681,-2246.627) ( 2044.245, -590.157) ( 751.498, 1719.746) (-1302.871, 880.632) ( -920.394, -846.345) ( 419.501, -843.607) ( 665.930, 88.480) ( 108.586, 439.392) ( -227.548, 176.165) ( -154.831, -76.050) BSINS Evaluates a sequence of modified Bessel functions of the first kind with integer order and real or complex arguments. Chapter 6: Bessel Functions BSINS • 115 Required Arguments X — Argument for which the sequence of Bessel functions is to be evaluated. (Input) For real argument exp(|x|) must not overflow. For complex arguments x must be less than 104 in absolute value. N — Number of elements in the sequence. (Input) BSI — Vector of length N containing the values of the function through the series. (Output) BSI(I) contains the value of the Bessel function of order I − 1 at x for I = 1 to N. FORTRAN 90 Interface Generic: CALL BSINS (X, N, BSI) Specific: The specific interface names are S_BSINS, D_BSINS, C_BSINS, and Z_BSINS. FORTRAN 77 Interface Single: CALL BSINS (X, N, BSI) Double: The double precision name is DBSINS. Complex: The complex name is CBINS. Double Complex: The double complex name is DCBINS. Description The complex Bessel function In(z) is defined to be In ( z ) = 1 π ∫ π 0 e z cosθ cos ( nθ ) d θ This code is based on the work of Sookne (1973a) and Olver and Sookne (1972). It uses backward recursion with strict error control. Example 1 In this example, In(10.0), n = 0, …, 10 is computed and printed. USE BSINS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=11) ! Declare variables ! 116 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions INTEGER REAL K, NOUT BSI(N), X ! Compute X = 10.0 CALL BSINS (X, N, BSI) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) K-1, X, BSI(K) 10 CONTINUE 99999 FORMAT (' I sub ', I2, ' (', F6.3, ') = ', F9.3) END Output I I I I I I I I I I I sub 0 sub 1 sub 2 sub 3 sub 4 sub 5 sub 6 sub 7 sub 8 sub 9 sub 10 (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) = = = = = = = = = = = 2815.716 2670.988 2281.519 1758.381 1226.490 777.188 449.302 238.026 116.066 52.319 21.892 Additional Example Example 2 In this example, In(10 + 10i), n = 0, …, 10 is computed and printed. USE BSINS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=11) INTEGER COMPLEX K, NOUT CBS(N), Z ! Declare variables ! ! Compute Z = (10.0, 10.0) CALL BSINS (Z, N, CBS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) K-1, Z, CBS(K) 10 CONTINUE 99999 FORMAT (' I sub ', I2, ' ((', F6.3, ',', F6.3, & ')) = (', F9.3, ',', F9.3, ')') Chapter 6: Bessel Functions BSINS • 117 END Output I I I I I I I I I I I sub 0 sub 1 sub 2 sub 3 sub 4 sub 5 sub 6 sub 7 sub 8 sub 9 sub 10 ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) ((10.000,10.000)) = = = = = = = = = = = (-2314.975, (-2246.627, (-2044.245, (-1719.746, (-1302.871, ( -846.345, ( -419.501, ( -88.480, ( 108.586, ( 176.165, ( 154.831, -411.563) -460.681) -590.157) -751.498) -880.632) -920.394) -843.607) -665.930) -439.392) -227.548) -76.050) BSJS Evaluates a sequence of Bessel functions of the first kind with real order and real positive arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) It must be at least zero and less than one. X — Real argument for which the sequence of Bessel functions is to be evaluated. (Input) It must be nonnegative. N — Number of elements in the sequence. (Input) BS — Vector of length N containing the values of the function through the series. (Output) BS(I) contains the value of the Bessel function of order XNU + I − 1 at x for I = 1 to N. FORTRAN 90 Interface Generic: CALL BSJS (XNU, X, N, BS) Specific: The specific interface names are S_BSJS and D_BSJS. FORTRAN 77 Interface Single: CALL BSJS (XNU, X, N, BS) Double: The double precision name is DBSJS. Description The Bessel function Jν(x) is defined to be 118 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Jν ( x) = ( x / 2)ν π Γ(ν + 1/ 2) ∫ π 0 cos ( x cos θ ) sin 2ν θ d θ This code is based on the work of Gautschi (1964) and Skovgaard (1975). It uses backward recursion. Comments Workspace may be explicitly provided, if desired, by use of B2JS/DB2JS. The reference is CALL B2JS (XNU, X, N, BS, WK) The additional argument is WK — work array of length 2 ∗ N. Example In this example, Jν(2.4048256), ν = 0, …, 10 is computed and printed. USE BSJS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=11) INTEGER REAL K, NOUT BS(N), X, XNU ! Declare variables ! ! Compute XNU = 0.0 X = 2.4048256 CALL BSJS (XNU, X, N, BS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) XNU+K-1, X, BS(K) 10 CONTINUE 99999 FORMAT (' J sub ', F6.3, ' (', F6.3, ') = ', F10.3) END Output J J J J J J J J sub sub sub sub sub sub sub sub 0.000 1.000 2.000 3.000 4.000 5.000 6.000 7.000 ( ( ( ( ( ( ( ( 2.405) 2.405) 2.405) 2.405) 2.405) 2.405) 2.405) 2.405) Chapter 6: Bessel Functions = = = = = = = = 0.000 0.519 0.432 0.199 0.065 0.016 0.003 0.001 BSJS • 119 J sub 8.000 ( 2.405) = J sub 9.000 ( 2.405) = J sub 10.000 ( 2.405) = 0.000 0.000 0.000 BSYS Evaluates a sequence of Bessel functions of the second kind with real nonnegative order and real positive arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) It must be at least zero and less than one. X — Real positive argument for which the sequence of Bessel functions is to be evaluated. (Input) N — Number of elements in the sequence. (Input) BSY — Vector of length N containing the values of the function through the series. (Output) BSY(I) contains the value of the Bessel function of order I − 1 + XNU at x for I = 1 to N. FORTRAN 90 Interface Generic: CALL BSYS (XNU, X, N, BSY) Specific: The specific interface names are S_BSYS and D_BSYS. FORTRAN 77 Interface Single: CALL BSYS (XNU, X, N, BSY) Double: The double precision name is DBSYS. Description The Bessel function Yν(x) is defined to be Yν ( x) = 1 π∫ π 0 − 1 sin( x sin θ − νθ )d θ π∫ ∞ 0 ⎡⎣ eν t + e −ν t cos (νπ ) ⎤⎦ e − x sinh t dt The variable ν must satisfy 0 ≤ ν < 1. If this condition is not met, then BSi is set to −b. In addition, x must be in [xm, xM] where xm = 6(16−32) and xM = 169. If x < xm, then −b (b = AMACH(2), the largest representable number) is returned; and if x > xM, then zero is returned. 120 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions The algorithm is based on work of Cody and others, (see Cody et al. 1976; Cody 1969; NATS FUNPACK 1976). It uses a special series expansion for small arguments. For moderate arguments, an analytic continuation in the argument based on Taylor series with special rational minimax approximations providing starting values is employed. An asymptotic expansion is used for large arguments. Example In this example, Y0.015625 + ν − 1(0.0078125), ν = 1, 2, 3 is computed and printed. USE BSYS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=3) INTEGER REAL K, NOUT BSY(N), X, XNU ! Declare variables ! ! Compute XNU = 0.015625 X = 0.0078125 CALL BSYS (XNU, X, N, BSY) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) XNU+K-1, X, BSY(K) 10 CONTINUE 99999 FORMAT (' Y sub ', F6.3, ' (', F6.3, ') = ', F10.3) END Output Y sub Y sub Y sub 0.016 ( 0.008) = -3.189 1.016 ( 0.008) = -88.096 2.016 ( 0.008) = -22901.732 BSIS Evaluates a sequence of modified Bessel functions of the first kind with real order and real positive arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) It must be greater than or equal to zero and less than one. X — Real argument for which the sequence of Bessel functions is to be evaluated. (Input) N — Number of elements in the sequence. (Input) Chapter 6: Bessel Functions BSIS • 121 BSI — Vector of length N containing the values of the function through the series. (Output) BSI(I) contains the value of the Bessel function of order I − 1 + XNU at x for I = 1 to N. FORTRAN 90 Interface Generic: CALL BSIS (XNU, X, N, BSI) Specific: The specific interface names are S_BSIS and D_BSIS. FORTRAN 77 Interface Single: CALL BSIS (XNU, X, N, BSI) Double: The double precision name is DBSIS. Description The Bessel function Iν(x) is defined to be Iν ( x) = 1 π∫ π 0 e x cosθ cos(νθ ) d θ − sin(νπ ) π ∫ ∞ 0 e − x cosh t − vt dt The input x must be nonnegative and less than or equal to log(b) (b = AMACH(2), the largest representable number). The argument ν = XNU must satisfy 0 ≤ ν ≤ 1. Function BSIS is based on a code due to Cody (1983), which uses backward recursion. Example In this example, Iν − 1(10.0), ν = 1, …, 10 is computed and printed. USE BSIS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=10) INTEGER REAL K, NOUT BSI(N), X, XNU ! Declare variables ! ! Compute XNU = 0.0 X = 10.0 CALL BSIS (XNU, X, N, BSI) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) XNU+K-1, X, BSI(K) 10 CONTINUE 99999 FORMAT (' I sub ', F6.3, ' (', F6.3, ') = ', F10.3) 122 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions END Output I I I I I I I I I I sub sub sub sub sub sub sub sub sub sub 0.000 1.000 2.000 3.000 4.000 5.000 6.000 7.000 8.000 9.000 (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) = = = = = = = = = = 2815.717 2670.988 2281.519 1758.381 1226.491 777.188 449.302 238.026 116.066 52.319 BSIES Evaluates a sequence of exponentially scaled modified Bessel functions of the first kind with nonnegative real order and real positive arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) It must be at least zero and less than one. X — Real positive argument for which the sequence of Bessel functions is to be evaluated. (Input) It must be nonnegative. N — Number of elements in the sequence. (Input) BSI — Vector of length N containing the values of the function through the series. (Output) BSI(I) contains the value of the Bessel function of order I − 1 + XNU at x for I = 1 to N multiplied by exp(−X). FORTRAN 90 Interface Generic: CALL BSIES (XNU, X, N, BSI) Specific: The specific interface names are S_BSIES and D_BSIES. FORTRAN 77 Interface Single: CALL BSIES (XNU, X, N, BSI) Double: The double precision name is DBSIES. Chapter 6: Bessel Functions BSIES • 123 Description − Function BSIES evaluates e x Iν + k − 1(x), for k = 1, …, n. For the definition of Iν(x), see BSIS. The algorithm is based on a code due to Cody (1983), which uses backward recursion. Example In this example, Iν − 1(10.0), ν = 1, …, 10 is computed and printed. USE BSIES_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=10) INTEGER REAL K, NOUT BSI(N), X, XNU ! Declare variables ! ! Compute XNU = 0.0 X = 10.0 CALL BSIES (XNU, X, N, BSI) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) X, XNU+K-1, X, BSI(K) 10 CONTINUE 99999 FORMAT (' exp(-', F6.3, ') * I sub ', F6.3, & ' (', F6.3, ') = ', F6.3) END Output exp(-10.000) exp(-10.000) exp(-10.000) exp(-10.000) exp(-10.000) exp(-10.000) exp(-10.000) exp(-10.000) exp(-10.000) exp(-10.000) * * * * * * * * * * I I I I I I I I I I sub sub sub sub sub sub sub sub sub sub 0.000 1.000 2.000 3.000 4.000 5.000 6.000 7.000 8.000 9.000 (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) = = = = = = = = = = 0.128 0.121 0.104 0.080 0.056 0.035 0.020 0.011 0.005 0.002 BSKS Evaluates a sequence of modified Bessel functions of the second kind of fractional order. Required Arguments XNU — Fractional order of the function. (Input) XNU must be less than one in absolute value. 124 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions X — Argument for which the sequence of Bessel functions is to be evaluated. (Input) NIN — Number of elements in the sequence. (Input) BK — Vector of length NIN containing the values of the function through the series. (Output) FORTRAN 90 Interface Generic: CALL BSKS (XNU, X, NIN, BK) Specific: The specific interface names are S_BSKS and D_BSKS. FORTRAN 77 Interface Single: CALL BSKS (XNU, X, NIN, BK) Double: The double precision name is DBSKS. Description The Bessel function Kν(x) is defined to be Kν ( x) = π π i i ⎤ ⎡ eνπ i / 2 ⎢i Jν ( xe 2 ) − Yν ( xe 2 ) ⎥ 2 ⎣ ⎦ π for − π < arg x ≤ π 2 Currently, ν is restricted to be less than one in absolute value. A total of |n| values is stored in the array BK. For positive n, BK(1) = Kν(x), BK(2) = Kν + 1(x), …, BK(n) = Kν + n − 1(x). For negative n, BK(1) = Kν(x), BK(2) = Kν − 1(x), …, BK(|n|) = Kν + n + 1. BSKS is based on the work of Cody (1983). Comments 1. If NIN is positive, BK(1) contains the value of the function of order XNU, BK(2) contains the value of the function of order XNU + 1, … and BK(NIN) contains the value of the function of order XNU + NIN − 1. 2. If NIN is negative, BK(1) contains the value of the function of order XNU, BK(2) contains the value of the function of order XNU − 1, … and BK(ABS(NIN)) contains the value of the function of order XNU + NIN + 1. Example In this example, Kν−1(10.0), ν = 1, …, 10 is computed and printed. USE BSKS_INT Chapter 6: Bessel Functions BSKS • 125 USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER NIN (NIN=10) INTEGER REAL K, NOUT BS(NIN), X, XNU ! Declare variables ! ! Compute XNU = 0.0 X = 10.0 CALL BSKS (XNU, X, NIN, BS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, NIN WRITE (NOUT,99999) XNU+K-1, X, BS(K) 10 CONTINUE 99999 FORMAT (' K sub ', F6.3, ' (', F6.3, ') = ', E10.3) END Output K K K K K K K K K K sub sub sub sub sub sub sub sub sub sub 0.000 1.000 2.000 3.000 4.000 5.000 6.000 7.000 8.000 9.000 (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) (10.000) = = = = = = = = = = 0.178E-04 0.186E-04 0.215E-04 0.273E-04 0.379E-04 0.575E-04 0.954E-04 0.172E-03 0.336E-03 0.710E-03 BSKES Evaluates a sequence of exponentially scaled modified Bessel functions of the second kind of fractional order. Required Arguments XNU — Fractional order of the function. (Input) XNU must be less than 1.0 in absolute value. X — Argument for which the sequence of Bessel functions is to be evaluated. (Input) NIN — Number of elements in the sequence. (Input) BKE — Vector of length NIN containing the values of the function through the series. (Output) 126 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions FORTRAN 90 Interface Generic: CALL BSKES (XNU, X, NIN, BKE) Specific: The specific interface names are S_BSKES and D_BSKES. FORTRAN 77 Interface Single: CALL BSKES (XNU, X, NIN, BKE) Double: The double precision name is DBSKES. Description Function BSKES evaluates exKν + k − 1(x), for k = 1, …, n. For the definition of Kν(x), see BSKS. Currently, ν is restricted to be less than 1 in absolute value. A total of |n| values is stored in the array BKE. For n positive, BKE(1) contains exKν (x), BKE(2) contains exKν + 1(x), …, and BKE(N) contains exKν + n − 1(x). For n negative, BKE(1) contains exKν(x), BKE(2) contains exKν − 1(x), …, and BKE(|n|) contains exKν + n + 1(x). This routine is particularly useful for calculating sequences for large x provided n ≤ x. (Overflow becomes a problem if n << x.) n must not be zero, and x must not be greater than zero. Moreover, |ν| must be less than 1. Also, when |n| is large compared with x, |ν + n| must not be so large that exKν+n (x) ≈ exΓ(|ν + n|)/[2(x/2)|ν + n|] overflows. BSKES is based on the work of Cody (1983). Comments 1. If NIN is positive, BKE(1) contains EXP(X) times the value of the function of order XNU, BKE(2) contains EXP(X) times the value of the function of order XNU + 1, …, and BKE(NIN) contains EXP(X) times the value of the function of order XNU + NIN − 1. 2. If NIN is negative, BKE(1) contains EXP(X) times the value of the function of order XNU, BKE(2) contains EXP(X) times the value of the function of order XNU − 1, …, and BKE(ABS(NIN)) contains EXP(X) times the value of the function of order XNU + NIN + 1. Example In this example, Kν − 1/2(2.0), ν = 1, …, 6 is computed and printed. USE BSKES_INT USE UMACH_INT IMPLICIT NONE INTEGER NIN ! Declare variables Chapter 6: Bessel Functions BSKES • 127 PARAMETER (NIN=6) INTEGER REAL K, NOUT BKE(NIN), X, XNU ! ! Compute XNU = 0.5 X = 2.0 CALL BSKES (XNU, X, NIN, BKE) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, NIN WRITE (NOUT,99999) X, XNU+K-1, X, BKE(K) 10 CONTINUE 99999 FORMAT (' exp(', F6.3, ') * K sub ', F6.3, & ' (', F6.3, ') = ', F8.3) END Output exp( exp( exp( exp( exp( exp( 2.000) 2.000) 2.000) 2.000) 2.000) 2.000) * * * * * * K K K K K K sub sub sub sub sub sub 0.500 1.500 2.500 3.500 4.500 5.500 ( ( ( ( ( ( 2.000) 2.000) 2.000) 2.000) 2.000) 2.000) = = = = = = 0.886 1.329 2.880 8.530 32.735 155.837 CBJS Evaluates a sequence of Bessel functions of the first kind with real order and complex arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) XNU must be greater than −1/2. Z — Complex argument for which the sequence of Bessel functions is to be evaluated. (Input) N — Number of elements in the sequence. (Input) CBS — Vector of length N containing the values of the function through the series. (Output) CBS(I) contains the value of the Bessel function of order XNU + I − 1 at Z for I = 1 to N. FORTRAN 90 Interface Generic: CALL CBJS (XNU, Z, N, CBS) Specific: The specific interface names are S_CBJS and D_CBJS. 128 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions FORTRAN 77 Interface Single: CALL CBJS (XNU, Z, N, CBS) Double: The double precision name is DCBJS. Description The Bessel function Jν(z) is defined to be Jν ( z ) = 1 π∫ π 0 cos( z sin θ − νθ ) d θ − for arg z < π sin(νπ ) π ∫ ∞ 0 e z sinh t − vt dt 2 This code is based on the code BESSCC of Barnett (1981) and Thompson and Barnett (1987). This code computes Jν(z) from the modified Bessel function Iν(z), CBIS, using the following relation, with ρ = eiπ/2: ⎧⎪ ρ I v ( z / ρ ) for π / 2 < arg z ≤ π Yv ( z ) = ⎨ 3 3 ⎪⎩ ρ I v ( ρ z ) for − π < arg z ≤ π / 2 Comments Informational errors Type Code 3 4 1 2 One of the continued fractions failed. Only the first several entries in CBS are valid. Example In this example, J0.3 + ν − 1(1.2 + 0.5i), ν = 1, …, 4 is computed and printed. USE CBJS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=4) INTEGER REAL COMPLEX K, NOUT XNU CBS(N), Z ! Declare variables ! ! Compute XNU = 0.3 Z = (1.2, 0.5) CALL CBJS (XNU, Z, N, CBS) ! Chapter 6: Bessel Functions Print the results CBJS • 129 CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) XNU+K-1, Z, CBS(K) 10 CONTINUE 99999 FORMAT (' J sub ', F6.3, ' ((', F6.3, ',', F6.3, & ')) = (', F9.3, ',', F9.3, ')') END Output J J J J sub sub sub sub 0.300 1.300 2.300 3.300 (( (( (( (( 1.200, 1.200, 1.200, 1.200, 0.500)) 0.500)) 0.500)) 0.500)) = = = = ( ( ( ( 0.774, 0.400, 0.087, 0.008, -0.107) 0.159) 0.092) 0.024) CBYS Evaluates a sequence of Bessel functions of the second kind with real order and complex arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) XNU must be greater than −1/2. Z — Complex argument for which the sequence of Bessel functions is to be evaluated. (Input) N — Number of elements in the sequence. (Input) CBS — Vector of length N containing the values of the function through the series. (Output) CBS(I) contains the value of the Bessel function of order XNU + I − 1 at Z for I = 1 to N. FORTRAN 90 Interface Generic: CALL CBYS (XNU, Z, N, CBS) Specific: The specific interface names are S_CBYS and D_CBYS. FORTRAN 77 Interface Single: CALL CBYS (XNU, Z, N, CBS) Double: The double precision name is DCBYS. 130 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Description The Bessel function Yν(z) is defined to be Yv ( z ) = 1 π∫ π 0 − 1 π sin( z sin θ − v θ )d θ ∫ ∞ 0 ⎡⎣ evt + e − vt cos(vπ ) ⎤⎦ e z sinh t dt for arg z < π 2 This code is based on the code BESSEC of Barnett (1981) and Thompson and Barnett (1987). This code computes Yν(z) from the modified Bessel functions Iν(z) and Kν(z), CBIS and CBKS, using the following relation: Yν ( zeπ i / 2 ) = e( v +1)π i / 2 Iν ( z ) − 2 π e − vπ i / 2 K v ( z ) for − π < arg z ≤ π / 2 Comments 1. Workspace may be explicitly provided, if desired, by use of C2YS/DC2Y. The reference is: CALL C2YS (XNU, Z, N, CBS, FK) The additional argument is: FK — complex work vector of length N. 2. Informational errors Type Code 3 4 1 One of the continued fractions failed. 2 Only the first several entries in CBS are valid. Example In this example, Y0.3 + ν − 1(1.2 + 0.5i), ν = 1, …, 4 is computed and printed. USE CBYS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=4) INTEGER REAL K, NOUT XNU ! Declare variables ! Chapter 6: Bessel Functions CBYS • 131 COMPLEX CBS(N), Z ! Compute XNU = 0.3 Z = (1.2, 0.5) CALL CBYS (XNU, Z, N, CBS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) XNU+K-1, Z, CBS(K) 10 CONTINUE 99999 FORMAT (' Y sub ', F6.3, ' ((', F6.3, ',', F6.3, & ')) = (', F9.3, ',', F9.3, ')') END Output Y Y Y Y sub sub sub sub 0.300 1.300 2.300 3.300 (( (( (( (( 1.200, 1.200, 1.200, 1.200, 0.500)) 0.500)) 0.500)) 0.500)) = = = = ( ( ( ( -0.013, -0.716, -1.048, -1.625, 0.380) 0.338) 0.795) 3.684) CBIS Evaluates a sequence of modified Bessel functions of the first kind with real order and complex arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) XNU must be greater than −1/2. Z — Complex argument for which the sequence of Bessel functions is to be evaluated. (Input) N — Number of elements in the sequence. (Input) CBS — Vector of length N containing the values of the function through the series. (Output) CBS(I) contains the value of the Bessel function of order XNU + I − 1 at Z for I = 1 to N. FORTRAN 90 Interface Generic: CALL CBIS (XNU, Z, N, CBS) Specific: The specific interface names are S_CBIS and D_CBIS. FORTRAN 77 Interface Single: CALL CBIS (XNU, Z, N, CBS) 132 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions Double: The double precision name is DCBIS. Description The modified Bessel function Iν(z) is defined to be I v ( z ) = e − vπ i / 2 J v ( zeπ i / 2 ) for − π < arg z ≤ π 2 where the Bessel function Jν(z) is defined in BSJS. This code is based on the code BESSCC of Barnett (1981) and Thompson and Barnett (1987). For large arguments, z, Temme’s (1975) algorithm is used to find Iν(z). The Iν(z) values are recurred upward (if this is stable). This involves evaluating a continued fraction. If this evaluation fails to converge, the answer may not be accurate. For moderate and small arguments, Miller’s method is used. Comments Informational errors Type Code 3 4 1 2 One of the continued fractions failed. Only the first several entries in CBS are valid. Example In this example, I0.3 + ν − 1(1.2 + 0.5i), ν = 1, …, 4 is computed and printed. USE CBIS_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=4) INTEGER REAL COMPLEX K, NOUT XNU CBS(N), Z ! Declare variables ! ! Compute XNU = 0.3 Z = (1.2, 0.5) CALL CBIS (XNU, Z, N, CBS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) XNU+K-1, Z, CBS(K) 10 CONTINUE 99999 FORMAT (' I sub ', F6.3, ' ((', F6.3, ',', F6.3, & ')) = (', F9.3, ',', F9.3, ')') END Chapter 6: Bessel Functions CBIS • 133 Output I I I I sub sub sub sub 0.300 1.300 2.300 3.300 (( (( (( (( 1.200, 1.200, 1.200, 1.200, 0.500)) 0.500)) 0.500)) 0.500)) = = = = ( ( ( ( 1.163, 0.447, 0.082, 0.006, 0.396) 0.332) 0.127) 0.029) CBKS Evaluates a sequence of modified Bessel functions of the second kind with real order and complex arguments. Required Arguments XNU — Real argument which is the lowest order desired. (Input) XNU must be greater than −1/2. Z — Complex argument for which the sequence of Bessel functions is to be evaluated. (Input) N — Number of elements in the sequence. (Input) CBS — Vector of length N containing the values of the function through the series. (Output) CBS(I) contains the value of the Bessel function of order XNU + I − 1 at Z for I = 1 to N. FORTRAN 90 Interface Generic: CALL CBKS (XNU, Z, N, CBS) Specific: The specific interface names are S_CBKS and D_CBKS. FORTRAN 77 Interface Single: CALL CBKS (XNU, Z, N, CBS) Double: The double precision name is DCBKS. Description The Bessel function Kν(z) is defined to be Kv ( z) = π 2 evπ i / 2 ⎡⎣iJ v ( zeπ i / 2 ) − Yv ( zeπ i / 2 ) ⎤⎦ for − π < arg z ≤ π 2 where the Bessel function Jν(z) is defined in CBJS and Yν(z) is defined in CBYS. This code is based on the code BESSCC of Barnett (1981) and Thompson and Barnett (1987). 134 • Chapter 6: Bessel Functions MATH LIBRARY Special Functions For moderate or large arguments, z, Temme’s (1975) algorithm is used to find Kν(z). This involves evaluating a continued fraction. If this evaluation fails to converge, the answer may not be accurate. For small z, a Neumann series is used to compute Kν(z). Upward recurrence of the Kν(z) is always stable. Comments Workspace may be explicitly provided, if desired, by use of C2KS/DC2KS. The reference is CALL C2KS (XNU, Z, N, CBS, FK) The additional argument is FK — Complex work vector of length N. Informational errors Type Code 3 4 1 2 One of the continued fractions failed. Only the first several entries in CBS are valid. Example In this example, K0.3 + v − 1(1.2 + 0.5i), ν = 1, …, 4 is computed and printed. USE UMACH_INT USE CBKS_INT IMPLICIT NONE INTEGER PARAMETER N (N=4) INTEGER REAL COMPLEX K, NOUT XNU CBS(N), Z ! Declare variables ! ! Compute XNU = 0.3 Z = (1.2, 0.5) CALL CBKS (XNU, Z, N, CBS) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) XNU+K-1, Z, CBS(K) 10 CONTINUE 99999 FORMAT (' K sub ', F6.3, ' ((', F6.3, ',', F6.3, & ')) = (', F9.3, ',', F9.3, ')') END Output K sub K sub 0.300 (( 1.200, 0.500)) = ( 1.300 (( 1.200, 0.500)) = ( Chapter 6: Bessel Functions 0.246, 0.336, -0.200) -0.362) CBKS • 135 K sub K sub 2.300 (( 1.200, 0.500)) = ( 3.300 (( 1.200, 0.500)) = ( 136 • Chapter 6: Bessel Functions 0.587, 0.719, -1.126) -4.839) MATH LIBRARY Special Functions Chapter 7: Kelvin Functions Routines Evaluates ber0(x) ....................................................................BER0 Evaluates bei0(x)...................................................................... BEI0 Evaluates ker0(x).................................................................. AKER0 Evaluates kei0(x) ....................................................................AKEI0 139 140 141 142 Evaluates ber′0(x) ................................................................ BERP0 Evaluates bei0(x)....................................................................BEIP0 144 145 Evaluates ker′0(x)...............................................................AKERP0 146 Evaluates kei′0(x) ................................................................ AKEIP0 Evaluates ber1(x) ....................................................................BER1 Evaluates bei1(x)...................................................................... BEI1 Evaluates ker1(x).................................................................. AKER1 Evaluates kei1(x) ....................................................................AKEI1 147 148 150 151 152 Usage Notes The notation used in this chapter follows that of Abramowitz and Stegun (1964). The Kelvin functions are related to the Bessel functions by the following relations. berv x + i bei v x = J v ( xe3π i / 4 ) kerv x + i kei v x = e −νπ i / 2 K v ( xeπ i / 4 ) The derivatives of the Kelvin functions are related to the values of the Kelvin functions by the following: 2ber0′ x = ber1 x + bei1 x 2bei′0 x = − ber1 x + bei1 x 2ker0′ x = ker1 x + kei1 x 2kei′0 x = −ker1 x + kei1 x Chapter 7: Kelvin Functions Routines • 137 Plots of bern(x), bein(x), kern(x) and kein(x) for n = 0, 1 follow: Figure 7- 1 Plot of bern(x) and bein(x) 138 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions Figure 7- 2 Plot of kern(x) and kein(x) BER0 This function evaluates the Kelvin function of the first kind, ber, of order zero. Function Return Value BER0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) ABS(X) must be less than 119. FORTRAN 90 Interface Generic: BER0 (X) Specific: The specific interface names are S_BER0 and D_BER0. FORTRAN 77 Interface Single: BER0 (X) Chapter 7: Kelvin Functions BER0 • 139 Double: The double precision name is DBER0. Description The Kelvin function ber0(x) is defined to be ℜJ0(xe3πi/4). The Bessel function J0(x) is defined in BSJ0. Function BER0 is based on the work of Burgoyne (1963). Example In this example, ber0(0.4) is computed and printed. USE BER0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.4 VALUE = BER0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BER0(', F6.3, ') = ', F6.3) END Output BER0( 0.400) = 1.000 BEI0 This function evaluates the Kelvin function of the first kind, bei, of order zero. Function Return Value BEI0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) ABS(X) must be less than 119. FORTRAN 90 Interface Generic: BEI0 (X) Specific: The specific interface names are S_BEI0 and D_BEI0. 140 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions FORTRAN 77 Interface Single: BEI0 (X) Double: The double precision name is DBEI0. Description The Kelvin function ber0(x) is defined to be ℜJ0(xe3πi/4). The Bessel function J0(x) is defined in BSJ0. Function BER0 is based on the work of Burgoyne (1963). In BEI0, x must be less than 119. Example In this example, bei0(0.4) is computed and printed. USE BEI0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.4 VALUE = BEI0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BEI0(', F6.3, ') = ', F6.3) END Output BEI0( 0.400) = 0.040 AKER0 This function evaluates the Kelvin function of the second kind, ker, of order zero. Function Return Value AKER0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) It must be nonnegative. Chapter 7: Kelvin Functions AKER0 • 141 FORTRAN 90 Interface Generic: AKER0 (X) Specific: The specific interface names are S_AKER0 and D_AKER0. FORTRAN 77 Interface Single: AKER0 (X) Double: The double precision name is DKER0. Description The modified Kelvin function ker0(x) is defined to be ℜK0(xeπi/4). The Bessel function K0(x) is defined in BSK0. Function AKER0 is based on the work of Burgoyne (1963). If x < 0, then NaN (not a number) is returned. If x ≥ 119, then zero is returned. Example In this example, ker0(0.4) is computed and printed. USE AKER0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.4 VALUE = AKER0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AKER0(', F6.3, ') = ', F6.3) END Output AKER0( 0.400) = 1.063 AKEI0 This function evaluates the Kelvin function of the second kind, kei, of order zero. Function Return Value AKEI0 — Function value. (Output) 142 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions Required Arguments X — Argument for which the function value is desired. (Input) It must be nonnegative and less than 119. FORTRAN 90 Interface Generic: AKEI0 (X) Specific: The specific interface names are S_AKEI0 and D_AKEI0. FORTRAN 77 Interface Single: AKEI0 (X) Double: The double precision name is DKEI0. Description The modified Kelvin function kei0(x) is defined to be ℑK0(xeπi/4). The Bessel function K0(x) is defined in BSK0. Function AKEI0 is based on the work of Burgoyne (1963). In AKEI0, x must satisfy 0 ≤ x < 119. If x < 0, then NaN (not a number) is returned. If x ≥ 119, then zero is returned. Example In this example, kei0(0.4) is computed and printed. USE AKEI0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.4 VALUE = AKEI0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AKEI0(', F6.3, ') = ', F6.3) END Output AKEI0( 0.400) = -0.704 Chapter 7: Kelvin Functions AKEI0 • 143 BERP0 This function evaluates the derivative of the Kelvin function of the first kind, ber, of order zero. Function Return Value BERP0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BERP0 (X) Specific: The specific interface names are S_BERP0 and D_BERP0. FORTRAN 77 Interface Single: BERP0 (X) Double: The double precision name is DBERP0. Description The function ber′0(x) is defined to be d ber0 ( x ) dx where ber0(x) is a Kelvin function, see BER0. Function BERP0 is based on the work of Burgoyne (1963). If |x| > 119, then NaN (not a number) is returned. Example In this example, ber′0(0.6) is computed and printed. USE BERP0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.6 VALUE = BERP0(X) 144 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BERP0(', F6.3, ') = ', F6.3) END Output BERP0( 0.600) = -0.013 BEIP0 This function evaluates the derivative of the Kelvin function of the first kind, bei, of order zero. Function Return Value BEIP0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BEIP0 (X) Specific: The specific interface names are S_BEIP0 and D_BEIP0. FORTRAN 77 Interface Single: BEIP0 (X) Double: The double precision name is DBEIP0. Description The function bei′0(x) is defined to be d bei 0 ( x ) dx where bei0(x) is a Kelvin function, see BEI0. Function BEIP0 is based on the work of Burgoyne (1963). If |x| > 119, then NaN (not a number) is returned. Chapter 7: Kelvin Functions BEIP0 • 145 Example In this example, bei′0(0.6) is computed and printed. USE BEIP0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.6 VALUE = BEIP0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BEIP0(', F6.3, ') = ', F6.3) END Output BEIP0( 0.600) = 0.300 AKERP0 This function evaluates the derivative of the Kelvin function of the second kind, ker, of order zero. Function Return Value AKERP0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) It must be nonnegative. FORTRAN 90 Interface Generic: AKERP0 (X) Specific: The specific interface names are S_AKERP0 and D_AKERP0. FORTRAN 77 Interface Single: AKERP0 (X) Double: The double precision name is DKERP0. 