package integration1d

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package integration1d
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Routines for one dimensional numerical integration.

type integrator =
  1. | GAUSS15
    (*

    7 - 15 points

    *)
  2. | GAUSS21
    (*

    10 - 21 points

    *)
  3. | GAUSS31
    (*

    15 - 31 points

    *)
  4. | GAUSS41
    (*

    20 - 41 points

    *)
  5. | GAUSS51
    (*

    25 - 51 points

    *)
  6. | GAUSS61
    (*

    30 - 61 points

    *)

Choice of local integration rule: which Gauss-Kronrod pair is used.

type reliability =
  1. | OK
    (*

    normal and reliable termination of the routine. it is assumed that the requested accuracy has been achieved.

    *)
  2. | Limit
    (*

    maximum number of subdivisions allowed has been achieved. one can allow more subdivisions by increasing the value of limit.

    However, if this yields no improvement it is rather advised to analyze the integrand in order to determine the integration difficulties. If the position of a local difficulty can be determined (e.g. singularity, discontinuity within the interval) one will probably gain from splitting up the interval at this point and calling the integrator on the subranges. If possible, an appropriate special-purpose integrator should be used which is designed for handling the type of difficulty involved.

    *)
  3. | Roundoff
    (*

    The occurrence of roundoff error is detected, which prevents the requested tolerance from being achieved.

    *)
  4. | Bad_integrand
    (*

    Extremely bad integrand behaviour occurs at some points of the integration interval.

    *)
type result = {
  1. res : float;
    (*

    Approximation to the integral.

    *)
  2. err : float;
    (*

    Estimate of the modulus of the absolute error, which should equal or exceed abs(res - result).

    *)
  3. neval : int;
    (*

    Number of integrand evaluations.

    *)
  4. nsub : int;
    (*

    Number of sub-intervals used <= limit.

    *)
  5. msg : reliability;
}
exception Function_not_finite of float

Function_not_finite(x) is raised when the function one seeks to integrate returns NaN, infinity or neg_infinity at x.

type workspace

Temporary memory used by the integration routines.

val workspace : integrator -> int -> workspace

workspace i limit creates a workspace for the integrator i that can handle up to limit sub-intervals.

val qag : ?limit:int -> ?workspace:workspace -> integrator -> ?epsabs:float -> ?epsrel:float -> (float -> float) -> float -> float -> result

qag integrator returns a function integ so that integ f a b is an approximation, i, to the integral f over the interval (a,b) hopefully satisfying following claim for accuracy abs(i - true_result) <= max epsabs (epsrel*abs(i)). ⚠ BEWARE that qag integrator creates a workspace that will be used for all calls of integ, so you should not call integ inside f or call the same integ in parallel.

Keywords: automatic integrator, general-purpose, integrand examinator, globally adaptive, Gauss-Kronrod.

  • parameter epsabs

    absolute accuracy requested (default 1.49E-8).

  • parameter epsrel

    relative accuracy requested (default 1.49E-8).

  • parameter limit

    gives an upper-bound on the number of sub-intervals in the partition of (a,b); must satisfy limit >= 1. Default: 50.

  • parameter workspace

    Temporary memory used by the integration routines. It is recommended to allocate this memory outside loops. Default: new temporary memory is allocated as needed. A nice way of allocating temprary ressources once only is to use partial evaluation: let integ = qag integrator and then use it repeatedly as integ f a b.

  • raises Failure

    if epsabs <= 0 && epsrel <= max (50 * eps_float) 0.5E-28

  • raises Function_not_finite

    if the function f returns NaN or an infinite value at an evaluation point.