# mathru
[![crate](https://img.shields.io/crates/v/mathru.svg)](https://crates.io/crates/mathru)
[![documentation](https://docs.rs/mathru/badge.svg)](https://docs.rs/mathru)
![minimum rustc 1.38.0](https://img.shields.io/badge/rustc-1.38.0-green.svg)
![maintenance](https://img.shields.io/badge/maintenance-actively--developed-brightgreen.svg)
------------
mathru is a numeric library containing algorithms for linear algebra, analysis and statistics written in pure Rust with BLAS/LAPACK support.
## Features
- Linear algebra
- Vector
- Matrix
- Basic matrix operations(+,-,*)
- Transposition
- LU decomposition (native/lapack)
- QR decomposition (native/lapack)
- Hessenberg decomposition (native/lapack)
- Singular value decomposition
- Inverse (native/lapack)
- Pseudo inverse (native/lapack)
- Determinant (native/lapack)
- Trace
- Eigenvalue (native/lapack)
- Ordinary differential equation (ODE)
- Explicit methods
- Heun's method
- Euler method
- Midpoint method
- Ralston's method
- Kutta 3rd order
- Runge-Kutta 4th order
- Runge-Kutta-Felhberg 4(5)
- Dormand-Prince 4(5)
- Cash-Karp 4(5)
- Tsitouras 4(5)
- Bogacki-Shampine 2(3)
- Adams-Bashforth
- Automatic step size control with starting step size
- Optimization
- Gauss-Newton algorithm
- Gradient descent
- Newton method
- Levenberg-Marquardt algorithm
- Conjugate gradient method
- Statistics
- probability distribution
- Bernoulli
- Beta
- Binomial
- Chisquared
- Exponential
- Gamma
- Chi-squared
- Normal
- Poisson
- Raised cosine
- Student-t
- Uniform
- test
- Chi-squared
- G
- Student-t
- elementary functions
- trigonometric functions
- hyperbolic functions
- exponential functions
- special functions
- gamma functions
- beta functions
- hypergeometrical functions
## Usage
Add this to your `Cargo.toml` for the native Rust implementation:
```toml
[dependencies.mathru]
version = "0.6"
```
Add the following lines to 'Cargo.toml' if the blas/lapack backend should be used:
```toml
[dependencies.mathru]
version = "0.6"
default-features = false
features = ["blaslapack"]
```
Then import the modules and it is ready to be used.
## Example
```rust
use mathru::algebra::linear::{Matrix};
// Compute the LU decomposition of a 2x2 matrix
let a: Matrix<f64> = Matrix::new(2, 2, vec![1.0, -2.0, 3.0, -7.0]);
let l_ref: Matrix<f64> = Matrix::new(2, 2, vec![1.0, 0.0, 1.0 / 3.0, 1.0]);
let (l, u, p): (Matrix<f64>, Matrix<f64>, Matrix<f64>) = a.dec_lu();
assert_eq!(l_ref, l);
```
### Solve an initial value problem with Dormand-Prince method :
```rust
use mathru::*;
use mathru::algebra::linear::{Vector};
use mathru::analysis::ode::{DormandPrince54};
use mathru::analysis::ode::ExplicitODE;
// Define the ODE
// x' = (5t^2 - x) / e^(t + x) `$
// x(0) = 1
pub struct ExplicitODE1
{
time_span: (f64, f64),
init_cond: Vector<f64>
}
impl Default for ExplicitODE1
{
fn default() -> ExplicitODE1
{
ExplicitODE1
{
time_span: (0.0, 10.0),
init_cond: vector![1.0],
}
}
}
impl ExplicitODE<f64> for ExplicitODE1
{
fn func(self: &Self, t: &f64, x: &Vector<f64>) -> Vector<f64>
{
return vector!((5.0 * t * t - *x.get(0)) / (t + *x.get(0)).exp());
}
// Returns the time span
fn time_span(self: &Self) -> (f64, f64)
{
return self.time_span;
}
// Initial value at x(0)