146 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions Description The function ker′0(x) is defined to be d ker0 ( x ) dx where ker0(x) is a Kelvin function, see AKER0. Function AKERP0 is based on the work of Burgoyne (1963). If x < 0, then NaN (not a number) is returned. If x > 119, then zero is returned. Example In this example, ker′0(0.6) is computed and printed. USE AKERP0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X, AKERP0 ! Declare variables ! Compute X = 0.6 VALUE = AKERP0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AKERP0(', F6.3, ') = ', F6.3) END Output AKERP0( 0.600) = -1.457 AKEIP0 This function evaluates the derivative of the Kelvin function of the second kind, kei, of order zero. Function Return Value AKEIP0 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) It must be nonnegative. FORTRAN 90 Interface Generic: AKEIP0 (X) Chapter 7: Kelvin Functions AKEIP0 • 147 Specific: The specific interface names are S_AKEIP0 and D_AKEIP0. FORTRAN 77 Interface Single: AKEIP0 (X) Double: The double precision name is DKEIP0. Description The function kei′0(x) is defined to be d kei 0 ( x ) dx where kei0(x) is a Kelvin function, see AKEI0. Function AKEIP0 is based on the work of Burgoyne (1963). If x < 0, then NaN (not a number) is returned. If x > 119, then zero is returned. Example In this example, kei′0(0.6) is computed and printed. USE AKEIP0_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X, AKEIP0 ! Declare variables ! Compute X = 0.6 VALUE = AKEIP0(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AKEIP0(', F6.3, ') = ', F6.3) END Output AKEIP0( 0.600) = 0.348 BER1 This function evaluates the Kelvin function of the first kind, ber, of order one. Function Return Value BER1 — Function value. (Output) 148 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BER1 (X) Specific: The specific interface names are S_BER1 and D_BER1. FORTRAN 77 Interface Single: BER1 (X) Double: The double precision name is DBER1. Description The Kelvin function ber1(x) is defined to be ℜJ1(xe3πi/4). The Bessel function J1(x) is defined in BSJ1. Function BER1 is based on the work of Burgoyne (1963). If |x| > 119, then NaN (not a number) is returned. Example In this example, ber1(0.4) is computed and printed. USE BER1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.4 VALUE = BER1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BER1(', F6.3, ') = ', F6.3) END Output BER1( 0.400) = -0.144 Chapter 7: Kelvin Functions BER1 • 149 BEI1 This function evaluates the Kelvin function of the first kind, bei, of order one. Function Return Value BEI1 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: BEI1 (X) Specific: The specific interface names are S_BEI1 and D_BEI1. FORTRAN 77 Interface Single: BEI1 (X) Double: The double precision name is DBEI1. Description The Kelvin function bei1(x) is defined to be ℑJ1(xe3πi/4). The Bessel function J1(x) is defined in BSJ1. Function BEI1 is based on the work of Burgoyne (1963). If |x| > 119, then NaN (not a number) is returned. Example In this example, bei1(0.4) is computed and printed. USE BEI1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.4 VALUE = BEI1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BEI1(', F6.3, ') = ', F6.3) END 150 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions Output BEI1( 0.400) = 0.139 AKER1 This function evaluates the Kelvin function of the second kind, ker, of order one. Function Return Value AKER1 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) It must be nonnegative. FORTRAN 90 Interface Generic: AKER1 (X) Specific: The specific interface names are S_AKER1 and D_AKER1. FORTRAN 77 Interface Single: AKER1 (X) Double: The double precision name is DKER1. Description The modified Kelvin function ker1(x) is defined to be e−πi/2ℜK1(xeπi/4). The Bessel function K1(x) is defined in BSK1. Function AKER1 is based on the work of Burgoyne (1963). If x < 0, then NaN (not a number) is returned. If x ≥ 119, then zero is returned. Example In this example, ker1(0.4) is computed and printed. USE AKER1_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Chapter 7: Kelvin Functions Compute AKER1 • 151 X = 0.4 VALUE = AKER1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AKER1(', F6.3, ') = ', F6.3) END Output AKER1( 0.400) = -1.882 AKEI1 This function evaluates the Kelvin function of the second kind, kei, of order one. Function Return Value AKEI1 — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) It must be nonnegative. FORTRAN 90 Interface Generic: AKEI1 (X) Specific: The specific interface names are S_AKEI1 and D_AKEI1. FORTRAN 77 Interface Single: AKEI1 (X) Double: The double precision name is DKEI1. Description The modified Kelvin function kei1(x) is defined to be e−πi/2ℑK1(xeπi/4). The Bessel function K1(x) is defined in BSK1. Function AKER1 is based on the work of Burgoyne (1963). If x < 0, then NaN (not a number) is returned. If x ≥ 119, then zero is returned. Example In this example, kei1(0.4) is computed and printed. USE UMACH_INT 152 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions USE AKEI1_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.4 VALUE = AKEI1(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AKEI1(', F6.3, ') = ', F6.3) END Output AKEI1( 0.400) = -1.444 Chapter 7: Kelvin Functions AKEI1 • 153 154 • Chapter 7: Kelvin Functions MATH LIBRARY Special Functions Chapter 8: Airy Functions Routines Real Airy Functions Evaluates Ai(x)..............................................................................AI Evaluates Bi(x)..............................................................................BI Evaluates Ai′(x).......................................................................... AID Evaluates Bi′(x).......................................................................... BID Evaluates exponentially scaled Ai(x) ......................................... AIE Evaluates exponentially scaled Bi(x) ......................................... BIE Evaluates exponentially scaled Ai′(x) ......................................AIDE Evaluates exponentially scaled Bi′(x) ......................................BIDE 155 157 158 159 161 162 163 164 Complex Airy Functions Evaluates Ai(z) .......................................................................... CAI Evaluates Bi(z) .......................................................................... CBI Evaluates Ai′(z) ...................................................................... CAID Evaluates Bi′(z)....................................................................... CBID 166 167 169 171 AI This function evaluates the Airy function. Function Return Value AI — Function value. (Output) Required Arguments X — Argument for which the Airy function is desired. (Input) FORTRAN 90 Interface Generic: AI (X) Specific: The specific interface names are S_AI and D_AI. Chapter 8: Airy Functions Routines • 155 FORTRAN 77 Interface Single: AI (X) Double: The double precision name is DAI. Description The Airy function Ai(x) is defined to be Ai ( x ) = 1 π∫ ∞ 0 1 ⎞ x ⎛ ⎛2 ⎞ cos ⎜ xt + t 3 ⎟ dt = K1/ 3 ⎜ x3 / 2 ⎟ 2 3 ⎠ 3π ⎝ ⎝3 ⎠ The Bessel function Kν(x) is defined in BSKS. If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Finally, x should be less than x∀ so the answer does not underflow. Very approximately, x∀ = {−1.5 ln s}2/3, where s = AMACH(1), the smallest representable positive number. If underflows are a problem for large x, then the exponentially scaled routine AIE should be used. Comments Informational error Type Code 2 1 The function underflows because X is greater than XMAX, where XMAX = (−3/2 ln(AMACH(1)))2/3. Example In this example, Ai(−4.9) is computed and printed. USE AI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = -4.9 VALUE = AI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AI(', F6.3, ') = ', F6.3) END Output AI(-4.900) = 0.375 156 • Chapter 8: Airy Functions MATH LIBRARY Special Functions BI This function evaluates the Airy function of the second kind. Function Return Value BI — Function value. (Output) Required Arguments X — Argument for which the Airy function value is desired. (Input) FORTRAN 90 Interface Generic: BI (X) Specific: The specific interface names are S_BI and D_BI. FORTRAN 77 Interface Single: BI (X) Double: The double precision name is DBI. Description The Airy function of the second kind Bi(x) is defined to be Bi ( x ) = 1 π∫ ∞ 0 1 ⎞ 1 ⎛ exp ⎜ xt − t 3 ⎟ dt + 3 π ⎝ ⎠ ∫ ∞ 0 1 ⎞ ⎛ sin ⎜ xt + t 3 ⎟ dt 3 ⎠ ⎝ It can also be expressed in terms of modified Bessel functions of the first kind, Iν(x), and Bessel functions of the first kind, Jν(x) (see BSIS and BSJS): Bi ( x ) = x⎡ ⎛2 ⎞ ⎛2 ⎞⎤ I −1/ 3 ⎜ x 3 / 2 ⎟ + I1/ 3 ⎜ x 3 / 2 ⎟ ⎥ ⎢ 3⎣ ⎝3 ⎠ ⎝3 ⎠⎦ for x > 0 and Bi ( x ) = − ⎛ 2 3/ 2 ⎞ ⎛ 2 3 / 2 ⎞⎤ x ⎡ ⎢ J −1/ 3 ⎜ 3 x ⎟ − J1/ 3 ⎜ 3 x ⎟ ⎥ for x < 0 3 ⎣ ⎝ ⎠ ⎝ ⎠⎦ Let ε = AMACH(4), the machine precision. If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, the answer will be less accurate than half precision. In addition, x should not be so large that exp[(2/3)x3/2] overflows. If overflows are a problem, consider using the exponentially scaled form of the Airy function of the second kind, BIE, instead. Chapter 8: Airy Functions BI • 157 Example In this example, Bi(−4.9) is computed and printed. USE BI_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = -4.9 VALUE = BI(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BI(', F6.3, ') = ', F6.3) END Output BI(-4.900) = -0.058 AID This function evaluates the derivative of the Airy function. Function Return Value AID — Function value. (Output) Required Arguments X — Argument for which the Airy function value is desired. (Input) FORTRAN 90 Interface Generic: AID (X) Specific: The specific interface names are S_AID and D_AID. FORTRAN 77 Interface Single: AID (X) Double: The double precision name is DAID. 158 • Chapter 8: Airy Functions MATH LIBRARY Special Functions Description The function Ai′(x) is defined to be the derivative of the Airy function, Ai(x) (see AI). If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Finally, x should be less than x∀ so that the answer does not underflow. Very approximately, x∀ = {−1.5 ln s}, where s = AMACH(1), the smallest representable positive number. If underflows are a problem for large x, then the exponentially scaled routine AIDE should be used. Comments Informational error Type Code 2 1 The function underflows because X is greater than XMAX, where XMAX = −3/2 ln(AMACH(1)). Example In this example, Ai′(−4.9) is computed and printed. USE AID_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = -4.9 VALUE = AID(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AID(', F6.3, ') = ', F6.3) END Output AID(-4.900) = 0.147 BID This function evaluates the derivative of the Airy function of the second kind. Function Return Value BID — Function value. (Output) Chapter 8: Airy Functions BID • 159 Required Arguments X — Argument for which the Airy function value is desired. (Input) FORTRAN 90 Interface Generic: BID (X) Specific: The specific interface names are S_BID and D_BID. FORTRAN 77 Interface Single: BID (X) Double: The double precision name is DBID. Description The function Bi′(x) is defined to be the derivative of the Airy function of the second kind, Bi(x) (see BI). If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, the answer will be less accurate than half precision. In addition, x should not be so large that exp[(2/3)x3/2] overflows. If overflows are a problem, consider using BIDE instead. Here, ε = AMACH(4) is the machine precision. Example In this example, Bi′(−4.9) is computed and printed. USE BID_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = -4.9 VALUE = BID(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BID(', F6.3, ') = ', F6.3) END Output BID(-4.900) = 0.827 160 • Chapter 8: Airy Functions MATH LIBRARY Special Functions AIE This function evaluates the exponentially scaled Airy function. Function Return Value AIE — Function value. (Output) The Airy function for negative arguments and the exponentially scaled Airy function, e ζAi(X), for positive arguments where ζ = 32 X 3/2 Required Arguments X — Argument for which the Airy function value is desired. (Input) FORTRAN 90 Interface Generic: AIE (X) Specific: The specific interface names are S_AIE and D_AIE. FORTRAN 77 Interface Single: AIE (X) Double: The double precision name is DAIE. Description The exponentially scaled Airy function is defined to be if x ≤ 0 ⎪⎧Ai ( x ) AIE ( x ) = ⎨ [ 2 / 3] x3 / 2 Ai ( x ) if x > 0 ⎪⎩e If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, then the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Example In this example, AIE(0.49) is computed and printed. USE AIE_INT USE UMACH_INT IMPLICIT NONE ! Chapter 8: Airy Functions Declare variables AIE • 161 INTEGER REAL NOUT VALUE, X ! Compute X = 0.49 VALUE = AIE(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AIE(', F6.3, ') = ', F6.3) END Output AIE( 0.490) = 0.294 BIE This function evaluates the exponentially scaled Airy function of the second kind. Function Return Value BIE — Function value. (Output) The Airy function of the second kind for negative arguments and the exponentially scaled Airy function of the second kind, eζBi(X), for positive arguments where ζ = − 32 X 3/ 2 Required Arguments X — Argument for which the Airy function value is desired. (Input) FORTRAN 90 Interface Generic: BIE (X) Specific: The specific interface names are S_BIE and D_BIE. FORTRAN 77 Interface Single: BIE (X) Double: The double precision name is DBIE. Description The exponentially scaled Airy function of the second kind is defined to be 162 • Chapter 8: Airy Functions MATH LIBRARY Special Functions ⎧⎪Bi ( x ) if x ≤ 0 BIE ( x ) = ⎨ 3/ 2 −[ 2 / 3] x Bi ( x ) if x > 0 ⎪⎩e If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, then the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Example In this example, BIE(0.49) is computed and printed. USE BIE_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.49 VALUE = BIE(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BIE(', F6.3, ') = ', F6.3) END Output BIE( 0.490) = 0.675 AIDE This function evaluates the exponentially scaled derivative of the Airy function. Function Return Value AIDE — Function value. (Output) The derivative of the Airy function for negative arguments and the exponentially scaled derivative of the Airy function, eζAi′(X), for positive arguments where ζ = − 23 X 3/2 Required Arguments X — Argument for which the Airy function value is desired. (Input) Chapter 8: Airy Functions AIDE • 163 FORTRAN 90 Interface Generic: AIDE (X) Specific: The specific interface names are S_AIDE and D_AIDE. FORTRAN 77 Interface Single: AIDE (X) Double: The double precision name is DAIDE. Description The exponentially scaled derivative of the Airy function is defined to be if x ≤ 0 ⎪⎧Ai′ ( x ) AIDE ( x ) = ⎨ [ 2 / 3] x3/ 2 Ai′ ( x ) if x > 0 ⎪⎩e If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, then the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Example In this example, AIDE(0.49) is computed and printed. USE AIDE_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.49 VALUE = AIDE(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' AIDE(', F6.3, ') = ', F6.3) END Output AIDE( 0.490) = -0.284 BIDE This function evaluates the exponentially scaled derivative of the Airy function of the second kind. 164 • Chapter 8: Airy Functions MATH LIBRARY Special Functions Function Return Value BIDE — Function value. (Output) The derivative of the Airy function of the second kind for negative arguments and the exponentially scaled derivative of the Airy function of the second kind, eζBi′(X), for positive arguments where ζ = − 32 X 3 / 2 Required Arguments X — Argument for which the Airy function value is desired. (Input) FORTRAN 90 Interface Generic: BIDE (X) Specific: The specific interface names are S_BIDE and D_BIDE. FORTRAN 77 Interface Single: BIDE (X) Double: The double precision name is DBIDE. Description The exponentially scaled derivative of the Airy function of the second kind is defined to be ⎧⎪Bi′ ( x ) if x ≤ 0 BIDE ( x ) = ⎨ −[ 2 / 3] x3 / 2 Bi′ ( x ) if x > 0 ⎪⎩e If x < −1.31ε−2/3, then the answer will have no precision. If x < −1.31ε−1/3, then the answer will be less accurate than half precision. Here, ε = AMACH(4) is the machine precision. Example In this example, BIDE(0.49) is computed and printed. USE BIDE_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.49 Chapter 8: Airy Functions BIDE • 165 VALUE = BIDE(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' BIDE(', F6.3, ') = ', F6.3) END Output BIDE( 0.490) = 0.430 CAI This function evaluates the Airy function of the first kind for complex arguments. Function Return Value CAI — Complex function value. (Output) Required Arguments Z — Complex argument for which the Airy function is desired. (Input) Optional Arguments SCALING — Logical argument specifying whether or not the scaling function will be applied to the Ai(z) function value. (Input) Default: SCALING = .false. FORTRAN 90 Interface Generic: CAI (Z) Specific: The specific interface names are C_CAI and Z_CAI. Description 2 d w = zw . The mathematical 2 dz development and algorithm, 838, used here are found in the work by Fabijonas et al. Function CAI returns the complex values of Ai(z). The Airy function Ai(z) is a solution of the differential equation An optional argument, SCALING, defines a scaling function s ( z ) that multiplies the results. This scaling function is 166 • Chapter 8: Airy Functions MATH LIBRARY Special Functions Scaling Action .false. s(z) = 1 .true. s ( z ) = e[ 2 / 3] z 3 / 2 Comments Informational error Type Code 2 1 2 2 The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially small; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially large; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. Example In this example, Ai(0.49, 0.49) is computed and printed. USE CAI_INT USE UMACH_INT IMPLICIT NONE ! Declare variables INTEGER COMPLEX NOUT Y, Z, W ! Compute W = CMPLX(0.49,0.49) Y = CAI(W) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99998) W, Y ! 99998 FORMAT(12x,"CAI(",F6.3 ", ",F6.3 ") = End ( ",F6.3, ", ",F6.3," )" ) Output CAI( 0.490, 0.490) = ( 0.219, -0.113 ) CBI This function evaluates the Airy function of the second kind for complex arguments. Function Return Value CBI — Complex function value. (Output) Chapter 8: Airy Functions CBI • 167 Required Arguments Z — Complex argument for which the Airy function value is desired. (Input) Optional Arguments SCALING — Logical argument specifying whether or not the scaling function will be applied to the Ai(z) function value used to compute Bi(z). (Input) Default: SCALING = .false. FORTRAN 90 Interface Generic: CBI (Z) Specific: The specific interface names are C_CBI and Z_CBI. Description The Airy function of the second kind Bi(z) is expressed using the connection formula Bi ( z ) = e −π i / 6 Ai( ze −2π i / 3 ) + eπ i / 6 Ai( ze 2π i / 3 ) using function CAI for Ai(z). An optional argument, SCALING, defines a scaling function s ( z ) that multiplies the results. This scaling function is Scaling Action .false. s ( z) = 1 .true. s ( z ) = e[ 2 / 3] z 3 / 2 The values for Bi(z) are returned with the scaling for Ai(z). Comments Informational error Type Code 2 1 2 2 The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially small; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially large; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. Example In this example, Bi(0.49, 0.49) is computed and printed. 168 • Chapter 8: Airy Functions MATH LIBRARY Special Functions USE CBI_ INT USE UMACH_INT IMPLICIT NONE ! Declare variables INTEGER COMPLEX NOUT Y, Z, W ! Compute W = CMPLX(0.49,0.49) Y = CBI(W) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99998) W, Y ! 99998 FORMAT(12x,"CBI(",F6.3 ", ",F6.3 ") = End ( ",F6.3, ", ",F6.3," )" ) Output CBI( 0.490, 0.490) = ( 0.802, 0.243 ) CAID This function evaluates the derivative of the Airy function of the first kind for complex arguments. Function Return Value CAID — Complex function value. (Output) Required Arguments Z — Complex argument for which the Airy function value is desired. (Input) Optional Arguments SCALING — Logical argument specifying whether or not the scaling function will be applied to the Ai′(z) function value. (Input) Default: SCALING = .false. FORTRAN 90 Interface Generic: Specific: C_CAID (Z) The specific interface names are C_CAID and Z_CAID. Chapter 8: Airy Functions CAID • 169 Description The function Ai′(z) is defined to be the derivative of the Airy function, Ai(z) (see CAI). An optional argument, SCALING, defines a scaling function s ( z ) that multiplies the results. This scaling function is Scaling Action .false. s ( z) = 1 .true. s ( z ) = e[ 2 / 3] z 3/ 2 Comments Informational error Type Code 2 1 2 2 The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially small; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially large; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. Example In this example, Ai (0.49, 0.49) and Ai′(0.49, 0.49) are computed and printed. USE CAID_INT USE CAI_INT USE UMACH_INT IMPLICIT NONE ! Declare variables INTEGER COMPLEX NOUT Y, Z, W, Z ! Compute W = CMPLX(0.49,0.49) Y = CAI(W) Z = CAID(W) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99998) W, Y WRITE (NOUT,99997) W, Z ! 99997 99998 FORMAT(12x,"CAID(",F6.3 ", ",F6.3 ") = ( ",F6.3, ", ",F6.3," )" ) FORMAT(12x,"CAI(",F6.3 ", ",F6.3 ") = ( ",F6.3, ", ",F6.3," )" ) End 170 • Chapter 8: Airy Functions MATH LIBRARY Special Functions Output CAI( 0.490, 0.490) = ( 0.219, -0.113 ) CAID( 0.490, 0.490) = ( -0.240, 0.064 ) CBID This function evaluates the derivative of the Airy function of the second kind for complex arguments. Function Return Value CBID — Complex function value. (Output) Required Arguments Z — Complex argument for which the Airy function value is desired. (Input) Optional Arguments SCALING — Logical argument specifying whether or not the scaling function will be applied to the Ai′(z) function value used to compute Bi′(z). (Input) Default: SCALING = .false. FORTRAN 90 Interface Generic: CBID (Z) Specific: The specific interface names are C_CBID and Z_CBID. Description The function Bi′(z) is defined to be the derivative of the Airy function of the second kind, Bi(z), (see CBI), expressed using the connection formula Bi′ ( z ) = e −5π i / 6 Ai′( ze −2π i / 3 ) + e5π i / 6 Ai′( ze 2π i / 3 ) using function CAID for Ai′(z). An optional argument, SCALING, defines a scaling function s ( z ) that multiplies the results. This scaling function is Chapter 8: Airy Functions CBID • 171 Scaling Action .false. s(z) = 1 .true. s ( z ) = e[ 2 / 3] z 3 / 2 The values for Bi′(z) are returned with the scaling for Ai′(z). Comments Informational error Type Code 2 1 2 2 The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially small; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. The real part of (2/3) × Z (3/2) was too large in the region where the function is exponentially large; function values were set to zero to avoid underflow. Try supplying the optional argument SCALING. Example In this example, Bi′(0.49, 0.49) is computed and printed. USE CBID_INT USE UMACH_INT IMPLICIT NONE ! Declare variables INTEGER COMPLEX NOUT Y, Z, W ! Compute W = CMPLX(0.49,0.49) Y = CBID(W) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99998) W, Y ! 99998 FORMAT(12x,"CBID(",F6.3 ", ",F6.3 ") = End ( ",F6.3, ", ",F6.3," )" ) Output CBID( 0.490, 172 • Chapter 8: Airy Functions 0.490) = ( 0.411, 0.180 ) MATH LIBRARY Special Functions Chapter 9: Elliptic Integrals Routines Evaluates the complete elliptic integral of the first kind, K(x) ... ELK Evaluates the complete elliptic integral of the second kind, E(x) ........................................................................................... ELE Evaluates Carlson’s elliptic integral of the first kind, RF(x, y, z) ................................................................................ELRF Evaluates Carlson’s elliptic integral of the second kind, RD(x, y, z)............................................................................... ELRD Evaluates Carlson’s elliptic integral of the third kind, RJ(x, y, z) ................................................................................ ELRJ Evaluates a special case of Carlson’s elliptic integral, RC(x, y, z) ............................................................................... ELRC 175 177 178 179 181 183 Usage Notes The notation used in this chapter follows that of Abramowitz and Stegun (1964) and Carlson (1979). The complete elliptic integral of the first kind is K ( m) = ∫ π /2 0 (1− m sin θ ) 2 −1/ 2 dθ and the complete elliptic integral of the second kind is E (m) = ∫ π /2 0 1/ 2 (1− m sin θ ) 2 dθ Instead of the parameter m, the modular angle α is sometimes used with m = sin2α. Also used is the modulus k with k2 = m. E (k ) = ∫ π /2 0 (1 − k 2 sin 2 θ ) 1/ 2 d θ 1 = RF ( 0,1 − k 2 , 1) − k 2 RD ( 0, 1 − k 2 , 1) 3 Chapter 9: Elliptic Integrals Routines • 173 Carlson Elliptic Integrals The Carlson elliptic integrals are defined by Carlson (1979) as follows: RF ( x, y, z ) = 1 ∞ dt ∫ 0 2 ⎡( t + x )( t + y )( t + z ) ⎤1/ 2 ⎣ ⎦ RC ( x, y ) = 1 ∞ dt ∫ 0 2 ⎡( t + x )( t + y )2 ⎤1/ 2 ⎣ ⎦ 3 ∞ dt ∫ 0 2 ⎡( t + x )( t + y )( t + z )( t + ρ )2 ⎤1/ 2 ⎣ ⎦ RJ ( x, y, z , ρ ) = RD ( x, y, z ) = 3 ∞ dt ∫ 0 2 ⎡( t + x )( t + y )( t + z )3 ⎤1/ 2 ⎣ ⎦ The standard Legendre elliptic integrals can be written in terms of the Carlson functions as follows (these relations are from Carlson (1979)): F (φ , k ) = ∫ (1 − k 2 sin 2 θ ) φ −1/ 2 0 dθ = ( sin φ ) RF ( cos 2 φ , 1 − k 2 sin 2 φ , 1) 1/ 2 E (φ , k ) = ∫ (1 − k 2 sin 2θ ) φ 0 dθ 1 3 = ( sin φ ) RF ( cos 2 φ , 1 − k 2 sin 2 φ , 1) − k 2 ( sin φ ) RD ( cos 2 φ , 1 − k 2 sin 2 φ , 1) 3 ∏ (φ , k , n ) = ∫ (1 + n sin 2θ ) φ 0 −1 (1− k 2 sin 2θ ) −1/ 2 dθ = ( sin φ ) RF ( cos 2 φ , 1 − k 2 sin 2 φ , 1) − D (φ , k ) = ∫ φ 0 = n 3 ( sin φ ) RJ ( cos 2 φ , 1− k 2 sin 2 φ , 1,1+ n sin 2 φ ) 3 sin 2 θ (1 − k 2 sin 2 θ ) −1/ 2 dθ 1 3 ( sin φ ) RD ( cos 2 φ , 1 − k 2 sin 2 φ , 1) 3 K (k ) = ∫ (1 − k π /2 0 2 sin 2 θ ) −1/ 2 d θ = RF ( 0, 1 − k 2 , 1) ∫ (1 − k sin θ ) d θ 1 = R ( 0, 1 − k , 1) − k R ( 0,1 − k , 1) 3 E (k ) = π /2 2 2 0 2 F 174 • Chapter 9: Elliptic Integrals 1/ 2 2 2 D MATH LIBRARY Special Functions The function RC(x, y) is related to inverse trigonometric and inverse hyperbolic functions. ⎡⎛ 1 + x ⎞ ln x = ( x −1) Rc ⎢⎜ ⎟, ⎣⎝ 2 ⎠ sin −1 x = xRc (1 − x 2 ,1) ⎤ x⎥ ⎦ sinh −1 x = xRc (1 + x 2 ,1) 0< x<∞ −1 ≤ x ≤ 1 −∞ < x<∞ cos −1 x = 1 − x 2 Rc ( x 2 ,1) 0 ≤ x ≤1 cosh −1 x = x 2 − 1 Rc ( x 2 ,1) 1≤ x < ∞ tan x = xRc (1,1 + x −1 2 ) tanh −1 x = xRc (1,1 − x 2 ) −∞ < x < ∞ −1 < x < 1 cot −1 x = Rc ( x 2 , x 2 + 1) 0< x<∞ coth −1 x = Rc ( x 2 , x 2 −1) 1< x < ∞ ELK This function evaluates the complete elliptic integral of the kind K(x). Function Return Value ELK — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) X must be greater than or equal to 0 and less than 1. FORTRAN 90 Interface Generic: ELK (X) Specific: The specific interface names are S_ELK and D_ELK. FORTRAN 77 Interface Single: ELK (X) Double: The double precision name is DELK. Description The complete elliptic integral of the first kind is defined to be Chapter 9: Elliptic Integrals ELK • 175 K ( x) = ∫ dθ π /2 0 1/ 2 2 ⎣⎡1 − x sin θ ⎦⎤ for 0 ≤ x < 1 The argument x must satisfy 0 ≤ x < 1; otherwise, ELK is set to b = AMACH(2), the largest representable floating-point number. The function K(x) is computed using the routine ELRF and the relation K(x) = RF(0, 1 − x, 1). Figure 9- 1 Plot of K(x) and E(x) Example In this example, K(0) is computed and printed. USE ELK_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.0 VALUE = ELK(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ELK(', F6.3, ') = ', F6.3) END 176 • Chapter 9: Elliptic Integrals MATH LIBRARY Special Functions Output ELK( 0.000) = 1.571 ELE This function evaluates the complete elliptic integral of the second kind E(x). Function Return Value ELE — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) X must be greater than or equal to 0 and less than or equal to 1. FORTRAN 90 Interface Generic: ELE (X) Specific: The specific interface names are S_ELE and D_ELE. FORTRAN 77 Interface Single: ELE (X) Double: The double precision name is DELE. Description The complete elliptic integral of the second kind is defined to be E ( x) = ∫ π /2 0 1/ 2 2 ⎣⎡1 − x sin θ ⎦⎤ dθ for 0 ≤ x < 1 The argument x must satisfy 0 ≤ x < 1; otherwise, ELE is set to b = AMACH(2), the largest representable floating-point number. The function E(x) is computed using the routines ELRF and ELRD. The computation is done using the relation x E ( x ) = RF ( 0, 1 − x, 1) − RD ( 0, 1 − x, 1) 3 For a plot of E(x), see Figure 9.1. Chapter 9: Elliptic Integrals ELE • 177 Example In this example, E(0.33) is computed and printed. USE ELE_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X ! Declare variables ! Compute X = 0.33 VALUE = ELE(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' ELE(', F6.3, ') = ', F6.3) END Output ELE( 0.330) = 1.432 ELRF This function evaluates Carlson’s incomplete elliptic integral of the first kind RF(X, Y, Z). Function Return Value ELRF — Function value. (Output) Required Arguments X — First variable of the incomplete elliptic integral. (Input) It must be nonnegative Y — Second variable of the incomplete elliptic integral. (Input) It must be nonnegative. Z — Third variable of the incomplete elliptic integral. (Input) It must be nonnegative. FORTRAN 90 Interface Generic: ELRF (X, Y, Z) Specific: The specific interface names are S_ELRF and D_ELRF. 178 • Chapter 9: Elliptic Integrals MATH LIBRARY Special Functions FORTRAN 77 Interface Single: ELRF (X, Y, Z) Double: The double precision name is DELRF. Description The Carlson’s complete elliptic integral of the first kind is defined to be RF ( x, y, z ) = 1 ∞ dt 2 ∫0 ⎡( t + x )( t + y )( t + z ) ⎤1/ 2 ⎣ ⎦ The arguments must be nonnegative and less than or equal to b/5. In addition, x + y, x + z, and y + z must be greater than or equal to 5s. Should any of these conditions fail, ELRF is set to b. Here, b = AMACH(2) is the largest and s = AMACH(1) is the smallest representable floating-point number. The function ELRF is based on the code by Carlson and Notis (1981) and the work of Carlson (1979). Example In this example, RF(0, 1, 2) is computed and printed. USE ELRF_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X, Y, Z ! Declare variables ! Compute X Y Z VALUE = = = = 0.0 1.0 2.0 ELRF(X, Y, Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, Y, Z, VALUE 99999 FORMAT (' ELRF(', F6.3, ',', F6.3, ',', F6.3, ') = ', F6.3) END Output ELRF( 0.000, 1.000, 2.000) = 1.311 ELRD This function evaluates Carlson’s incomplete elliptic integral of the second kind RD(X, Y, Z). Chapter 9: Elliptic Integrals ELRD • 179 Function Return Value ELRD — Function value. (Output) Required Arguments X — First variable of the incomplete elliptic integral. (Input) It must be nonnegative. Y — Second variable of the incomplete elliptic integral. (Input) It must be nonnegative. Z — Third variable of the incomplete elliptic integral. (Input) It must be positive. FORTRAN 90 Interface Generic: ELRD (X, Y, Z) Specific: The specific interface names are S_ELRD and D_ELRD. FORTRAN 77 Interface Single: ELRD (X, Y, Z) Double: The double precision name is DELRD. Description The Carlson’s complete elliptic integral of the second kind is defined to be RD ( x, y, z ) = 3 ∞ dt 2 ∫0 ⎡( t + x )( t + y )( t + z )3 ⎤1/ 2 ⎣ ⎦ The arguments must be nonnegative and less than or equal to 0.69(−ln ε)1/9 s−2/3 where ε = AMACH(4) is the machine precision, s = AMACH(1) is the smallest representable positive number. Furthermore, x + y and z must be greater than max{3s2/3, 3/b2/3}, where b = AMACH(2) is the largest floating-point number. If any of these conditions are false, then ELRD is set to b. The function ELRD is based on the code by Carlson and Notis (1981) and the work of Carlson (1979). Example In this example, RD(0, 2, 1) is computed and printed. USE ELRD_INT USE UMACH_INT 180 • Chapter 9: Elliptic Integrals MATH LIBRARY Special Functions IMPLICIT NONE INTEGER REAL NOUT VALUE, X, Y, Z ! Declare variables ! Compute X Y Z VALUE = = = = 0.0 2.0 1.0 ELRD(X, Y, Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, Y, Z, VALUE 99999 FORMAT (' ELRD(', F6.3, ',', F6.3, ',', F6.3, ') = ', F6.3) END Output ELRD( 0.000, 2.000, 1.000) = 1.797 ELRJ This function evaluates Carlson’s incomplete elliptic integral of the third kind RJ(X, Y, Z, RHO) Function Return Value ELRJ — Function value. (Output) Required Arguments X — First variable of the incomplete elliptic integral. (Input) It must be nonnegative. Y — Second variable of the incomplete elliptic integral. (Input) It must be nonnegative. Z — Third variable of the incomplete elliptic integral. (Input) It must be nonnegative. RHO — Fourth variable of the incomplete elliptic integral. (Input) It must be positive. FORTRAN 90 Interface Generic: ELRJ (X, Y, Z, RHO) Specific: The specific interface names are S_ELRJ and D_ELRJ. Chapter 9: Elliptic Integrals ELRJ • 181 FORTRAN 77 Interface Single: ELRJ (X, Y, Z, RHO) Double: The double precision name is DELRJ. Description The Carlson’s complete elliptic integral of the third kind is defined to be RJ ( x, y, z , ρ ) = 3 ∞ dt 2 ∫0 ⎡( t + x )( t + y )( t + z )( t + ρ )2 ⎤1/ 2 ⎣ ⎦ The arguments must be nonnegative. In addition, x + y, x + z, y + z and ρ must be greater than or equal to (5s)1/3 and less than or equal to .3(b/5)1/3, where s = AMACH(1) is the smallest representable floating-point number. Should any of these conditions fail, ELRF is set to b = AMACH(2), the largest floating-point number. The function ELRJ is based on the code by Carlson and Notis (1981) and the work of Carlson (1979). Example In this example, RJ(2, 3, 4, 5) is computed and printed. USE ELRJ_INT USE UMACH_INT IMPLICIT NONE ! Declare variables NOUT RHO, VALUE, X, Y, Z ! Compute X = 2.0 Y = 3.0 Z = 4.0 RHO = 5.0 VALUE = ELRJ(X, Y, Z, RHO) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, Y, Z, RHO, VALUE 99999 FORMAT (' ELRJ(', F6.3, ',', F6.3, ',', F6.3, ',', F6.3, & ') = ', F6.3) END INTEGER REAL Output ELRJ( 2.000, 3.000, 4.000, 5.000) = 0.143 182 • Chapter 9: Elliptic Integrals MATH LIBRARY Special Functions ELRC This function evaluates an elementary integral from which inverse circular functions, logarithms and inverse hyperbolic functions can be computed. Function Return Value ELRC — Function value. (Output) Required Arguments X — First variable of the incomplete elliptic integral. (Input) It must be nonnegative and satisfy the conditions given in Comments. Y — Second variable of the incomplete elliptic integral. (Input) It must be positive and satisfy the conditions given in Comments. FORTRAN 90 Interface Generic: ELRC (X, Y) Specific: The specific interface names are S_ELRC and D_ELRC. FORTRAN 77 Interface Single: ELRC (X, Y) Double: The double precision name is DELRC. Description The special case of Carlson’s complete elliptic integral of the first kind is defined to be RC ( x, y ) = 1 ∞ dt ∫ 0 2 ⎡( t + x )( t + y )2 ⎤1/ 2 ⎣ ⎦ The argument x must be nonnegative, y must be positive, and x + y must be less than or equal to b/5 and greater than or equal to 5s. If any of these conditions are false, then ELRC is set to b. Here, b = AMACH(2) is the largest and s = AMACH(1) is the smallest representable floating-point number. The function ELRC is based on the code by Carlson and Notis (1981) and the work of Carlson (1979). Chapter 9: Elliptic Integrals ELRC • 183 Comments The sum X + Y must be greater than or equal to ARGMIN and both X and Y must be less than or equal to ARGMAX. ARGMIN = s * 5 and ARGMAX = b/5, where s is the machine minimum (AMACH(1)) and b is the machine maximum (AMACH(2)). Example In this example, RC(2.25, 2.0) is computed and printed. USE ELRC_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT VALUE, X, Y ! Declare variables ! Compute X = 0.0 Y = 1.0 VALUE = ELRC(X, Y) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, Y, VALUE 99999 FORMAT (' ELRC(', F6.3, ',', F6.3, ') = ', F6.3) END Output ELRC( 0.000, 1.000) = 1.571 184 • Chapter 9: Elliptic Integrals MATH LIBRARY Special Functions Chapter 9: Elliptic Integrals ELRC • 185 Chapter 10: Elliptic and Related Functions Routines 10.1. 10.2. Weierstrass Elliptic and Related Functions Lemninscatic case .................................................................CWPL Lemninscatic case derivative.............................................. CWPLD Equianharmonic case ...........................................................CWPQ Equianharmonic case derivative........................................ CWPQD 188 189 190 192 Jacobi Elliptic Functions Jacobi function sn(x, m) (real argument) ................................EJSN Jacobi function cn(x, m) (real argument) ................................EJCN Jacobi function dn(x, m) (real argument)................................EJDN 193 195 197 Usage Notes Elliptic functions are doubly periodic, single-valued complex functions of a single variable that are analytic, except at a finite number of poles. Because of the periodicity, we need consider only the fundamental period parallelogram. The irreducible number of poles, counting multiplicities, is the order of the elliptic function. The simplest, non-trivial, elliptic functions are of order two. The Weierstrass elliptic functions, ℘(z, ω, ω′) have a double pole at z = 0 and so are of order two. Here, 2ω and 2ω′ are the periods. The Jacobi elliptic functions each have two simple poles and so are also of order two. The period of the functions is as follows: Function sn(x, m) cn(x, m) dn(x, m) Periods 4K(m) 2iK′(m) 4K(m) 4iK′(m) 2K(m) 4iK′(m) The function K(m) is the complete elliptic integral, see ELK, and K′(m) = K(1 − m). Chapter 10: Elliptic and Related Functions Routines • 187 CWPL This function evaluates the Weierstrass’ ℘ function in the lemniscatic case for complex argument with unit period parallelogram. Function Return Value CWPL — Complex function value. (Output) Required Arguments Z — Complex argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CWPL (Z) Specific: The specific interface names are C_CWPL and Z_CWPL. FORTRAN 77 Interface Complex: CWPL (Z) Double complex: The double complex name is ZWPL. Description The Weierstrass’ ℘ function, ℘(z) = ℘(z | ω, ω′), is an elliptic function of order two with periods 2ω and 2ω′ and a double pole at z = 0. CWPL(Z) computes ℘(z | ω, ω′) with 2ω = 1 and 2ω′ = i. The input argument is first reduced to the fundamental parallelogram of all z satisfying −1/2 ≤ ℜz ≤ 1/2 and −1/2 ≤ ℑz ≤ 1/2. Then, a rational approximation is used. All arguments are valid with the exception of the lattice points z = m + ni, which are the poles of CWPL. If the argument is a lattice point, then b = AMACH(2) , the largest floating-point number, is returned. If the argument has modulus greater than 10ε−1, then NaN (not a number) is returned. Here, ε = AMACH(4) is the machine precision. Function CWPL is based on code by Eckhardt (1980). Also, see Eckhardt (1977). Example In this example, ℘(0.25 + 0.25i) is computed and printed. USE CWPL_INT USE UMACH_INT IMPLICIT NONE INTEGER NOUT ! Declare variables 188 • Chapter 10: Elliptic and Related Functions MATH LIBRARY Special Functions COMPLEX VALUE, Z ! Compute Z = (0.25, 0.25) VALUE = CWPL(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' CWPL(', F6.3, ',', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output CWPL( 0.250, 0.250) = ( 0.000,-6.875) CWPLD This function evaluates the first derivative of the Weierstrass’ ℘ function in the lemniscatic case for complex argument with unit period parallelogram. Function Return Value CWPLD — Complex function value. (Output) Required Arguments Z — Complex argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CWPLD (Z) Specific: The specific interface names are C_CWPLD and Z_CWPLD. FORTRAN 77 Interface Complex: CWPLD (Z) Double complex: The double complex name is ZWPLD. Description The Weierstrass’ ℘ function, ℘(z) = ℘(z | ω, ω′), is an elliptic function of order two with periods 2ω and 2ω′ and a double pole at z = 0. CWPLD(Z) computes the derivative of ℘(z | ω, ω′) with 2ω = 1 and 2ω′ = i. CWPL computes ℘(z | ω, ω′). The input argument is first reduced to the fundamental parallelogram of all z satisfying −1/2 ≤ ℜz ≤ 1/2 and −1/2 ≤ ℑz ≤ 1/2. Then, a rational approximation is used. Chapter 10: Elliptic and Related Functions CWPLD • 189 All arguments are valid with the exception of the lattice points z = m + ni, which are the poles of CWPL. If the argument is a lattice point, then b = AMACH(2), the largest floating-point number, is returned. Function CWPLD is based on code by Eckhardt (1980). Also, see Eckhardt (1977). Example In this example, ℘(0.25 + 0.25i) is computed and printed. USE CWPLD_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (0.25, 0.25) VALUE = CWPLD(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' CWPLD(', F6.3, ',', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output CWPLD( 0.250, 0.250) = (36.054,36.054) CWPQ This function evaluates the Weierstrass’ ℘ function in the equianharmonic case for complex argument with unit period parallelogram. Function Return Value CWPQ — Complex function value. (Output) Required Arguments Z — Complex argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CWPQ (Z) Specific: The specific interface names are C_CWPQ and Z_CWPQ. 190 • Chapter 10: Elliptic and Related Functions MATH LIBRARY Special Functions FORTRAN 77 Interface Complex: CWPQ (Z) Double complex: The double complex name is ZWPQ. Description The Weierstrass’ ℘ function, ℘(z) = ℘(z | ω, ω′), is an elliptic function of order two with periods 2ω and 2ω′ and a double pole at z = 0. CWPQ(Z) computes ℘(z | ω, ω′) with 4ω = 1 − i 3 and 4ω ′ = 1 + i 3 The input argument is first reduced to the fundamental parallelogram of all z satisfying −1/ 2 ≤ ℜz ≤ 1/ 2 and − 3 / 4 ≤ ℑz ≤ 3 / 4 Then, a rational approximation is used. All arguments are valid with the exception of the lattice points ( ) ( z = m 1− i 3 + n 1+ i 3 ) which are the poles of CWPQ. If the argument is a lattice point, then b = AMACH(2), the largest floating-point number, is returned. If the argument has modulus greater than 10ε−1, then NaN (not a number) is returned. Here, ε = AMACH(4) is the machine precision. Function CWPQ is based on code by Eckhardt (1980). Also, see Eckhardt (1977). Example In this example, ℘(0.25 + 0.14437567i) is computed and printed. USE CWPQ_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (0.25, 0.14437567) VALUE = CWPQ(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' CWPQ(', F6.3, ',', F6.3, ') = (', & F7.3, ',', F7.3, ')') END Output CWPQ( 0.250, 0.144) = ( 5.895,-10.216) Chapter 10: Elliptic and Related Functions CWPQ • 191 CWPQD This function evaluates the first derivative of the Weierstrass’ ℘ function in the equianharmonic case for complex argument with unit period parallelogram. Function Return Value CWPQD — Complex function value. (Output) Required Arguments Z — Complex argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: CWPQD (Z) Specific: The specific interface names are C_CWPQD and Z_CWPQD. FORTRAN 77 Interface Complex: CWPQD (Z) Double complex: The double complex name is ZWPQD. Description The Weierstrass’ ℘ function, ℘(z) = ℘(z | ω, ω′), is an elliptic function of order two with periods 2ω and 2ω′ and a double pole at z = 0. CWPQD(Z) computes the derivative of ℘(z | ω, ω′) with 4ω = 1 − i 3 and 4ω ′ = 1 + i 3 CWPQ computes ℘(z | ω, ω′). The input argument is first reduced to the fundamental parallelogram of all z satisfying −1/ 2 ≤ ℜz ≤ 1/ 2 and − 3 / 4 ≤ ℑz ≤ 3 / 4 Then, a rational approximation is used. All arguments are valid with the exception of the lattice points ( ) ( z = m 1− i 3 + n 1+ i 3 ) which are the poles of CWPQ. If the argument is a lattice point, then b = AMACH(2), the largest floating-point number, is returned. Function CWPQD is based on code by Eckhardt (1980). Also, see Eckhardt (1977). 