d01ak is an adaptive integrator, especially suited to oscillating, nonsingular integrands, which calculates an approximation to the integral of a function over a finite interval :
Public Shared Sub d01ak ( _ f As D01..::..D01AK_F, _ a As Double, _ b As Double, _ epsabs As Double, _ epsrel As Double, _ <OutAttribute> ByRef result As Double, _ <OutAttribute> ByRef abserr As Double, _ w As Double(), _ <OutAttribute> ByRef subintvls As Integer, _ <OutAttribute> ByRef ifail As Integer _ )
public: static void d01ak( D01..::..D01AK_F^ f, double a, double b, double epsabs, double epsrel, [OutAttribute] double% result, [OutAttribute] double% abserr, array<double>^ w, [OutAttribute] int% subintvls, [OutAttribute] int% ifail )
- Type: NagLibrary..::..D01..::..D01AK_Ff must return the value of the integrand at a given point.
A delegate of type D01AK_F.
- Type: System..::..DoubleOn entry: , the lower limit of integration.
- Type: System..::..DoubleOn entry: , the upper limit of integration. It is not necessary that .
- Type: System..::..Double
- Type: System..::..Double
- Type: System..::..Double%On exit: the approximation to the integral .
- Type: System..::..Double%On exit: an estimate of the modulus of the absolute error, which should be an upper bound for .
- Type: array<System..::..Double>()An array of size [lw]On exit: details of the computation see [Further Comments] for more information.
- Type: System..::..Int32%On exit: subintvls contains the actual number of sub-intervals used.
d01ak is based on the QUADPACK routine QAG (see Piessens et al. (1983)). It is an adaptive method, using the Gauss -point and Kronrod -point rules. A ‘global’ acceptance criterion (as defined by Malcolm and Simpson (1976)) is used. The local error estimation is described in Piessens et al. (1983).
Because d01ak is based on integration rules of high order, it is especially suitable for nonsingular oscillating integrands.
d01ak requires you to supply a function to evaluate the integrand at a single point.
The method (D01AUF not in this release) uses an identical algorithm but requires you to supply a method to evaluate the integrand at an array of points. Therefore (D01AUF not in this release) will be more efficient if the evaluation can be performed in vector mode on a vector-processing machine.
Malcolm M A and Simpson R B (1976) Local versus global strategies for adaptive quadrature ACM Trans. Math. Software 1 129–146
Piessens R (1973) An algorithm for automatic integration Angew. Inf. 15 399–401
Piessens R, de Doncker–Kapenga E, Überhuber C and Kahaner D (1983) QUADPACK, A Subroutine Package for Automatic Integration Springer–Verlag
Errors or warnings detected by the method:
Some error messages may refer to parameters that are dropped from this interface (IW) In these cases, an error in another parameter has usually caused an incorrect value to be inferred.
- The maximum number of subdivisions allowed with the given workspace has been reached without the accuracy requirements being achieved. Look at the integrand in order to determine the integration difficulties. If necessary, another integrator, which is designed for handling the type of difficulty involved, must be used. Alternatively, consider relaxing the accuracy requirements specified by epsabs and epsrel, or increasing the amount of workspace.
- Round-off error prevents the requested tolerance from being achieved. Consider requesting less accuracy.
- Extremely bad local integrand behaviour causes a very strong subdivision around one (or more) points of the interval. The same advice applies as in the case of .
On entry, , or .
The time taken by d01ak depends on the integrand and the accuracy required.
If on exit, then you may wish to examine the contents of the array w, which contains the end points of the sub-intervals used by d01ak along with the integral contributions and error estimates over these sub-intervals.
Specifically, for , let denote the approximation to the value of the integral over the sub-interval in the partition of and be the corresponding absolute error estimate. Then, and . The value of is returned in , and the values , , and are stored consecutively in the array w, that is: