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@zed / Secret
Created Jan 16, 2012

What would you like to do?
discrete convolve vs. analytical
import numpy as np
import matplotlib.pyplot as plt
def convolve(y1, y2, dx=None):
Compute the finite convolution of two signals of equal length.
@param y1: First signal.
@param y2: Second signal.
@param dx: [optional] Integration step width.
@note: Based on the algorithm at
y1, y2 = map(np.asarray, [y1, y2])
P = len(y1) #Determine the length of the signal
z = np.zeros_like(y1) #Create a list of convolution values
for k in range(P):
t = 0
lower = max(0, k - (P - 1))
upper = min(P - 1, k)
for i in range(lower, upper):
t += (y1[i] * y2[k - i] + y1[i + 1] * y2[k - (i + 1)]) / 2
z[k] = t
if dx is not None: #Is a step width specified?
z *= dx
return z
steps = 50 #Number of integration steps
maxtime = 5 #Maximum time
dt = float(maxtime) / steps #Obtain the width of a time step
t = np.linspace(0, maxtime, steps, endpoint=False) #Create an array of times
exp1 = np.exp(-t) #Create an array of function values
exp2 = 2*np.exp(-2*t)
# Calculate the analytical expression
analytical = exp2*(np.exp(t)-1)
# Calculate the trapezoidal convolution
trapezoidal = convolve(exp1, exp2, dt)
# Calculate the scipy convolution
sci = np.convolve(exp1, exp2)
# Slice the first half to obtain the causal convolution and multiply
# by dt to account for the step width
sci = sci[:steps]*dt
# shift right, multiply
sci = np.r_[0,sci[:steps-1]]*0.86
# Plot
plt.plot(t, analytical, label = 'analytical')
plt.plot(t, trapezoidal, 'o', label = 'trapezoidal')
plt.plot(t, sci, '.', label = 'numpy.convolve')
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