192 • Chapter 10: Elliptic and Related Functions MATH LIBRARY Special Functions Example In this example, ℘(0.25 + 0.14437567i) is computed and printed. USE CWPQD_INT USE UMACH_INT IMPLICIT NONE INTEGER COMPLEX NOUT VALUE, Z ! Declare variables ! Compute Z = (0.25, 0.14437567) VALUE = CWPQD(Z) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, VALUE 99999 FORMAT (' CWPQD(', F6.3, ',', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output CWPQD( 0.250, 0.144) = ( 0.028,85.934) EJSN This function evaluates the Jacobi elliptic function sn(x, m). Function Return Value EJSN — Real or complex function value. (Output) Required Arguments X — Real or complex argument for which the function value is desired. (Input) AM — Parameter of the elliptic function (m = k2). (Input) FORTRAN 90 Interface Generic: EJSN (X, AM) Specific: The specific interface names are S_EJSN, D_EJSN, C_EJSN, and Z_EJSN FORTRAN 77 Interface Single: EJSN (X, AM) Chapter 10: Elliptic and Related Functions EJSN • 193 Double: The double precision name is DEJSN. Complex: The complex name is CEJSN. Double Complex: The double complex name is ZEJSN. Description The Jacobi elliptic function sn(x, m) = sin φ, where the amplitude φ is defined by the following: x=∫ dθ φ 0 (1 − m sin θ ) 2 1 2 The function sn(x, m) is computed by first applying, if necessary, a Jacobi transformation so that the parameter, m, is between zero and one. Then, a descending Landen (Gauss) transform is applied until the parameter is small. The small parameter approximation is then applied. Comments Informational errors Type Code 3 2 3 2 3 3 3 5 The result is accurate to less than one half precision because |X| is too large. The result is accurate to less than one half precision because |REAL (Z)| is too large. The result is accurate to less than one half precision because |AIMAG (Z)| is too large. Landen transform did not converge. Result may not be accurate. This should never occur. Example 1 In this example, sn(1.5, 0.5) is computed and printed. USE EJSN_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT AM, VALUE, X ! Declare variables ! Compute AM = 0.5 X = 1.5 VALUE = EJSN(X, AM) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, AM, VALUE 99999 FORMAT (' EJSN(', F6.3, ',', F6.3, ') = ', F6.3) END 194 • Chapter 10: Elliptic and Related Functions MATH LIBRARY Special Functions Output EJSN( 1.500, 0.500) = 0.968 Additional Example Example 2 In this example, sn(1.5 + 0.3i, 0.5) is computed and printed. USE EJSN_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL COMPLEX NOUT AM VALUE, Z ! Declare variables ! Compute Z = (1.5, 0.3) AM = 0.5 VALUE = EJSN(Z, AM) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, AM, VALUE 99999 FORMAT (' EJSN((', F6.3, ',', F6.3, '), ', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output EJSN(( 1.500, 0.300), 0.500) = ( 0.993, 0.054) EJCN This function evaluates the Jacobi elliptic function cn(x, m). Function Return Value EJCN — Real or complex function value. (Output) Required Arguments X — Real or complex argument for which the function value is desired. (Input) AM — Parameter of the elliptic function (m = k2). (Input) FORTRAN 90 Interface Generic: EJCN (X, AM) Chapter 10: Elliptic and Related Functions EJCN • 195 The specific interface names are S_EJCN, D_EJCN, C_EJCN, and Z_EJCN. Specific: FORTRAN 77 Interface Single: EJCN (X, AM) Double: The double precision name is DEJCN. Complex: The complex name is CEJCN. Double Complex: The double complex name is ZEJCN. Description The Jacobi elliptic function cn(x, m) = cos φ, where the amplitude φ is defined by the following: x=∫ dθ φ 0 (1 − m sin θ ) 2 1 2 The function cn(x, m) is computed by first applying, if necessary, a Jacobi transformation so that the parameter, m, is between zero and one. Then, a descending Landen (Gauss) transform is applied until the parameter is small. The small parameter approximation is then applied. Comments Informational errors Type Code 3 2 3 2 3 3 3 5 The result is accurate to less than one half precision because |X| is too large. The result is accurate to less than one half precision because |REAL (Z)| is too large. The result is accurate to less than one half precision because |AIMAG (Z)| is too large. Landen transform did not converge. Result may not be accurate. This should never occur. Example 1 In this example, cn(1.5, 0.5) is computed and printed. USE EJCN_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT AM, VALUE, X ! Declare variables ! Compute AM X = 0.5 = 1.5 196 • Chapter 10: Elliptic and Related Functions MATH LIBRARY Special Functions VALUE = EJCN(X, AM) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, AM, VALUE 99999 FORMAT (' EJCN(', F6.3, ',', F6.3, ') = ', F6.3) END Output EJCN( 1.500, 0.500) = 0.250 Additional Example Example 2 In this example, cn(1.5 + 0.3i, 0.5) is computed and printed. USE EJCN_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL COMPLEX NOUT AM VALUE, Z ! Declare variables ! Compute Z = (1.5, 0.3) AM = 0.5 VALUE = EJCN(Z, AM) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, AM, VALUE 99999 FORMAT (' EJCN((', F6.3, ',', F6.3, '), ', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output EJCN(( 1.500, 0.300), 0.500) = ( 0.251,-0.212) EJDN This function evaluates the Jacobi elliptic function dn(x, m). Function Return Value EJDN — Real or complex function value. (Output) Required Arguments X — Real or complex argument for which the function value is desired. (Input) Chapter 10: Elliptic and Related Functions EJDN • 197 AM — Parameter of the elliptic function (m = k2). (Input) FORTRAN 90 Interface Generic: EJDN (X, AM) Specific: The specific interface names are S_EJDN, D_EJDN, C_EJDN, and Z_EJDN. FORTRAN 77 Interface Single: EJDN (X, AM) Double: The double precision name is DEJDN. Complex: The complex precision name is CEJDN. Double Complex: The double complex precision name is ZEJDN. Description The Jacobi elliptic function dn(x, m) = (1 − m sin2 φ) 2 , where the amplitude φ is defined by the following: 1 x=∫ φ 0 dθ (1 − m sin θ ) 2 1 2 The function dn(x, m) is computed by first applying, if necessary, a Jacobi transformation so that the parameter, m, is between zero and one. Then, a descending Landen (Gauss) transform is applied until the parameter is small. The small parameter approximation is then applied. Comments Informational errors Type Code 3 2 3 2 3 3 3 5 The result is accurate to less than one half precision because |X| is too large. The result is accurate to less than one half precision because |REAL (Z)| is too large. The result is accurate to less than one half precision because |AIMAG (Z)| is too large. Landen transform did not converge. Result may not be accurate. This should never occur. Example 1 In this example, dn(1.5, 0.5) is computed and printed. USE EJDN_INT 198 • Chapter 10: Elliptic and Related Functions MATH LIBRARY Special Functions USE UMACH_INT IMPLICIT NONE INTEGER REAL NOUT AM, VALUE, X ! Declare variables ! Compute AM = 0.5 X = 1.5 VALUE = EJDN(X, AM) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, AM, VALUE 99999 FORMAT (' EJDN(', F6.3, ',', F6.3, ') = ', F6.3) END Output EJDN( 1.500, 0.500) = 0.729 Additional Example Example 2 In this example, dn(1.5 + 0.3i, 0.5) is computed and printed. USE EJDN_INT USE UMACH_INT IMPLICIT NONE INTEGER REAL COMPLEX NOUT AM VALUE, Z ! Declare variables ! Compute Z = (1.5, 0.3) AM = 0.5 VALUE = EJDN(Z, AM) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) Z, AM, VALUE 99999 FORMAT (' EJDN((', F6.3, ',', F6.3, '), ', F6.3, ') = (', & F6.3, ',', F6.3, ')') END Output EJDN(( 1.500, 0.300), 0.500) = ( 0.714,-0.037) Chapter 10: Elliptic and Related Functions EJDN • 199 200 • Chapter 10: Elliptic and Related Functions MATH LIBRARY Special Functions Chapter 11: Probability Distribution Functions and Inverses Routines 11.1. Discrete Random Variables: Cumulative Distribution Functions and Probability Density Function 207 Binomial cumulative distribution function.............................. BINDF 209 Binomial probability density function .................................... BINPR 211 Geometric cumulative distribution function......................... GEODF 212 Inverse of Geometric cumulative distribution function ......... GEOIN 213 Geometric probability density function................................GEOPR 214 Hypergeometric cumulative distribution function .................HYPDF 216 Hypergeometric probability density function........................HYPPR 218 Poisson cumulative distribution function............................... POIDF 220 Poisson probability density function .....................................POIPR 222 Discrete uniform cumulative distribution function ............... UNDDF Inverse of discrete uniform cumulative 223 distribution function...............................................................UNDIN 224 Discrete uniform probability density function ...................... UNDPR 11.2. Continuous Random Variables: Distribution Functions and Their Inverses Kolmogorov-Smirnov one-sided statistic cumulative distribution function.......................................... AKS1DF Kolmogorov-Smirnov two-sided statistic cumulative distribution function.......................................... AKS2DF Lognormal cumulative distribution function ......................... ALNDF Inverse of the lognormal cumulative distribution function..... ALNIN Lognormal probability density function ................................ ALNPR Normal (Gaussian) cumulative distribution function .........ANORDF Inverse of the normal cumulative distribution function ...... ANORIN Normal (Gaussian) probability density function ............... ANORPR Beta cumulative distribution function ................................... BETDF Inverse of the beta probability density function ................... BETPR Inverse of the beta cumulative distribution function ............. BETIN Bivariate normal cumulative distribution function ................BNRDF Chi-squared probability density function............................... CHIDF Chapter 11: Probability Distribution Functions and Inverses 225 228 230 232 233 234 236 237 238 242 241 244 245 Routines • 201 Inverse of the chi-squared cumulative distribution function ...CHIIN Chi-squared cumulative distribution function ....................... CHIPR Noncentral chi-squared cumulative distribution function..... CSNDF Inverse of the noncentral chi-squared cumulative distribution function .............................................................. CSNIN Exponential distribution cumulative function ....................... EXPDF Inverse of the exponential cumulative distribution function ...............................................................EXPIN Exponential probability density function .............................. EXPPR Extreme value cumulative distribution function................... EXVDF Inverse of the Extreme value cumulative distribution function ...............................................................EXVIN Extreme value probability density function.......................... EXVPR F cumulative distribution function............................................. FDF Inverse of the F cumulative distribution function........................FIN F probability density function.................................................... FPR Gamma cumulative distribution function ............................ GAMDF Inverse of the gamma cumulative distribution function ........GAMIN Gamma probability density function ................................... GAMPR Rayleigh’s cumulative distribution function ..........................RALDF Inverse of the Rayleigh’s cumulative distribution function ....RALIN Rayleigh’s probability density function ................................ RALPR Student’s t cumulative distribution function .............................. TDF Inverse of the Student’s t cumulative distribution function .........TIN Student’s t probability density function..................................... TPR Noncentral Student’s t cumulative distribution function .........TNDF Inverse of the noncentral Student’s t cumulative distribution function ................................................................. TNIN Uniform cumulative distribution function ............................... UNDF Inverse of the uniform cumulative distribution function ...........UNIN Uniform probability density function ...................................... UNPR Weibull cumulative distribution function ..............................WBLDF Inverse of the Weibull cumulative distribution function ........ WBLIN Weibull probability density function .....................................WBLPR 11.3. General Continuous Random Variables Distribution function given ordinates of density..................... GCDF Inverse of distribution function given ordinates of density ..... GCIN Inverse of distribution function given subprogram ............... GFNIN 248 250 251 254 255 257 258 259 260 261 263 265 266 268 270 272 273 274 275 276 278 279 281 283 285 286 287 288 290 291 292 295 298 Usage Notes Definitions and discussions of the terms basic to this chapter can be found in Johnson and Kotz (1969, 1970a, 1970b). These are also good references for the specific distributions. In order to keep the calling sequences simple, whenever possible, the routines in this chapter are written for standard forms of statistical distributions. Hence, the number of parameters for any given distribution may be fewer than the number often associated with the distribution. For example, while a gamma distribution is often characterized by two parameters (or even a third, 202 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions “location”), there is only one parameter that is necessary, the “shape.” The “scale” parameter can be used to scale the variable to the standard gamma distribution. For another example, the functions relating to the normal distribution, ANORDF and ANORIN, are for a normal distribution with mean equal to zero and variance equal to one. For other means and variances, it is very easy for the user to standardize the variables by subtracting the mean and dividing by the square root of the variance. The distribution function for the (real, single-valued) random variable X is the function F defined for all real x by F(x) = Prob(X ≤ x) where Prob(⋅) denotes the probability of an event. The distribution function is often called the cumulative distribution function (CDF). For distributions with finite ranges, such as the beta distribution, the CDF is 0 for values less than the left endpoint and 1 for values greater than the right endpoint. The routines in this chapter return the correct values for the distribution functions when values outside of the range of the random variable are input, but warning error conditions are set in these cases. Discrete Random Variables For discrete distributions, the function giving the probability that the random variable takes on specific values is called the probability function, defined by p(x) = Prob(X = x) The “PR” routines in this chapter evaluate probability functions. The CDF for a discrete random variable is F ( x) = ∑ p (k ) A where A is the set such that k ≤ x. The “DF” routines in this chapter evaluate cumulative distributions functions. Since the distribution function is a step function, its inverse does not exist uniquely. Chapter 11: Probability Distribution Functions and Inverses Usage Notes • 203 Figure 11- 1 Discrete Random Variable In the plot above, a routine like BINPR in this chapter evaluates the individual probability, given X. A routine like BINDF would evaluate the sum of the probabilities up to and including the probability at X. Continuous Distributions For continuous distributions, a probability function, as defined above, would not be useful because the probability of any given point is 0. For such distributions, the useful analog is the probability density function (PDF). The integral of the PDF is the probability over the interval; if the continuous random variable X has PDF f, then Prob ( a < X ≤ b ) = ∫ f ( x ) dx b a The relationship between the CDF and the PDF is F ( x) = ∫ x −∞ f ( t ) dt as shown below. 204 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Figure 11- 2 Probability Density Function The “DF” routines for continuous distributions in this chapter evaluate cumulative distribution functions, just as the ones for discrete distributions. For (absolutely) continuous distributions, the value of F(x) uniquely determines x within the support of the distribution. The “IN” routines in this chapter compute the inverses of the distribution functions; that is, given F(x) (called “P” for “probability”), a routine like BETIN computes x. The inverses are defined only over the open interval (0, 1). Chapter 11: Probability Distribution Functions and Inverses Usage Notes • 205 Figure 11- 3 Cumulative Probability Distribution Function There are two routines in this chapter that deal with general continuous distribution functions. The routine GCDF computes a distribution function using values of the density function, and the routine GCIN computes the inverse. These two routines may be useful when the user has an estimate of a probability density. Additional Comments Whenever a probability close to 1.0 results from a call to a distribution function or is to be input to an inverse function, it is often impossible to achieve good accuracy because of the nature of the representation of numeric values. In this case, it may be better to work with the complementary distribution function (one minus the distribution function). If the distribution is symmetric about some point (as the normal distribution, for example) or is reflective about some point (as the beta distribution, for example), the complementary distribution function has a simple relationship with the distribution function. For example, to evaluate the standard normal distribution at 4.0, using ANORIN directly, the result to six places is 0.999968. Only two of those digits are really useful, however. A more useful result may be 1.000000 minus this value, which can be obtained to six significant figures as 3.16713E−05 by evaluating ANORIN at −4.0. For the normal distribution, the two values are related by Φ(x) = 1 − Φ(−x), where Φ(⋅) is the normal distribution function. Another example is the beta distribution with parameters 2 and 10. This distribution is skewed to the right; so evaluating BETDF at 0.7, we obtain 0.999953. A more precise result is obtained by evaluating BETDF with parameters 10 and 2 at 0.3. This yields 4.72392E−5. (In both of these examples, it is wise not to trust the last digit.) 206 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Many of the algorithms used by routines in this chapter are discussed by Abramowitz and Stegun (1964). The algorithms make use of various expansions and recursive relationships, and often use different methods in different regions. Cumulative distribution functions are defined for all real arguments; however, if the input to one of the distribution functions in this chapter is outside the range of the random variable, an error of Type 1 is issued, and the output is set to zero or one, as appropriate. A Type 1 error is of lowest severity, a “note;” and, by default, no printing or stopping of the program occurs. The other common errors that occur in the routines of this chapter are Type 2, “alert,” for a function value being set to zero due to underflow; Type 3, “warning,” for considerable loss of accuracy in the result returned; and Type 5, “terminal,” for incorrect and/ or inconsistent input, complete loss of accuracy in the result returned, or inability to represent the result (because of overflow). When a Type 5 error occurs, the result is set to NaN (not a number, also used as a missing value code, obtained by IMSL routine AMACH(6). (See the section “User Errors” in the Reference Material.) BINDF This function evaluates the binomial cumulative distribution function. Function Return Value BINDF — Function value, the probability that a binomial random variable takes a value less than or equal to K. (Output) BINDF is the probability that K or fewer successes occur in N independent Bernoulli trials, each of which has a PIN probability of success. Required Arguments K — Argument for which the binomial distribution function is to be evaluated. (Input) N — Number of Bernoulli trials. (Input) PIN — Probability of success on each independent trial. (Input) FORTRAN 90 Interface Generic: BINDF (K, N, PIN) Specific: The specific interface names are S_BINDF and D_BINDF. FORTRAN 77 Interface Single: BINDF (K, N, PIN) Double: The double precision name is DBINDF. Chapter 11: Probability Distribution Functions and Inverses BINDF • 207 Description Function BINDF evaluates the cumulative distribution function of a binomial random variable with parameters n and p where n =N and p =PIN. It does this by summing probabilities of the random variable taking on the specific values in its range. These probabilities are computed by the recursive relationship Pr(X =j ) = (n + 1 − j ) p Pr(X = j − 1) j (1 − p ) To avoid the possibility of underflow, the probabilities are computed forward from 0, if k is not greater than n times p, and are computed backward from n, otherwise. The smallest positive machine number, ε, is used as the starting value for summing the probabilities, which are rescaled by (1 − p)nε if forward computation is performed and by pnε if backward computation is done. For the special case of p = 0, BINDF is set to 1; and for the case p = 1, BINDF is set to 1 if k = n and to 0 otherwise. Comments Informational errors Type Code 1 1 3 4 The input argument, K, is less than zero. The input argument, K, is greater than the number of Bernoulli trials, N. Example Suppose X is a binomial random variable with n = 5 and p = 0.95. In this example, we find the probability that X is less than or equal to 3. USE UMACH_INT USE BINDF_INT IMPLICIT INTEGER REAL NONE K, N, NOUT PIN, PR ! CALL UMACH (2, NOUT) K = 3 N = 5 PIN = 0.95 PR = BINDF(K,N, PIN) WRITE (NOUT,99999) PR 99999 FORMAT (' The probability that X is less than or equal to 3 is ' & , F6.4) END Output The probability that X is less than or equal to 3 is 0.0226 208 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions BINPR This function evaluates the binomial probability density function. Function Return Value BINPR Function value, the probability that a binomial random variable takes a value equal to K. (Output) Required Arguments K — Argument for which the binomial probability function is to be evaluated. (Input) N — Number of Bernoulli trials. (Input) PIN — Probability of success on each independent trial. (Input) FORTRAN 90 Interface Generic: BINPR (K, N, PIN) Specific: The specific interface names are S_BINPR and D_BINPR. FORTRAN 77 Interface Single: BINPR (K, N, PIN) Double: The double precision name is DBINPR. Description The function BINPR evaluates the probability that a binomial random variable with parameters n and p where p =PIN takes on the value k. It does this by computing probabilities of the random variable taking on the values in its range less than (or the values greater than) k. These probabilities are computed by the recursive relationship Pr(X = j ) = (n + 1 − j ) p Pr(X = j − 1) j (1 − p ) To avoid the possibility of underflow, the probabilities are computed forward from 0, if k is not greater than n times p, and are computed backward from n, otherwise. The smallest positive machine number, ε, is used as the starting value for computing the probabilities, which are rescaled by (1 − p)nε if forward computation is performed and by pnε if backward computation is done. For the special case of p = 0, BINPR is set to 0 if k is greater than 0 and to 1 otherwise; and for the case p = 1, BINPR is set to 0 if k is less than n and to 1 otherwise. Chapter 11: Probability Distribution Functions and Inverses BINPR • 209 Figure 11- 4 Binomial Probability Function Comments Informational errors Type Code 1 1 3 4 The input argument, K, is less than zero. The input argument, K, is greater than the number of Bernoulli trials, N. Example Suppose X is a binomial random variable with N = 5 and PIN = 0.95. In this example, we find the probability that X is equal to 3. USE UMACH_INT USE BINPR_INT IMPLICIT NONE INTEGER K, N, NOUT REAL PIN, PR ! CALL UMACH (2, NOUT) K = 3 N = 5 PIN = 0.95 PR = BINPR(K,N,PIN) WRITE (NOUT,99999) PR 99999 FORMAT (' The probability that X is equal to 3 is ', F6.4) END 210 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Output The probability that X is equal to 3 is 0.0214 GEODF This function evaluates the discrete geometric cumulative probability distribution function. Function Return Value GEODF — Function value, the probability that a geometric random variable takes a value less than or equal to IX. (Output) Required Arguments IX — Argument for which the geometric cumulative distribution function is to be evaluated. (Input) PIN — Probability parameter for each independent trial (the probability of success for each independent trial). PIN must be in the open interval (0, 1). (Input) FORTRAN 90 Interface Generic: GEODF (IX, PIN) Specific: The specific interface names are S_GEODF and D_GEODF. FORTRAN 77 Interface Single: GEODF (IX, PIN) Double: The double precision name is DGEODF. Description The function GEODF evaluates the discrete geometric cumulative probability distribution function with parameter p = PIN, defined ⎣⎢ x ⎦⎥ F ( x p ) = ∑ pq i , q = 1 − p, 0 < p < 1 . i =0 The return value is the probability that up to x trials would be observed before observing a success. Example In this example, we evaluate the probability function at IX = 3, PIN = 0.25. Chapter 11: Probability Distribution Functions and Inverses GEODF • 211 USE UMACH_INT USE GEODF_INT IMPLICIT NONE INTEGER NOUT, IX REAL PIN, PR CALL UMACH(2, NOUT) IX = 3 PIN = 0.25e0 PR = GEODF(IX, PIN) WRITE (NOUT, 99999) IX, PIN, PR 99999 FORMAT (' GEODF(', I2, ', ', F4.2, ') = ', F10.6) END Output GEODF( 3, 0.25) = 0.683594 GEOIN This function evaluates the inverse of the geometric cumulative probability distribution function. Function Return Value GEOIN — Integer function value. The probability that a geometric random variable takes a value less than or equal to the returned value is the input probability, P. (Output) Required Arguments P — Probability for which the inverse of the discrete geometric cumulative distibution function is to be evaluated. P must be in the open interval (0, 1). (Input) PIN — Probability parameter for each independent trial (the probability of success for each independent trial). PIN must be in the open interval (0, 1). (Input) FORTRAN 90 Interface Generic: GEOIN (P, PIN) Specific: The specific interface names are S_GEOIN and D_GEOIN. FORTRAN 77 Interface Single: GEOIN (P, PIN) Double: The double precision name is DGEOIN. 212 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Description The function GEOIN evaluates the inverse distribution function of a geometric random variable with parameter PIN. The inverse of the CDF is defined as the smallest integer x such that the geometric CDF is not less than a given value P, 0 < P < 1 . Example In this example, we evaluate the inverse probability function at PIN = 0.25, P = 0.6835. USE UMACH_INT USE GEOIN_INT IMPLICIT NONE INTEGER NOUT, IX REAL P, PIN CALL UMACH(2, NOUT) PIN = 0.25 P = 0.6835 IX = GEOIN(P, PIN) WRITE (NOUT, 99999) P, PIN, IX 99999 FORMAT (' GEOIN(', F4.2, ', ', F6.4 ') = ', I2) END Output GEOIN(0.6835, 0.25) = 3 GEOPR This function evaluates the discrete geometric probability density function. Function Return Value GEOPR — Function value, the probability that a random variable from a geometric distribution having parameter PIN will be equal to IX. (Output) Required Arguments IX — Argument for which the discrete geometric probability density function is to be evaluated. IX must be greater than or equal to 0. (Input) PIN — Probability parameter of the geometric probability function (the probability of success for each independent trial). PIN must be in the open interval (0, 1). (Input) FORTRAN 90 Interface Generic: GEOPR (IX, PIN) Specific: The specific interface names are S_GEOPR and D_GEOPR. Chapter 11: Probability Distribution Functions and Inverses GEOPR • 213 FORTRAN 77 Interface Single: GEOPR (IX, PIN) Double: The double precision name is DGEOPR. Description The function GEOPR evaluates the discrete geometric probability density function, defined f ( x p ) = pq x , q = 1 − p, 0 < p < 1, x = 0,1,..., HUGE (1) , where p = PIN. Example In this example, we evaluate the probability density function at IX = 3, PIN = 0.25. USE UMACH_INT USE GEOPR_INT IMPLICIT NONE INTEGER NOUT, IX REAL PIN, PR CALL UMACH(2, NOUT) IX = 3 PIN = 0.25e0 PR = GEOPR(IX, PIN) WRITE (NOUT, 99999) IX, PIN, PR 99999 FORMAT (' GEOPR(', I2, ', ', F4.2, ') = ', F6.4) END Output GEOPR( 3, 0.25) = 0.1055 HYPDF This function evaluates the hypergeometric cumulative distribution function. Function Return Value HYPDF — Function value, the probability that a hypergeometric random variable takes a value less than or equal to K. (Output) HYPDF is the probability that K or fewer defectives occur in a sample of size N drawn from a lot of size L that contains M defectives. See Comment 1. Required Arguments K — Argument for which the hypergeometric cumulative distribution function is to be evaluated. (Input) 214 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions N — Sample size. (Input) N must be greater than zero and greater than or equal to K. M — Number of defectives in the lot. (Input) L — Lot size. (Input) L must be greater than or equal to N and M. FORTRAN 90 Interface Generic: HYPDF (K, N, M, L) Specific: The specific interface names are S_HYPDF and D_HYPDF. FORTRAN 77 Interface Single: HYPDF (K, N, M, L) Double: The double precision name is DHYPDF. Description The function HYPDF evaluates the cumulative distribution function of a hypergeometric random variable with parameters n, l, and m. The hypergeometric random variable X can be thought of as the number of items of a given type in a random sample of size n that is drawn without replacement from a population of size l containing m items of this type. The probability function is Pr(X = j ) = ( )( ) ( ) l −m n− j m j l n for j = i, i + 1, i + 2,… min(n, m) where i = max(0, n − l + m). If k is greater than or equal to i and less than or equal to min(n, m), HYPDF sums the terms in this expression for j going from i up to k. Otherwise, HYPDF returns 0 or 1, as appropriate. So, as to avoid rounding in the accumulation, HYPDF performs the summation differently depending on whether or not k is greater than the mode of the distribution, which is the greatest integer less than or equal to (m + 1)(n + 1)/(l + 2). Comments 1. If the generic version of this function is used, the immediate result must be stored in a variable before use in an expression. For example: X = HYPDF (K, N, M, L) Y = SQRT(X) must be used rather than Y = SQRT(HYPDF(K, N, M, L)) Chapter 11: Probability Distribution Functions and Inverses HYPDF • 215 If this is too much of a restriction on the programmer, then the specific name can be used without this restriction. 2. Informational errors Type Code 1 1 5 6 The input argument, K, is less than zero. The input argument, K, is greater than the sample size. Example Suppose X is a hypergeometric random variable with N = 100, L = 1000, and M = 70. In this example, we evaluate the distribution function at 7. USE UMACH_INT USE HYPDF_INT IMPLICIT NONE INTEGER K, L, M, N, NOUT REAL DF ! CALL UMACH (2, NOUT) K = 7 N = 100 L = 1000 M = 70 DF = HYPDF(K,N,M,L) WRITE (NOUT,99999) DF 99999 FORMAT (' The probability that X is less than or equal to 7 is ' & , F6.4) END Output The probability that X is less than or equal to 7 is 0.5995 HYPPR This function evaluates the hypergeometric probability density function. Function Return Value HYPPR — Function value, the probability that a hypergeometric random variable takes a value equal to K. (Output) HYPPR is the probability that exactly K defectives occur in a sample of size N drawn from a lot of size L that contains M defectives. See Comment 1. Required Arguments K — Argument for which the hypergeometric probability function is to be evaluated. (Input) 216 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions N — Sample size. (Input) N must be greater than zero and greater than or equal to K. M — Number of defectives in the lot. (Input) L — Lot size. (Input) L must be greater than or equal to N and M. FORTRAN 90 Interface Generic: HYPPR (K, N, M, L) Specific: The specific interface names are S_HYPPR and D_HYPPR. FORTRAN 77 Interface Single: HYPPR (K, N, M, L) Double: The double precision name is DHYPPR. Description The function HYPPR evaluates the probability density function of a hypergeometric random variable with parameters n, l, and m. The hypergeometric random variable X can be thought of as the number of items of a given type in a random sample of size n that is drawn without replacement from a population of size l containing m items of this type. The probability density function is Pr(X = k ) = ( )( ) ( ) l −m n−k m k l n for k = i, i + 1, i + 2,… min(n, m) where i = max(0, n − l + m). HYPPR evaluates the expression using log gamma functions. Comments 1. If the generic version of this function is used, the immediate result must be stored in a variable before use in an expression. For example: X = HYPPR(K, N, M, L) Y = SQRT(X) must be used rather than Y = SQRT(HYPPR(K, N, M, L)) If this is too much of a restriction on the programmer, then the specific name can be used without this restriction. Chapter 11: Probability Distribution Functions and Inverses HYPPR • 217 2. Informational errors Type Code 1 1 5 6 The input argument, K, is less than zero. The input argument, K, is greater than the sample size. Example Suppose X is a hypergeometric random variable with N = 100, L = 1000, and M = 70. In this example, we evaluate the probability function at 7. USE UMACH_INT USE HYPPR_INT IMPLICIT INTEGER REAL NONE K, L, M, N, NOUT PR ! CALL UMACH (2, NOUT) K = 7 N = 100 L = 1000 M = 70 PR = HYPPR(K,N,M,L) WRITE (NOUT,99999) PR 99999 FORMAT (' The probability that X is equal to 7 is ', F6.4) END Output The probability that X is equal to 7 is 0.1628 POIDF This function evaluates the Poisson cumulative distribution function. Function Return Value POIDF — Function value, the probability that a Poisson random variable takes a value less than or equal to K. (Output) Required Arguments K — Argument for which the Poisson cumulative distribution function is to be evaluated. (Input) THETA — Mean of the Poisson distribution. (Input) THETA must be positive. 218 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions FORTRAN 90 Interface Generic: POIDF (K, THETA) Specific: The specific interface names are S_POIDF and D_POIDF. FORTRAN 77 Interface Single: POIDF (K, THETA) Double: The double precision name is DPOIDF. Description The function POIDF evaluates the cumulative distribution function of a Poisson random variable with parameter THETA. THETA, which is the mean of the Poisson random variable, must be positive. The probability function (with θ = THETA) is f(x) = e−θ θx/x!, for x = 0, 1, 2,… The individual terms are calculated from the tails of the distribution to the mode of the distribution and summed. POIDF uses the recursive relationship f(x + 1) = f(x)θ/(x + 1), for x = 0, 1, 2, …k − 1, with f(0) = e−θ. Comments Informational error Type Code 1 1 The input argument, K, is less than zero. Example Suppose X is a Poisson random variable with θ = 10. In this example, we evaluate the distribution function at 7. USE UMACH_INT USE POIDF_INT IMPLICIT NONE INTEGER K, NOUT REAL DF, THETA ! CALL UMACH (2, NOUT) K = 7 THETA = 10.0 DF = POIDF(K,THETA) WRITE (NOUT,99999) DF 99999 FORMAT (' The probability that X is less than or equal to ', & '7 is ', F6.4) END Chapter 11: Probability Distribution Functions and Inverses POIDF • 219 Output The probability that X is less than or equal to 7 is 0.2202 POIPR This function evaluates the Poisson probability density function. Function Return Value POIPR — Function value, the probability that a Poisson random variable takes a value equal to K. (Output) Required Arguments K — Argument for which the Poisson probability density function is to be evaluated. (Input) THETA — Mean of the Poisson distribution. (Input) THETA must be positive. FORTRAN 90 Interface Generic: POIPR (K, THETA) Specific: The specific interface names are S_POIPR and D_POIPR. FORTRAN 77 Interface Single: POIPR (K, THETA) Double: The double precision name is DPOIPR. Description The function POIPR evaluates the probability density function of a Poisson random variable with parameter THETA. THETA, which is the mean of the Poisson random variable, must be positive. The probability function (with θ = THETA) is f(x) = e−θ θk/k!, for k = 0, 1, 2,… POIPR evaluates this function directly, taking logarithms and using the log gamma function. 220 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Figure 11- 5 Poisson Probability Function Comments Informational error Type Code 1 1 The input argument, K, is less than zero. Example Suppose X is a Poisson random variable with θ = 10. In this example, we evaluate the probability function at 7. USE UMACH_INT USE POIPR_INT IMPLICIT NONE INTEGER REAL K, NOUT PR, THETA ! CALL UMACH (2, NOUT) K = 7 THETA = 10.0 PR = POIPR(K,THETA) WRITE (NOUT,99999) PR 99999 FORMAT (' The probability that X is equal to 7 is ', F6.4) END Chapter 11: Probability Distribution Functions and Inverses POIPR • 221 Output The probability that X is equal to 7 is 0.0901 UNDDF This function evaluates the discrete uniform cumulative distribution function. Function Return Value UNDDF — Function value, the probability that a uniform random variable takes a value less than or equal to IX. (Output) Required Arguments IX — Argument for which the discrete uniform cumulative distribution function is to be evaluated. (Input) N — Scale parameter. N must be greater than 0. (Input) FORTRAN 90 Interface Generic: UNDDF (IX, N) Specific: The specific interface names are S_UNDDF and D_UNDDF. FORTRAN 77 Interface Single: UNDDF (IX, N) Double: The double precision name is DUNDDF. Description The notation below uses the floor and ceiling function notation, ⎢⎣.