NAG Library Routine Document
D01EAF
1 Purpose
D01EAF computes approximations to the integrals of a vector of similar functions, each defined over the same multi-dimensional hyper-rectangular region. The routine uses an adaptive subdivision strategy, and also computes absolute error estimates.
2 Specification
| SUBROUTINE D01EAF ( | NDIM, A, B, MINCLS, MAXCLS, NFUN, FUNSUB, ABSREQ, RELREQ, LENWRK, WRKSTR, FINEST, ABSEST, IFAIL) |
| INTEGER | NDIM, MINCLS, MAXCLS, NFUN, LENWRK, IFAIL |
| double precision | A(NDIM), B(NDIM), ABSREQ, RELREQ, WRKSTR(LENWRK), FINEST(NFUN), ABSEST(NFUN) |
| EXTERNAL | FUNSUB |
3 Description
D01EAF uses a globally adaptive method based on the algorithm described by
van Dooren and de Ridder (1976) and
Genz and Malik (1980). It is implemented for integrals in the form:
where
fi=fix1,x2,…,xn, for
i=1,2,…,m.
Upon entry, unless
MINCLS has been set to a value less than or equal to
0, D01EAF divides the integration region into a number of subregions with randomly selected volumes. Inside each subregion the integrals and their errors are estimated. The initial number of subregions is chosen to be as large as possible without using more than
MINCLS calls to
FUNSUB. The results are stored in a partially ordered list (a heap). The routine then proceeds in stages. At each stage the subregion with the largest error (measured using the maximum norm) is halved along the co-ordinate axis where the integrands have largest absolute fourth differences. The basic rule is applied to each half of this subregion and the results are stored in the list. The results from the two halves are used to update the global integral and error estimates (
FINEST and
ABSEST) and the routine continues unless
ABSEST≤maxABSREQ,FINEST×RELREQ where the norm
. is the maximum norm, or further subdivision would use more than
MAXCLS calls to
FUNSUB. If at some stage there is insufficient working storage to keep the results for the next subdivision, the routine switches to a less efficient mode; only if this mode of operation breaks down is insufficient storage reported.
4 References
Genz A C and Malik A A (1980) An Adaptive Algorithm for Numerical Integration over an N-dimensional Rectangular Region
J. Comput. Appl. Math. 6 295–302
van Dooren P and de Ridder L (1976) An adaptive algorithm for numerical integration over an N-dimensional cube
J. Comput. Appl. Math. 2 207–217
5 Parameters
- 1: NDIM – INTEGERInput
On entry:
n, the number of dimensions of the integrals.
Constraint:
NDIM≥1.
- 2: A(NDIM) – double precision arrayInput
On entry: the lower limits of integration, ai, for i=1,2,…,n.
- 3: B(NDIM) – double precision arrayInput
On entry: the upper limits of integration, bi, for i=1,2,…,n.
- 4: MINCLS – INTEGERInput/Output
On entry: must be set either to the minimum number of
FUNSUB calls to be allowed, in which case
MINCLS≥0 or to a negative value. In this case, the routine continues the calculation started in a previous call with the same integrands and integration limits: no parameters other than
MINCLS,
MAXCLS,
ABSREQ,
RELREQ or
IFAIL must be changed between the calls.
On exit: gives the number of
FUNSUB calls actually used by D01EAF. For the continuation case (
MINCLS<0 on entry) this is the number of new
FUNSUB calls on the current call to D01EAF.
- 5: MAXCLS – INTEGERInput
On entry: the maximum number of
FUNSUB calls to be allowed. In the continuation case this is the number of new
FUNSUB calls to be allowed.
Constraints:
- MAXCLS≥MINCLS;
- MAXCLS≥r;
- where r=2n+2n2+2n+1, if n<11, or r=1+n4n2-6n+14/3, if n≥11.
- 6: NFUN – INTEGERInput
On entry:
m, the number of integrands.
Constraint:
NFUN≥1.
- 7: FUNSUB – SUBROUTINE, supplied by the user.External Procedure
FUNSUB must evaluate the integrands
fi at a given point.
The specification of
FUNSUB is:
| SUBROUTINE FUNSUB ( | NDIM, Z, NFUN, F) |
| INTEGER | NDIM, NFUN |
| double precision | Z(NDIM), F(NFUN) |
- 1: NDIM – INTEGERInput
On entry: n, the number of dimensions of the integrals.
- 2: Z(NDIM) – double precision arrayInput
On entry: the co-ordinates of the point at which the integrands must be evaluated.
- 3: NFUN – INTEGERInput
On entry: m, the number of integrands.
- 4: F(NFUN) – double precision arrayOutput
On exit: the value of the ith integrand at the given point.
FUNSUB must be declared as EXTERNAL in the (sub)program from which D01EAF is called. Parameters denoted as
Input must
not be changed by this procedure.
