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pracma (version 1.8.8)

integral: Adaptive Numerical Integration

Description

Combines several approaches to adaptive numerical integration of functions of one variable.

Usage

integral(fun, xmin, xmax,
            method = c("Kronrod","Richardson","Clenshaw","Simpson","Romberg"),
            vectorized = TRUE, arrayValued = FALSE,
            reltol = 1e-8, abstol = 0, ...)

Arguments

fun
integrand, univariate (vectorized) function.
xmin,xmax
endpoints of the integration interval.
method
integration procedure, see below.
vectorized
logical; is the integrand a vectorized function; not used.
arrayValued
logical; is the integrand array-valued.
reltol
relative tolerance.
abstol
absolute tolerance; not used.
...
additional parameters to be passed to the function.

Value

  • Returns the integral, no error terms given.

Details

integral combines the following methods for adaptive numerical integration (also available as separate functions):
  • Kronrod (Gauss-Kronrod)
  • Richardson (Gauss-Richardson)
  • Clenshaw (Clenshaw-Curtis; not yet made adaptive)
  • Simpson (adaptive Simpson)
  • Romberg
Recommended default method is Gauss-Kronrod. Most methods require that function f is vectorized.

If the interval is infinite, quadinf will be called that accepts the same methods as well. If the function is array-valued, quadv is called that applies an adaptive Simpson procedure -- other methods are ignored.

References

Davis, Ph. J., and Ph. Rabinowitz (1984). Methods of Numerical Integration. Dover Publications, New York.

See Also

quadgk, quadgr, quadcc, simpadpt, romberg, quadv, quadinf

Examples

Run this code
##  Very smooth function
fun <- function(x) 1/(x^4+x^2+0.9)
val <- 1.582232963729353
for (m in c("Kron", "Rich", "Clen", "Simp", "Romb")) {
    Q <- integral(fun, -1, 1, reltol = 1e-12, method = m)
    cat(m, Q, abs(Q-val), "")}
# Kron 1.582233 3.197442e-13 
# Rich 1.582233 3.197442e-13 
# Clen 1.582233 3.199663e-13 
# Simp 1.582233 3.241851e-13 
# Romb 1.582233 2.555733e-13 

##  Highly oscillating function
fun <- function(x) sin(100*pi*x)/(pi*x)
val <- 0.4989868086930458
for (m in c("Kron", "Rich", "Clen", "Simp", "Romb")) {
    Q <- integral(fun, 0, 1, reltol = 1e-12, method = m)
    cat(m, Q, abs(Q-val), "")}
# Kron 0.4989868 2.775558e-16 
# Rich 0.4989868 4.440892e-16 
# Clen 0.4989868 2.231548e-14
# Simp 0.4989868 6.328271e-15 
# Romb 0.4989868 1.508793e-13

## Evaluate improper integral
fun <- function(x) log(x)^2 * exp(-x^2)
val <- 1.9475221803007815976
for (m in c("Kron", "Rich", "Clen", "Simp", "Romb")) {
    Q <- integral(fun, 0, Inf, reltol = 1e-12, method = m)
    cat(m, Q, abs(Q-val), "")}
# Kron 1.947522 1.101341e-13 
# Rich 1.947522 2.928655e-10 
# Clen 1.948016 1.960654e-13 
# Simp 1.947522 9.416912e-12 
# Romb 1.952683 0.00516102

## Array-valued function
log1 <- function(x) log(1+x)
fun <- function(x) c(exp(x), log1(x))
Q <- integral(fun, 0, 1, reltol = 1e-12, arrayValued = TRUE, method = "Simpson")
abs(Q - c(exp(1)-1, log(4)-1))          # 2.220446e-16 4.607426e-15

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