⎥⎦ and ⎡⎢.⎤⎥ . The function UNDDF evaluates the discrete uniform cumulative probability distribution function with scale parameter N, defined ⎢ x⎥ F (x N ) = ⎣ ⎦ , 1≤ x ≤ N . N Example In this example, we evaluate the probability function at IX = 3, N = 5. 222 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions USE UMACH_INT USE UNDDF_INT IMPLICIT NONE INTEGER NOUT, IX, N REAL PR CALL UMACH(2, NOUT) IX = 3 N = 5 PR = UNDDF(IX, N) WRITE (NOUT, 99999) IX, N, PR 99999 FORMAT (' UNDDF(', I2, ', ', I2, ') = ', F6.4) END Output UNDDF( 3, 5) = 0.6000 UNDIN This function evaluates the inverse of the discrete uniform cumulative distribution function. Function Return Value UNDIN — Integer function value. The probability that a uniform random variable takes a value less than or equal to the returned value is the input probability, P. (Output) Required Arguments P — Probability for which the inverse of the discrete uniform cumulative distribution function is to be evaluated. P must be nonnegative and less than or equal to 1.0. (Input) N — Scale parameter. N must be greater than 0. (Input) FORTRAN 90 Interface Generic: UNDIN (P, N) Specific: The specific interface names are S_UNDIN and D_UNDIN. FORTRAN 77 Interface Single: UNDIN (P, N) Double: The double precision name is DUNDIN. Description The notation below uses the floor and ceiling function notation, ⎣⎢.⎥⎦ and ⎢⎡.⎥⎤ . Chapter 11: Probability Distribution Functions and Inverses UNDIN • 223 The function UNDIN evaluates the inverse distribution function of a discrete uniform random variable with scale parameter N, defined x = ⎢⎡ pN ⎥⎤ , 0 ≤ p ≤ 1 . Example In this example, we evaluate the inverse probability function at P = 0.6, N = 5. USE UMACH_INT USE UNDIN_INT IMPLICIT NONE INTEGER NOUT, N, IX REAL P CALL UMACH(2, NOUT) P = 0.60 N = 5 IX = UNDIN(P, N) WRITE (NOUT, 99999) P, N, IX 99999 FORMAT (' UNDIN(', F4.2, ', ', I2 ') = ', I2) END Output UNDIN(0.60, 5) = 3 UNDPR This function evaluates the discrete uniform probability density function. Function Return Value UNDPR — Function value, the probability that a random variable from a uniform distribution having scale parameter N will be equal to IX. (Output) Required Arguments IX — Argument for which the discrete uniform probability density function is to be evaluated. (Input) N — Scale parameter. N must be greater than 0. (Input) FORTRAN 90 Interface Generic: UNDPR (IX, N) Specific: The specific interface names are S_UNDPR and D_UNDPR. 224 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions FORTRAN 77 Interface Single: UNDPR (IX, N) Double: The double precision name is DUNDPR. Description The discrete uniform PDF is defined for positive integers x in the range 1,..., N , N > 0 . It has the 1 value y = f ( x N ) = , 1 ≤ x ≤ N , and y = 0, x > N . Allowing values of x resulting in N y = 0, x > N is a convenience. Example In this example, we evaluate the discrete uniform probability density function at IX = 3, N = 5. USE UMACH_INT USE UNDPR_INT IMPLICIT NONE INTEGER NOUT, IX, N REAL PR CALL UMACH(2, NOUT) IX = 3 N = 5 PR = UNDPR(IX, N) WRITE (NOUT, 99999) IX, N, PR 99999 FORMAT (' UNDPR(', I2, ', ', I2, ') = ', F6.4) END Output UNDPR( 3, 5) = 0.2000 AKS1DF This function evaluates the cumulative distribution function of the one-sided KolmogorovSmirnov goodness of fit D+ or D− test statistic based on continuous data for one sample. Function Return Value AKS1DF — The probability of a smaller D. (Output) Required Arguments NOBS — The total number of observations in the sample. (Input) D — The D+ or D− test statistic. (Input) D is the maximum positive difference of the empirical cumulative distribution function Chapter 11: Probability Distribution Functions and Inverses AKS1DF • 225 (CDF) minus the hypothetical CDF or the maximum positive difference of the hypothetical CDF minus the empirical CDF. FORTRAN 90 Interface Generic: AKS1DF (NOBS, D) Specific: The specific interface names are S_AKS1DF and D_AKS1DF. FORTRAN 77 Interface Single: AKS1DF (NOBS, D) Double: The double precision name is DKS1DF. Description Routine AKS1DF computes the cumulative distribution function (CDF) for the one-sided Kolmogorov-Smirnov one-sample D+ or D− statistic when the theoretical CDF is strictly continuous. Let F(x) denote the theoretical distribution function, and let Sn(x) denote the empirical distribution function obtained from a sample of size NOBS. Then, the D+ statistic is computed as D + = sup[ F ( x) − Sn ( x)] x while the one-sided D− statistic is computed as D − = sup[ S n ( x) − F ( x )] x Exact probabilities are computed according to a method given by Conover (1980, page 350) for sample sizes of 80 or less. For sample sizes greater than 80, Smirnov’s asymptotic result is used, that is, the value of the CDF is taken as 1 − e −2 nd , where d is D+ or D− (Kendall and Stuart, 1979, page 482). This asymptotic expression is conservative (the value returned by AKS1DF is smaller than the exact value, when the sample size exceeds 80). 2 Comments 1. Workspace may be explicitly provided, if desired, by use of AK21DF/DK21DF. The reference is: AK2DF(NOBS, D, WK) The additional argument is: WK — Work vector of length 3 * NOBS + 3 if NOBS ≤ 80. WK is not used if NOBS is greater than 80. 226 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions 2. Informational errors Type Code 1 2 1 3 Since the D test statistic is less than zero, the distribution function is zero at D. Since the D test statistic is greater than one, the distribution function is one at D. 3. If NOBS ≤ 80, then exact one-sided probabilities are computed. In this case, on the order of NOBS2 operations are required. For NOBS > 80, approximate one-sided probabilities are computed. These approximate probabilities require very few computations. 4. An approximate two-sided probability for the D = max (D+, D−) statistic can be computed as twice the AKS1DF probability for D(minus one, if the probability from AKS1DF is greater than 0.5). Programming Notes Routine AKS1DF requires on the order of NOBS2 operations to compute the exact probabilities, where an operation consists of taking ten or so logarithms. Because so much computation is occurring within each “operation,” AKS1DF is much slower than its two-sample counterpart, function AKS2DF. Example In this example, the exact one-sided probabilities for the tabled values of D+ or D−, given, for example, in Conover (1980, page 462), are computed. Tabled values at the 10% level of significance are used as input to AKS1DF for sample sizes of 5 to 50 in increments of 5 (the last two tabled values are obtained using the asymptotic critical values of 1.07 / NOBS The resulting probabilities should all be close to 0.90. USE UMACH_INT USE AKS1DF_INT IMPLICIT NONE INTEGER I, NOBS, NOUT REAL D(10) ! DATA D/0.447, 0.323, 0.266, 0.232, 0.208, 0.190, 0.177, 0.165, & 0.160, 0.151/ ! CALL UMACH (2, NOUT) ! DO 10 I=1, 10 NOBS = 5*I ! WRITE (NOUT,99999) D(I), NOBS, AKS1DF(NOBS,D(I)) ! 99999 FORMAT (' One-sided Probability for D = ', F8.3, ' with NOBS ' & , '= ', I2, ' is ', F8.4) Chapter 11: Probability Distribution Functions and Inverses AKS1DF • 227 10 CONTINUE END Output One-sided One-sided One-sided One-sided One-sided One-sided One-sided One-sided One-sided One-sided Probability Probability Probability Probability Probability Probability Probability Probability Probability Probability for for for for for for for for for for D D D D D D D D D D = = = = = = = = = = 0.447 0.323 0.266 0.232 0.208 0.190 0.177 0.165 0.160 0.151 with with with with with with with with with with NOBS NOBS NOBS NOBS NOBS NOBS NOBS NOBS NOBS NOBS = = = = = = = = = = 5 10 15 20 25 30 35 40 45 50 is is is is is is is is is is 0.9000 0.9006 0.9002 0.9009 0.9002 0.8992 0.9011 0.8987 0.9105 0.9077 AKS2DF This function evaluates the cumulative distribution function of the Kolmogorov-Smirnov goodness of fit D test statistic based on continuous data for two samples. Function Return Value AKS2DF — The probability of a smaller D. (Output) Required Arguments NOBSX — The total number of observations in the first sample. (Input) NOBSY — The total number of observations in the second sample. (Input) D — The D test statistic. (Input) D is the maximum absolute difference between empirical cumulative distribution functions (CDFs) of the two samples. FORTRAN 90 Interface Generic: AKS2DF (NOBSX, NOBSY, D) Specific: The specific interface names are S_AKS2DF and D_AKS2DF. FORTRAN 77 Interface Single: AKS2DF (NOBSX, NOBSY, D) Double: The double precision name is DKS2DF. 228 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Description Function AKS2DF computes the cumulative distribution function (CDF) for the two-sided Kolmogorov-Smirnov two-sample D statistic when the theoretical CDF is strictly continuous. Exact probabilities are computed according to a method given by Kim and Jennrich (1973). Approximate asymptotic probabilities are computed according to methods also given in this reference. Let Fn(x) and Gm(x) denote the empirical distribution functions for the two samples, based on n = NOBSX and m = NOBSY observations. Then, the D statistic is computed as D = sup Fn ( x) − Gm ( x) x Comments 1. Workspace may be explicitly provided, if desired, by use of AK22DF/DK22DF. The reference is: AK22DF (NOBSX, NOBSY, D, WK) The additional argument is: WK — Work vector of length max(NOBSX, NOBSY) + 1. 2. Informational errors Type Code 1 2 1 3 Since the D test statistic is less than zero, then the distribution function is zero at D. Since the D test statistic is greater than one, then the distribution function is one at D. Programming Notes Function AKS2DF requires on the order of NOBSX * NOBSY operations to compute the exact probabilities, where an operation consists of an addition and a multiplication. For NOBSX * NOBSY less than 10000, the exact probability is computed. If this is not the case, then the Smirnov approximation discussed by Kim and Jennrich (1973) is used if the minimum of NOBSX and NOBSY is greater than ten percent of the maximum of NOBSX and NOBSY, or if the minimum is greater than 80. Otherwise, the Kolmogorov approximation discussed by Kim and Jennrich (1973) is used. Example Function AKS2DF is used to compute the probability of a smaller D statistic for a variety of sample sizes using values close to the 0.95 probability value. USE UMACH_INT USE AKS2DF_INT IMPLICIT INTEGER REAL NONE I, NOBSX(10), NOBSY(10), NOUT D(10) Chapter 11: Probability Distribution Functions and Inverses AKS2DF • 229 ! DATA NOBSX/5, 20, 40, 70, 110, 200, 200, 200, 100, 100/ DATA NOBSY/10, 10, 10, 10, 10, 20, 40, 60, 80, 100/ DATA D/0.7, 0.55, 0.475, 0.4429, 0.4029, 0.2861, 0.2113, 0.1796, & 0.18, 0.18/ ! CALL UMACH (2, NOUT) ! DO 10 I=1, 10 ! WRITE (NOUT,99999) D(I), NOBSX(I), NOBSY(I), & AKS2DF(NOBSX(I),NOBSY(I),D(I)) ! 99999 FORMAT (' Probability for D = ', F5.3, ' with NOBSX = ', I3, & ' and NOBSY = ', I3, ' is ', F9.6, '.') 10 CONTINUE END Output Probability Probability Probability Probability Probability Probability Probability Probability Probability Probability for for for for for for for for for for D D D D D D D D D D = = = = = = = = = = 0.700 0.550 0.475 0.443 0.403 0.286 0.211 0.180 0.180 0.180 with with with with with with with with with with NOBSX NOBSX NOBSX NOBSX NOBSX NOBSX NOBSX NOBSX NOBSX NOBSX = = = = = = = = = = 5 20 40 70 110 200 200 200 100 100 and and and and and and and and and and NOBSY NOBSY NOBSY NOBSY NOBSY NOBSY NOBSY NOBSY NOBSY NOBSY = 10 = 10 = 10 = 10 = 10 = 20 = 40 = 60 = 80 = 100 is is is is is is is is is is 0.980686. 0.987553. 0.972423. 0.961646. 0.928667. 0.921126. 0.917110. 0.914520. 0.908185. 0.946098. ALNDF This function evaluates the lognormal cumulative probability distribution function. Function Return Value ALNDF — Function value, the probability that a standard lognormal random variable takes a value less than or equal to X. (Output) Required Arguments X — Argument for which the lognormal cumulative distribution function is to be evaluated. (Input) AMU — Location parameter of the lognormal cumulative distribution function. (Input) SIGMA — Shape parameter of the lognormal cumulative distribution function. SIGMA must be greater than 0. (Input) 230 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions FORTRAN 90 Interface Generic: ALNDF (X, AMU, SIGMA) Specific: The specific interface names are S_ALNDF and D_ALNDF. FORTRAN 77 Interface Single: ALNDF (X, AMU, SIGMA) Double: The double precision name is DLNDF. Description The function ALNDF evaluates the lognormal cumulative probability distribution function, defined as F ( x μ,σ ) 1 x 1 = e ∫ σ 2π 0 t = 1 σ 2π ∫ ⎛ ( log ( t ) − μ )2 −⎜ ⎜⎜ 2σ 2 ⎝ log ( x ) −∞ e ⎛ u−μ 2 ⎞ −⎜ ⎟ ⎜ 2σ ⎟ ⎝ ⎠ ⎞ ⎟ ⎟⎟ ⎠ dt du Example In this example, we evaluate the probability distribution function at X = 0.7137, AMU = 0.0, SIGMA = 0.5. USE UMACH_INT USE ALNDF_INT IMPLICIT NONE INTEGER NOUT REAL X, AMU, SIGMA, PR CALL UMACH(2, NOUT) X = .7137 AMU = 0.0 SIGMA = 0.5 PR = ALNDF(X, AMU, SIGMA) WRITE (NOUT, 99999) X, AMU, SIGMA, PR 99999 FORMAT (' ALNDF(', F6.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output ALNDF( 0.71, 0.00, 0.50) = 0.2500 Chapter 11: Probability Distribution Functions and Inverses ALNDF • 231 ALNIN This function evaluates the inverse of the lognormal cumulative probability distribution function. Function Return Value ALNIN — Function value, the probability that a lognormal random variable takes a value less than or equal to the returned value is the input probability P. (Output) Required Arguments P — Probability for which the inverse of the lognormal distribution function is to be evaluated. (Input) AMU — Location parameter of the lognormal cumulative distribution function. (Input) SIGMA — Shape parameter of the lognormal cumulative distribution function. SIGMA must be greater than 0. (Input) FORTRAN 90 Interface Generic: ALNIN (P, AMU, SIGMA) Specific: The specific interface names are S_ALNIN and D_ALNIN. FORTRAN 77 Interface Single: ALNIN (P, AMU, SIGMA) Double: The double precision name is DLNIN. Description The function ALNIN evaluates the inverse distribution function of a lognormal random variable with location parameter AMU and scale parameter SIGMA. The probability that a standard lognormal random variable takes a value less than or equal to the returned value is P. Example In this example, we evaluate the inverse probability function at P = 0.25, AMU = 0.0, SIGMA = 0.5. USE UMACH_INT USE ALNIN_INT IMPLICIT NONE INTEGER NOUT REAL X, AMU, SIGMA, P CALL UMACH(2, NOUT) P = .25 AMU = 0.0 232 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions SIGMA = 0.5 X = ALNIN(P, AMU, SIGMA) WRITE (NOUT, 99999) P, AMU, SIGMA, X 99999 FORMAT (' ALNIN(', F6.3, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output ALNIN( 0.250, 0.00, 0.50) = 0.7137 ALNPR This function evaluates the lognormal probability density function. Function Return Value ALNPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the lognormal probability density function is to be evaluated. (Input) AMU — Location parameter of the lognormal probability function. (Input) SIGMA — Shape parameter of the lognormal probability function. SIGMA must be greater than 0. (Input) FORTRAN 90 Interface Generic: ALNPR (X, AMU, SIGMA) Specific: The specific interface names are S_ALNPR and D_ALNPR. FORTRAN 77 Interface Single: ALNPR (X, AMU, SIGMA) Double: The double precision name is DLNPR. Description The function ALNPR evaluates the lognormal probability density function, defined as f ( x μ ,σ ) = 1 xσ 2π Chapter 11: Probability Distribution Functions and Inverses e ⎛ ( log ( x ) − μ )2 −⎜ ⎜⎜ 2σ 2 ⎝ ⎞ ⎟ ⎟⎟ ⎠ . ALNPR • 233 Example In this example, we evaluate the probability function at X = 1.0, AMU = 0.0, SIGMA = 0.5. USE UMACH_INT USE ALNPR_INT IMPLICIT NONE INTEGER NOUT REAL X, AMU, SIGMA, PR CALL UMACH(2, NOUT) X = 1.0 AMU = 0.0 SIGMA = 0.5 PR = ALNPR(X, AMU, SIGMA) WRITE (NOUT, 99999) X, AMU, SIGMA, PR 99999 FORMAT (' ALNPR(', F6.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output ALNPR( 1.00, 0.00, 0.50) = 0.7979 ANORDF This fuction evaluates the standard normal (Gaussian) cumulative distribution function. Function Return Value ANORDF — Function value, the probability that a normal random variable takes a value less than or equal to X. (Output) Required Arguments X — Argument for which the normal cumulative distribution function is to be evaluated. (Input) FORTRAN 90 Interface Generic: ANORDF (X) Specific: The specific interface names are S_ANORDF and D_ANORDF. FORTRAN 77 Interface Single: ANORDF (X) Double: The double precision name is DNORDF. 234 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Description Function ANORDF evaluates the cumulative distribution function, Φ, of a standard normal (Gaussian) random variable, that is, Φ ( x) = 1 2π ∫ x −∞ e−t 2 /2 dt The value of the distribution function at the point x is the probability that the random variable takes a value less than or equal to x. The standard normal distribution (for which ANORDF is the distribution function) has mean of 0 and variance of 1. The probability that a normal random variable with mean and variance σ2 is less than y is given by ANORDF evaluated at (y − μ)/σ. Φ(x) is evaluated by use of the complementary error function, erfc. (See ERFC, IMSL MATH/LIBRARY Special Functions). The relationship is: Φ ( x) = erfc( − x/ 2.0) / 2 Figure 11- 6 Standard Normal Distribution Function Example Suppose X is a normal random variable with mean 100 and variance 225. In this example, we find the probability that X is less than 90, and the probability that X is between 105 and 110. USE UMACH_INT USE ANORDF_INT Chapter 11: Probability Distribution Functions and Inverses ANORDF • 235 IMPLICIT INTEGER REAL NONE NOUT P, X1, X2 ! CALL UMACH (2, NOUT) X1 = (90.0-100.0)/15.0 P = ANORDF(X1) WRITE (NOUT,99998) P 99998 FORMAT (' The probability that X is less than 90 is ', F6.4) X1 = (105.0-100.0)/15.0 X2 = (110.0-100.0)/15.0 P = ANORDF(X2) - ANORDF(X1) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that X is between 105 and 110 is ', & F6.4) END Output The probability that X is less than 90 is 0.2525 The probability that X is between 105 and 110 is 0.1169 ANORIN This function evaluates the inverse of the standard normal (Gaussian) cumulative distribution function. Function Return Value ANORIN — Function value. (Output) The probability that a standard normal random variable takes a value less than or equal to ANORIN is P. Required Arguments P — Probability for which the inverse of the normal cumulative distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). FORTRAN 90 Interface Generic: ANORIN (P) Specific: The specific interface names are S_ANORIN and D_ANORIN. FORTRAN 77 Interface Single: ANORIN (P) 236 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Double: The double precision name is DNORIN. Description Function ANORIN evaluates the inverse of the cumulative distribution function, Φ, of a standard normal (Gaussian) random variable, that is, ANORIN(P) = Φ−1(p), where Φ ( x) = 1 2π ∫ x −t 2 / 2 −∞ e dt The value of the distribution function at the point x is the probability that the random variable takes a value less than or equal to x. The standard normal distribution has a mean of 0 and a variance of 1. Example In this example, we compute the point such that the probability is 0.9 that a standard normal random variable is less than or equal to this point. USE UMACH_INT USE ANORIN_INT IMPLICIT NONE INTEGER NOUT REAL P, X ! CALL UMACH (2, NOUT) P = 0.9 X = ANORIN(P) WRITE (NOUT,99999) X 99999 FORMAT (' The 90th percentile of a standard normal is ', F6.4) END Output The 90th percentile of a standard normal is 1.2816 ANORPR This function evaluates the standard normal probability density function. Function Return Value ANORPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the normal probability density function is to be evaluated. (Input) Chapter 11: Probability Distribution Functions and Inverses ANORPR • 237 FORTRAN 90 Interface Generic: ANORPR (X) Specific: The specific interface names are S_NORPR and D_NORPR. FORTRAN 77 Interface Single: ANORPR (X) Double: The double precision name is DNORPR. Description The function ANORPR evaluates the normal probability density function, defined as f ( x) = 1 2π e ⎛ x2 ⎞ −⎜ ⎟ ⎝ 2 ⎠ , −∞ < x . Example In this example, we evaluate the probability function at X = 0.5. USE UMACH_INT USE ANORPR_INT IMPLICIT NONE INTEGER NOUT REAL X, PR CALL UMACH(2, NOUT) X = 0.5 PR = ANORPR(X) WRITE (NOUT, 99999) X, PR 99999 FORMAT (' ANORPR(', F4.2, ') = ', F6.4) END Output ANORPR(0.50) = 0.3521 BETDF This function evaluates the beta cumulative distribution function. Function Return Value BETDF — Probability that a random variable from a beta distribution having parameters PIN and QIN will be less than or equal to X. (Output) 238 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Required Arguments X — Argument for which the beta distribution function is to be evaluated. (Input) PIN — First beta distribution parameter. (Input) PIN must be positive. QIN — Second beta distribution parameter. (Input) QIN must be positive. FORTRAN 90 Interface Generic: BETDF (X, PIN, QIN) Specific: The specific interface names are S_BETDF and D_BETDF. FORTRAN 77 Interface Single: BETDF (X, PIN, QIN) Double: The double precision name is DBETDF. Description Function BETDF evaluates the cumulative distribution function of a beta random variable with parameters PIN and QIN. This function is sometimes called the incomplete beta ratio and, with p = PIN and q = QIN, is denoted by Ix(p, q). It is given by I x ( p, q ) = Γ( p + q ) x p −1 (1 − t ) q −1 dt ot Γ ( p )Γ ( q ) ∫ where Γ(⋅) is the gamma function. The value of the distribution function Ix(p, q) is the probability that the random variable takes a value less than or equal to x. The integral in the expression above is called the incomplete beta function and is denoted by βx(p, q). The constant in the expression is the reciprocal of the beta function (the incomplete function evaluated at one) and is denoted by β(p, q). Function BETDF uses the method of Bosten and Battiste (1974). Chapter 11: Probability Distribution Functions and Inverses BETDF • 239 Figure 11- 7 Beta Distribution Function Comments Informational errors Type Code 1 1 1 2 Since the input argument X is less than or equal to zero, the distribution function is equal to zero at X. Since the input argument X is greater than or equal to one, the distribution function is equal to one at X. Example Suppose X is a beta random variable with parameters 12 and 12. (X has a symmetric distribution.) In this example, we find the probability that X is less than 0.6 and the probability that X is between 0.5 and 0.6. (Since X is a symmetric beta random variable, the probability that it is less than 0.5 is 0.5.) USE UMACH_INT USE BETDF_INT IMPLICIT NONE INTEGER NOUT REAL P, PIN, QIN, X ! CALL UMACH (2, NOUT) PIN = 12.0 QIN = 12.0 X = 0.6 240 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions P = BETDF(X,PIN,QIN) WRITE (NOUT,99998) P 99998 FORMAT (' The probability that X is less than 0.6 is ', F6.4) X = 0.5 P = P - BETDF(X,PIN,QIN) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that X is between 0.5 and 0.6 is ', & F6.4) END Output The probability that X is less than 0.6 is 0.8364 The probability that X is between 0.5 and 0.6 is 0.3364 BETIN This function evaluates the inverse of the beta cumulative distribution function. Function Return Value BETIN — Function value. (Output) The probability that a beta random variable takes a value less than or equal to BETIN is P. Required Arguments P — Probability for which the inverse of the beta distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). PIN — First beta distribution parameter. (Input) PIN must be positive. QIN — Second beta distribution parameter. (Input) QIN must be positive. FORTRAN 90 Interface Generic: BETIN (P, PIN, QIN) Specific: The specific interface names are S_BETIN and D_BETIN. FORTRAN 77 Interface Single: BETIN (P, PIN, QIN) Double: The double precision name is DBETIN. Chapter 11: Probability Distribution Functions and Inverses BETIN • 241 Description The function BETIN evaluates the inverse distribution function of a beta random variable with parameters PIN and QIN, that is, with P = P, p = PIN, and q = QIN, it determines x (equal to BETIN (P, PIN, QIN)), such that P= Γ( p + q ) x p −1 (1 − t ) q −1 dt ot Γ ( p )Γ ( q ) ∫ where Γ(⋅) is the gamma function. The probability that the random variable takes a value less than or equal to x is P. Comments Informational error Type Code 3 1 The value for the inverse Beta distribution could not be found in 100 iterations. The best approximation is used. Example Suppose X is a beta random variable with parameters 12 and 12. (X has a symmetric distribution.) In this example, we find the value x0 such that the probability that X ≤ x0 is 0.9. USE UMACH_INT USE BETIN_INT IMPLICIT NONE INTEGER NOUT REAL P, PIN, QIN, X ! CALL UMACH (2, NOUT) PIN = 12.0 QIN = 12.0 P = 0.9 X = BETIN(P,PIN,QIN) WRITE (NOUT,99999) X 99999 FORMAT (' X is less than ', F6.4, ' with probability 0.9.') END Output X is less than 0.6299 with probability 0.9. BETPR This function evaluates the beta probability density function. Function Return Value BETPR — Function value, the value of the probability density function. (Output) 242 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Required Arguments X — Argument for which the beta probability density function is to be evaluated. (Input) PIN — First beta distribution parameter. (Input) PIN must be positive. QIN — Second beta distribution parameter. (Input) QIN must be positive. FORTRAN 90 Interface Generic: BETPR (X, PIN, QIN) Specific: The specific interface names are S_BETPR and D_BETPR. FORTRAN 77 Interface Single: BETPR (X, PIN, QIN) Double: The double precision name is DBETPR. Description The function BETPR evaluates the beta probability density function with parameters PIN and QIN. Using x = X, a = PIN and b = QIN, the beta distribution is defined as f ( x a, b ) = 1 b −1 (1 − x ) x a −1 , a, b > 0, 0 ≤ x ≤ 1 B ( a, b ) The reciprocal of the beta function used as the normalizing factor is computed using IMSL function BETA (see Special Functions/Chapter 4, Gamma and Related Funtions). Example In this example, we evaluate the probability function at X = 0.75, PIN = 2.0, QIN = 0.5. USE UMACH_INT USE BETPR_INT IMPLICIT NONE INTEGER NOUT REAL X, PIN, QIN, PR CALL UMACH(2, NOUT) X = .75 PIN = 2.0 QIN = 0.5 PR = BETPR(X, PIN, QIN) WRITE (NOUT, 99999) X, PIN, QIN, PR 99999 FORMAT (' BETPR(', F4.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Chapter 11: Probability Distribution Functions and Inverses BETPR • 243 Output BETPR(0.75, 2.00, 0.50) = 1.1250 BNRDF This function evaluates the bivariate normal cumulative distribution function. Function Return Value BNRDF — Function value, the probability that a bivariate normal random variable with correlation RHO takes a value less than or equal to X and less than or equal to Y. (Output) Required Arguments X — One argument for which the bivariate normal distribution function is to be evaluated. (Input) Y — The other argument for which the bivariate normal distribution function is to be evaluated. (Input) RHO — Correlation coefficient. (Input) FORTRAN 90 Interface Generic: BNRDF (X, Y, RHO) Specific: The specific interface names are S_BNRDF and D_BNRDF. FORTRAN 77 Interface Single: BNRDF (X, Y, RHO) Double: The double precision name is DBNRDF. Description Function BNRDF evaluates the cumulative distribution function F of a bivariate normal distribution with means of zero, variances of one, and correlation of RHO; that is, with ρ = RHO, and |ρ| < 1, F ( x, y ) = 1 2π 1 − ρ 2 ∫ ∫ x −∞ y −∞ ⎛ u 2 − 2 ρ uv + v 2 ⎞ xp ⎜ − ⎟ du dv 2(1 − ρ 2 ) ⎠ ⎝ To determine the probability that U ≤ u0 and V ≤ v0, where (U, V)T is a bivariate normal random variable with mean μ = (μU, μV)T and variance-covariance matrix 244 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions ⎛σ 2 ∑=⎜ U ⎝ σ UV σ UV ⎞ ⎟ σ V2 ⎠ transform (U, V)T to a vector with zero means and unit variances. The input to BNRDF would be X = (u0 − μU)/σU, Y = (v0 − μV)/σV, and ρ = σUV/(σUσV). Function BNRDF uses the method of Owen (1962, 1965). Computation of Owen’s T-function is based on code by M. Patefield and D. Tandy (2000). For |ρ| = 1, the distribution function is computed based on the univariate statistic, Z = min(x, y), and on the normal distribution function ANORDF. Example Suppose (X, Y) is a bivariate normal random variable with mean (0, 0) and variance-covariance matrix ⎛1.0 0.9 ⎞ ⎜ ⎟ ⎝ 0.9 1.0 ⎠ In this example, we find the probability that X is less than −2.0 and Y is less than 0.0. USE BNRDF_INT USE UMACH_INT IMPLICIT NONE INTEGER NOUT REAL P, RHO, X, Y ! CALL UMACH (2, NOUT) X = -2.0 Y = 0.0 RHO = 0.9 P = BNRDF(X,Y,RHO) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that X is less than -2.0 'is less than 0.0 is ', F6.4) END and Y ', & Output The probability that X is less than −2.0 and Y is less than 0.0 is 0.0228 CHIDF This function evaluates the chi-squared cumulative distribution function. Function Return Value CHIDF — Function value, the probability that a chi-squared random variable takes a value less than or equal to CHSQ. (Output) Chapter 11: Probability Distribution Functions and Inverses CHIDF • 245 Required Arguments CHSQ — Argument for which the chi-squared distribution function is to be evaluated. (Input) DF — Number of degrees of freedom of the chi-squared distribution. (Input) DF must be greater than or equal to 0.5. FORTRAN 90 Interface Generic: CHIDF (CHSQ, DF) Specific: The specific interface names are S_CHIDF and D_CHIDF. FORTRAN 77 Interface Single: CHIDF (CHSQ, DF) Double: The double precision name is DCHIDF. Description Function CHIDF evaluates the cumulative distribution function, F, of a chi-squared random variable with DF degrees of freedom, that is, with v = DF, and x = CHSQ, F ( x) = 2 v/2 1 x − t / 2 v / 2 −1 t dt oe Γ(v / 2) ∫ where Γ(⋅) is the gamma function. The value of the distribution function at the point x is the probability that the random variable takes a value less than or equal to x. For v > 65, CHIDF uses the Wilson-Hilferty approximation (Abramowitz and Stegun 1964, equation 26.4.17) to the normal distribution, and routine ANORDF is used to evaluate the normal distribution function. For v ≤ 65, CHIDF uses series expansions to evaluate the distribution function. If x < max (v/2, 26), CHIDF uses the series 6.5.29 in Abramowitz and Stegun (1964), otherwise, it uses the asymptotic expansion 6.5.32 in Abramowitz and Stegun. 246 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Figure 11- 8 Chi-Squared Distribution Function Comments Informational errors Type Code 1 1 2 3 Since the input argument, CHSQ, is less than zero, the distribution function is zero at CHSQ. The normal distribution is used for large degrees of freedom. However, it has produced underflow. Therefore, the probability, CHIDF, is set to zero. Example Suppose X is a chi-squared random variable with 2 degrees of freedom. In this example, we find the probability that X is less than 0.15 and the probability that X is greater than 3.0. USE UMACH_INT USE CHIDF_INT IMPLICIT NONE INTEGER NOUT REAL CHSQ, DF, P ! CALL UMACH (2, NOUT) DF = 2.0 CHSQ = 0.15 P = CHIDF(CHSQ,DF) WRITE (NOUT,99998) P Chapter 11: Probability Distribution Functions and Inverses CHIDF • 247 99998 FORMAT (' The probability that chi-squared with 2 df is less ', & 'than 0.15 is ', F6.4) CHSQ = 3.0 P = 1.0 - CHIDF(CHSQ,DF) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that chi-squared with 2 df is greater ' & , 'than 3.0 is ', F6.4) END Output The probability that chi-squared with 2 df is less than 0.15 is 0.0723 The probability that chi-squared with 2 df is greater than 3.0 is 0.2231 CHIIN This function evaluates the inverse of the chi-squared cumulative distribution function. Function Return Value CHIIN — Function value. (Output) The probability that a chi-squared random variable takes a value less than or equal to CHIIN is P. Required Arguments P — Probability for which the inverse of the chi-squared distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). DF — Number of degrees of freedom of the chi-squared distribution. (Input) DF must be greater than or equal to 0.5. FORTRAN 90 Interface Generic: CHIIN (P, DF) Specific: The specific interface names are S_CHIIN and D_CHIIN. FORTRAN 77 Interface Single: CHIIN (P, DF) Double: The double precision name is DCHIIN. 248 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Description Function CHIIN evaluates the inverse distribution function of a chi-squared random variable with DF degrees of freedom, that is, with P = P and v = DF, it determines x (equal to CHIIN(P, DF)), such that P= 1 x − t / 2 v / 2 −1 t dt oe 2v / 2 Γ(v / 2) ∫ where Γ(⋅) is the gamma function. The probability that the random variable takes a value less than or equal to x is P. For v < 40, CHIIN uses bisection (if v ≤ 2 or P > 0.98) or regula falsi to find the point at which the chi-squared distribution function is equal to P. The distribution function is evaluated using routine CHIDF. For 40 ≤ v < 100, a modified Wilson-Hilferty approximation (Abramowitz and Stegun 1964, equation 26.4.18) to the normal distribution is used, and routine ANORIN is used to evaluate the inverse of the normal distribution function. For v ≥ 100, the ordinary Wilson-Hilferty approximation (Abramowitz and Stegun 1964, equation 26.4.17) is used. Comments Informational errors Type Code 4 1 Over 100 iterations have occurred without convergence. Convergence is assumed. Example In this example, we find the 99-th percentage points of a chi-squared random variable with 2 degrees of freedom and of one with 64 degrees of freedom. USE UMACH_INT USE CHIIN_INT IMPLICIT NONE INTEGER NOUT REAL DF, P, X ! CALL UMACH (2, NOUT) P = 0.99 DF = 2.0 X = CHIIN(P,DF) WRITE (NOUT,99998) X 99998 FORMAT (' The 99-th percentage point of chi-squared with 2 df ' & , 'is ', F7.3) DF = 64.0 X = CHIIN(P,DF) WRITE (NOUT,99999) X 99999 FORMAT (' The 99-th percentage point of chi-squared with 64 df ' & , 'is ', F7.3) END Chapter 11: Probability Distribution Functions and Inverses CHIIN • 249 Output The 99-th percentage point of chi-squared with 2 df is The 99-th percentage point of chi-squared with 64 df is 9.210 93.217 CHIPR This function evaluates the chi-squared probability density function. Function Return Value CHIPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the chi-squared probability density function is to be evaluated. (Input) DF — Number of degrees of freedom of the chi-squared distribution. (Input) FORTRAN 90 Interface Generic: CHIPR (X, DF) Specific: The specific interface names are S_CHIPR and D_CHIPR. FORTRAN 77 Interface Single: CHIPR (X, DF) Double: The double precision name is DCHIPR. Description The function CHIPR evaluates the chi-squared probability density function. The chi-squared distribution is a special case of the gamma distribution and is defined as f ( x ν ) = Γ ( x ν / 2, 2 ) = x 1 ν / 2 −1 − 2 x e , x,ν > 0 . ( ) 2ν / 2 Γ (ν / 2 ) Example In this example, we evaluate the probability function at X = 3.0, DF = 5.0. USE UMACH_INT USE CHIPR_INT IMPLICIT NONE INTEGER NOUT 250 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions REAL X, DF, PR CALL UMACH(2, NOUT) X = 3.0 DF = 5.0 PR = CHIPR(X, DF) WRITE (NOUT, 99999) X, DF, PR 99999 FORMAT (' CHIPR(', F4.2, ', ', F4.2, ') = ', F6.4) END Output CHIPR(3.00, 5.00) = 0.1542 CSNDF This function evaluates the noncentral chi-squared cumulative distribution function. Function Return Value CSNDF — Function value, the probability that a noncentral chi-squared random variable takes a value less than or equal to CHSQ. (Output) Required Arguments CHSQ — Argument for which the noncentral chi-squared cumulative distribution function is to be evaluated. (Input) DF —Number of degrees of freedom of the noncentral chi-squared cumulative distribution. (Input) DF must be greater than or equal to 0.5 and less than or equal to 200,000. ALAM — The noncentrality parameter. (Input) ALAM must be nonnegative, and ALAM + DF must be less than or equal to 200,000. FORTRAN 90 Interface Generic: CSNDF (CHSQ, DF, ALAM) Specific: The specific interface names are S_CSNDF and D_CSNDF. FORTRAN 77 Interface Single: CSNDF (CHSQ, DF, ALAM) Double: The double precision name is DCSNDF. Chapter 11: Probability Distribution Functions and Inverses CSNDF • 251 Description Function CSNDF evaluates the cumulative distribution function of a noncentral chi-squared random variable with DF degrees of freedom and noncentrality parameter ALAM, that is, with v = DF, λ = ALAM, and x = CHSQ, ∞ F ( x v, λ ) = ∑ i =0 e − λ / 2 (λ / 2)i i! ∫ x 0 t ( v + 2i ) / 2 −1e − t / 2 2 v + 2 i ) / 2 Γ ( v +22 i ) dt where Γ(⋅) is the gamma function. This is a series of central chi-squared distribution functions with Poisson weights. The value of the distribution function at the point x is the probability that the random variable takes a value less than or equal to x. The noncentral chi-squared random variable can be defined by the distribution function above, or alternatively and equivalently, as the sum of squares of independent normal random variables. If Yi have independent normal distributions with means μi and variances equal to one and X = ∑in=1 Yi 2 then X has a noncentral chi-squared distribution with n degrees of freedom and noncentrality parameter equal to ∑in=1 μi2 With a noncentrality parameter of zero, the noncentral chi-squared distribution is the same as the chi-squared distribution. Function CSNDF determines the point at which the Poisson weight is greatest, and then sums forward and backward from that point, terminating when the additional terms are sufficiently small or when a maximum of 1000 terms have been accumulated. The recurrence relation 26.4.8 of Abramowitz and Stegun (1964) is used to speed the evaluation of the central chi-squared distribution functions. 