- 8: ABSREQ – double precisionInput
On entry: the absolute accuracy required by you.
Constraint:
ABSREQ≥0.0.
- 9: RELREQ – double precisionInput
On entry: the relative accuracy required by you.
Constraint:
RELREQ≥0.0.
- 10: LENWRK – INTEGERInput
On entry: the dimension of the array
WRKSTR as declared in the (sub)program from which D01EAF is called.
Suggested value:
LENWRK≥6n+9m+n+m+21+p/r, where
p is the value of
MAXCLS and
r is defined under
MAXCLS. If
LENWRK is significantly smaller than this, the routine will not work as efficiently and may even fail.
Constraint:
LENWRK≥8×NDIM+11×NFUN+3.
- 11: WRKSTR(LENWRK) – double precision arrayInput/Output
On entry: if
MINCLS<0,
WRKSTR must be unchanged from the previous call of D01EAF.
On exit: contains information about the current subdivision which could be used in a continuation call.
- 12: FINEST(NFUN) – double precision arrayOutput
On exit: FINESTi specifies the best estimate obtained from the ith integral, for i=1,2,…,m.
- 13: ABSEST(NFUN) – double precision arrayOutput
On exit: ABSESTi specifies the estimated absolute accuracy of FINESTi, for i=1,2,…,m.
- 14: IFAIL – INTEGERInput/Output
On entry:
IFAIL must be set to
0,
-1 or 1. If you are unfamiliar with this parameter you should refer to
Section 3.3 in the Essential Introduction for details.
On exit:
IFAIL=0 unless the routine detects an error (see
Section 6).
For environments where it might be inappropriate to halt program execution when an error is detected, the value
-1 or 1 is recommended. If the output of error messages is undesirable, then the value
1 is recommended. Otherwise, because for this routine the values of the output parameters may be useful even if
IFAIL≠0 on exit, the recommended value is
-1.
When the value -1 or 1 is used it is essential to test the value of IFAIL on exit.
6 Error Indicators and Warnings
If on entry
IFAIL=0 or
-1, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
- IFAIL=1
-
MAXCLS was too small for D01EAF to obtain the required accuracy. The arrays
FINEST and
ABSEST respectively contain current estimates for the integrals and errors.
- IFAIL=2
-
LENWRK is too small for the routine to continue. The arrays
FINEST and
ABSEST respectively contain current estimates for the integrals and errors.
- IFAIL=3
-
On a continuation call,
MAXCLS was set too small to make any progress. Increase
MAXCLS before calling D01EAF again.
- IFAIL=4
-
| On entry, | NDIM<1, |
| or | NFUN<1, |
| or | MAXCLS<MINCLS, |
| or | MAXCLS<r (see MAXCLS), |
| or | ABSREQ<0.0, |
| or | RELREQ<0.0, |
| or | LENWRK<8×NDIM+11×NFUN+3. |
7 Accuracy
An absolute error estimate for each integrand is output in the array
ABSEST. The routine exits with
IFAIL=0 if
8 Further Comments
Usually the running time for D01EAF will be dominated by the time in
FUNSUB, so the maximum time that could be used by D01EAF will be proportional to
MAXCLS multiplied by the cost of a call to
FUNSUB.
On a normal call, you should set MINCLS=0 on entry.
For some integrands, particularly those that are poorly behaved in a small part of the integration region, D01EAF may terminate prematurely with values of
ABSEST that are significantly smaller than the actual absolute errors. This behaviour should be suspected if the returned value of
MINCLS is small relative to the expected difficulty of the integrals. When this occurs D01EAF should be called again, but with an entry value of
MINCLS≥2r, (see specification of
MAXCLS) and the results compared with those from the previous call.
If the routine is called with
MINCLS≥2r, the exact values of
FINEST and
ABSEST on return will depend (within statistical limits) on the sequence of random numbers generated internally within D01EAF by calls to
G05SAF. Separate runs will produce identical answers unless the part of the program executed prior to calling D01EAF also calls (directly or indirectly) routines from
Chapter G05, and, in addition, the series of such calls differs between runs.
Because of moderate instability in the application of the basic integration rule, approximately the last 1+log10n3 decimal digits may be inaccurate when using D01EAF for large values of n.
9 Example
This example computes
where, for
j=1,2,…,10,
fj=lnx1+2x2+3x3+4x4sinj+x1+2x2+3x3+4x4. The program is intended to show how to exploit the continuation facility provided with D01EAF: the routine exits with
IFAIL=1 (printing an explanatory error message) and is re-entered with
MAXCLS reset to a larger value. The program can be used with any values of
NDIM and
NFUN, except that the expression for
r must be changed if
NDIM>10 (see specification of
MAXCLS).
9.1 Program Text
Program Text (d01eafe.f)
9.2 Program Data
None.
9.3 Program Results
Program Results (d01eafe.r)
