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Source file integration.ml

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(* gsl-ocaml - OCaml interface to GSL                       *)
(* Copyright (©) 2002-2012 - Olivier Andrieu                *)
(* Distributed under the terms of the GPL version 3         *)

open Fun

let () = Error.init ()

external qng :
  gsl_fun ->
  a:float ->
  b:float ->
  epsabs:float ->
  epsrel:float ->
  float * float * int = "ml_gsl_integration_qng"

type workspace

external alloc_ws : int -> workspace = "ml_gsl_integration_workspace_alloc"
external free_ws : workspace -> unit = "ml_gsl_integration_workspace_free"

let make_ws size =
  let ws = alloc_ws size in
  Gc.finalise free_ws ws;
  ws

external size : workspace -> int = "ml_gsl_integration_ws_size"

type key = GAUSS15 | GAUSS21 | GAUSS31 | GAUSS41 | GAUSS51 | GAUSS61

external qag :
  gsl_fun ->
  a:float ->
  b:float ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  key ->
  workspace ->
  result = "ml_gsl_integration_qag_bc" "ml_gsl_integration_qag"

external qags :
  gsl_fun ->
  a:float ->
  b:float ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  workspace ->
  result = "ml_gsl_integration_qags_bc" "ml_gsl_integration_qags"

external qagp :
  gsl_fun ->
  pts:float array ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  workspace ->
  result = "ml_gsl_integration_qagp_bc" "ml_gsl_integration_qagp"

external qagi :
  gsl_fun -> epsabs:float -> epsrel:float -> ?limit:int -> workspace -> result
  = "ml_gsl_integration_qagi"

external qagiu :
  gsl_fun ->
  a:float ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  workspace ->
  result = "ml_gsl_integration_qagiu_bc" "ml_gsl_integration_qagiu"

external qagil :
  gsl_fun ->
  b:float ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  workspace ->
  result = "ml_gsl_integration_qagil_bc" "ml_gsl_integration_qagil"

let qag_sing gslfun ~a ~b ?pts ?(limit = 1000) ~epsabs ~epsrel () =
  if b < a then invalid_arg "qag_sing";
  let ws = make_ws limit in
  if b = infinity then
    if a = neg_infinity then qagi gslfun ~epsabs ~epsrel ws
    else qagiu gslfun ~a ~epsabs ~epsrel ws
  else if a = neg_infinity then qagil gslfun ~b ~epsabs ~epsrel ws
  else
    match pts with
    | None -> qags gslfun ~a ~b ~epsabs ~epsrel ws
    | Some farr ->
        let len = Array.length farr in
        let arr = Array.make (2 + len) a in
        Array.blit farr 0 arr 1 len;
        arr.(len + 1) <- b;
        qagp gslfun ~pts:arr ~epsabs ~epsrel ws

external qawc :
  gsl_fun ->
  a:float ->
  b:float ->
  c:float ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  workspace ->
  result = "ml_gsl_integration_qawc_bc" "ml_gsl_integration_qawc"

type qaws_table

external alloc_qaws :
  alpha:float -> beta:float -> mu:int -> nu:int -> qaws_table
  = "ml_gsl_integration_qaws_table_alloc"

external set_qaws :
  qaws_table -> alpha:float -> beta:float -> mu:int -> nu:int -> unit
  = "ml_gsl_integration_qaws_table_set"

external free_qaws : qaws_table -> unit = "ml_gsl_integration_qaws_table_free"

external qaws :
  gsl_fun ->
  a:float ->
  b:float ->
  qaws_table ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  workspace ->
  result = "ml_gsl_integration_qaws_bc" "ml_gsl_integration_qaws"

type qawo_table
type qawo_sine = QAWO_COSINE | QAWO_SINE

external alloc_qawo : omega:float -> l:float -> qawo_sine -> n:int -> qawo_table
  = "ml_gsl_integration_qawo_table_alloc"

external set_qawo : qawo_table -> omega:float -> l:float -> qawo_sine -> unit
  = "ml_gsl_integration_qawo_table_set"

external free_qawo : qawo_table -> unit = "ml_gsl_integration_qawo_table_free"

external qawo :
  gsl_fun ->
  a:float ->
  epsabs:float ->
  epsrel:float ->
  ?limit:int ->
  workspace ->
  qawo_table ->
  result = "ml_gsl_integration_qawo_bc" "ml_gsl_integration_qawo"

external qawf :
  gsl_fun ->
  a:float ->
  epsabs:float ->
  ?limit:int ->
  workspace ->
  workspace ->
  qawo_table ->
  result = "ml_gsl_integration_qawf_bc" "ml_gsl_integration_qawf"