252 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Figure 11- 9 Noncentral Chi-squared Distribution Function Example In this example, CSNDF is used to compute the probability that a random variable that follows the noncentral chi-squared distribution with noncentrality parameter of 1 and with 2 degrees of freedom is less than or equal to 8.642. USE UMACH_INT USE CSNDF_INT IMPLICIT NONE INTEGER NOUT REAL ALAM, CHSQ, DF, P ! CALL UMACH (2, NOUT) DF = 2.0 ALAM = 1.0 CHSQ = 8.642 P = CSNDF(CHSQ,DF,ALAM) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that a noncentral chi-squared random', & /, ' variable with 2 df and noncentrality 1.0 is less', & /, ' than 8.642 is ', F5.3) END Chapter 11: Probability Distribution Functions and Inverses CSNDF • 253 Output The probability that a noncentral chi-squared random variable with 2 df and noncentrality 1.0 is less than 8.642 is 0.950 CSNIN This function evaluates the inverse of the noncentral chi-squared cumulative function. Function Return Value CSNIN — Function value. (Output) The probability that a noncentral chi-squared random variable takes a value less than or equal to CSNIN is P. Required Arguments P — Probability for which the inverse of the noncentral chi-squared cumulative distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). DF — Number of degrees of freedom of the noncentral chi-squared distribution. (Input) DF must be greater than or equal to 0.5 and less than or equal to 200,000. ALAM — The noncentrality parameter. (Input) ALAM must be nonnegative, and ALAM + DF must be less than or equal to 200,000. FORTRAN 90 Interface Generic: CSNIN (P, DF, ALAM) Specific: The specific interface names are S_CSNIN and D_CSNIN. FORTRAN 77 Interface Single: CSNIN (P, DF, ALAM) Double: The double precision name is DCSNIN. Description Function CSNIN evaluates the inverse distribution function of a noncentral chi-squared random variable with DF degrees of freedom and noncentrality parameter ALAM; that is, with P = P, v = DF, and = λ = ALAM, it determines c0 (= CSNIN(P, DF, ALAM)), such that 254 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions ∞ P=∑ i =0 e − λ / 2 (λ / 2)i c0 x ( v + 2i ) / 2 −1e − x / 2 ∫0 2(v + 2i ) / 2 Γ( v +22i )dx i! where Γ(⋅) is the gamma function. The probability that the random variable takes a value less than or equal to c0 is P . Function CSNIN uses bisection and modified regula falsi to invert the distribution function, which is evaluated using routine CSNDF. See CSNDF for an alternative definition of the noncentral chisquared random variable in terms of normal random variables. Comments Informational error Type Code 4 1 Over 100 iterations have occurred without convergence. Convergence is assumed. Example In this example, we find the 95-th percentage point for a noncentral chi-squared random variable with 2 degrees of freedom and noncentrality parameter 1. USE CSNIN_INT USE UMACH_INT IMPLICIT NONE INTEGER NOUT REAL ALAM, CHSQ, DF, P ! CALL UMACH (2, NOUT) DF = 2.0 ALAM = 1.0 P = 0.95 CHSQ = CSNIN(P,DF,ALAM) WRITE (NOUT,99999) CHSQ ! 99999 FORMAT (' The 0.05 noncentral chi-squared critical value is ', & F6.3, '.') ! END Output The 0.05 noncentral chi-squared critical value is 8.642. EXPDF This function evaluates the exponential cumulative distribution function. Chapter 11: Probability Distribution Functions and Inverses EXPDF • 255 Function Return Value EXPDF — Function value, the probability that an exponential random variable takes a value less than or equal to X. (Output) Required Arguments X — Argument for which the exponential cumulative distribution function is to be evaluated. (Input) B — Scale parameter of the exponential distribution function. (Input) FORTRAN 90 Interface Generic: EXPDF (X, B) Specific: The specific interface names are S_EXPDF and D_EXPDF. FORTRAN 77 Interface Single: EXPDF (X, B) Double: The double precision name is DEXPDF. Description The function EXPDF evaluates the exponential cumulative probability distribution function. This function is a special case of the gamma cumulative probability distribution function G ( x) = 1 x −bt a −1 e t dt . Γ(a ) ∫0 Setting a=1 and applying the scale parameter b = B yields the exponential cumulative probability distribution function ∞ −t −x F ( x) = ∫ e b dt = 1 − e b 0 This relationship between the gamma and exponential cumulative probability distribution functions is used by EXPDF. Example In this example, we evaluate the probability function at X = 2.0, B = 1.0. USE UMACH_INT USE EXPDF_INT IMPLICIT NONE INTEGER NOUT REAL X, B, PR 256 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions CALL UMACH(2, NOUT) X = 2.0 B = 1.0 PR = EXPDF(X, B) WRITE (NOUT, 99999) X, B, PR 99999 FORMAT (' EXPDF(', F4.2, ', ', F4.2, ') = ', F6.4) END Output EXPDF(2.00, 1.00) = 0.8647 EXPIN This function evaluates the inverse of the exponential cumulative distribution function. Function Return Value EXPIN — Function value, the value of the inverse of the cumulative distribution function. (Output) Required Arguments P — Probability for which the inverse of the exponential distribution function is to be evaluated. (Input) B — Scale parameter of the exponential distribution function. (Input) FORTRAN 90 Interface Generic: EXPIN (P, B) Specific: The specific interface names are S_EXPIN and D_EXPIN. FORTRAN 77 Interface Single: EXPIN (P, B) Double: The double precision name is DEXPIN. Description The function EXPIN evaluates the inverse distribution function of an exponential random variable with scale parameter b = B. Example In this example, we evaluate the inverse probability function at P = 0.8647, B = 1.0. Chapter 11: Probability Distribution Functions and Inverses EXPIN • 257 USE UMACH_INT USE EXPIN_INT IMPLICIT NONE INTEGER NOUT REAL X, B, P CALL UMACH(2, NOUT) P = 0.8647 B = 1.0 X = EXPIN(P, B) WRITE (NOUT, 99999) P, B, X 99999 FORMAT (' EXPIN(', F6.4, ', ', F4.2, ') = ', F6.4) END Output EXPIN(0.8647, 1.00) = 2.0003 EXPPR This function evaluates the exponential probability density function. Function Return Value EXPPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the exponential probability density function is to be evaluated. (Input) B — Scale parameter of the exponential probability density function. (Input) FORTRAN 90 Interface Generic: EXPPR (X, B) Specific: The specific interface names are S_EXPPR and D_EXPPR. FORTRAN 77 Interface Single: EXPPR (X, B) Double: The double precision name is DEXPPR. Description The function EXPPR evaluates the exponential probability density function. The exponential distribution is a special case of the gamma distribution and is defined as 258 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions f ( x b ) = Γ ( x 1, b ) = 1 −bx e , b x, b > 0 . This relationship is used in the computation of f ( x b ) . Example In this example, we evaluate the probability function at X = 2.0, B = 1.0. USE UMACH_INT USE EXPPR_INT IMPLICIT NONE INTEGER NOUT REAL X, B, PR CALL UMACH(2, NOUT) X = 2.0 B = 1.0 PR = EXPPR(X, B) WRITE (NOUT, 99999) X, B, PR 99999 FORMAT (' EXPPR(', F4.2, ', ', F4.2, ') = ', F6.4) END Output EXPPR(2.00, 1.00) = 0.1353 EXVDF This function evaluates the extreme value cumulative distribution function. Function Return Value EXVDF — Function value, the probability that an extreme value random variable takes a value less than or equal to X. (Output) Required Arguments X — Argument for which the extreme value cumulative distribution function is to be evaluated. (Input) AMU — Location parameter of the extreme value probability distribution function. (Input) BETA — Scale parameter of the extreme value probability distribution function. (Input) FORTRAN 90 Interface Generic: EXVDF (X, AMU, BETA) Specific: The specific interface names are S_EXVDF and D_EXVDF. Chapter 11: Probability Distribution Functions and Inverses EXVDF • 259 FORTRAN 77 Interface Single: EXVDF (X, AMU, BETA) Double: The double precision name is DEXVDF. Description The function EXVDF evaluates the extreme value cumulative distribution function, defined as F ( x μ , β ) = 1 − e− e x−μ β The extreme value distribution is also known as the Gumbel minimum distribution. Example In this example, we evaluate the probability function at X = 1.0, AMU = 0.0, BETA = 1.0. USE UMACH_INT USE EXVDF_INT IMPLICIT NONE INTEGER NOUT REAL X, AMU, B, PR CALL UMACH(2, NOUT) X = 1.0 AMU = 0.0 B = 1.0 PR = EXVDF(X, AMU, B) WRITE (NOUT, 99999) X, AMU, B, PR 99999 FORMAT (' EXVDF(', F6.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output EXVDF( 1.00, 0.00, 1.00) = 0.9340 EXVIN This function evaluates the inverse of the extreme value cumulative distribution function. Function Return Value EXVIN — Function value, the value of the inverse of the extreme value cumulative distribution function. (Output) Required Arguments P — Probability for which the inverse of the extreme value distribution function is to be evaluated. (Input) 260 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions AMU — Location parameter of the extreme value probability function. (Input) BETA — Scale parameter of the extreme value probability function. (Input) FORTRAN 90 Interface Generic: EXVIN (P, AMU, BETA) Specific: The specific interface names are S_EXVIN and D_EXVIN. FORTRAN 77 Interface Single: EXVIN (P, AMU, BETA) Double: The double precision name is DEXVIN. Description The function EXVIN evaluates the inverse distribution function of an extreme value random variable with location parameter AMU and scale parameter BETA. Example In this example, we evaluate the inverse probability function at P = 0.934, AMU = 1.0, BETA = 1.0 USE UMACH_INT USE EXVIN_INT IMPLICIT NONE INTEGER NOUT REAL X, AMU, B, PR CALL UMACH(2, NOUT) PR = .934 AMU = 0.0 B = 1.0 X = EXVIN(PR, AMU, B) WRITE (NOUT, 99999) PR, AMU, B, X 99999 FORMAT (' EXVIN(', F6.3, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output EXVIN( 0.934, 0.00, 1.00) = 0.9999 EXVPR This function evaluates the extreme value probability density function. Function Return Value EXVPR — Function value, the value of the probability density function. (Output) Chapter 11: Probability Distribution Functions and Inverses EXVPR • 261 Required Arguments X — Argument for which the extreme value probability density function is to be evaluated. (Input) AMU — Location parameter of the extreme value probability density function. (Input) BETA — Scale parameter of the extreme value probability density function. (Input) FORTRAN 90 Interface Generic: EXVPR (X, AMU, BETA) Specific: The specific interface names are S_EXVPR and D_EXVPR. FORTRAN 77 Interface Single: EXVPR (X, AMU, BETA) Double: The double precision name is DEXVPR. Description The function EXVPR evaluates the extreme value probability density function, defined as f ( x μ, β ) = β e −1 x−μ x−μ β e −e β , − ∞ < x, μ < +∞, β > 0 The extreme value distribution is also known as the Gumbel minimum distribution. Example In this example, we evaluate the extreme value probability density function at X = 2.0, AMU = 0.0, BETA = 1.0. USE UMACH_INT USE EXVPR_INT IMPLICIT NONE INTEGER NOUT REAL X, AMU, B, PR CALL UMACH(2, NOUT) X = -2.0 AMU = 0.0 B = 1.0 PR = EXVPR(X, AMU, B) WRITE (NOUT, 99999) X, AMU, B, PR 99999 FORMAT (' EXVPR(', F6.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END 262 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Output EXVPR( -2.00, 0.00, 1.00) = 0.1182 FDF This function evaluates the F cumulative distribution function. Function Return Value FDF — Function value, the probability that an F random variable takes a value less than or equal to the input F. (Output) Required Arguments F — Argument for which the F cumulative distribution function is to be evaluated. (Input) DFN — Numerator degrees of freedom. (Input) DFN must be positive. DFD — Denominator degrees of freedom. (Input) DFD must be positive. FORTRAN 90 Interface Generic: FDF (F, DFN, DFD) Specific: The specific interface names are S_FDF and D_FDF. FORTRAN 77 Interface Single: FDF (F, DFN, DFD) Double: The double precision name is DFDF. Description Function FDF evaluates the distribution function of a Snedecor’s F random variable with DFN numerator degrees of freedom and DFD denominator degrees of freedom. The function is evaluated by making a transformation to a beta random variable and then using the routine BETDF. If X is an F variate with v1 and v2 degrees of freedom and Y = v1X/(v2 + v1X), then Y is a beta variate with parameters p = v1/2 and q = v2/2. The function FDF also uses a relationship between F random variables that can be expressed as follows. FDF(X, DFN, DFD) = 1.0 − FDF(1.0/X, DFD, DFN) Chapter 11: Probability Distribution Functions and Inverses FDF • 263 Figure 11- 10 F Distribution Function Comments Informational error Type Code 1 3 Since the input argument F is not positive, the distribution function is zero at F. Example In this example, we find the probability that an F random variable with one numerator and one denominator degree of freedom is greater than 648. USE UMACH_INT USE FDF_INT IMPLICIT NONE INTEGER NOUT REAL DFD, DFN, F, P ! CALL UMACH (2, NOUT) F = 648.0 DFN = 1.0 DFD = 1.0 P = 1.0 - FDF(F,DFN,DFD) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that an F(1,1) variate is greater ', & 'than 648 is ', F6.4) 264 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions END Output The probability that an F(1, 1) variate is greater than 648 is 0.0250 FIN This function evaluates the inverse of the F cumulative distribution function. Function Return Value FIN — Function value. (Output) The probability that an F random variable takes a value less than or equal to FIN is P. Required Arguments P — Probability for which the inverse of the F distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). DFN — Numerator degrees of freedom. (Input) DFN must be positive. DFD — Denominator degrees of freedom. (Input) DFD must be positive. FORTRAN 90 Interface Generic: FIN (P, DFN, DFD) Specific: The specific interface names are S_FDF and D_FDF. FORTRAN 77 Interface Single: FIN (P, DFN, DFD) Double: The double precision name is DFDF. Description Function FIN evaluates the inverse distribution function of a Snedecor’s F random variable with DFN numerator degrees of freedom and DFD denominator degrees of freedom. The function is evaluated by making a transformation to a beta random variable and then using the routine BETIN. If X is an F variate with v1 and v2 degrees of freedom and Y = v1X/(v2 + v1X), then Y is a beta variate with parameters p = v1/2 and q = v2/2. If P ≤ 0.5, FIN uses this relationship directly, Chapter 11: Probability Distribution Functions and Inverses FIN • 265 otherwise, it also uses a relationship between F random variables that can be expressed as follows, using routine FDF, which is the F cumulative distribution function: FDF(F, DFN, DFD) = 1.0 − FDF(1.0/F, DFD, DFN). Comments Informational error Type Code 4 4 FIN is set to machine infinity since overflow would occur upon modifying the inverse value for the F distribution with the result obtained from the inverse beta distribution. Example In this example, we find the 99-th percentage point for an F random variable with 1 and 7 degrees of freedom. USE UMACH_INT USE FIN_INT IMPLICIT NONE INTEGER NOUT REAL DFD, DFN, F, P ! CALL UMACH (2, NOUT) P = 0.99 DFN = 1.0 DFD = 7.0 F = FIN(P,DFN,DFD) WRITE (NOUT,99999) F 99999 FORMAT (' The F(1,7) 0.01 critical value is ', F6.3) END Output The F(1, 7) 0.01 critical value is 12.246 FPR This function evaluates the F probability density function. Function Return Value FPR — Function value, the value of the probability density function. (Output) Required Arguments F — Argument for which the F probability density function is to be evaluated. (Input) DFN — Numerator degrees of freedom. (Input) DFN must be positive. 266 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions DFD — Denominator degrees of freedom. (Input) DFD must be positive. FORTRAN 90 Interface Generic: FPR (F, DFN, DFD) Specific: The specific interface names are S_FPR and D_FDPR FORTRAN 77 Interface Single: FPR (F, DFN, DFD) Double: The double precision name is DFPR. Description The function FPR evaluates the F probability density function, defined as f ( x ν 1 ,ν 2 ) = n (ν 1 ,ν 2 ) x ν1 − 2 2 ⎛ ν1x ⎞ ⎜1 + ⎟ ⎝ ν2 ⎠ − (ν 1 +ν 2 ) 2 , ⎛ ν +ν ⎞ ν1 Γ⎜ 1 2 ⎟ ⎛ ⎞ ⎝ 2 ⎠ ν 1 2 , x > 0,ν > 0, i = 1, 2 n (ν 1 ,ν 2 ) = ⎜ ⎟ i ⎛ν1 ⎞ ⎛ν 2 ⎞ ⎝ν 2 ⎠ Γ⎜ ⎟Γ⎜ ⎟ ⎝2⎠ ⎝ 2⎠ The parametersν 1 and ν 2 , correspond to the arguments DFN and DFD. Example In this example, we evaluate the probability function at F = 2.0, DFN = 10.0, DFD = 1.0. USE UMACH_INT USE FPR_INT IMPLICIT NONE INTEGER NOUT REAL F, DFN, DFD, PR CALL UMACH(2, NOUT) F = 2.0 DFN = 10.0 DFD = 1.0 PR = FPR(F, DFN, DFD) WRITE (NOUT, 99999) F, DFN, DFD, PR 99999 FORMAT (' FPR(', F6.2, ', ', F6.2, ', ', F6.2, ') = ', F6.4) END Chapter 11: Probability Distribution Functions and Inverses FPR • 267 Output FPR( 2.00, 10.00, 1.00) = 0.1052 GAMDF This function evaluates the gamma cumulative distribution function. Function Return Value GAMDF — Function value, the probability that a gamma random variable takes a value less than or equal to X. (Output) Required Arguments X — Argument for which the gamma distribution function is to be evaluated. (Input) A — The shape parameter of the gamma distribution. (Input) This parameter must be positive. FORTRAN 90 Interface Generic: GAMDF (X, A) Specific: The specific interface names are S_GAMDF and D_GAMDF. FORTRAN 77 Interface Single: GAMDF (X, A) Double: The double precision name is DGAMDF. Description Function GAMDF evaluates the distribution function, F, of a gamma random variable with shape parameter a; that is, F ( x) = 1 x − t a −1 e t dt Γ(a ) ∫0 where Γ(⋅) is the gamma function. (The gamma function is the integral from 0 to ∞ of the same integrand as above). The value of the distribution function at the point x is the probability that the random variable takes a value less than or equal to x. The gamma distribution is often defined as a two-parameter distribution with a scale parameter b (which must be positive), or even as a three-parameter distribution in which the third parameter c is a location parameter. In the most general case, the probability density function over (c, ∞) is 268 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions f (t ) = 1 e − (t − c ) / b ( x − c ) a −1 b a Γ(a) If T is such a random variable with parameters a, b, and c, the probability that T ≤ t0 can be obtained from GAMDF by setting X = (t0 − c)/b. If X is less than a or if X is less than or equal to 1.0, GAMDF uses a series expansion. Otherwise, a continued fraction expansion is used. (See Abramowitz and Stegun, 1964.) Figure 11- 11 Gamma Distribution Function Comments Informational error Type Code 1 2 Since the input argument X is less than zero, the distribution function is set to zero. Example Suppose X is a gamma random variable with a shape parameter of 4. (In this case, it has an Erlang distribution since the shape parameter is an integer.) In this example, we find the probability that X is less than 0.5 and the probability that X is between 0.5 and 1.0. USE UMACH_INT USE GAMDF_INT IMPLICIT NONE Chapter 11: Probability Distribution Functions and Inverses GAMDF • 269 INTEGER REAL NOUT A, P, X ! CALL UMACH (2, NOUT) A = 4.0 X = 0.5 P = GAMDF(X,A) WRITE (NOUT,99998) P 99998 FORMAT (' The probability that X is less than 0.5 is ', F6.4) X = 1.0 P = GAMDF(X,A) - P WRITE (NOUT,99999) P 99999 FORMAT (' The probability that X is between 0.5 and 1.0 is ', & F6.4) END Output The probability that X is less than 0.5 is 0.0018 The probability that X is between 0.5 and 1.0 is 0.0172 GAMIN This function evaluates the inverse of the gamma cumulative distribution function. Function Return Value GAMIN — Function value. (Output) The probability that a gamma random variable takes a value less than or equal to GAMIN is P. Required Arguments P — Probability for which the inverse of the gamma cumulative distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). A — The shape parameter of the gamma distribution. (Input) This parameter must be positive. FORTRAN 90 Interface Generic: GAMIN (P, A) Specific: The specific interface names are S_GAMIN and D_GAMIN. FORTRAN 77 Interface Single: GAMIN (P, A) 270 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Double: The double precision name is DGAMIN. Description Function GAMIN evaluates the inverse distribution function of a gamma random variable with shape parameter a, that is, it determines x (= GAMIN(P, A)), such that P= 1 x − t a −1 e t dt Γ(a ) ∫0 where Γ(⋅) is the gamma function. The probability that the random variable takes a value less than or equal to x is P. See the documentation for routine GAMDF for further discussion of the gamma distribution. Function GAMIN uses bisection and modified regula falsi to invert the distribution function, which is evaluated using routine GAMDF. Comments Informational error Type Code 4 1 Over 100 iterations have occurred without convergence. Convergence is assumed. Example In this example, we find the 95-th percentage point for a gamma random variable with shape parameter of 4. USE UMACH_INT USE GAMIN_INT IMPLICIT NONE INTEGER NOUT REAL A, P, X ! CALL UMACH (2, NOUT) A = 4.0 P = 0.95 X = GAMIN(P,A) WRITE (NOUT,99999) X ! 99999 FORMAT (' The 0.05 gamma(4) critical value is ', F6.3, & '.') ! END Output The 0.05 gamma(4) critical value is 7.754. Chapter 11: Probability Distribution Functions and Inverses GAMIN • 271 GAMPR This function evaluates the gamma probability density function. Function Return Value GAMPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the gamma probability density function is to be evaluated. (Input) A — The shape parameter of the gamma distribution. (Input) This parameter must be positive. FORTRAN 90 Interface Generic: GAMPR (X, A) Specific: The specific interface names are S_GAMPR and D_GAMPR. FORTRAN 77 Interface Single: GAMPR (X, A) Double: The double precision name is DGAMPR. Description The function GAMPR evaluates the gamma probability density function, defined as Γ ( x a) = 1 a −1 ( x ) e − x , x, a > 0 . Γ (a) Example In this example, we evaluate the probability function at X = 4.0, A = 5.0. USE UMACH_INT USE GAMPR_INT IMPLICIT NONE INTEGER NOUT REAL X, A, PR CALL UMACH(2, NOUT) X = 4.0 A = 5.0 PR = GAMPR(X, A) WRITE (NOUT, 99999) X, A, PR 99999 FORMAT (' GAMPR(', F4.2, ', ', F4.2, ') = ', F6.4) 272 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions END Output GAMPR(4.00, 5.00) = 0.1954 RALDF This function evaluates the Rayleigh cumulative distribution function. Function Return Value RALDF — Function value, the probability that a Rayleigh random variable takes a value less than or equal to X. (Output) Required Arguments X — Argument for which the Rayleigh cumulative distribution function is to be evaluated. (Input) ALPHA — Scale parameter of the Rayleigh cumulative distribution function. (Input) FORTRAN 90 Interface Generic: RALDF (X, ALPHA) Specific: The specific interface names are S_RALDF and D_RALDF. FORTRAN 77 Interface Single: RALDF (X, ALPHA) Double: The double precision name is DRALDF. Description The function RALDF evaluates the Rayleigh cumulative probability distribution function, which is a special case of the Weibull cumulative probability distribution function, where the shape parameter GAMMA is 2.0 x2 F ( x ) = 1 − e 2α 2 RALDF evaluates the Rayleigh cumulative probability distribution function using the relationsip RALDF(X, ALPHA) = WBLDF(X, SQRT(2.0)*ALPHA, 2.0). Chapter 11: Probability Distribution Functions and Inverses RALDF • 273 Example In this example, we evaluate the Rayleigh cumulative distribution function at X = 0.25, ALPHA = 0.5. USE UMACH_INT USE RALDF_INT IMPLICIT NONE INTEGER NOUT REAL X, ALPHA, PR CALL UMACH(2, NOUT) X = 0.25 ALPHA = 0.5 PR = RALDF(X, ALPHA) WRITE (NOUT, 99999) X, ALPHA, PR 99999 FORMAT (' RALDF(', F4.2, ', ', F4.2, ') = ', F6.4) END Output RALDF(0.25, 0.50) = 0.1175 RALIN This function evaluates the inverse of the Rayleigh cumulative distribution function. Function Return Value RALIN — Function value, the value of the inverse of the cumulative distribution function. (Output) Required Arguments P — Probability for which the inverse of the Rayleigh distribution function is to be evaluated. (Input) ALPHA — Scale parameter of the Rayleigh cumulative distribution function. (Input) FORTRAN 90 Interface Generic: RALIN (P, ALPHA) Specific: The specific interface names are S_RALIN and D_RALIN. FORTRAN 77 Interface Single: RALIN (P, ALPHA) Double: The double precision name is DRALIN. 274 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Description The function RALIN evaluates the inverse distribution function of a Rayleigh random variable with scale parameter ALPHA. Example In this example, we evaluate the inverse probability function at P = 0.1175, ALPHA= 0.5. USE UMACH_INT USE RALIN_INT IMPLICIT NONE INTEGER NOUT REAL X, ALPHA, P CALL UMACH(2, NOUT) P = 0.1175 ALPHA = 0.5 X = RALIN(P, ALPHA) WRITE (NOUT, 99999) P, ALPHA, X 99999 FORMAT (' RALIN(', F6.4, ', ', F4.2, ') = ', F6.4) END Output RALIN(0.1175, 0.50) = 0.2500 RALPR This function evaluates the Rayleigh probability density function. Function Return Value RALPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the Rayleigh probability density function is to be evaluated. (Input) ALPHA — Scale parameter of the Rayleigh probability function. (Input) FORTRAN 90 Interface Generic: RALPR (X, ALPHA) Specific: The specific interface names are S_RALPR and D_RALPR. FORTRAN 77 Interface Single: RALPR (X, ALPHA) Chapter 11: Probability Distribution Functions and Inverses RALPR • 275 Double: The double precision name is DRALPR. Description The function RALPR evaluates the Rayleigh probability density function, which is a special case of the Weibull probability density function where GAMMA is equal to 2.0, and is defined as f (x α ) = x α2 e ⎛ x2 ⎞ −⎜ 2 ⎟ ⎝ 2α ⎠ ,x > 0 Example In this example, we evaluate the Rayleigh probability density function at X = 0.25, ALPHA = 0.5. USE UMACH_INT USE RALPR_INT IMPLICIT NONE INTEGER NOUT REAL X, ALPHA, PR CALL UMACH(2, NOUT) X = 0.25 ALPHA = 0.5 PR = RALPR(X, ALPHA) WRITE (NOUT, 99999) X, ALPHA, PR 99999 FORMAT (' RALPR(', F4.2, ', ', F4.2, ') = ', F6.4) END Output RALPR(0.25, 0.50) = 0.8825 TDF This function evaluates the Student’s t cumulative distribution function. Function Return Value TDF — Function value, the probability that a Student’s t random variable takes a value less than or equal to the input T. (Output) Required Arguments T — Argument for which the Student’s t distribution function is to be evaluated. (Input) DF — Degrees of freedom. (Input) DF must be greater than or equal to 1.0. 276 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions FORTRAN 90 Interface Generic: TDF (T, DF) Specific: The specific interface names are S_TDF and D_TDF. FORTRAN 77 Interface Single: TDF (T, DF) Double: The double precision name is DTDF. Description Function TDF evaluates the cumulative distribution function of a Student’s t random variable with DF degrees of freedom. If the square of T is greater than or equal to DF, the relationship of a t to an F random variable (and subsequently, to a beta random variable) is exploited, and routine BETDF is used. Otherwise, the method described by Hill (1970) is used. Let ν = DF. If ν is not an integer, if ν is greater than 19, or if ν is greater than 200, a Cornish-Fisher expansion is used to evaluate the distribution function. If ν is less than 20 and ABS(T) is less than 2.0, a trigonometric series (see Abramowitz and Stegun 1964, equations 26.7.3 and 26.7.4, with some rearrangement) is used. For the remaining cases, a series given by Hill (1970) that converges well for large values of T is used. Figure 11- 12 Student’s t Distribution Function Chapter 11: Probability Distribution Functions and Inverses TDF • 277 Example In this example, we find the probability that a t random variable with 6 degrees of freedom is greater in absolute value than 2.447. We use the fact that t is symmetric about 0. USE TDF_INT USE UMACH_INT IMPLICIT NONE INTEGER NOUT REAL DF, P, T ! CALL UMACH (2, NOUT) T = 2.447 DF = 6.0 P = 2.0*TDF(-T,DF) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that a t(6) variate is greater ', & 'than 2.447 in', /, ' absolute value is ', F6.4) END Output The probability that a t(6) variate is greater than 2.447 in absolute value is 0.0500 TIN This function evaluates the inverse of the Student’s t cumulative distribution function. Function Return Value TIN — Function value. (Output) The probability that a Student’s t random variable takes a value less than or equal to TIN is P. Required Arguments P — Probability for which the inverse of the Student’s t cumulative distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). DF — Degrees of freedom. (Input) DF must be greater than or equal to 1.0. FORTRAN 90 Interface Generic: TIN (P, DF) Specific: The specific interface names are S_TIN and D_TIN. 278 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions FORTRAN 77 Interface Single: TIN (P, DF) Double: The double precision name is DTIN. Description Function TIN evaluates the inverse distribution function of a Student’s t random variable with DF degrees of freedom. Let v = DF. If v equals 1 or 2, the inverse can be obtained in closed form, if v is between 1 and 2, the relationship of a t to a beta random variable is exploited and routine BETIN is used to evaluate the inverse; otherwise the algorithm of Hill (1970) is used. For small values of v greater than 2, Hill’s algorithm inverts an integrated expansion in 1/(1 + t2/v) of the t density. For larger values, an asymptotic inverse Cornish-Fisher type expansion about normal deviates is used. Comments Informational error Type Code 4 3 TIN is set to machine infinity since overflow would occur upon modifying the inverse value for the F distribution with the result obtained from the inverse β distribution. Example In this example, we find the 0.05 critical value for a two-sided t test with 6 degrees of freedom. USE TIN_INT USE UMACH_INT IMPLICIT NONE INTEGER NOUT REAL DF, P, T ! CALL UMACH (2, NOUT) P = 0.975 DF = 6.0 T = TIN(P,DF) WRITE (NOUT,99999) T 99999 FORMAT (' The two-sided t(6) 0.05 critical value is ', F6.3) END Output The two-sided t(6) 0.05 critical value is 2.447 TPR This function evaluates the Student’s t probability density function. Chapter 11: Probability Distribution Functions and Inverses TPR • 279 Function Return Value TPR — Function value, the value of the probability density function. (Output) Required Arguments T — Argument for which the Student’s t probability density function is to be evaluated. (Input) DF — Degrees of freedom. (Input) DF must be greater than or equal to 1.0. FORTRAN 90 Interface Generic: TPR (T, DF) Specific: The specific interface names are S_TPR and D_TPR FORTRAN 77 Interface Single: TPR (T, DF) Double: The double precision name is DTPR. Description The function TPR evaluates the Student’s t probability density function, defined as ( f ( t ν ) = β ( 0.5, 0.5ν ) ν ) −1 ⎛ t2 ⎞ ⎜1 + ⎟ ⎝ ν ⎠ − (ν +1) / 2 , − ∞ < t < +∞, ν ≥ 1 Where ν = DF. The normalizing factor uses the Beta function, BETA (see Special Functions/Chapter 4, Gamma and Related Funtions). Example In this example, we evaluate the probability function at T = 1.5, DF = 10.0. USE UMACH_INT USE TPR_INT IMPLICIT NONE INTEGER NOUT REAL T, DF, PR CALL UMACH(2, NOUT) T = 1.5 DF = 10.0 PR = TPR(T, DF) WRITE (NOUT, 99999) T, DF, PR 280 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions 99999 FORMAT (' TPR(', F4.2, ', ', F6.2, ') = ', F6.4) END Output TPR(1.50, 10.00) = 0.1274 TNDF This function evaluates the noncentral Student’s t cumulative distribution function. Function Return Value TNDF — Function value, the probability that a noncentral Student’s t random variable takes a value less than or equal to T. (Output) Required Arguments T — Argument for which the noncentral Student’s t cumulative distribution function is to be evaluated. (Input) IDF — Number of degrees of freedom of the noncentral Student’s t cumulative distribution. (Input) IDF must be positive. DELTA — The noncentrality parameter. (Input) FORTRAN 90 Interface Generic: TNDF (T, IDF, DELTA) Specific: The specific interface names are S_TNDF and D_TNDF. FORTRAN 77 Interface Single: TNDF (T, IDF, DELTA) Double: The double precision name is DTNDF. Description Function TNDF evaluates the cumulative distribution function F of a noncentral t random variable with IDF degrees of freedom and noncentrality parameter DELTA; that is, with v = IDF, δ = DELTA, and t0 = T, 2 t0 v v / 2 e −δ −∞ π Γ(v / 2)(v + x ) F (t0 ) = ∫ /2 ∞ 2 ( v +1) / 2 Chapter 11: Probability Distribution Functions and Inverses ∑ Γ((v + i + 1) / 2)( δ )( i =0 i i! 2 x2 i / 2 v + x2 ) dx TNDF • 281 where Γ(⋅) is the gamma function. The value of the distribution function at the point t0 is the probability that the random variable takes a value less than or equal to t0. The noncentral t random variable can be defined by the distribution function above, or alternatively and equivalently, as the ratio of a normal random variable and an independent chisquared random variable. If w has a normal distribution with mean δ and variance equal to one, u has an independent chi-squared distribution with v degrees of freedom, and x = w/ u /v then x has a noncentral t distribution with degrees of freedom and noncentrality parameter δ. The distribution function of the noncentral t can also be expressed as a double integral involving a normal density function (see, for example, Owen 1962, page 108). The function TNDF uses the method of Owen (1962, 1965), which uses repeated integration by parts on that alternate expression for the distribution function. Figure 11- 13 Noncentral Student’s t Distribution Function Comments Informational error Type Code 4 2 An accurate result cannot be computed due to possible underflow for the machine precision available. DELTA*SQRT(IDF/(IDF+T**2)) must be less than SQRT(-1.9*ALOG(S)), where S=AMACH(1). 282 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Example Suppose T is a noncentral t random variable with 6 degrees of freedom and noncentrality parameter 6. In this example, we find the probability that T is less than 12.0. (This can be checked using the table on page 111 of Owen 1962, with η = 0.866, which yields λ = 1.664.) USE UMACH_INT USE TNDF_INT IMPLICIT NONE INTEGER IDF, NOUT REAL DELTA, P, T ! CALL UMACH (2, NOUT) IDF = 6 DELTA = 6.0 T = 12.0 P = TNDF(T,IDF,DELTA) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that T is less than 12.0 is ', F6.4) END Output The probability that T is less than 12.0 is 0.9501 TNIN This function evaluates the inverse of the noncentral Student’s t cumulative distribution function. Function Return Value TNIN — Function value. (Output) The probability that a noncentral Student’s t random variable takes a value less than or equal to TNIN is P. Required Arguments P — Probability for which the inverse of the noncentral Student’s t cumulative distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). IDF — Number of degrees of freedom of the noncentral Student’s t cumulative distribution. (Input) IDF must be positive. DELTA — The noncentrality parameter. (Input) FORTRAN 90 Interface Generic: TNIN (P, IDF, DELTA) Chapter 11: Probability Distribution Functions and Inverses TNIN • 283 Specific: The specific interface names are S_TNIN and D_TNIN. FORTRAN 77 Interface Single: TNIN (P, IDF, DELTA) Double: The double precision name is DTNIN. Description Function TNIN evaluates the inverse distribution function of a noncentral t random variable with IDF degrees of freedom and noncentrality parameter DELTA; that is, with P = P, v = IDF, and δ = DELTA, it determines t0 (= TNIN(P, IDF, DELTA )), such that 2 t0 v v / 2 e −δ −∞ π Γ(v / 2)(v + x ) P=∫ /2 ∞ 2 ( v +1) / 2 ∑ Γ((v + i + 1) / 2)( δ )( i =0 i i! 2 x2 i / 2 v + x2 ) dx where Γ(⋅) is the gamma function. The probability that the random variable takes a value less than or equal to t0 is P. See TNDF for an alternative definition in terms of normal and chi-squared random variables. The function TNIN uses bisection and modified regula falsi to invert the distribution function, which is evaluated using routine TNDF. Comments Informational error Type Code 4 1 Over 100 iterations have occurred without convergence. Convergence is assumed. Example In this example, we find the 95-th percentage point for a noncentral t random variable with 6 degrees of freedom and noncentrality parameter 6. USE TNIN_INT USE UMACH_INT IMPLICIT NONE INTEGER IDF, NOUT REAL DELTA, P, T ! CALL UMACH (2, NOUT) IDF = 6 DELTA = 6.0 P = 0.95 T = TNIN(P,IDF,DELTA) WRITE (NOUT,99999) T ! 99999 FORMAT (' The 0.05 noncentral t critical value is ', F6.3, & '.') ! 284 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions END Output The 0.05 noncentral t critical value is 11.995. UNDF This function evaluates the uniform cumulative distribution function. Function Return Value UNDF — Function value, the probability that a uniform random variable takes a value less than or equal to X. (Output) Required Arguments X — Argument for which the uniform cumulative distribution function is to be evaluated. (Input) A — Location parameter of the uniform cumulative distribution function. (Input) B — Value used to compute the scale parameter (B – A) of the uniform cumulative distribution function. (Input) FORTRAN 90 Interface Generic: UNDF (X, A, B) Specific: The specific interface names are S_UNDF and D_UNDF. FORTRAN 77 Interface Single: UNDF (X, A, B) Double: The double precision name is DUNDF. Description The function UNDF evaluates the uniform cumulative distribution function with location parameter A and scale parameter (B – A). The function definition is ⎧ 0, ⎪ ⎪x−A F ( x A, B ) = ⎨ , ⎪B − A ⎪⎩ 1, Chapter 11: Probability Distribution Functions and Inverses if x < A if A ≤ x ≤ B if x > B UNDF • 285 Example In this example, we evaluate the probability function at X = 0.65, A = 0.25, B = 0.75. USE UMACH_INT USE UNDF_INT IMPLICIT NONE INTEGER NOUT REAL X, A, B, PR CALL UMACH(2, NOUT) X = 0.65 A = 0.25 B = 0.75 PR = UNDF(X, A, B) WRITE (NOUT, 99999) X, A, B, PR 99999 FORMAT (' UNDF(', F4.