D01PAF (PDF version)
D01 Chapter Contents
D01 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

D01PAF

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+− Contents

    1  Purpose
    2  Specification
    3  Description
    4  References
    5  Parameters
    6  Error Indicators and Warnings
    7  Accuracy
    8  Further Comments
+− 9  Example

1  Purpose

D01PAF returns a sequence of approximations to the integral of a function over a multi-dimensional simplex, together with an error estimate for the last approximation.

2  Specification

SUBROUTINE D01PAF (NDIM, VERT, LDVERT, SDVERT, FUNCTN, MINORD, MAXORD, FINVLS, ESTERR, IFAIL)
INTEGERNDIM, LDVERT, SDVERT, MINORD, MAXORD, IFAIL
double precisionVERT(LDVERT,SDVERT), FUNCTN, FINVLS(MAXORD), ESTERR
EXTERNALFUNCTN

3  Description

D01PAF computes a sequence of approximations FINVLSj, for j=MINORD+1, MINORD+2,…,MAXORD, to an integral
∫Sfx1,x2,…,xndx1dx2⋯dxn
where S is an n-dimensional simplex defined in terms of its n+1 vertices. FINVLSj is an approximation which will be exact (except for rounding errors) whenever the integrand is a polynomial of total degree 2j-1 or less.
The type of method used has been described in Grundmann and Moller (1978), and is implemented in an extrapolated form using the theory from de Doncker (1979).

4  References

de Doncker E (1979) New Euler–Maclaurin Expansions and their application to quadrature over the s-dimensional simplex Math. Comput. 33 1003–1018
Grundmann A and Moller H M (1978) Invariant integration formulas for the n-simplex by combinatorial methods SIAM J. Numer. Anal. 15 282–290

5  Parameters

1:     NDIM – INTEGERInput
On entry: n, the number of dimensions of the integral.
Constraint: NDIM≥2.
2:     VERT(LDVERT,SDVERT) – double precision arrayInput/Output
On entry: VERTij must be set to the jth component of the ith vertex for the simplex integration region, for i=1,2,…,n+1 and j=1,2,…,n. If MINORD>0, VERT must be unchanged since the previous call of D01PAF.
On exit: these values are unchanged. The rest of the array VERT is used for workspace and contains information to be used if another call of D01PAF is made with MINORD>0. In particular VERTn+12n+2 contains the volume of the simplex.
3:     LDVERT – INTEGERInput
On entry: the first dimension of the array VERT as declared in the (sub)program from which D01PAF is called.
Constraint: LDVERT≥NDIM+1.
4:     SDVERT – INTEGERInput
On entry: the second dimension of the array VERT as declared in the (sub)program from which D01PAF is called.
Constraint: SDVERT≥2×NDIM+1.
5:     FUNCTN – double precision FUNCTION, supplied by the user.External Procedure
FUNCTN must return the value of the integrand f at a given point.
The specification of FUNCTN is:
double precision FUNCTION FUNCTN (NDIM, X)
INTEGERNDIM
double precisionX(NDIM)
1:     NDIM – INTEGERInput
On entry: n, the number of dimensions of the integral.
2:     X(NDIM) – double precision arrayInput
On entry: the co-ordinates of the point at which the integrand f must be evaluated.
FUNCTN must be declared as EXTERNAL in the (sub)program from which D01PAF is called. Parameters denoted as Input must not be changed by this procedure.
6:     MINORD – INTEGERInput/Output
On entry: must specify the highest order of the approximations currently available in the array FINVLS. MINORD=0 indicates an initial call; MINORD>0 indicates that FINVLS1,FINVLS2,…,FINVLSMINORD have already been computed in a previous call of D01PAF.
Constraint: MINORD≥0.
On exit: MINORD=MAXORD.
7:     MAXORD – INTEGERInput
On entry: the highest order of approximation to the integral to be computed.
Constraint: MAXORD>MINORD.
8:     FINVLS(MAXORD) – double precision arrayInput/Output
On entry: FINVLS1,FINVLS2,…,FINVLSMINORD must contain approximations to the integral previously computed by D01PAF.
On exit: contains these values unchanged, and the newly computed values FINVLSMINORD+1,FINVLSMINORD+2,…,FINVLSMAXORD. FINVLSj is an approximation to the integral of polynomial degree 2j-1.
9:     ESTERR – double precisionOutput
On exit: an absolute error estimate for FINVLSMAXORD.
10:   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, if you are not familiar with this parameter, the recommended value is 0. 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
On entry,NDIM<2,
orLDVERT<NDIM+1,
orSDVERT<2×NDIM+1,
orMINORD<0,
orMAXORD≤MINORD.
IFAIL=2
The volume of the simplex integration region (computed as a determinant by F03AAF) is too large or too small to be representable in the machine.

7  Accuracy

An absolute error estimate is output through the parameter ESTERR.

8  Further Comments

The running time for D01PAF will usually be dominated by the time used to evaluate the integrand FUNCTN. The maximum time that could be used by D01PAF will be approximately given by
T×MAXORD+NDIM! MAXORD-1!NDIM+1!
where T is the time needed for one call of FUNCTN.

9  Example

This example demonstrates the use of the subroutine with the integral
∫01 ∫01-x ∫01-x-y expx+y+z cosx+y+z dz dy dx = 14 .

9.1  Program Text

Program Text (d01pafe.f)

9.2  Program Data

None.

9.3  Program Results

Program Results (d01pafe.r)

D01PAF (PDF version)
D01 Chapter Contents
D01 Chapter Introduction
NAG Library Manual
© The Numerical Algorithms Group Ltd, Oxford, UK. 2009