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Numerical Integration

Integration functions
val trapz : ?n:int -> ?eps:float -> (float -> float) -> float -> float -> float

trapz f a b computes the integral of f on the interval [a,b] using the trapezoidal rule, i.e. :math:`\int_a^b f(x) dx`.

Parameters: * f: function to be integrated. * n: the maximum allowed number of steps. The default value is 20. * eps: the desired fractional accuracy. The default value is 1e-6. * a: lower bound of the integrated interval. * b: upper bound of the integrated interval.

Returns: * y: the integral of f on [a, b].

val simpson : ?n:int -> ?eps:float -> (float -> float) -> float -> float -> float

simpson f a b computes the integral of f on the interval [a,b] using the Simpson's rule, i.e. :math:`\int_a^b f(x) dx`.

Parameters: * f: function to be integrated. * n: the maximum allowed number of steps. The default value is 20. * eps: the desired fractional accuracy. The default value is 1e-6. * a: lower bound of the integrated interval. * b: upper bound of the integrated interval.

Returns: * y: the integral of f on [a, b].

val romberg : ?n:int -> ?eps:float -> (float -> float) -> float -> float -> float

romberg f a b computes the integral of f on the interval [a,b] using the Romberg method, i.e. :math:`\int_a^b f(x) dx`. Note that this algorithm is much faster than trapz and simpson.

Parameters: * f: function to be integrated. * n: the maximum allowed number of steps. The default value is 20. * eps: the desired fractional accuracy. The default value is 1e-6. * a: lower bound of the integrated interval. * b: upper bound of the integrated interval.

Returns: * y: the integral of f on [a, b].

val gaussian_fixed : ?n:int -> (float -> float) -> float -> float -> float

gaussian_fixed f a b computes the integral of f on the interval [a,b] using the Gaussian quadrature of fixed order. Note that this algorithm is much faster than others due to cached weights.

Parameters: * f: function to be integrated. * n: the order of polynomial. The default value is 10. * a: lower bound of the integrated interval. * b: upper bound of the integrated interval.

Returns: * y: the integral of f on [a, b].

val gaussian : ?n:int -> ?eps:float -> (float -> float) -> float -> float -> float

gaussian f a b computes the integral of f on the interval [a,b] using adaptive Gaussian quadrature of fixed tolerance.

Parameters: * f: function to be integrated. * n: the maximum order. The default value is 50. * eps: the desired fractional accuracy. The default value is 1e-6. * a: lower bound of the integrated interval. * b: upper bound of the integrated interval.

Returns: * y: the integral of f on [a, b].

Helper functions
val trapzd : (float -> float) -> float -> float -> int -> float

The function computes the nth stage of refinement of an extended trapezoidal rule. It is the workhorse of several integration functions including trapz, simpson, and romberg.

Parameters: * f: function to be integrated. * a: lower bound of the integrated interval. * b: upper bound of the integrated interval. * n: the nth stage.

Returns: * y: the integral of f on [a, b].

val gauss_legendre : ?eps:float -> ?a:float -> ?b:float -> int -> float array * float array

Given the lower and upper limits of integration a and b, and order n, the function computes the abscissas and weights of the Gauss-Legendre n-point quadrature formula.

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