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output UNDF(0.65, 0.25, 0.75) = 0.8000 UNIN This function evaluates the inverse of the uniform cumulative distribution function. Function Return Value UNIN — Function value, the value of the inverse of the cumulative distribution function. (Output) Required Arguments P — Probability for which the inverse of the uniform cumulative distribution function is to be evaluated. (Input) A — Location parameter of the uniform cumulative distribution function. (Input) B — Value used to compute the scale parameter (B – A) of the uniform cumulative distribution function. (Input) FORTRAN 90 Interface Generic: UNIN (P, A, B) Specific: The specific interface names are S_UNIN and D_UNIN. FORTRAN 77 Interface Single: UNIN (P, A, B) 286 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Double: The double precision name is DUNIN. Description The function UNIN evaluates the inverse distribution function of a uniform random variable with location parameter A and scale parameter (B – A). Example In this example, we evaluate the inverse probability function at P = 0.80, A = 0.25, B = 0.75. USE UMACH_INT USE UNIN_INT IMPLICIT NONE INTEGER NOUT REAL X, A, B, P CALL UMACH(2, NOUT) P = 0.80 A = 0.25 B = 0.75 X = UNIN(P, A, B) WRITE (NOUT, 99999) P, A, B, X 99999 FORMAT (' UNIN(', F4.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output UNIN(0.80, 0.25, 0.75) = 0.6500 UNPR This function evaluates the uniform probability density function. Function Return Value UNPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the uniform probability density function is to be evaluated. (Input) A — Location parameter of the uniform probability function. (Input) B — Value used to compute the scale parameter (B – A) of the uniform probability density function. (Input) FORTRAN 90 Interface Generic: UNPR (X, A, B) Chapter 11: Probability Distribution Functions and Inverses UNPR • 287 Specific: The specific interface names are S_UNPR and D_UNPR. FORTRAN 77 Interface Single: UNPR (X, A, B) Double: The double precision name is DUNPR. Description The function UNPR evaluates the uniform probability density function with location parameter A and scale parameter (B – A), defined ⎧ 1 ⎪ f ( x A, B ) = ⎨ B − A ⎪⎩ 0 for A ≤ x ≤ B otherwise Example In this example, we evaluate the uniform probability density function at X = 0.65, A = 0.25, B = 0.75. USE UMACH_INT USE UNPR_INT IMPLICIT NONE INTEGER NOUT REAL X, A, B, PR CALL UMACH(2, NOUT) X = 0.65 A = 0.25 B = 0.75 PR = UNPR(X, A, B) WRITE (NOUT, 99999) X, A, B, PR 99999 FORMAT (' UNPR(', F4.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output UNPR(0.65, 0.25, 0.75) = 2.0000 WBLDF This function evaluates the Weibull cumulative distribution function. Function Return Value WBLDF — Function value, the probability that a Weibull random variable takes a value less than or equal to X. (Output) 288 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Required Arguments X — Argument for which the Weibull cumulative distribution function is to be evaluated. (Input) A — Scale parameter. (Input) B — Shape parameter. (Input) FORTRAN 90 Interface Generic: WBLDF (X, A, B) Specific: The specific interface names are S_WBLDF and D_WBLDF. FORTRAN 77 Interface Single: WBLDF (X, A, B) Double: The double precision name is DWBLDF. Description The function WBLDF evaluates the Weibull cumulative distribution function with scale parameter A and shape parameter B, defined F ( x a, b ) = 1 − e ⎛ x⎞ −⎜ ⎟ ⎝a⎠ b b ⎛ x⎞ To deal with potential loss of precision for small values of ⎜ ⎟ , the difference expression for p ⎝a⎠ is re-written as b ⎛ x⎞ u=⎜ ⎟ , ⎝a⎠ ⎡ ( e − u − 1) ⎤ ⎥, p =u⎢ ⎢⎣ −u ⎥⎦ and the right factor is accurately evaluated using EXPRL. Example In this example, we evaluate the Weibull cumulative distribution function at X = 1.5, A = 1.0, B = 2.0. USE UMACH_INT USE WBLDF_INT IMPLICIT NONE INTEGER NOUT REAL X, A, B, PR CALL UMACH(2, NOUT) Chapter 11: Probability Distribution Functions and Inverses WBLDF • 289 X = 1.5 A = 1.0 B = 2.0 PR = WBLDF(X, A, B) WRITE (NOUT, 99999) X, A, B, PR 99999 FORMAT (' WBLDF(', F4.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output WBLDF(1.50, 1.00, 2.00) = 0.8946 WBLIN This function evaluates the inverse of the Weibull cumulative distribution function. Function Return Value WBLIN — Function value, the value of the inverse of the Weibull cumulative distribution distribution function. (Output) Required Arguments P — Probability for which the inverse of the Weibull cumulative distribution function is to be evaluated. (Input) A — Scale parameter. (Input) B — Shape parameter. (Input) FORTRAN 90 Interface Generic: WBLIN (P, A, B) Specific: The specific interface names are S_WBLIN and D_WBLIN. FORTRAN 77 Interface Single: WBLIN (P, A, B) Double: The double precision name is DWBLIN. Description The function WBLIN evaluates the inverse distribution function of a Weibull random variable with scale parameter A and shape parameter B. 290 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Example In this example, we evaluate the inverse probability function at P = 0.8946, A = 1.0, B = 2.0. USE UMACH_INT USE WBLIN_INT IMPLICIT NONE INTEGER NOUT REAL X, A, B, P CALL UMACH(2, NOUT) P = 0.8946 A = 1.0 B = 2.0 X = WBLIN(P, A, B) WRITE (NOUT, 99999) P, A, B, X 99999 FORMAT (' WBLIN(', F4.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output WBLIN(0.8946, 1.00, 2.00) = 1.5000 WBLPR This function evaluates the Weibull probability density function. Function Return Value WBLPR — Function value, the value of the probability density function. (Output) Required Arguments X — Argument for which the Weibull probability density function is to be evaluated. (Input) A — Scale parameter. (Input) B — Shape parameter. (Input) FORTRAN 90 Interface Generic: WBLPR (X, A, B) Specific: The specific interface names are S_WBLPR and D_WBLPR. FORTRAN 77 Interface Single: WBLPR (X, A, B) Double: The double precision name is DWBLPR. Chapter 11: Probability Distribution Functions and Inverses WBLPR • 291 Description The function WBLPR evaluates the Weibull probability density function with scale parameter A and shape parameter B, defined b⎛x⎞ f ( x a, b ) = ⎜ ⎟ a⎝a⎠ b −1 e ⎛ x⎞ −⎜ ⎟ ⎝a⎠ b , a, b > 0 . Example In this example, we evaluate the Weibull probability density function at X = 1.5, A = 1.0, B = 2.0. USE UMACH_INT USE WBLPR_INT IMPLICIT NONE INTEGER NOUT REAL X, A, B, PR` CALL UMACH(2, NOUT) X = 1.5 A = 1.0 B = 2.0 PR = WBLPR(X, A, B) WRITE (NOUT, 99999) X, A, B, PR 99999 FORMAT (' WBLPR(', F4.2, ', ', F4.2, ', ', F4.2, ') = ', F6.4) END Output WBLPR(1.50, 1.00, 2.00) = 0.3162 GCDF This function evaluates a general continuous cumulative distribution function given ordinates of the density. Function Return Value GCDF — Function value, the probability that a random variable whose density is given in F takes a value less than or equal to X0. (Output) Required Arguments X0 —Point at which the cumulative distribution function is to be evaluated. (Input) X — Array containing the abscissas or the endpoints. (Input) If IOPT = 1 or 3, X is of length 2. If IOPT = 2 or 4, X is of length M. For IOPT = 1 or 3, X(1) contains the lower endpoint of the support of the distribution and X(2) is the upper endpoint. For IOPT = 2 or 4, X contains, in strictly increasing order, the abscissas such that X(I) corresponds to F(I). 292 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions F — Vector of length M containing the probability density ordinates corresponding to increasing abscissas. (Input) If IOPT = 1 or 3, for I = 1, 2, …, M, F(I) corresponds to X(1) + (I − 1) * (X(2) − X(1))/(M −1); otherwise, F and X correspond one for one. Optional Arguments IOPT — Indicator of the method of interpolation. (Input) Default: IOPT = 1. IOPT Interpolation Method 1 Linear interpolation with equally spaced abscissas. 2 Linear interpolation with possibly unequally spaced abscissas. 3 A cubic spline is fitted to equally spaced abscissas. 4 A cubic spline is fitted to possibly unequally spaced abscissas. M —Number of ordinates of the density supplied. (Input) M must be greater than 1 for linear interpolation (IOPT = 1 or 2) and greater than 3 if a curve is fitted through the ordinates (IOPT = 3 or 4). Default: M = size (F,1). FORTRAN 90 Interface Generic: GCDF (X0, X, F [,…]) Specific: The specific interface names are S_GCDF and D_GCDF. FORTRAN 77 Interface Single: GCDF (X0, IOPT, M, X, F) Double: The double precision name is DGCDF. Description Function GCDF evaluates a continuous distribution function, given ordinates of the probability density function. It requires that the range of the distribution be specified in X. For distributions with infinite ranges, endpoints must be chosen so that most of the probability content is included. The function GCDF first fits a curve to the points given in X and F with either a piecewise linear interpolant or a C1 cubic spline interpolant based on a method by Akima (1970). Function GCDF then determines the area, A, under the curve. (If the distribution were of finite range and if the fit were exact, this area would be 1.0.) Using the same fitted curve, GCDF next determines the area up to the point x0(= X0). The value returned is the area up to x0 divided by A. Because of the scaling Chapter 11: Probability Distribution Functions and Inverses GCDF • 293 by A, it is not assumed that the integral of the density defined by X and F is 1.0. For most distributions, it is likely that better approximations to the distribution function are obtained when IOPT equals 3 or 4, that is, when a cubic spline is used to approximate the function. It is also likely that better approximations can be obtained when the abscissas are chosen more densely over regions where the density and its derivatives (when they exist) are varying greatly. Comments If IOPT = 3, automatic workspace usage is: GCDF 6 * M units, or DGCDF 11 * M units. If IOPT = 4, automatic workspace usage is GCDF 5 * M units, or DGCDF 9 * M units. Workspace may be explicitly provided, if desired, by the use of G4DF/DG4DF. The reference is: G4DF(P, IOPT, M, X, F, WK, IWK) The arguments in addition to those of GCDF are: WK — Work vector of length 5 * M if IOPT = 3, and of length 4 * M if IOPT = 4. IWK — Work vector of length M. Example In this example, we evaluate the beta distribution function at the point 0.6. The probability density function of a beta random variable with parameters p and q is f ( x) = Γ( p + q) p −1 x (1 − x) q −1 Γ ( p )Γ ( q ) for 0 ≤ x ≤ 1 where Γ(⋅) is the gamma function. The density is equal to 0 outside the interval [0, 1]. We compute a constant multiple (we can ignore the constant gamma functions) of the density at 300 equally spaced points and input this information in X and F. Knowing that the probability density of this distribution is very peaked in the vicinity of 0.5, we could perhaps get a better fit by using unequally spaced abscissas, but we will keep it simple. Note that this is the same example as one used in the description of routine BETDF. The result from BETDF would be expected to be more accurate than that from GCDF since BETDF is designed specifically for this distribution. USE UMACH_INT USE GCDF_INT 294 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions IMPLICIT INTEGER PARAMETER NONE M (M=300) INTEGER REAL I, IOPT, NOUT F(M), H, P, PIN1, QIN1, X(2), X0, XI ! ! CALL UMACH (2, NOUT) X0 = 0.6 IOPT = 3 ! ! Initializations for a beta(12,12) distribution. PIN1 QIN1 XI H X(1) F(1) XI = = = = = = = 11.0 11.0 0.0 1.0/(M-1.0) XI 0.0 XI + H ! ! Compute ordinates of the probability density function. DO 10 I=2, M - 1 F(I) = XI**PIN1*(1.0-XI)**QIN1 XI = XI + H 10 CONTINUE X(2) = 1.0 F(M) = 0.0 P = GCDF(X0, X, F, IOPT=IOPT) WRITE (NOUT,99999) P 99999 FORMAT (' The probability that X is less than 0.6 is ', F6.4) END Output The probability that X is less than 0.6 is 0.8364 GCIN Evaluates the inverse of a general continuous cumulative distribution function given ordinates of the density. Required Arguments P — Probability for which the inverse of the distribution function is to be evaluated. (Input) P must be in the open interval (0.0, 1.0). X — Array containing the abscissas or the endpoints. (Input) If IOPT = 1 or 3, X is of length 2. If IOPT = 2 or 4, X is of length M. For IOPT = 1 or 3, X(1) contains the lower endpoint of the support of the distribution and X(2) is the upper endpoint. For IOPT = 2 or 4, X contains, in strictly increasing order, the abscissas such that X(I) corresponds to F(I). Chapter 11: Probability Distribution Functions and Inverses GCIN • 295 F — Vector of length M containing the probability density ordinates corresponding to increasing abscissas. (Input) If IOPT = 1 or 3, for I = 1, 2, …, M, F(I) corresponds to X(1) + (I − 1) * (X(2) − X(1))/(M − 1); otherwise, F and X correspond one for one. GCIN — Function value. (Output) The probability that a random variable whose density is given in F takes a value less than or equal to GCIN is P. Optional Arguments IOPT — Indicator of the method of interpolation. (Input) Default: IOPT = 1. IOPT 1 2 3 4 Interpolation Method Linear interpolation with equally spaced abscissas. Linear interpolation with possibly unequally spaced abscissas. A cubic spline is fitted to equally spaced abscissas. A cubic spline is fitted to possibly unequally spaced abscissas. M — Number of ordinates of the density supplied. (Input) M must be greater than 1 for linear interpolation (IOPT = 1 or 2) and greater than 3 if a curve is fitted through the ordinates (IOPT = 3 or 4). Default: M = size (F,1). FORTRAN 90 Interface Generic: CALL GCIN (P, X, F [,…]) Specific: The specific interface names are S_GCIN and D_GCIN. FORTRAN 77 Interface Single: CALL GCIN (P, IOPT, M, X, F) Double: The double precision function name is DGCIN. Description Function GCIN evaluates the inverse of a continuous distribution function, given ordinates of the probability density function. The range of the distribution must be specified in X. For distributions with infinite ranges, endpoints must be chosen so that most of the probability content is included. The function GCIN first fits a curve to the points given in X and F with either a piecewise linear interpolant or a C1 cubic spline interpolant based on a method by Akima (1970). Function GCIN then determines the area, A, under the curve. (If the distribution were of finite range and if the fit were exact, this area would be 1.0.) It next finds the maximum abscissa up to which the area is less than AP and the minimum abscissa up to which the area is greater than AP. The routine then 296 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions interpolates for the point corresponding to AP. Because of the scaling by A, it is not assumed that the integral of the density defined by X and F is 1.0. For most distributions, it is likely that better approximations to the distribution function are obtained when IOPT equals 3 or 4, that is, when a cubic spline is used to approximate the function. It is also likely that better approximations can be obtained when the abscissas are chosen more densely over regions where the density and its derivatives (when they exist) are varying greatly. Comments Workspace may be explicitly provided, if desired, by the use of G3IN/DG3IN. The reference is G3IN(P, IOPT, M, X, F, WK, IWK) The arguments in addition to those of GCIN are: WK — Work vector of length 5 * M if IOPT = 3, and of length 4 * M if IOPT = 4. IWK — Work vector of length M. Example In this example, we find the 90-th percentage point for a beta random variable with parameters 12 and 12. The probability density function of a beta random variable with parameters p and q is f ( x) = Γ ( p + q) Γ ( p) Γ (q) x p −1 (1 − x ) q −1 for 0 ≤ x ≤ 1 where Γ(⋅) is the gamma function. The density is equal to 0 outside the interval [0, 1]. With p = q, this is a symmetric distribution. Knowing that the probability density of this distribution is very peaked in the vicinity of 0.5, we could perhaps get a better fit by using unequally spaced abscissas, but we will keep it simple and use 300 equally spaced points. Note that this is the same example that is used in the description of routine BETIN. The result from BETIN would be expected to be more accurate than that from GCIN since BETIN is designed specifically for this distribution. USE GCIN_INT USE UMACH_INT USE BETA_INT IMPLICIT INTEGER PARAMETER NONE M (M=300) ! INTEGER REAL I, IOPT, NOUT C, F(M), H, P, PIN, PIN1, QIN, QIN1, & X(2), X0, XI ! CALL UMACH (2, NOUT) P = 0.9 IOPT = 3 ! Initializations for a beta(12,12) Chapter 11: Probability Distribution Functions and Inverses GCIN • 297 ! distribution. PIN QIN PIN1 QIN1 C XI H X(1) F(1) XI = = = = = = = = = = 12.0 12.0 PIN - 1.0 QIN - 1.0 1.0/BETA(PIN,QIN) 0.0 1.0/(M-1.0) XI 0.0 XI + H ! ! Compute ordinates of the probability density function. DO 10 I=2, M - 1 F(I) = C*XI**PIN1*(1.0-XI)**QIN1 XI = XI + H 10 CONTINUE X(2) = 1.0 F(M) = 0.0 X0 = GCIN(P,X,F, IOPT=IOPT) WRITE (NOUT,99999) X0 99999 FORMAT (' X is less than ', F6.4, ' with probability 0.9.') END Output X is less than 0.6304 with probability 0.9. GFNIN This function evaluates the inverse of a general continuous cumulative distribution function given in a subprogram. Function Return Value GFNIN — The inverse of the function F at the point P. (Output) F(GFNIN) is “close” to P. Required Arguments F — User-supplied FUNCTION to be inverted. F must be continuous and strictly monotone. The form is F(X), where X — The argument to the function. (Input) F — The value of the function at X. (Output) F must be declared EXTERNAL in the calling program. P — The point at which the inverse of F is desired. (Input) GUESS — An initial estimate of the inverse of F at P. (Input) 298 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Optional Arguments EPS — Convergence criterion. (Input) When the relative change in GFNIN from one iteration to the next is less than EPS, convergence is assumed. A common value for EPS is 0.0001. Another common value is 100 times the machine epsilon. Default: EPS = 100 times the machine epsilon. FORTRAN 90 Interface Generic: GFNIN (F, P, GUESS [,…]) Specific: The specific interface names are S_GFNIN and D_GFNIN. FORTRAN 77 Interface Single: GFNIN (F, P, EPS, GUESS) Double: The double precision name is DGFNIN. Description Function GFNIN evaluates the inverse of a continuous, strictly monotone function. Its most obvious use is in evaluating inverses of continuous distribution functions that can be defined by a FORTRAN function. If the distribution function cannot be specified in a FORTRAN function, but the density function can be evaluated at a number of points, then routine GCIN can be used. Function GFNIN uses regula falsi and/or bisection, possibly with the Illinois modification (see Dahlquist and Bjorck 1974). A maximum of 100 iterations are performed. Comments 1. 2. Informational errors Type Code 4 1 4 4 2 3 After 100 attempts, a bound for the inverse cannot be determined. Try again with a different initial estimate. No unique inverse exists. Over 100 iterations have occurred without convergence. Convergence is assumed. The function to be inverted need not be a distribution function, it can be any continuous, monotonic function. Example In this example, we find the 99–th percentage point for an F random variable with 1 and 7 degrees of freedom. (This problem could be solved easily using routine FIN. Compare the example for FIN). The function to be inverted is the F distribution function, for which we use routine FDF. Since FDF requires the degrees of freedom in addition to the point at which the function is Chapter 11: Probability Distribution Functions and Inverses GFNIN • 299 evaluated, we write another function F that receives the degrees of freedom via a common block and then calls FDF. The starting point (initial guess) is taken as two standard deviations above the mean (since this would be a good guess for a normal distribution). It is not necessary to supply such a good guess. In this particular case, an initial estimate of 1.0, for example, yields the same answer in essentially the same number of iterations. (In fact, since the F distribution is skewed, the initial guess, 7.0, is really not that close to the final answer.) USE UMACH_INT USE GFNIN_INT IMPLICIT NONE INTEGER NOUT REAL DFD, DFN, F, F0, GUESS, P, SQRT COMMON /FCOM/ DFN, DFD INTRINSIC SQRT EXTERNAL F ! CALL UMACH (2, NOUT) P = 0.99 DFN = 1.0 DFD = 7.0 ! ! Compute GUESS as two standard deviations above the mean. GUESS = DFD/(DFD-2.0) + 2.0*SQRT(2.0*DFD*DFD*(DFN+DFD-2.0)/(DFN* & (DFD-2.0)**2*(DFD-4.0))) F0 = GFNIN(F,P,GUESS) WRITE (NOUT,99999) F0 99999 FORMAT (' The F(1,7) 0.01 critical value is ', F6.3) END ! REAL FUNCTION F (X) REAL X ! REAL DFD, DFN, FDF COMMON /FCOM/ DFN, DFD EXTERNAL FDF ! F = FDF(X,DFN,DFD) RETURN END Output The F(1,7) 0.01 critical value is 12.246 300 • Chapter 11: Probability Distribution Functions and Inverses MATH LIBRARY Special Functions Chapter 11: Probability Distribution Functions and Inverses GFNIN • 301 Chapter 12: Mathieu Functions Routines Evaluate the eigenvalues for the periodic Mathieu functions........................................MATEE Evaluate even, periodic Mathieu functions ......................... MATCE Evaluate odd, periodic Mathieu functions............................MATSE 303 306 310 Usage Notes Mathieu’s equation is d2y + ( a − 2q cos 2v ) y = 0 dv 2 It arises from the solution, by separation of variables, of Laplace’s equation in elliptical coordinates, where a is the separation constant and q is related to the ellipticity of the coordinate system. If we let t = cos v, then Mathieu’s equation can be written as 2 + ( a + 2q − 4qt ) y = 0 (1 − t ) ddt y − t dy dt 2 2 2 For various physically important problems, the solution y(t) must be periodic. There exist, for particular values of a, periodic solutions to Mathieu’s equation of period kπ for any integer k. These particular values of a are called eigenvalues or characteristic values. They are computed using the routine MATEE. There exist sequences of both even and odd periodic solutions to Mathieu’s equation. The even solutions are computed by MATCE. The odd solutions are computed by MATSE. MATEE Evaluates the eigenvalues for the periodic Mathieu functions. Required Arguments Q — Parameter. (Input) ISYM — Symmetry indicator. (Input) Chapter 12: Mathieu Functions Routines • 303 ISYM 0 1 Meaning Even Odd IPER — Periodicity indicator. (Input) ISYM 0 1 Period pi 2 * pi EVAL — Vector of length N containing the eigenvalues. (Output) Optional Arguments N — Number of eigenvalues to be computed. (Input) Default: N = size (EVAL,1) FORTRAN 90 Interface Generic: CALL MATEE (Q, ISYM, IPER, EVAL [,…]) Specific: The specific interface names are S_MATEE and D_MATEE. FORTRAN 77 Interface Single: CALL MATEE (Q, N, ISYM, IPER, EVAL) Double: The double precision function name is DMATEE. Description The eigenvalues of Mathieu’s equation are computed by a method due to Hodge (1972). The desired eigenvalues are the same as the eigenvalues of the following symmetric, tridiagonal matrix: ⎡ W0 ⎢ qX ⎢ 0 ⎢ 0 ⎢ ⎢ 0 ⎢⎣ qX 0 0 0 W2 qX 2 qX 2 W4 0 qX 4 0 qX 4 W6 …⎤ …⎥⎥ …⎥ ⎥ …⎥ ⎥⎦ Here, ⎧⎪ 2 if ISYM = IPER = m = 0 Xm = ⎨ otherwise ⎪⎩ 1 Wm = ⎡⎣ m + IPER + 2 (1 − IPER ) ISYM ⎤⎦ + Vm 2 304 • Chapter 12: Mathieu Functions MATH LIBRARY Special Functions where ⎧+ q if IPER = 1, ISYM = 0 and m = 0 ⎪ Vm = ⎨ − q if IPER = 1, ISYM = 1 and m = 0 ⎪ 0 otherwise ⎩ Since the above matrix is semi-infinite, it must be truncated before its eigenvalues can be computed. Routine MATEE computes an estimate of the number of terms needed to get accurate results. This estimate can be overridden by calling M2TEE with NORDER equal to the desired order of the truncated matrix. The eigenvalues of this matrix are computed using the routine EVLSB found in the IMSL MATH/LIBRARY Chapter 2. Comments 1. Workspace may be explicitly provided, if desired, by use of M2TEE/DM2TEE. The reference is CALL M2TEE (Q, N, ISYM, IPER, EVAL, NORDER, WORKD, WORKE) The additional arguments are as follows: NORDER — Order of the matrix whose eigenvalues are computed. (Input) WORKD — Work vector of size NORDER. (Input/Output) If EVAL is large enough then EVAL and WORKD can be the same vector. WORKE — Work vector of size NORDER. (Input/Output) 2. Informational error Type Code 4 1 The iteration for the eigenvalues did not converge. Example In this example, the eigenvalues for Q = 5, even symmetry, and π periodicity are computed and printed. USE UMACH_INT USE MATEE_INT IMPLICIT NONE INTEGER PARAMETER N (N=10) INTEGER REAL ISYM, IPER, K, NOUT Q, EVAL(N) Compute ! Declare variables ! ! Q = 5.0 Chapter 12: Mathieu Functions MATEE • 305 ISYM = 0 IPER = 0 CALL MATEE (Q, ISYM, IPER, EVAL) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) 2*K-2, EVAL(K) 10 CONTINUE 99999 FORMAT (' Eigenvalue', I2, ' = ', F9.4) END Output Eigenvalue 0 Eigenvalue 2 Eigenvalue 4 Eigenvalue 6 Eigenvalue 8 Eigenvalue10 Eigenvalue12 Eigenvalue14 Eigenvalue16 Eigenvalue18 = = = = = = = = = = -5.8000 7.4491 17.0966 36.3609 64.1989 100.1264 144.0874 196.0641 256.0491 324.0386 MATCE Evaluates a sequence of even, periodic, integer order, real Mathieu functions. Required Arguments X — Argument for which the sequence of Mathieu functions is to be evaluated. (Input) Q — Parameter. (Input) The parameter Q must be positive. N — Number of elements in the sequence. (Input) CE — Vector of length N containing the values of the function through the series. (Output) CE(I) contains the value of the Mathieu function of order I − 1 at X for I = 1 to N. FORTRAN 90 Interface Generic: CALL MATCE (X, Q, N, CE) Specific: The specific interface names are S_MATCE and D_MATCE. FORTRAN 77 Interface Single: CALL MATCE (X, Q, N, CE) 306 • Chapter 12: Mathieu Functions MATH LIBRARY Special Functions The double precision name is DMATCE. Double: Description The eigenvalues of Mathieu’s equation are computed using MATEE. The function values are then computed using a sum of Bessel functions, see Gradshteyn and Ryzhik (1965), equation 8.661. Comments 1. Workspace may be explicitly provided, if desired, by use of M2TCE/DM2TCE. The reference is CALL M2TCE (X, Q, N, CE, NORDER, NEEDEV, EVAL0, EVAL1, COEF, WORK, BSJ) The additional arguments are as follows: NORDER — Order of the matrix used to compute the eigenvalues. (Input) It must be greater than N. Routine MATSE computes NORDER by the following call to M3TEE. CALL M3TEE(Q, N, NORDER) NEEDEV — Logical variable, if .TRUE., the eigenvalues must be computed. (Input) EVAL0 — Real work vector of length NORDER containing the eigenvalues computed by MATEE with ISYM = 0 and IPER = 0. (Input/Output) If NEEDEV is .TRUE., then EVAL0 is computed by M2TCE; otherwise, it must be set as an input value. EVAL1 — Real work vector of length NORDER containing the eigenvalues computed by MATEE with ISYM = 0 and IPER = 1. (Input/Output) If NEEDEV is .TRUE., then EVAL1 is computed by M2TCE; otherwise, it must be set as an input value. COEF — Real work vector of length NORDER + 4. WORK — Real work vector of length NORDER + 4. BSJ — Real work vector of length 2 * NORDER − 2. 2. Informational error Type Code 4 1 The iteration for the eigenvalues did not converge. Example 1 In this example, cen(x = π/4, q = 1), n = 0, …, 9 is computed and printed. Chapter 12: Mathieu Functions MATCE • 307 USE CONST_INT USE MATCE_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=10) INTEGER REAL K, NOUT CE(N), Q, X ! Declare variables ! ! Compute Q = 1.0 X = CONST('PI') X = 0.25* X CALL MATCE (X, Q, N, CE) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) K-1, X, Q, CE(K) 10 CONTINUE 99999 FORMAT (' ce sub', I2, ' (', F6.3, ',', F6.3, ') = ', F6.3) END Output ce ce ce ce ce ce ce ce ce ce sub sub sub sub sub sub sub sub sub sub 0 1 2 3 4 5 6 7 8 9 ( ( ( ( ( ( ( ( ( ( 0.785, 0.785, 0.785, 0.785, 0.785, 0.785, 0.785, 0.785, 0.785, 0.785, 1.000) 1.000) 1.000) 1.000) 1.000) 1.000) 1.000) 1.000) 1.000) 1.000) = = = = = = = = = = 0.654 0.794 0.299 -0.555 -0.989 -0.776 -0.086 0.654 0.998 0.746 Additional Examples Example 2 In this example, we compute cen(x, q) for various values of n and x and a fixed value of q. To avoid having to recompute the eigenvalues, which depend on q but not on x, we compute the eigenvalues once and pass in their value to M2TCE. The eigenvalues are computed using MATEE. The routine M3TEE is used to compute NORDER based on Q and N. The arrays BSJ, COEF and WORK are used as temporary storage in M2TCE. USE IMSL_LIBRARIES IMPLICIT NONE ! 308 • Chapter 12: Mathieu Functions Declare variables MATH LIBRARY Special Functions INTEGER PARAMETER MAXORD, N, NX (MAXORD=100, N=4, NX=5) INTEGER REAL REAL ISYM, K, NORDER, NOUT BSJ(2*MAXORD-2), CE(N), COEF(MAXORD+4) EVAL0(MAXORD), EVAL1(MAXORD), PI, Q, WORK(MAXORD+4), X Compute NORDER ! ! Q = 1.0 CALL M3TEE (Q, N, NORDER) ! CALL UMACH (2, NOUT) WRITE (NOUT, 99997) NORDER ! Compute eigenvalues ISYM = 0 CALL MATEE (Q, ISYM, 0, EVAL0) CALL MATEE (Q, ISYM, 1, EVAL1) ! PI = CONST('PI') ! Compute function values WRITE (NOUT, 99998) DO 10 K=0, NX X = (K*PI)/NX CALL M2TCE(X, Q, N, CE, NORDER, .FALSE., EVAL0, EVAL1, & COEF, WORK, BSJ) WRITE (NOUT,99999) X, CE(1), CE(2), CE(3), CE(4) 10 CONTINUE ! 99997 FORMAT (' NORDER = ', I3) 99998 FORMAT (/, 28X, 'Order', /, 20X, '0', 7X, '1', 7X, & '2', 7X, '3') 99999 FORMAT (' ce(', F6.3, ') = ', 4F8.3) END Output NORDER = ce( ce( ce( ce( ce( ce( 23 0.000) 0.628) 1.257) 1.885) 2.513) 3.142) = = = = = = 0 0.385 0.564 0.926 0.926 0.564 0.385 Chapter 12: Mathieu Functions Order 1 2 0.857 1.086 0.838 0.574 0.425 -0.575 -0.425 -0.575 -0.838 0.574 -0.857 1.086 3 1.067 -0.131 -0.820 0.820 0.131 -1.067 MATCE • 309 Figure 12- 1 Plot of cen(x, q = 1) MATSE Evaluates a sequence of odd, periodic, integer order, real Mathieu functions. Required Arguments X — Argument for which the sequence of Mathieu functions is to be evaluated. (Input) Q — Parameter. (Input) The parameter Q must be positive. N — Number of elements in the sequence. (Input) SE — Vector of length N containing the values of the function through the series. (Output) SE(I) contains the value of the Mathieu function of order I at X for I = 1 to N. FORTRAN 90 Interface Generic: CALL MATSE (X, Q, N, SE) Specific: The specific interface names are S_MATSE and D_MATSE. 310 • Chapter 12: Mathieu Functions MATH LIBRARY Special Functions FORTRAN 77 Interface Single: CALL MATSE (X, Q, N, SE) Double: The double precision function name is DMATSE. Description The eigenvalues of Mathieu’s equation are computed using MATEE. The function values are then computed using a sum of Bessel functions, see Gradshteyn and Ryzhik (1965), equation 8.661. Comments 1. Workspace may be explicitly provided, if desired, by use of M2TSE/DM2TSE. The reference is CALL M2TSE (X, Q, N, SE, NORDER, NEEDEV, EVAL0, EVAL1, COEF, WORK, BSJ) The additional arguments are as follows: NORDER — Order of the matrix used to compute the eigenvalues. (Input) It must be greater than N. Routine MATSE computes NORDER by the following call to M3TEE. CALL M3TEE (Q, N, NORDER) NEEDEV — Logical variable, if .TRUE., the eigenvalues must be computed. (Input) EVAL0 — Real work vector of length NORDER containing the eigenvalues computed by MATEE with ISYM = 1 and IPER = 0. (Input/Output) If NEEDEV is .TRUE., then EVAL0 is computed by M2TSE; otherwise, it must be set as an input value. EVAL1 — Real work vector of length NORDER containing the eigenvalues computed by MATEE with ISYM = 1 and IPER = 1. (Input/Output) If NEEDEV is .TRUE., then EVAL1 is computed by M2TSE; otherwise, it must be set as an input value. COEF — Real work vector of length NORDER + 4. WORK — Real work vector of length NORDER + 4. BSI — Real work vector of length 2 * NORDER + 1. 2. Informational error Type Code 4 1 Chapter 12: Mathieu Functions The iteration for the eigenvalues did not converge. MATSE • 311 Example In this example, sen(x = π/4, q = 10), n = 0, …, 9 is computed and printed. Figure 12- 2 Plot of sen(x, q = 1) USE CONST_INT USE MATSE_INT USE UMACH_INT IMPLICIT NONE INTEGER PARAMETER N (N=10) INTEGER REAL K, NOUT SE(N), Q, X ! Declare variables ! ! Compute Q = 10.0 X = CONST('PI') X = 0.25* X CALL MATSE (X, Q, N, SE) ! Print the results CALL UMACH (2, NOUT) DO 10 K=1, N WRITE (NOUT,99999) K-1, X, Q, SE(K) 10 CONTINUE 99999 FORMAT (' se sub', I2, ' (', F6.3, ',', F6.3, ') = ', F6.3) END 312 • Chapter 12: Mathieu Functions MATH LIBRARY Special Functions Output se se se se se se se se se se sub sub sub sub sub sub sub sub sub sub 0 1 2 3 4 5 6 7 8 9 ( ( ( ( ( ( ( ( ( ( 0.785,10.000) 0.785,10.000) 0.785,10.000) 0.785,10.000) 0.785,10.000) 0.785,10.000) 0.785,10.000) 0.785,10.000) 0.785,10.000) 0.785,10.000) Chapter 12: Mathieu Functions = 0.250 = 0.692 = 1.082 = 0.960 = 0.230 = -0.634 = -0.981 = -0.588 = 0.219 = 0.871 MATSE • 313 314 • Chapter 12: Mathieu Functions MATH LIBRARY Special Functions Chapter 13: Miscellaneous Functions Routines Spence dilogarithm ..............................................................SPENC Initialize a Chebyshev series ..................................................INITS Evaluate a Chebyshev series .............................................. CSEVL 317 318 319 Usage Notes Many functions of one variable can be numerically computed using a Chebyshev series, f ( x ) = ∑ n = 0 AnTn ( x ) ∞ −1 ≤ x ≤ 1 A Chebyshev series is better for numerical computation than a Taylor series since the Chebyshev polynomials, Tn(x), are better behaved than the monomials, xn. A Taylor series can be converted into a Chebyshev series using an algorithm of Fields and Wimp, (see Luke (1969), page 292). Let f ( x ) = ∑ n=0 ξn x n ∞ be a Taylor series expansion valid for |x| < 1. Define An = 2 4n ∑ ∞ k =0 ( n + 12 )k ( n + 1)k ξ n + k ( 2n + 1)k k ! where (a)k = Γ(a + k)/Γ(a) is Pochhammer’s symbol. Chapter 13: Miscellaneous Functions Routines • 315 (Note that (a)k + 1 = (a + k)(a)k). Then, f ( x ) = 12 T0* ( x ) + ∑ n =1 AnTn* ( x ) ∞ 0 ≤ x ≤1 where Tn* ( x ) are the shifted Chebyshev polynomials, Tn* ( x ) = Tn* ( 2 x − 1) In an actual implementation of this algorithm, the number of terms in the Taylor series and the number of terms in the Chebyshev series must both be finite. If the Taylor series is an alternating series, then the error in using only the first M terms is less than |ξM + 1 |. The error in truncating the Chebyshev series to N terms is no more than ∑ ∞ n = N +1 cn If the Taylor series is valid on |x| < R, then we can write f ( x ) = ∑ n = 0 ξ n R n ( x/R ) ∞ n and use ξnRn instead of ξn in the algorithm to obtain a Chebyshev series in x/R valid for 0 < x < R. Unfortunately, if R is large, then the Chebyshev series converges more slowly. The Taylor series centered at zero can be shifted to a Taylor series centered at c. Let t = x − c, so ⎛ n⎞ ∞ ∞ n n f ( x ) = f ( t + c ) = ∑ n=0 ξn ( t + c ) = ∑ n=0 ∑ j =0 ξn ⎜ ⎟ cn − j t j ⎝ j⎠ ∞ ∞ n n ξˆ t = ξˆ ( x − c ) = ∑ n=0 ∑ n n=0 n By interchanging the order of the double sum, it can easily be shown that ⎛ n⎞ ξˆj = ∑ n = j ⎜ ⎟ c n − jξ n j ∞ ⎝ ⎠ By combining scaling and shifting, we can obtain a Chebyshev series valid over any interval [a, b] for which the original Taylor series converges. The algorithm can also be applied to asymptotic series, f ( x ) ~ ∑ n = 0 ξ n x − n as x → ∞ ∞ by treating the series truncated to M terms as a polynomial in 1/x. The asymptotic series is usually divergent; but if it is alternating, the error in truncating the series to M terms is less than |ξM + 1|/RM + 1 for R ≤ x < ∞. Normally, as M increases, the error initially decreases to a small value and then increases without a bound. Therefore, there is a limit to the accuracy that can be obtained by increasing M. More accuracy can be obtained by increasing R. The optimal value of M depends on both the sequence ξj and R. For R fixed, the optimal value of M can be found by finding the value of M at which |ξM|/RM starts to increase. 316 • Chapter 13: Miscellaneous Functions MATH LIBRARY Special Functions Since we want a routine accurate to near machine precision, the algorithm must be implemented using somewhat higher precision than is normally used. This is best done using a symbolic computation package. SPENC This function evaluates a form of Spence’s integral. Function Return Value SPENC — Function value. (Output) Required Arguments X — Argument for which the function value is desired. (Input) FORTRAN 90 Interface Generic: SPENC (X) Specific: The specific interface names are S_SPENC and D_SPENC. FORTRAN 77 Interface Single: SPENC (X) Double: The double precision function name is DSPENC. Description The Spence dilogarithm function, s(x), is defined to be x ln 1 − y 0 y s ( x ) = −∫ dy For |x| ≤ 1, the uniformly convergent expansion s ( x ) = ∑ k =1 ∞ xk k2 is valid. Spence’s function can be used to evaluate much more general integral forms. For example, c∫ z log ( ax + b ) 0 Chapter 13: Miscellaneous Functions cx + d dx = log a ( cz + d ) ⎛ a ( cz + d ) ⎞ − s⎜ ⎟ ad − bc ⎝ ad − bc ⎠ SPENC • 317 Example In this example, s(0.2) is computed and printed. USE SPENC_INT USE UMACH_INT IMPLICIT NONE ! Declare variables INTEGER REAL NOUT VALUE, X ! Compute X = 0.2 VALUE = SPENC(X) ! Print the results CALL UMACH (2, NOUT) WRITE (NOUT,99999) X, VALUE 99999 FORMAT (' SPENC(', F6.3, ') = ', F6.3) END Output SPENC( 0.200) = 0.211 INITS This function Initializes the orthogonal series so the function value is the number of terms needed to insure the error is no larger than the requested accuracy. Function Return Value INITS — Number of terms needed to insure the error is no larger than ETA. (Output) Required Arguments OS — Vector of length NOS containing coefficients in an orthogonal series. (Input) NOS — Number of coefficients in OS. (Input) ETA — Requested accuracy of the series. (Input) Contrary to the usual convention, ETA is a REAL argument to INITDS. FORTRAN 90 Interface Generic: INITS (OS, NOS, ETA) Specific: The specific interface names are INITS and INITDS. 