fn init_cond(self: &Self) -> Vector<f64>
{
return self.init_cond.clone();
}
}
fn main() {
let h_0: f64 = 0.001;
let n_max: u32 = 300;
let abs_tol: f64 = 10e-7;
let solver: DormandPrince54<f64> = DormandPrince54::new(abs_tol, h_0, n_max);
let (t, x): (Vec<f64>, Vec<Vector<f64>>) = solver.solve(&problem).unwrap();
}
```
![Example image](figure/ode_simple3.png)
### Fitting with Levenberg-Marquardt
```rust
///y = a + b * exp(c * t) = f(t)
pub struct Example
{
x: Vector<f64>,
y: Vector<f64>
}
impl Example
{
pub fn new(x: Vector<f64>, y: Vector<f64>) -> Example
{
Example
{
x: x,
y: y
}
}
pub fn function(x: f64, beta: &Vector<f64>) -> f64
{
let beta_0: f64 = *beta.get(0);
let beta_1: f64 = *beta.get(1);
let beta_2: f64 = *beta.get(2);
let f_x: f64 = beta_0 + beta_1 * (beta_2 * x).exp();
return f_x;
}
}
impl Jacobian<f64> for Example
{
fn eval(self: &Self, beta: &Vector<f64>) -> Vector<f64>
{
let f_x = self.x.clone().apply(&|x: &f64| Example::function(*x, beta));
let r: Vector<f64> = &self.y - &f_x;
return vector![r.dotp(&r)]
}
fn jacobian(self: &Self, beta: &Vector<f64>) -> Matrix<f64>
{
let (x_m, _x_n) = self.x.dim();
let (beta_m, _beta_n) = beta.dim();
let mut jacobian_f: Matrix<f64> = Matrix::zero(x_m, beta_m);
let f_x = self.x.clone().apply(&|x: &f64| Example::function(*x, beta));
let residual: Vector<f64> = &self.y - &f_x;
for i in 0..x_m
{
let beta_1: f64 = *beta.get(1);
let beta_2: f64 = *beta.get(2);
let x_i: f64 = *self.x.get(i);
*jacobian_f.get_mut(i, 0) = 1.0;
*jacobian_f.get_mut(i, 1) = (beta_2 * x_i).exp();
*jacobian_f.get_mut(i, 2) = beta_1 * x_i * (beta_2 * x_i).exp();
}
return (residual.transpose() * jacobian_f * -2.0).into();
}
}
fn main()
{
let num_samples: usize = 100;
let noise: Normal = Normal::new(0.0, 0.05);
let mut t_vec: Vec<f64> = Vec::with_capacity(num_samples);
// Start time
let t_0 = 0.0f64;
// End time
let t_1 = 5.0f64;
let mut y_vec: Vec<f64> = Vec::with_capacity(num_samples);
// True function parameters
let beta: Vector<f64> = vector![0.5; 5.0; -1.0];
// Create samples with noise
for i in 0..num_samples
{
let t_i: f64 = (t_1 - t_0) / (num_samples as f64) * (i as f64);
//Add some noise
y_vec.push(Example::function(t_i, &beta) + noise.random());
t_vec.push(t_i);
}
let t: Vector<f64> = Vector::new_column(num_samples, t_vec.clone());
let y: Vector<f64> = Vector::new_column(num_samples, y_vec.clone());
let example_function = Example::new(t, y);
// Optimise fitting parameters with Levenberg-Marquard algorithm
let optim: LevenbergMarquardt<f64> = LevenbergMarquardt::new(100, 0.3, 0.95);
let beta_opt: Vector<f64> = optim.minimize(&example_function, &vector![-1.5; 1.0; -2.0]).arg();
println!("{}", beta_opt);
}
```
![Fitting with Levenberg-Marquardt](figure/fit.png)
## License
Licensed under either of
* Apache License, Version 2.0, ([LICENSE-APACHE](LICENSE-APACHE) or http://www.apache.org/licenses/LICENSE-2.0)
* MIT license ([LICENSE-MIT](LICENSE-MIT) or http://opensource.org/licenses/MIT)
at your option.
### Contribution
Unless you explicitly state otherwise, any contribution intentionally submitted
for inclusion in the work by you, as defined in the Apache-2.0 license, shall be dual licensed as above, without any
additional terms or conditions.
Any contribution is welcome!