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#include <stdio.h>
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#include <stdlib.h>
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#include <gsl/gsl_math.h>
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#include <gsl/gsl_filter.h>
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#include <gsl/gsl_rng.h>
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#include <gsl/gsl_randist.h>
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#include <gsl/gsl_vector.h>
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int
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main(void)
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{
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const size_t N = 1000; /* length of time series */
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const size_t K = 61; /* window size */
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const double alpha = 3.0; /* Gaussian kernel has +/- 3 standard deviations */
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gsl_vector *x = gsl_vector_alloc(N); /* input vector */
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gsl_vector *y = gsl_vector_alloc(N); /* filtered output vector */
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gsl_vector *dy = gsl_vector_alloc(N); /* first derivative filtered vector */
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gsl_vector *d2y = gsl_vector_alloc(N); /* second derivative filtered vector */
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gsl_rng *r = gsl_rng_alloc(gsl_rng_default);
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gsl_filter_gaussian_workspace *gauss_p = gsl_filter_gaussian_alloc(K);
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size_t i;
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/* generate input signal */
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for (i = 0; i < N; ++i)
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{
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double xi = (i > N / 2) ? 0.5 : 0.0;
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double ei = gsl_ran_gaussian(r, 0.1);
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gsl_vector_set(x, i, xi + ei);
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}
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/* apply filters */
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gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha, 0, x, y, gauss_p);
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gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha, 1, x, dy, gauss_p);
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gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha, 2, x, d2y, gauss_p);
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/* print results */
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for (i = 0; i < N; ++i)
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{
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double xi = gsl_vector_get(x, i);
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double yi = gsl_vector_get(y, i);
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double dyi = gsl_vector_get(dy, i);
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double d2yi = gsl_vector_get(d2y, i);
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double dxi;
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/* compute finite difference of x vector */
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if (i == 0)
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dxi = gsl_vector_get(x, i + 1) - xi;
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else if (i == N - 1)
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dxi = gsl_vector_get(x, i) - gsl_vector_get(x, i - 1);
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else
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dxi = 0.5 * (gsl_vector_get(x, i + 1) - gsl_vector_get(x, i - 1));
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printf("%.12e %.12e %.12e %.12e %.12e\n",
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xi,
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yi,
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dxi,
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dyi,
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d2yi);
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}
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gsl_vector_free(x);
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gsl_vector_free(y);
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gsl_vector_free(dy);
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gsl_vector_free(d2y);
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gsl_rng_free(r);
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gsl_filter_gaussian_free(gauss_p);
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return 0;
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}
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