318 • Chapter 13: Miscellaneous Functions MATH LIBRARY Special Functions FORTRAN 77 Interface Single: INITS (OS, NOS, ETA) Double: The double precision function name is INITDS. Description Function INITS initializes a Chebyshev series. The function INITS returns the number of terms in the series s of length n needed to insure that the error of the evaluated series is everywhere less than ETA. The number of input terms n must be greater than 1, so that a series of at least one term and an error estimate can be obtained. In addition, ETA should be larger than the absolute value of the last coefficient. If it is not, then all the terms of the series must be used, and no error estimate is available. Comments ETA will usually be chosen to be one tenth of machine precision. CSEVL This function evaluates the N-term Chebyshev series. Function Return Value CSEVL — Function value. (Output) Required Arguments X — Argument at which the series is to be evaluated. (Input) CS — Vector of length N containing the terms of a Chebyshev series. (Input) In evaluating CS, only half of the first coefficient is summed. Optional Arguments N — Number of terms in the vector CS. (Input)| Default: N = size(CS, 1) FORTRAN 90 Interface Generic: CSEVL (X, CS [,…]) Specific: The specific interface names are S_CSEVL and D_CSEVL. FORTRAN 77 Interface Single: CSEVL (X, CS, N) Chapter 13: Miscellaneous Functions CSEVL • 319 Double: The double precision function name is DCSEVL. Description Function CSEVL evaluates a Chebyshev series whose coefficients are stored in the array s of length n at the point x. The argument x must lie in the interval [−1, +1]. Other finite intervals can be linearly transformed to this canonical interval. Also, the number of terms in the series must be greater than zero but less than 1000. This latter limit is purely arbitrary; it is imposed in order to guard against the possibility of a floating point number being passed as an argument for n. Comments Informational error Type Code 3 7 X is outside the interval (−1.1, +1.1) 320 • Chapter 13: Miscellaneous Functions MATH LIBRARY Special Functions Reference Material User Errors.................................................................................321 Machine-Dependent Constants ................................................. 325 Reserved Names .......................................................................331 Deprecated and Deleted Routines ............................................ 332 Automatic Workspace Allocation ............................................... 332 User Errors IMSL routines attempt to detect user errors and handle them in a way that provides as much information to the user as possible. To do this, we recognize various levels of severity of errors, and we also consider the extent of the error in the context of the purpose of the routine; a trivial error in one situation may be serious in another. IMSL routines attempt to report as many errors as they can reasonably detect. Multiple errors present a difficult problem in error detection because input is interpreted in an uncertain context after the first error is detected. What Determines Error Severity In some cases, the user’s input may be mathematically correct, but because of limitations of the computer arithmetic and of the algorithm used, it is not possible to compute an answer accurately. In this case, the assessed degree of accuracy determines the severity of the error. In cases where the routine computes several output quantities, if some are not computable but most are, an error condition exists. The severity depends on an assessment of the overall impact of the error. Terminal errors If the user’s input is regarded as meaningless, such as N = −1 when “N” is the number of equations, the routine prints a message giving the value of the erroneous input argument(s) and the reason for the erroneous input. The routine will then cause the user’s program to stop. An error in which the user’s input is meaningless is the most severe error and is called a terminal error. Multiple terminal error messages may be printed from a single routine. Informational errors In many cases, the best way to respond to an error condition is simply to correct the input and rerun the program. In other cases, the user may want to take actions in the program itself based on errors that occur. An error that may be used as the basis for corrective action within the program is called an informational error. If an informational error occurs, a user-retrievable code is set. A routine can return at most one informational error for a single reference to the routine. The codes for the informational error codes are printed in the error messages. Reference Material User Errors • 321 Other errors In addition to informational errors, IMSL routines issue error messages for which no userretrievable code is set. Multiple error messages for this kind of error may be printed. These errors, which generally are not described in the documentation, include terminal errors as well as less serious errors. Corrective action within the calling program is not possible for these errors. Kinds of Errors and Default Actions Five levels of severity of errors are defined in the MATH/LIBRARY Special Functions. Each level has an associated PRINT attribute and a STOP attribute. These attributes have default settings (YES or NO), but they may also be set by the user. The purpose of having multiple error severity levels is to provide independent control of actions to be taken for errors of different severity. Upon return from an IMSL routine, exactly one error state exists. (A code 0 “error” is no informational error.) Even if more than one informational error occurs, only one message is printed (if the PRINT attribute is YES). Multiple errors for which no corrective action within the calling program is reasonable or necessary result in the printing of multiple messages (if the PRINT attribute for their severity level is YES). Errors of any of the severity levels except level 5 may be informational errors. Level 1: Note. A note is issued to indicate the possibility of a trivial error or simply to provide information about the computations. Default attributes: PRINT=NO, STOP=NO Level 2: Alert. An alert indicates that the user should be advised about events occurring in the software. Default attributes: PRINT=NO, STOP=NO Level 3: Warning. A warning indicates the existence of a condition that may require corrective action by the user or calling routine. A warning error may be issued because the results are accurate to only a few decimal places, because some of the output may be erroneous but most of the output is correct, or because some assumptions underlying the analysis technique are violated. Often no corrective action is necessary and the condition can be ignored. Default attributes: PRINT=YES, STOP=NO Level 4: Fatal. A fatal error indicates the existence of a condition that may be serious. In most cases, the user or calling routine must take corrective action to recover. Default attributes: PRINT=YES, STOP=YES Level 5: Terminal. A terminal error is serious. It usually is the result of an incorrect specification, such as specifying a negative number as the number of equations. These errors may also be caused by various programming errors impossible to diagnose correctly in FORTRAN. The resulting error message may be perplexing to the user. In such cases, the user is advised to compare carefully the actual arguments passed to the routine with the dummy argument descriptions given in the documentation. Special attention should be given to checking argument order and data types. A terminal error is not an informational error because corrective action within the program is generally not reasonable. In normal usage, execution is terminated immediately when a terminal error occurs. Messages relating to more than one terminal error are printed if they occur. Default attributes: PRINT=YES, STOP=YES 322 • Reference Material MATH LIBRARY Special Functions The user can set PRINT and STOP attributes by calling ERSET as described in “Routines for Error Handling.” Errors in Lower-Level Routines It is possible that a user’s program may call an IMSL routine that in turn calls a nested sequence of lower-level IMSL routines. If an error occurs at a lower level in such a nest of routines and if the lower-level routine cannot pass the information up to the original user-called routine, then a traceback of the routines is produced. The only common situation in which this can occur is when an IMSL routine calls a user-supplied routine that in turn calls another IMSL routine. Routines for Error Handling There are three ways in which the user may interact with the IMSL error handling system: (1) to change the default actions, (2) to retrieve the integer code of an informational error so as to take corrective action, and (3) to determine the severity level of an error. The routines to use are ERSET, IERCD, and N1RTY, respectively. ERSET Change the default printing or stopping actions when errors of a particular error severity level occur. Required Arguments IERSVR — Error severity level indicator. (Input) If IERSVR = 0, actions are set for levels 1 to 5. If IERSVR is 1 to 5, actions are set for errors of the specified severity level. IPACT — Printing action. (Input) IPACT Action −1 Do not change current setting(s). 0 Do not print. 1 Print. 2 Restore the default setting(s). ISACT — Stopping action. (Input) ISACT Action −1 Do not change current setting(s). 0 Do not stop. 1 Stop. 2 Restore the default setting(s). Reference Material ERSET • 323 FORTRAN 90 Interface Generic: CALL ERSET (IERSVR, IPACT, ISACT) Specific: The specific interface name is ERSET. FORTRAN 77 Interface Single: CALL ERSET (IERSVR, IPACT, ISACT) IERCD and N1RTY The last two routines for interacting with the error handling system, IERCD and N1RTY, are INTEGER functions and are described in the following material. IERCD retrieves the integer code for an informational error. Since it has no arguments, it may be used in the following way: ICODE = IERCD( ) The function retrieves the code set by the most recently called IMSL routine. N1RTY retrieves the error type set by the most recently called IMSL routine. It is used in the following way: ITYPE = N1RTY(1) ITYPE = 1, 2, 4, and 5 correspond to error severity levels 1, 2, 4, and 5, respectively. ITYPE = 3 and ITYPE = 6 are both warning errors, error severity level 3. While ITYPE = 3 errors are informational errors (IERCD( ) ≠ 0), ITYPE = 6 errors are not informational errors (IERCD( ) = 0). For software developers requiring additional interaction with the IMSL error handling system, see Aird and Howell (1991). Examples Changes to Default Actions Some possible changes to the default actions are illustrated below. The default actions remain in effect for the kinds of errors not included in the call to ERSET. To turn off printing of warning error messages: CALL ERSET (3, 0, −1) To stop if warning errors occur: CALL ERSET (3, −1, 1) To print all error messages: CALL ERSET (0, 1, −1) To restore all default settings: CALL ERSET (0, 2, 2) 324 • Reference Material MATH LIBRARY Special Functions Machine-Dependent Constants The function subprograms in this section return machine-dependent information and can be used to enhance portability of programs between different computers. The routines IMACH, and AMACH describe the computer’s arithmetic. The routine UMACH describes the input, ouput, and error output unit numbers. IMACH This function retrieves machine integer constants that define the arithmetic used by the computer. Function Return Value IMACH(1) = Number of bits per integer storage unit. IMACH(2) = Number of characters per integer storage unit: Integers are represented in M-digit, base A form as σ ∑ k = 0 xk Ak M where σ is the sign and 0 ≤ xk < A, k = 0, …, M. Then, IMACH(3) = A, the base. IMACH(4) = M, the number of base-A digits. IMACH(5) = A − 1, the largest integer. M The machine model assumes that floating-point numbers are represented in normalized N-digit, base B form as σ B E ∑ k =1 xk B − k N where σ is the sign, 0 < x1 < B, 0 ≤ xk < B, k = 2, …, N and E∃ ≤ E ≤ E∀. Then, IMACH(6) = B, the base. IMACH(7) = N s , the number of base-B digits in single precision. IMACH(8) = Emin s , the smallest single precision exponent. Reference Material Machine-Dependent Constants • 325 IMACH(9) = Emax s , the largest single precision exponent. IMACH(10) = N d , the number of base-B digits in double precision. IMACH(11) = Emin d , the smallest double precision exponent. IMACH(12) = Emax d , the number of base-B digits in double precision Required Arguments I — Index of the desired constant. (Input) FORTRAN 90 Interface Generic: IMACH (I) Specific: The specific interface name is IMACH. FORTRAN 77 Interface Single: IMACH (I) AMACH The function subprogram AMACH retrieves machine constants that define the computer’s singleprecision or double precision arithmetic. Such floating-point numbers are represented in normalized N-digit, base B form as σ B E ∑ k =1 xk B − k N where σ is the sign, 0 < x1 < B, 0 ≤ xk < B, k = 2, …, N and Emin ≤ E ≤ Emax Function Return Value AMACH(1) E −1 , the smallest normalized positive number. = B min ( ) AMACH(2)=B E max 1 − B − N , the largest number. AMACH(3)=B − N , the smallest relative spacing. 1 − N , the largest relative spacing. AMACH(4)=B 326 • Reference Material MATH LIBRARY Special Functions = log ( B ) . 10 AMACH(6) = NaN (non-signaling not a number). AMACH(7)=positive machine infinity. AMACH(5) AMACH(8)= negative machine infinity. See Comment 1 for a description of the use of the generic version of this function. See Comment 2 for a description of min, max, and N. Required Arguments I — Index of the desired constant. (Input) FORTRAN 90 Interface Generic: AMACH (I) Specific: The specific interface names are S_AMACH and D_AMACH. FORTRAN 77 Interface Single: AMACH (I) Double: The double precision name is DMACH. Comments 1. If the generic version of this function is used, the immediate result must be stored in a variable before use in an expression. For example: X = AMACH(I) Y = SQRT(X) must be used rather than Y = SQRT(AMACH(I)). If this is too much of a restriction on the programmer, then the specific name can be used without this restriction.. 2. Note that for single precision B = IMACH(6), N = IMACH(7). Emin = IMACH(8), and Emax = IMACH(9). For double precision B = IMACH(6), N = IMACH(10). Emin = IMACH(11), and Emax = IMACH(12). Reference Material AMACH • 327 3. The IEEE standard for binary arithmetic (see IEEE 1985) specifies quiet NaN (not a number) as the result of various invalid or ambiguous operations, such as 0/0. The intent is that AMACH(6) return a quiet NaN. On IEEE format computers that do not support a quiet NaN, a special value near AMACH(2) is returned for AMACH(6). On computers that do not have a special representation for infinity, AMACH(7) returns the same value as AMACH(2). DMACH See AMACH. IFNAN(X) This logical function checks if the argument X is NaN (not a number). Function Return Value IFNAN - Logical function value. True is returned if the input argument is a NAN. Otherwise, False is returned. (Output) Required Arguments X – Argument for which the test for NAN is desired. (Input) FORTRAN 90 Interface Generic: IFNAN (X) Specific: The specific interface names are S_IFNAN and D_IFNAN. FORTRAN 77 Interface Single: IFNAN (X) Double: The double precision name is DIFNAN. Description The logical function IFNAN checks if the single or double precision argument X is NAN (not a number). The function IFNAN is provided to facilitate the transfer of programs across computer systems. This is because the check for NaN can be tricky and not portable across computer systems that do not adhere to the IEEE standard. For example, on computers that support the IEEE standard for binary arithmetic (see IEEE 1985), NaN is specified as a bit format not equal to itself. Thus, the check is performed as IFNAN = X .NE. X 328 • Reference Material MATH LIBRARY Special Functions On other computers that do not use IEEE floating-point format, the check can be performed as: IFNAN = X .EQ. AMACH(6) The function IFNAN is equivalent to the specification of the function Isnan listed in the Appendix, (IEEE 1985). The above example illustrates the use of IFNAN. If X is NaN, a message is printed instead of X. (Routine UMACH, which is described in the following section, is used to retrieve the output unit number for printing the message.) Example USE IFNAN_INT USE AMACH_INT USE UMACH_INT IMPLICIT INTEGER REAL NONE NOUT X ! CALL UMACH (2, NOUT) ! X = AMACH(6) IF (IFNAN(X)) THEN WRITE (NOUT,*) ' X is NaN (not a number).' ELSE WRITE (NOUT,*) ' X = ', X END IF ! END Output X is NaN (not a number). UMACH Routine UMACH sets or retrieves the input, output, or error output device unit numbers. Required Arguments N — Integer value indicating the action desired. If the value of N is negative, the input, output, or error output unit number is reset to NUNIT. If the value of N is positive, the input, output, or error output unit number is returned in NUNIT. See the table in argument NUNIT for legal values of N. (Input) NUNIT — The unit number that is either retrieved or set, depending on the value of input argument N. (Input/Output) The arguments are summarized by the following table: Reference Material UMACH • 329 N Effect 1 Retrieves input unit number in NUNIT. 2 Retrieves output unit number in NUNIT. 3 Retrieves error output unit number in NUNIT. −1 Sets the input unit number to NUNIT. −2 Sets the output unit number to NUNIT. −3 Sets the error output unit number to NUNIT. FORTRAN 90 Interface Generic: CALL UMACH (N, NUNIT) Specific: The specific interface name is UMACH. FORTRAN 77 Interface Single: CALL UMACH (N, NUNIT) Description Routine UMACH sets or retrieves the input, output, or error output device unit numbers. UMACH is set automatically so that the default FORTRAN unit numbers for standard input, standard output, and standard error are used. These unit numbers can be changed by inserting a call to UMACH at the beginning of the main program that calls MATH/LIBRARY routines. If these unit numbers are changed from the standard values, the user should insert an appropriate OPEN statement in the calling program. Example In the following example, a terminal error is issued from the MATH/LIBRARY AMACH function since the argument is invalid. With a call to UMACH, the error message will be written to a local file named “CHECKERR”. USE AMACH_INT USE UMACH_INT IMPLICIT INTEGER REAL NONE N, NUNIT X ! Set Parameter N = 0 ! NUNIT = 9 CALL UMACH (-3, NUNIT) OPEN (UNIT=9,FILE='CHECKERR') X = AMACH(N) END 330 • Reference Material MATH LIBRARY Special Functions Output The output from this example, written to “CHECKERR” is: *** TERMINAL ERROR 5 from AMACH. The argument must be between 1 and 8 *** inclusive. N = 0 Reserved Names When writing programs accessing IMSL MATH/LIBRARY Special Functions, the user should choose FORTRAN names that do not conflict with names of IMSL subroutines, functions, or named common blocks, such as the workspace common block WORKSP (see Automatic Workspace Allocation). The user needs to be aware of two types of name conflicts that can arise. The first type of name conflict occurs when a name (technically a symbolic name) is not uniquely defined within a program unit (either a main program or a subprogram). For example, such a name conflict exists when the name BSJS is used to refer both to a type REAL variable and to the IMSL routine BSJS in a single program unit. Such errors are detected during compilation and are easy to correct. The second type of name conflict, which can be more serious, occurs when names of program units and named common blocks are not unique. For example, such a name conflict would be caused by the user defining a routine named WORKSP and also referencing a MATH/LIBRARY Special Functions routine that uses the named common block WORKSP. Likewise, the user must not define a subprogram with the same name as a subprogram in MATH/LIBRARY Special Functions, that is referenced directly by the user’s program or is referenced indirectly by other MATH/LIBRARY Special Functions subprograms. MATH/LIBRARY Special Functions consists of many routines, some that are described in the User’s Manual and others that are not intended to be called by the user and, hence, that are not documented. If the choice of names were completely random over the set of valid FORTRAN names and if a program uses only a small subset of MATH/LIBRARY Special Functions, the probability of name conflicts is very small. Since names are usually chosen to be mnemonic, however, the user may wish to take some precautions in choosing FORTRAN names. Many IMSL names consist of a root name that may have a prefix to indicate the type of the routine. For example, the IMSL single precision routine for computing Bessel functions of the first kind with real order has the name BSJS, which is the root name, and the corresponding IMSL double precision routine has the name DBSJS. Associated with these two routines are B2JS and DB2JS. BSJS is listed in the Alphabetical Index of Routines, but DBSJS, B2JS, and DB2JS are not. The user of BSJS must consider both names BSJS and B2JS to be reserved; likewise, the user of DBSJS must consider both names DBSJS and DB2JS to be reserved. The root names of all routines and named common blocks that are used by MATH/LIBRARY Special Functions and that do not have a numeral in the second position of the root name are listed in the Alphabetical Index of Routines. Some of the routines in this Index are not intended to be called by the user and so are not documented. The careful user can avoid any conflicts with IMSL names if the following rules are observed: • Do not choose a name that appears in the Alphabetical Summary of Routines in the User’s Manual, nor one of these names preceded by a D, S_, D_, C_, or Z_. • Do not choose a name of three or more characters with a numeral in the second or third position. Reference Material Reserved Names • 331 These simplified rules include many combinations that are, in fact, allowable. However, if the user selects names that conform to these rules, no conflict will be encountered. Deprecated Features and Deleted Routines Automatic Workspace Allocation FORTRAN subroutines that work with arrays as input and output often require extra arrays for use as workspace while doing computations or moving around data. IMSL routines generally do not require the user explicitly to allocate such arrays for use as workspace. On most systems the workspace allocation is handled transparently. The only limitation is the actual amount of memory available on the system. On some systems the workspace is allocated out of a stack that is passed as a FORTRAN array in a named common block WORKSP. A very similar use of a workspace stack is described by Fox et al. (1978, pages 116−121). (For compatiblity with older versions of the IMSL Libraries, space is allocated from the COMMON block, if possible.) The arrays for workspace appear as arguments in lower-level routines. For example, the IMSL routine LSARG (in Chapter 1, “Linear Systems”), which solves systems of linear equations, needs arrays for workspace. LSARG allocates arrays from the common area, and passes them to the lower-level routine L2ARG which does the computations. In the “Comments” section of the documentation for LSARG, the amount of workspace is noted and the call to L2ARG is described. This scheme for using lower-level routines is followed throughout the IMSL Libraries. The names of these routines have a “2” in the second position (or in the third position in double precision routines having a “D” prefix). The user can provide workspace explicitly and call directly the “2level” routine, which is documented along with the main routine. In a very few cases, the 2-level routine allows additional options that the main routine does not allow. Prior to returning to the calling program, a routine that allocates workspace generally deallocates that space so that it becomes available for use in other routines. Changing the Amount of Space Allocated This section is relevant only to those systems on which the transparent workspace allocator is not available. By default, the total amount of space allocated in the common area for storage of numeric data is 5000 numeric storage units. (A numeric storage unit is the amount of space required to store an integer or a real number. By comparison, a double precision unit is twice this amount. Therefore, the total amount of space allocated in the common area for storage of numeric data is 2500 double precision units.) This space is allocated as needed for INTEGER, REAL, or other numeric data. For larger problems in which the default amount of workspace is insufficient, the user can change the allocation by supplying the FORTRAN statements to define the array in the named common block and by informing the IMSL workspace allocation system of the new size of the common array. To request 7000 units, the statements are COMMON /WORKSP/ RWKSP REAL RWKSP(7000) CALL IWKIN(7000) 332 • Reference Material MATH LIBRARY Special Functions If an IMSL routine attempts to allocate workspace in excess of the amount available in the common stack, the routine issues a fatal error message that indicates how much space is needed and prints statements like those above to guide the user in allocating the necessary amount. The program below uses IMSL routine BSJS (See Chapter 6, “Bessel Functions ” of this manual.) to illustrate this feature. This routine requires workspace that is just larger than twice the number of function values requested. INTEGER REAL EXTERNAL N BS(10000), X, XNU BSJS ! Set Parameters XNU = .5 X = 1. N = 6000 CALL BSJS (XNU, X, N, BS) END Output *** TERMINAL ERROR from BSJS. Insufficient workspace for *** current allocation(s). Correct by calling *** IWKIN from main program with the three *** following statements: (REGARDLESS OF *** PRECISION) *** COMMON /WORKSP/ RWKSP *** REAL RWKSP(12018) *** CALL IWKIN(12018) *** TERMINAL ERROR from BSJS. The workspace requirement is *** based on N =6000. STOP In most cases, the amount of workspace is dependent on the parameters of the problem so the amount needed is known exactly. In a few cases, however, the amount of workspace is dependent on the data (for example, if it is necessary to count all of the unique values in a vector). Thus, the IMSL routine cannot tell in advance exactly how much workspace is needed. In such cases, the error message printed is an estimate of the amount of space required. Character Workspace Since character arrays cannot be equivalenced with numeric arrays, a separate named common block WKSPCH is provided for character workspace. In most respects, this stack is managed in the same way as the numeric stack. The default size of the character workspace is 2000 character units. (A character unit is the amount of space required to store one character.) The routine analogous to IWKIN used to change the default allocation is IWKCIN. The routines in the following list are being deprecated in Version 2.0 of MATH/LIBRARY Special Functions. A deprecated routine is one that is no longer used by anything in the library but is being included in the product for those users who may be currently referencing it in their application. However, any future versions of MATH/LIBRARY Special Functions will not include these routines. If any of these routines are being called within an application, it is recommended that you change your code or retain the deprecated routine before replacing this Reference Material Deprecated Features and Deleted Routines • 333 library with the next version. Most of these routines were called by users only when they needed to set up their own workspace. Thus, the impact of these changes should be limited. G2DF G2IN G3DF The following specific FORTRAN intrinsic functions are no longer supplied by IMSL. They can all be found in their manufacturer’s FORTRAN runtime libraries. If any change must be made to the user’s application as a result of their removal from the IMSL Libraries, it is limited to the redeclaration of the function from “external” to “intrinsic.” Argument lists and results should be identical. ACOS CEXP DATAN2 DSQRT AINT CLOG DCOS DTAN ALOG COS DCOSH DTANH ALOG10 COSH DEXP EXP ASIN CSIN DINT SIN ATAN CSQRT DLOG SINH ATAN2 DACOS DLOG10 SQRT CABS DASIN DSIN TAN CCOS DATAN DSINH TANH 334 • Reference Material MATH LIBRARY Special Functions Appendix A: GAMS Index Description This index lists routines in MATH/LIBRARY Special Functions by a tree-structured classification scheme known as GAMS. Boisvert, Howe, Kahaner, and Springmann (1990) give the GAMS classification scheme. The classification scheme given here is Version 2.0. The first level of the classification scheme is denoted by a letter A thru Z as follows: A. Arithmetic, Error Analysis B. Number Theory C. Elementary and Special Functions D. Linear Algebra E. Interpolation F. Solution of Nonlinear Equations G. Optimization H. Differentiation and Integration I. Differential and Integral Equations J. Integral Transforms K. Approximation L. Statistics, Probability M. Simulation, Stochastic Modeling N. Data Handling O. Symbolic Computation P. Computational Geometry Q. Graphics R. Service Routines S. Software Development Tools Z. Other There are seven levels in the classification scheme. Subclasses for levels 3, 5, and 7 are denoted by letters “a” thru “w”. Subclasses for levels 2, 4, and 6 are denoted by the numbers 1 thru 23. The index given in the following pages lists routines in MATH/LIBRARY Special Functions within each GAMS subclass. The purpose of the routine appear alongside the routine name. Appendix A: GAMS Index Description • A-1 IMSL MATH/LIBRARY Special Functions C...........ELEMENTARY AND SPECIAL FUNCTIONS (search also class L5) C1.........Integer-valued functions (e.g., floor, ceiling, factorial, binomial coefficient) BINOM Evaluate the binomial coefficient. FAC Evaluate the factorial of the argument. C2.........Powers, roots, reciprocals CBRT Evaluate the cube root. CCBRT Evaluate the complex cube root. C3.........Polynomials C3a .......Orthogonal INITS Initialize the orthogonal series so the function value is the number of terms needed to insure the error is no larger than the requested accuracy. C3a2 .....Chebyshev, Legendre CSEVL Evaluate the N-term Chebyshev series. C4.........Elementary transcendental functions C4a Trigonometric, inverse trigonometric CACOS Evaluate the complex arc cosine. CARG Evaluate the argument of a complex number. CASIN Evaluate the complex arc sine. CATAN Evaluate the complex arc tangent. CATAN2 Evaluate the complex arc tangent of a ratio. CCOT Evaluate the complex cotangent. COSDG Evaluate the cosine for the argument in degrees. COT Evaluate the cotangent. SINDG Evaluate the sine for the argument in degrees. C4b.......Exponential, logarithmic ALNREL Evaluate the natural logarithm of one plus the argument. CEXPRL Evaluate the complex exponential function factored from first order. CLNREL Evaluate the principal value of the complex natural logarithm of one plus the argument. CLOG10 Evaluate the principal value of the complex common logarithm. EXPRL Evaluate the exponential function factored from first order, (EXP(X) − 1.0)/X. C4c .......Hyperbolic, inverse hyperbolic ACOSH Evaluate the arc hyperbolic cosine. ASINH Evaluate the arc hyperbolic sine. ATANH Evaluate the arc hyperbolic tangent. CACOSH Evaluate the complex arc hyperbolic cosine. A-2 • IMSL MATH/LIBRARY Special Functions MATH LIBRARY Special Functions CASINH CATANH CCOSH CSINH CTAN CTANH Evaluate the complex arc hyperbolic sine. Evaluate the complex arc hyperbolic tangent. Evaluate the complex hyperbolic cosine. Evaluate the complex hyperbolic sine. Evaluate the complex tangent. Evaluate the complex hyperbolic tangent. C5......... Exponential and logarithmic integrals ALI Evaluate the logarithmic integral. CHI Evaluate the hyperbolic cosine integral. CI Evaluate the cosine integral. CIN Evaluate a function closely related to the cosine integral. CINH Evaluate a function closely related to the hyperbolic cosine integral. E1 Evaluate the exponential integral for arguments greater than zero and the Cauchy principal value of the integral for arguments less than zero. EI Evaluate the exponential integral for arguments greater than zero and the Cauchy principal value for arguments less than zero. ENE Evaluate the exponential integral of integer order for arguments greater than zero scaled by EXP(X). SHI Evaluate the hyperbolic sine integral. SI Evaluate the sine integral. C7......... Gamma C7a ....... Gamma, log gamma, reciprocal gamma ALGAMS Return the logarithm of the absolute value of the gamma function and the sign of gamma. ALNGAM Evaluate the logarithm of the absolute value of the gamma function. CGAMMA Evaluate the complex gamma function. CGAMR Evaluate the reciprocal complex gamma function. CLNGAM Evaluate the complex natural logarithm of the gamma function. GAMMA Evaluate the complete gamma function. GAMR Evaluate the reciprocal gamma function. POCH Evaluate a generalization of Pochhammer’s symbol. POCH1 Evaluate a generalization of Pochhammer’s symbol starting from the first order. C7b....... Beta, log beta ALBETA Evaluate the natural logarithm of the complete beta function for positive arguments. BETA Evaluate the complete beta function. CBETA Evaluate the complex complete beta function. CLBETA Evaluate the complex logarithm of the complete beta function. C7c ....... Psi function Appendix A: GAMS Index IMSL MATH/LIBRARY Special Functions • A-3 CPSI PSI Evaluate the logarithmic derivative of the gamma function for a complex argument. Evaluate the logarithmic derivative of the gamma function. C7e .......Incomplete gamma CHIDF Evaluate the chi-squared distribution function. CHIIN Evaluate the inverse of the chi-squared distribution function. GAMDF Evaluate the gamma distribution function. GAMI Evaluate the incomplete gamma function. GAMIC Evaluate the complementary incomplete gamma function. GAMIT Evaluate the Tricomi form of the incomplete gamma function. C7f........Incomplete beta BETAI Evaluate the incomplete beta function ratio. BETDF Evaluate the beta probability distribution function. BETIN Evaluate the inverse of the beta distribution function. C8.........Error functions C8a .......Error functions, their inverses, integrals, including the normal distribution function ANORDF Evaluate the standard normal (Gaussian) distribution function. ANORIN Evaluate the inverse of the standard normal (Gaussian) distribution function. CERFE Evaluate the complex scaled complemented error function. ERF Evaluate the error function. ERFC Evaluate the complementary error function. ERFCE Evaluate the exponentially scaled complementary error function. ERFCI Evaluate the inverse complementary error function. ERFI Evaluate the inverse error function. C8b.......Fresnel integrals FRESC Evaluate the cosine Fresnel integral. FRESS Evaluate the sine Fresnel integral. C8c .......Dawson’s integral DAWS Evaluate Dawson function. C10.......Bessel functions C10a .....J, Y, H(1); H(2) C10a1 ...Real argument, integer order BSJ0 Evaluate the Bessel function of the first kind of order zero. BSJ1 Evaluate the Bessel function of the first kind of order one. BSJNS Evaluate a sequence of Bessel functions of the first kind with integer order and real arguments. A-4 • IMSL MATH/LIBRARY Special Functions MATH LIBRARY Special Functions BSY0 BSY1 Evaluate the Bessel function of the second kind of order zero. Evaluate the Bessel function of the second kind of order one. C10a2 ... Complex argument, integer order. CBJNS Evaluate a sequence of Bessel functions of the first kind with integer order and complex arguments. C10a3 ... Real argument, real order BSJS Evaluate a sequence of Bessel functions of the first kind with real order and real positive arguments. BSYS Evaluate a sequence of Bessel functions of the second kind with real nonnegative order and real positive arguments. C10a4 ... Complex argument, real order CBJS Evaluate a sequence of Bessel functions of the first kind with real order and complex arguments. CBYS Evaluate a sequence of Bessel functions of the second kind with real order and complex arguments. C10b..... I, K C10b1... Real argument, integer order BSI0 Evaluate the modified Bessel function of the first kind of order zero. BSI0E Evaluate the exponentially scaled modified Bessel function of the first kind of order zero. BSI1 Evaluate the modified Bessel function of the first kind of order one. BSI1E Evaluate the exponentially scaled modified Bessel function of the first kind of order one. BSINS Evaluate a sequence of Modified Bessel functions of the first kind with integer order and real arguments. BSK0 Evaluate the modified Bessel function of the third kind of order zero. BSK0E Evaluate the exponentially scaled modified Bessel function of the third kind of order zero. BSK1 Evaluate the modified Bessel function of the third kind of order one. BSK1E Evaluate the exponentially scaled modified Bessel function of the third kind of order one. C10b2... Complex argument, integer order CBINS Evaluate a sequence of Modified Bessel functions of the first kind with integer order and complex arguments. C10b3... Real argument, real order BSIES Evaluate a sequence of exponentially scaled Modified Bessel functions of the first kind with nonnegative real order and real positive arguments. Appendix A: GAMS Index IMSL MATH/LIBRARY Special Functions • A-5 Evaluate a sequence of Modified Bessel functions of the first kind with real order and real positive arguments. BSKES Evaluate a sequence of exponentially scaled modified Bessel functions of the third kind of fractional order. BSKS Evaluate a sequence of modified Bessel functions of the third kind of fractional order. BSIS C10b4 ...Complex argument, real order CBIS Evaluate a sequence of Modified Bessel functions of the first kind with real order and complex arguments. CBKS Evaluate a sequence of Modified Bessel functions of the second kind with real order and complex arguments. C10c .....Kelvin functions AKEI0 Evaluate the Kelvin function of the second kind, kei, of order zero. AKEI1 Evaluate the Kelvin function of the second kind, kei, of order one. AKEIP0 Evaluates the derivative of the Kelvin function of the second kind, kei, of order zero. AKER0 Evaluate the Kelvin function of the second kind, ker, of order zero. AKER1 Evaluate the Kelvin function of the second kind, ker, of order one. AKERP0 Evaluate the derivative of the Kelvin function of the second kind, ker, of order zero. BEI0 Evaluate the Kelvin function of the first kind, bei, of order zero. BEI1 Evaluate the Kelvin function of the first kind, bei, of order one. BEIP0 Evaluate the derivative of the Kelvin function of the first kind, bei, of order zero. BER0 Evaluate the Kelvin function of the first kind, ber, of order zero. BER1 Evaluate the Kelvin function of the first kind, ber, of order one. BERP0 Evaluate the derivative of the Kelvin function of the first kind, ber, of order zero. C10d.....Airy and Scorer functions AI Evaluate the Airy function. AID Evaluate the derivative of the