NAG Library Routine Document

D01AHF

D01AHF computes a definite integral of the form

∫abfxdx.

The method uses as its basis a family of interlacing high precision rules (see Patterson (1968)) using 1, 3, 7, 15, 31, 63, 127 and 255 nodes. Initially the family is applied in sequence to the integrand. When two successive rules differ relatively by less than the required relative accuracy, the last rule used is taken as the value of the integral and the operation is regarded as successful. If all rules in the family have been applied unsuccessfully, subdivision is invoked. The subdivision strategy is as follows. The interval under scrutiny is divided into two sub-intervals (not always equal). The basic family is then applied to the first sub-interval. If the required accuracy is not obtained, the interval is stored for future examination (see IFAIL=2) and the second sub-interval is examined. Should the basic family again be unsuccessful, then the sub-interval is further subdivided and the whole process repeated. Successful integrations are accumulated as the partial value of the integral. When all possible successful integrations have been completed, those previously unsuccessful sub-intervals placed in store are examined.

A large number of refinements are incorporated to improve the performance. Some of these are:

(a)	The rate of convergence of the basic family is monitored and used to make a decision to abort and subdivide before the full sequence has been applied.
(b)	The ε-algorithm is applied to the basic results in an attempt to increase the convergence rate. See Wynn (1956).
(c)	An attempt is made to detect sharp end point peaks and singularities in each sub-interval and to apply appropriate transformations to smooth the integrand. This consideration is also used to select interval sizes in the subdivision process.
(d)	The relative accuracy sought in each sub-interval is adjusted in accordance with its likely contribution to the total integral.
(e)	Random transformations of the integrand are applied to improve reliability in some instances.

If on entry IFAIL=0 or -1, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Note: D01AHF may return useful information for one or more of the following detected errors or warnings.

Errors or warnings detected by the routine:

The relative accuracy required is specified by you in the variable EPSR. The routine will terminate whenever the relative accuracy specified by EPSR is judged to have been reached.

If on exit, IFAIL=0, then it is most likely that the result is correct to the specified accuracy. If, on exit, IFAIL=1 or 2, then it is likely that the specified accuracy has not been reached.

RELERR is a rough estimate of the relative error achieved. It is a by-product of the computation and is not used to effect the termination of the routine. The outcome of the integration must be judged by the value of IFAIL.