Airy function. AIDE Evaluate the exponentially scaled derivative of the Airy function. AIE Evaluate the exponentially scaled Airy function. BI Evaluate the Airy function of the second kind. BID Evaluate the derivative of the Airy function of the second kind. BIDE Evaluate the exponentially scaled derivative of the Airy function of the second kind. A-6 • IMSL MATH/LIBRARY Special Functions MATH LIBRARY Special Functions BIE Evaluate the exponentially scaled Airy function of the second kind. C14....... Elliptic integrals CEJCN Evaluate the complex Jacobi elliptic integral cn(z, m). CEJDN Evaluate the complex Jacobi elliptic integral dn(z, m). CEJSN Evaluate the complex Jacobi elliptic function sn(z, m). EJCN Evaluate the Jacobi elliptic function cn(x, m). EJDN Evaluate the Jacobi elliptic function dn(x, m). EJSN Evaluate the Jacobi elliptic function sn(x, m). ELE Evaluate the complete elliptic integral of the second kind E(x). ELK Evaluate the complete elliptic integral of the kind K(x). ELRC Evaluate an elementary integral from which inverse circular functions, logarithms and inverse hyperbolic functions can be computed. ELRD Evaluate Carlson’s incomplete elliptic integral of the second kind RD(X, Y, Z). ELRF Evaluate Carlson’s incomplete elliptic integral of the first kind RF(X, Y, Z). ELRJ Evaluate Carlson’s incomplete elliptic integral of the third kind RJ(X, Y, Z, RHO). C15....... Weierstrass elliptic functions CWPL Evaluate the Weierstrass P-function in the lemniscat case for complex argument with unit period parallelogram. CWPLD Evaluate the first derivative of the Weierstrass P-function in the lemniscatic case for complex argum with unit period parallelogram. CWPQ Evaluate the Weierstrass P-function in the equianharmonic case for complex argument with unit period parallelogram. CWPQD Evaluate the first derivative of the Weierstrass P-function in the equianharmonic case for complex argument with unit period parallelogram. C17....... Mathieu functions MATCE Evaluate a sequence of even, periodic, integer order, real Mathieu functions. MATEE Evaluate the eigenvalues for the periodic Mathieu functions. MATSE Evaluate a sequence of odd, periodic, integer order, real Mathieu functions. C19....... Other special functions SPENC Evaluate a form of Spence’s integral. L ........... STATISTICS, PROBABILITY L5 ......... Function evaluation (search also class C) L5a ....... Univariate Appendix A: GAMS Index IMSL MATH/LIBRARY Special Functions • A-7 L5a1 .....Cumulative distribution functions, probability density functions GCDF Evaluate a general continuous cumulative distribution function given ordinates of the density. L5a1b ...Beta, binomial BETDF Evaluate the beta probability distribution function. BINDF Evaluate the binomial distribution function. BINPR Evaluate the binomial probability function. L5a1c....Cauchy, chi-squared CHIDF Evaluate the chi-squared distribution function. CSNDF Evaluate the noncentral chi-squared distribution function. L5a1f ....F distribution FDF Evaluate the F distribution function. L5a1g ...Gamma, general, geometric GAMDF Evaluate the gamma distribution function. L5a1h ...Halfnormal, hypergeometric HYPDF Evaluate the hypergeometric distribution function. HYPPR Evaluate the hypergeometric probability function. L5a1k ...Kendall F statistic, Kolmogorov-Smirnov AKS1DF Evaluate the distribution function of the one-sided Kolmogorov-Smirnov goodness of fit D+ or D− test statistic based on continuous data for one sample. AKS2DF Evaluate the distribution function of the KolmogorovSmirnov goodness of fit D test statistic based on continuous data for two samples. L5a1n ...Negative binomial, normal ANORDF Evaluate the standard normal (Gaussian) distribution function. L5a1p ...Pareto, Poisson POIDF Evaluate the Poisson distribution function. POIPR Evaluate the Poisson probability function. L5a1t ....t distribution TDF TNDF Evaluate the Student’s t distribution function. Evaluate the noncentral Student’s t distribution function. L5a2 .....Inverse cumulative distribution functions, sparsity functions GCIN Evaluate the inverse of a general continuous cumulative distribution function given ordinates of the density. L5a2b ...Beta, binomial BETIN Evaluate the inverse of the beta distribution function. L5a2c....Cauchy, chi-squared CHIIN Evaluate the inverse of the chi-squared distribution function. L5a2f .... F distribution A-8 • IMSL MATH/LIBRARY Special Functions MATH LIBRARY Special Functions FIN Evaluate the inverse of the F distribution function. L5a2n ... Negative binomial, normal, normal scores ANORIN Evaluate the inverse of the standard normal (Gaussian) distribution function. L5a2t .... t distribution TIN Evaluate the inverse of the Student’s t distribution function. L5b ....... Multivariate L5b1 ..... Cumulative distribution functions, probability density functions L5b1n ... Normal BNRDF Evaluate the bivariate normal distribution function. N........... DATA HANDLING N1......... Input, output IFNAN Check if a value is NaN (not a number). N4......... Storage management (e.g., stacks, heaps, trees) IWKCIN Initialize bookkeeping locations describing the character workspace stack. IWKIN Initialize bookkeeping locations describing the workspace stack. R........... SERVICE ROUTINES R1......... Machine-dependent constants AMACH Retrieve single-precision machine constants. DMACH Retrieve double precision machine constants. IFNAN Check if a value is NaN (not a number). IMACH Retrieve integer machine constants. UMACH Set or retrieve input or output device unit numbers. R3......... Error handling ERSET Set error handler default print and stop actions. IERCD Retrieve the code for an informational error. Appendix A: GAMS Index IMSL MATH/LIBRARY Special Functions • A-9 A-10 • IMSL MATH/LIBRARY Special Functions MATH LIBRARY Special Functions Appendix B: Alphabetical Summary of Routines IMSL MATH LIBRARY Special Functions Function/Page Purpose Statement A ACOS on page 19 Evaluates the complex arc cosine. ACOSH on page 28 Evaluates the real or complex arc hyperbolic cosine. AI on page 155 Evaluates the Airy function. AID on page 158 Evaluates the derivative of the Airy function. AIDE on page 163 Evaluates the Airy function of the second kind. AIE on page 161 Evaluates the exponentially scaled derivative of the Airy function. AKEI0 on page 142 Evaluates the Kelvin function of the second kind, kei, of order zero. AKEI1 on page 152 Evaluates the Kelvin function of the second kind, kei, of order one. AKEIP0 on page 147 Evaluates the derivative of the Kelvin function of the second kind, kei, of order zero. AKER0 on page 141 Evaluates the Kelvin function of the second kind, ker, of order zero. AKER1 on page 151 Evaluates the Kelvin function of the second kind, ker, of order one. AKERP0 on page 146 Evaluates the derivative of the Kelvin function of the second kind, ker, of order zero AKS1DF on page 225 Evaluates the cumulative distribution function of the onesided Kolmogorov-Smirnov goodness of fit D+ or D− test statistic based on continuous data for one sample. AKS2DF on page 228 Evaluates the cumulative distribution function of the Kolmogorov-Smirnov goodness of fit D test statistic based on continuous data for two samples. MATH LIBRARY Special Functions Appendix B: Alphabetical Summary of Routines • B-1 ALBETA on page 74 Evaluates the natural logarithm of the complete beta function for positive arguments. ALGAMS on page 60 Returns the logarithm of the absolute value of the gamma function and the sign of gamma. ALI on page 38 Evaluates the logarithmic integral. ALNDF on page 230 Evaluates the lognormal cumulative probability distribution function ALNGAM on page 58 Evaluates the real or complex function, ln |γ(x)|. ALNIN on page 232 Evaluates the inverse of the lognormal cumulative probability distribution function. ALNPR on page 233 Evaluates the lognormal probability density function. ALNREL on page 7 Evaluates ln(x + 1) for real or complex x. AMACH on page 326 Retrieves single-precision machine constants. ANORDF on page 234 Evaluates the standard normal (Gaussian) cumulative distribution function. ANORPR on page 237 Evaluates the normal probability density function. ANORIN on page 236 Evaluates the inverse of the standard normal (Gaussian) cumulative distribution function. ASIN on page 18 Evaluates the complex arc sine. ASINH on page 27 Evaluates the sinh−1 arc sine x for real or complex x. ATAN on page 20 Evaluates the complex arc tangent. ATAN2 on page 21 Evaluates the complex arc tangent of a ratio. ATANH on page 30 Evaluates tanh−1 x for real or complex x. B BEI0 on page 140 Evaluates the Kelvin function of the first kind, bei, of order zero. BEI1 on page 150 Evaluates the Kelvin function of the first kind, bei, of order one. BEIP0 on page 145 Evaluates the derivative of the Kelvin function of the first kind, bei, of order zero. BER0 on page 139 Evaluates the Kelvin function of the first kind, ber, of order zero. BER1 on page 148 Evaluates the Kelvin function of the first kind, ber, of order one. BERP0 on page 144 Evaluates the derivative of the Kelvin function of the first kind, ber, of order zero. BETA on page 72 Evaluates the real or complex beta function, β(a,b). BETAI on page 76 Evaluates the incomplete beta function ratio. BETDF on page 238 Evaluates the the beta cumulative distribution function. BETIN on page 241 Evaluates the inverse of the beta cumulative distribution function. B-2 • Appendix B: Alphabetical Summary of Routines MATH LIBRARY Special Functions BETPR on page 242 Evaluates the beta probability density function. BI on page 157 Evaluates the Airy function of the second kind. BID on page 159 Evaluates the derivative of the Airy function of the second kind. BIDE on page 164 Evaluates the exponentially scaled derivative of the Airy function of the second kind. BIE on page 162 Evaluates the exponentially scaled Airy function of the second kind. BINDF on page 207 Evaluates the binomial cumulative distribution function. BINOM on page 52 Evaluates the binomial coefficient. BINPR on page 209 Evaluates the binomial probability density function. BNRDF on page 244 Evaluates the bivariate normal cumulative distribution function. BSI0 on page 102 Evaluates the modified Bessel function of the first kind of order zero. BSI0E on page 108 Evaluates the exponentially scaled modified Bessel function of the first kind of order zero. BSI1 on page 104 Evaluates the modified Bessel function of the first kind of order one. BSI1E on page 110 Evaluates the exponentially scaled modified Bessel function of the first kind of order one. BSIES on page 123 Evaluates a sequence of exponentially scaled modified Bessel functions of the first kind with nonnegative real order and real positive arguments. BSINS on page 115 Evaluates a sequence of modified Bessel functions of the first kind with integer order and real or complex arguments. BSIS on page 121 Evaluates a sequence of modified Bessel functions of the first kind with real order and real positive arguments. BSJ0 on page 96 Evaluates the Bessel function of the first kind of order zero. BSJ1 on page 98 Evaluates the Bessel function of the first kind of order one. BSJNS on page 113 Evaluates a sequence of Bessel functions of the first kind with integer order and real arguments. BSJS on page 118 Evaluates a sequence of Bessel functions of the first kind with real order and real positive arguments. BSK0 on page 105 Evaluates the modified Bessel function of the third kind of order zero. BSK0E on page 111 Evaluates the exponentially scaled modified Bessel function of the third kind of order zero. BSK1 on page 107 Evaluates the modified Bessel function of the third kind of order one. BSK1E on page 112 Evaluates the exponentially scaled modified Bessel function of the third kind of order one. BSKES on page 126 Evaluates a sequence of exponentially scaled modified Bessel functions of the third kind of fractional order. BSKS on page 124 Evaluates a sequence of modified Bessel functions of the MATH LIBRARY Special Functions Appendix B: Alphabetical Summary of Routines • B-3 third kind of fractional order. BSY0 on page 99 Evaluates the Bessel function of the second kind of order zero. BSY1 on page 101 Evaluates the Bessel function of the second kind of order one. BSYS on page 120 Evaluates a sequence of Bessel functions of the second kind with real nonnegative order and real positive arguments. C CAI on page 166 Evaluates the Airy function of the first kind for complex arguments. CAID on page 169 Evaluates the derivative of the Airy function of the first kind for complex arguments. CARG on page 1 Evaluates the argument of a complex number. CBI on page 167 Evaluates the Airy function of the second kind for complex arguments. CBID on page 171 Evaluates the derivative of the Airy function of the second kind for complex arguments. CBIS on page 132 Evaluates a sequence of modified Bessel functions of the first kind with real order and complex arguments. CBJS on page 128 Evaluates a sequence of Bessel functions of the first kind with real order and complex arguments CBKS on page 134 Evaluates a sequence of Modified Bessel functions of the second kind with real order and complex arguments CBRT on page 2 Evaluates the cube root. CBYS on page 130 Evaluates a sequence of Bessel functions of the second kind with real order and complex arguments. CERFE on page 85 Evaluates the complex scaled complemented error function. CHI on page 45 Evaluates the hyperbolic cosine integral. CHIDF on page 245 Evaluates the chi-squared cumulative distribution function CHIIN on page 248 Evaluates the inverse of the chi-squared cumulative distribution function. CHIPR on page 250 Evaluates the chi-squared probability density function CI on page 41 Evaluates the cosine integral. CIN on page 43 Evaluates a function closely related to the cosine integral. CINH on page 47 Evaluates a function closely related to the hyperbolic cosine integral. COSDG on page 17 Evaluates the cosine for the argument in degrees. COT on page 13 Evaluates the cotangent. CSEVL on page 319 Evaluates the N-term Chebyshev series. CSNDF on page 251 Evaluates the noncentral chi-squared cumulative distribution function. CSNIN on page 254 Evaluates the inverse of the noncentral chi-squared cumulative function. B-4 • Appendix B: Alphabetical Summary of Routines MATH LIBRARY Special Functions CWPL on page 188 Evaluates the Weierstrass P-function in the lemniscat case for complex argument with unit period parallelogram. CWPLD on page 189 Evaluate the first derivative of the Weierstrass P-function in the lemniscatic case for complex argum with unit period parallelogram CWPQ on page 190 Evaluates the Weierstrass P-function in the equianharmonic case for complex argument with unit period parallelogram. CWPQD on page 192 Evaluates the first derivative of the Weierstrass P-function in the equianharmonic case for complex argument with unit period parallelogram. D DAWS on page 90 Evaluates Dawson function. DMACH on page 328 Retrieves double precision machine constants. E E1 on page 35 Evaluates the exponential integral for arguments greater than zero and the Cauchy principal value of the integral for arguments less than zero. EI on page 34 Evaluates the exponential integral for arguments greater than zero and the Cauchy principal value for arguments less than zero. EJCN on page 195 Evaluates the Jacobi elliptic function cn(x, m). EJDN on page 197 This function evaluates the Jacobi elliptic function dn(x, m). EJSN on page 193 Evaluates the Jacobi elliptic function sn(x, m). ELE on page 177 Evaluates the complete elliptic integral of the second kind E(x). ELK on page 175 Evaluates the complete elliptic integral of the kind K(x). ELRC on page 183 Evaluates an elementary integral from which inverse circular functions, logarithms and inverse hyperbolic functions can be computed. ELRD on page 179 Evaluates Carlson’s incomplete elliptic integral of the second kind RD(X, Y, Z). ELRF on page 178 Evaluates Carlson’s incomplete elliptic integral of the first kind RF(X, Y, Z). ELRJ on page 181 Evaluates Carlson’s incomplete elliptic integral of the third kind RJ(X, Y, Z, RHO). ENE on page 37 Evaluates the exponential integral of integer order for arguments greater than zero scaled by EXP(X). ERF on page 80 Evaluates the error function. ERFC on page 82 Evaluates the complementary error function. ERFCE on page 84 Evaluates the exponentially scaled complementary error function. ERFCI on page 88 Evaluates the inverse complementary error function. MATH LIBRARY Special Functions Appendix B: Alphabetical Summary of Routines • B-5 ERFI on page 86 Evaluates the inverse error function. ERSET on page 323 Sets error handler default printer and stop actions. EXPDF on page 255 Evaluates the exponential cumulative distribution function. EXPIN on page 257 Evaluates the inverse of the exponential cumulative distribution function. EXPPR on page 258 Evaluates the exponential probability density function. EXPRL on page 4 Evaluates (ex – 1)/x for real or complex x. EXVDF on page 259 Evaluates the extreme value cumulative distribution function. EXVIN on page 260 Evaluates the inverse of the extreme value cumulative distribution function EXVPR on page 261 Evaluates the extreme value probability density function F FAC on page 50 Evaluates the factorial of the argument. FDF on page 263 Evaluates the F cumulative distribution function. FIN on page 265 Evaluates the inverse of the F cumulative distribution function. FPR on page 266 Evaluates the F probability density function. FRESC on page 91 Evaluates the cosine Fresnel integral. FRESS on page 93 Evaluates the sineFresnel integral. G GAMDF on page 268 Evaluates the gamma cumulative distribution function. GAMI on page 62 Evaluates the incomplete gamma function. GAMIC on page 64 Evaluates the complementary incomplete gamma function. GAMIN on page 270 This function evaluates the inverse of the gamma cumulative distribution function. GAMIT on page 65 Evaluates the Tricomi form of the incomplete gamma function. GAMMA on page 53 Evaluates the real or complex gamma function, Γ(x). GAMPR on page 272 This function evaluates the gamma probability density function. GAMR on page 56 Evaluates the reciprocal of the real or complex gamma function, 1/Γ(x). GCDF on page 292 Evaluates a general continuous cumulative distribution function given ordinates of the density.. GCIN on page 295 Evaluates the inverse of a general continuous cumulative distribution function given ordinates of the density. GEODF on page 211 Evaluates the discrete geometric cumulative probability distribution function. GEOIN on page 212 Evaluates the inverse of the geometric cumulative probability distribution function. B-6 • Appendix B: Alphabetical Summary of Routines MATH LIBRARY Special Functions GEOPR on page 213 Evaluates the discrete geometric probability density function. GFNIN on page 298 Evaluates the inverse of a general continuous cumulative distribution function given in a subprogram. H HYPDF on page 214 Evaluates the hypergeometric cumulative distribution function. HYPPR on page 216 Evaluates the hypergeometric probability density function. I IERCD and N1RTY on page 324 Retrieves the integer code for an informational error. IFNAN(X) on page 328 Checks if a value is NaN (not a number). IMACH on page 325 Retrieves integer machine constants. INITS on page 318 Initializes the orthogonal series so the function value is the number of terms needed to insure the error is no larger than the requested accuracy. L LOG10 on page 6 Evaluates the complex base 10 logarithm, log10 z. M MATCE on page 306 MATEE on page 303 MATSE on page 310 Evaluates a sequence of even, periodic, integer order, real Mathieu functions. Evaluates the eigenvalues for the periodic Mathieu functions. Evaluates a sequence of odd, periodic, integer order, real Mathieu functions. N IERCD and N1RTY on page 324 Retrieves the error type set by the most recently called IMSL routine. P POCH on page 69 Evaluates a generalization of Pochhammer’s symbol. POCH1 on page 70 Evaluates a generalization of Pochhammer’s symbol starting from the first order. POIDF on page 218 Evaluates the Poisson cumulative distribution function. POIPR on page 220 Evaluates the Poisson probability density function. PSI on page 67 Evaluates the real or complex psi function, ψ(x). MATH LIBRARY Special Functions Appendix B: Alphabetical Summary of Routines • B-7 R RALDF on page 273 Evaluates the Rayleigh cumulative distribution function.. RALIN on page 274 Evaluates the inverse of the Rayleigh cumulative distribution function. RALPR on page 275 Evaluates the Rayleigh probability density function S SHI on page 44 Evaluates the hyperbolic sine integral. SI on page 40 Evaluates the sine integral. SINDG on page 16 Evaluates the sine for the argument in degrees. SPENC on page 317 Evaluates a form of Spence’s integral. T TAN on page 12 Evaluates tan z for complex z. TDF on page 276 Evaluates the Student’s t cumulative distribution function. TIN on page 278 Evaluates the inverse of the Student’s t cumulative distribution function. TNDF on page 281 Evaluates the noncentral Student’s t cumulative distribution function. TNIN on page 283 Evaluates the inverse of the noncentral Student’s t cumulative distribution function. TPR on page 279 Evaluates the Student’s t probability cumulative function. U UMACH on page 329 Sets or Retrieves input or output device unit numbers. UNDF on page 285 Evaluates the uniform cumulative distribution function. UNDDF on page 222 Evaluates the discrete uniform cumulative distribution function. UNDIN on page 223 Evaluates the inverse of the discrete uniform cumulative distribution function. UNDPR on page 224 Evaluates the discrete uniform probability density function. UNIN on page 286 Evaluates the inverse of the uniform cumulative distribution function. UNPR on page 287 Evaluates the uniform probability density function. W WBLDF on page 288 Evaluates the Weibull cumulative distribution function WBLIN on page 290 Evaluates the inverse of the Weibull cumulative distribution function. WBLPR on page 291 Evaluates the Weibull probability density function. B-8 • Appendix B: Alphabetical Summary of Routines MATH LIBRARY Special Functions Appendix C: References Abramowitz and Stegun Abramowitz, Milton, and Irene A. Stegun (editors) (1964), Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, National Bureau of Standards, Washington. Aird and Howell Aird, Thomas J., and Byron W. Howell (1991), IMSL Technical Report 9103, IMSL, Houston. Akima Akima, H. (1970), A new method of interpolation and smooth curve fitting based on local procedures, Journal of the ACM, 17, 589−602. Barnett Barnett, A.R. (1981), An algorithm for regular and irregular Coulomb and Bessel functions of real order to machine accuracy, Computer Physics Communication, 21, 297−314. Boisvert, Howe, Kahaner, and Springmann Boisvert, Ronald F., Sally E. Howe, David K. Kahaner, and Jeanne L. Springmann (1990), Guide to Available Mathematical Software, NISTIR 90-4237, National Institute of Standards and Technology, Gaithersburg, Maryland. Boisvert, Ronald F., Sally E. Howe, and David K. Kahaner (1985), GAMS: A framework for the management of scientific software, ACM Transactions on Mathematical Software, 11, 313−355. Bosten and Battiste Bosten, Nancy E., and E.L. Battiste (1974b), Incomplete beta ratio, Communications of the ACM, 17, 156−157. Bosten, Nancy E., and E.L. Battiste (1974), Remark on algorithm 179, Communications of the ACM, 17, 153. Burgoyne Burgoyne, F.D. (1963), Approximations to Kelvin functions, Mathematics of Computation 83, 295 −298. MATH LIBRARY Special Functions Appendix C: References • C-1 Carlson Carlson, B.C. (1979), Computing elliptic integrals by duplication, Numerische Mathematik, 33, 1− 16. Carlson and Notis Carlson, B.C., and E.M. Notis (1981), Algorithms for incomplete elliptic integrals, ACM Transactions on Mathematical Software, 7, 398−403. Cody Cody, W.J. (1969) Performance testing of function subroutines, Proceedings of the Spring Joint Computer Conference, American Federation for Information Processing Societies Press, Montvale, New Jersey, 759−763. Cody, W.J. (1983), Algorithm 597: A sequence of modified Bessel functions of the first kind, ACM Transactions on Mathematical Software, 9, 242−245. Cody et al. Cody, W.J., R.M. Motley, and L.W. Fullerton (1976), The computation of real fractional order Bessel functions of the second kind, Applied Mathematics Division Technical Memorandum No. 291, Argonne National Laboratory, Argonne. Conover Conover, W.J. (1980), Practical Nonparametric Statistics, 2d ed., John Wiley & Sons, New York. Cooper Cooper, B.E. (1968), Algorithm AS4, An auxiliary function for distribution integrals, Applied Statistics, 17, 190−192. Eckhardt Eckhardt, Ulrich (1977), A rational approximation to Weierstrass’ P-function. II: The Lemniscatic case, Computing, 18, 341−349. Eckhardt, Ulrich (1980), Algorithm 549: Weierstrass’ elliptic functions, ACM Transactions on Mathematical Software, 6, 112−120. Fabijonas et al. B. R. Fabijonas, D. W. Lozier, and F. W. J. Olver Computation of Complex Airy Functions and Their Zeros Using Asymptotics and the Differential Equation, ACM Transactions on Mathematical Software, Vol. 30, No. 4, December 2004, 471–490. Fox et al. Fox, P.A., A.D. Hall, and N.L. Schryer (1978), The PORT mathematical subroutine library, ACM Transactions on Mathematical Software, 4, 104−126. C-2 • Appendix C: References MATH LIBRARY Special Functions Gautschi Gautschi, Walter (1964), Bessel functions of the first kind, Communications of the ACM, 7, 187− 198. Gautschi, Walter (1969), Complex error function, Communications of the ACM, 12, 635. Gautschi, Walter (1970), Efficient computation of the complex error function, SIAM Journal on Mathematical Analysis, 7, 187−198. Gautschi, Walter (1974), Algorithm 471: Exponential integrals, Collected Algorithms from CACM, 471. Gautschi, Walter (1979), A computational procedure for the incomplete gamma function, ACM Transactions on Mathematical Software, 5, 466−481. Gautschi, Walter (1979), Algorithm 542: Incomplete gamma functions, ACM Transactions on Mathematical Software, 5, 482−489. Gradshteyn and Ryzhik Gradshteyn, I.S. and I.M. Ryzhik (1965), Table of Integrals, Series, and Products, (translated by Scripta Technica, Inc.), Academic Press, New York. Hart et al. Hart, John F., E.W. Cheney, Charles L. Lawson, Hans J. Maehly, Charles K. Mesztenyi, John R. Rice, Henry G. Thacher, Jr., and Christoph Witzgall (1968), Computer Approximations, John Wiley & Sons, New York. Hill Hill, G.W. (1970), Student’s t-distribution, Communications of the ACM, 13, 617−619. Hodge Hodge, D.B. (1972), The calculation of the eigenvalues and eigenvectors of Mathieu’s equation, NASA Contractor Report, The Ohio State University, Columbus, Ohio. IEEE ANSI/IEEE Std 754-1985 (1985), IEEE Standard for Binary Floating-Point Arithmetic, The IEEE, Inc., New York. Johnson and Kotz Johnson, Norman L., and Samuel Kotz (1969), Discrete Distributions, Houghton Mifflin Company, Boston. Johnson, Norman L., and Samuel Kotz (1970a), Continuous Distributions-1, John Wiley & Sons, New York. Johnson, Norman L., and Samuel Kotz (1970b), Continuous Distributions-2, John Wiley & Sons, New York. MATH LIBRARY Special Functions Appendix C: References • C-3 Kendall and Stuart Kendall, Maurice G., and Alan Stuart (1979), The Advanced Theory of Statistics, Volume 2: Inference and Relationship, 4th ed., Oxford University Press, New York. Kim and Jennrich Kim, P.J., and Jennrich, R.I. (1973), Tables of the exact sampling distribution of the two sample Kolmogorov-Smirnov criterion Dmn (m < n), in Selected Tables in Mathematical Statistics, Volume 1, (edited by H.L. Harter and D.B. Owen), American Mathematical Society, Providence, Rhode Island. Kinnucan and Kuki Kinnucan, P., and H. Kuki (1968), A single precision inverse error function subroutine, Computation Center, University of Chicago. Luke Luke, Y.L. (1969), The Special Function and their Approximations, Volume 1, Academic Press, 34. NATS FUNPACK NATS (National Activity to Test Software) FUNPACK (1976), Argonne National Laboratory, Argonne Code Center, Argonne. Olver and Sookne Olver, F.W.J., and D.J. Sookne (1972), A note on the backward recurrence algorithms, Mathematics of Computation, 26, 941−947. Owen Owen, D.B. (1962), Handbook of Statistical Tables, Addison-Wesley Publishing Company, Reading, Mass. Owen, D.B. (1965), A special case of the bivariate non-central t-distribution, Biometrika, 52, 437− 446. Pennisi Pennisi, L.L. (1963), Elements of Complex Variables, Holt, Rinehart and Winston, New York. Skovgaard Skovgaard, Ove (1975), Remark on algorithm 236, ACM Transactions on Mathematical Software, 1, 282−284. Sookne Sookne, D.J. (1973a), Bessel functions I and J of complex argument and integer order, National Bureau of Standards Journal of Research B, 77B, 111−114. C-4 • Appendix C: References MATH LIBRARY Special Functions Sookne, D.J. (1973b), Bessel functions of real argument and integer order, National Bureau of Standards Journal of Research B, 77A, 125−132. Strecok Strecok, Anthony J. (1968), On the calculation of the inverse of the error function, Mathematics of Computation, 22, 144−158. Temme Temme, N. M. (1975), On the numerical evaluation of the modified Bessel function of the third kind, Journal of Computational Physics, 19, 324−337. Thompson and Barnett Thompson, I.J. and A.R. Barnett (1987), Modified Bessel functions Iν(z) and Kν(z) of real order and complex argument, to selected accuracy, Computer Physics Communication, 47, 245−257. MATH LIBRARY Special Functions Appendix C: References • C-5 C-6 • Appendix C: References MATH LIBRARY Special Functions Product Support Contacting Visual Numerics Support Users within support warranty may contact Visual Numerics regarding the use of the IMSL Fortran Numerical Library. Visual Numerics can consult on the following topics: • Clarity of documentation • Possible Visual Numerics-related programming problems • Choice of IMSL Libraries functions or procedures for a particular problem Not included in these topics are mathematical/statistical consulting and debugging of your program. Refer to the following for Visual Numerics Product Support contact information: • http://www.vni.com/tech/imsl/phone.html The following describes the procedure for consultation with Visual Numerics: 1. Include your Visual Numerics license number 2. Include the product name and version number: IMSL Fortran Numerical Library Version 6.0 3. Include compiler and operating system version numbers 4. Include the name of the routine for which assistance is needed and a description of the problem MATH LIBRARY Special Functions Product Support • i ii • Product Support MATH LIBRARY Special Functions Index A adjoint matrix xii Airy function 155, 166 derivative 155, 158, 169 exponentially scaled 161 derivative 163 second kind 157, 167 derivative 159, 171 exponentially scaled 162 exponentially scaled derivative 164 arguments, optional subprogram xiv B Bessel functions 95 first kind integer order 113 order one 98 order zero 96 real order 118, 128 modified exponentially scaled 108, 110, 111, 112, 123, 126 first kind, integer order 115 first kind, nonnegative real order 123 first kind, order one 104, 110 first kind, order zero 102, 108 first kind, real order 121, 132 second kind, real order 134 third kind, fractional order 124, 126 third kind, order one 107, 112 third kind, order zero 105, 111 second kind order one 101 order zero 99 real nonnegative order 120 real order 130 beta distribution function 241 MATH LIBRARY Special Functions beta functions complete 53, 72 natural logarithm 74 incomplete 76 beta probability density 242, 243 beta probability distribution function 238 binomial coefficient 52 binomial distribution function 207 binomial probability function 209 bivariate normal distribution function 244 C Cauchy principal value 34, 35 character workspace 333 characteristic values 303 Chebyshev series 315, 319 chi-squared distribution function 245, 248, 251 chi-squared probability density 250 complex numbers evaluating 1 continuous data 225, 228 cosine arc hyperbolic 28 complex 19 hyperbolic 24 in degrees 17 integrals 41, 43 hyperbolic 45, 47 cotangent evaluating 13 cube roots evaluating 2 cumulative distribution function 292 cumulative distribution functions (CDF) 203 D Dawson’s function evaluating 90 Dawson's function 79 discrete uniform cumulative probability 222 discrete uniform cumulative probability distribution 222 discrete uniform probability density 224 discrete uniform random variable 224 Index • iii distribution functions 203 cumulative (CDF) 203 general continuous cumulative inverse 295 DOUBLE PRECISION types xi E eigenvalues 303 elementary functions x, 1 elliptic functions 187 elliptic integrals 173 complete 175 second kind 177 first kind Carlson's incomplete 178 second kind Carlson's incomplete 179 third kind Carlson's incomplete 181 error functions 79, 80 complementary 82 complex scaled 85 exponentially scaled 84 inverse 88 inverse 86 error handling 324 error-handling xiii, xv errors 321, 323 alert 207, 322 fatal 322 informational 321 note 207, 322 severity level xv terminal 207, 321, 322 warning 207, 322 exponential cumulative probability distribution 255, 256 exponential functions first order 4 exponential integrals 33, 34, 35 of integer order 37 exponential probability density 258 extreme value cumulative probability distribution 259 extreme value probability density 261, 262 F F distribution function 263, 265 F probability density 266 factorial 50 Fresnal integrals 79 iv • Index cosine 91 sine 93 G gamma distribution function 268, 270 gamma distributions standard 203 gamma functions 49 complete 53 incomplete 62 complementary 64 Tricomi form 65 logarithmic derivative 67 reciprocal 56 gamma probability density 272 general continuous cumulative distribution function 298 Geometric inverse of the geometric cumulative probability distribution 212 geometric cumulative probability distribution 211 geometric probability density 213 geometric random variable 213 getting started xiv H hyperbolic functions x, 11 hypergeometric distribution function 214 hypergeometric probability function 216 I INTEGER types xi inverse of the exponential cumulative probability 257 inverse of the geometric cumulative probability distribution 212 inverse of the lognormal cumulative probability distribution 232 inverse of the Rayleigh cumulative probability distribution 274 inverse of the uniform cumulative probability distribution 286 inverse of the Weibull cumulative probability distribution 290 MATH LIBRARY Special Functions J Jacobi elliptic function 193, 195, 197 K Kelvin function first kind order one 150 order zero 139, 140, 144, 145 second kind order one 151, 152 order zero 141, 142, 146, 147 Kolmogorov-Smirnov goodness of fit 225, 228 L library subprograms xii logarithmic integrals 38 logarithms complex common 6 for gamma functions 58, 60 natural 7, 74 lognormal cumulative probability distribution 230, 231 lognormal probability density 233 optional subprogram arguments xiv ordinates of the density 292 orthogonal matrix xii orthogonal series 318 P Pochhammer's symbol 69, 70, 315 Poisson distribution function 218 Poisson probability function 220 printing 323 printing results xv probability density function (PDF) 204 probability distribution functions 201 inverses 201 probability functions 203 R Rayleigh cumulative probability distribution 273, 274 Rayleigh probability density 275, 276 REAL types xi required arguments xiv reserved names 331 M S machine-dependent constants 325 Mathieu functions 303 even 306 integer order 306, 310 odd 310 periodic 303, 306, 310 real 306, 310 matrices adjoint xii orthogonal xii unitary xii sine arc hyperbolic 27 complex arc 18 hyperbolic 23 in degrees 16 integrals 40 hyperbolic 44 single precision ix Spence's integral 317 standard normal (Gaussian) distribution function 234, 236 Student’s t distribution function 276, 278, 281, 283 Student’s t probability density 279 subprograms library xii optional arguments xiv N naming conventions xi NaN 207 noncentral chi-squared function 254 normal probability density 237 O optional argument xiv optional data xiv MATH LIBRARY Special Functions T tangent Index • v arc hyperbolic 30 complex 12 arc 20 arc of a ratio 21 hyperbolic 25 Taylor series 315 trigonometric functions x, 11 U underflow xiii uniform cumulative probability distribution 285 uniform probability density 287 unitary matrix xii user interface ix using library subprograms xii W Weibull cumulative probability distribution 289 Weibull cumulative probability distribution function 288 Weibull probability density 291, 292 Weibull random variable 290 Weierstrass' function equianharmonic case 190, 192 lemniscatic case 188, 189 workspace allocation 332 vi • Index MATH LIBRARY Special Functions ">
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Key features
Collection of FORTRAN subroutines and functions
Supports elementary, trigonometric, and hyperbolic functions
Includes exponential integrals and related functions
Provides gamma function and related functions
Features error function and related functions
Offers Bessel and Kelvin functions
Incorporates Airy and elliptic functions
Covers probability distribution functions and inverses
Available in single and double precision versions
Supports complex and complex-double precision arithmetic
Frequently asked questions
The IMSL MATH/LIBRARY Special Functions Version 6.0 is a collection of FORTRAN subroutines and functions primarily useful in research and statistical analysis, designed for accurate and efficient mathematical computations.
The library covers a wide range of special functions, including elementary functions, trigonometric and hyperbolic functions, exponential integrals, gamma function, error function, Bessel functions, Kelvin functions, Airy functions, and elliptic integrals, as well as probability distribution functions.
Yes, most routines in the IMSL MATH/LIBRARY Special Functions are available in both single and double precision versions. Many also support complex and complex-double precision arithmetic.
The documentation is organized into chapters that parallel the National Bureau of Standards’ Handbook of Mathematical Functions, making it easy to locate specific routines. Each routine includes a concise description, examples, and relevant information.
