NAG Library Routine Document
D01ANF
1 Purpose
D01ANF calculates an approximation to the sine or the cosine transform of a function
$g$ over
$\left[a,b\right]$:
(for a userspecified value of
$\omega $).
2 Specification
SUBROUTINE D01ANF ( 
G, A, B, OMEGA, KEY, EPSABS, EPSREL, RESULT, ABSERR, W, LW, IW, LIW, IFAIL) 
INTEGER 
KEY, LW, IW(LIW), LIW, IFAIL 
REAL (KIND=nag_wp) 
G, A, B, OMEGA, EPSABS, EPSREL, RESULT, ABSERR, W(LW) 
EXTERNAL 
G 

3 Description
D01ANF is based on the QUADPACK routine QFOUR (see
Piessens et al. (1983)). It is an adaptive routine, designed to integrate a function of the form
$g\left(x\right)w\left(x\right)$, where
$w\left(x\right)$ is either
$\mathrm{sin}\left(\omega x\right)$ or
$\mathrm{cos}\left(\omega x\right)$. If a subinterval has length
then the integration over this subinterval is performed by means of a modified Clenshaw–Curtis procedure (see
Piessens and Branders (1975)) if
$L\omega >4$ and
$l\le 20\text{.}$ In this case a Chebyshev series approximation of degree
$24$ is used to approximate
$g\left(x\right)$, while an error estimate is computed from this approximation together with that obtained using Chebyshev series of degree
$12$. If the above conditions do not hold then Gauss
$7$point and Kronrod
$15$point rules are used. The algorithm, described in
Piessens et al. (1983), incorporates a global acceptance criterion (as defined in
Malcolm and Simpson (1976)) together with the
$\epsilon $algorithm (see
Wynn (1956)) to perform extrapolation. The local error estimation is described in
Piessens et al. (1983).
4 References
Malcolm M A and Simpson R B (1976) Local versus global strategies for adaptive quadrature ACM Trans. Math. Software 1 129–146
Piessens R and Branders M (1975) Algorithm 002: computation of oscillating integrals J. Comput. Appl. Math. 1 153–164
Piessens R, de Doncker–Kapenga E, Überhuber C and Kahaner D (1983) QUADPACK, A Subroutine Package for Automatic Integration Springer–Verlag
Wynn P (1956) On a device for computing the ${e}_{m}\left({S}_{n}\right)$ transformation Math. Tables Aids Comput. 10 91–96
5 Arguments
 1: $\mathrm{G}$ – REAL (KIND=nag_wp) FUNCTION, supplied by the user.External Procedure

G must return the value of the function
$g$ at a given point
X.
The specification of
G is:
 1: $\mathrm{X}$ – REAL (KIND=nag_wp)Input

On entry: the point at which the function $g$ must be evaluated.
G must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D01ANF is called. Arguments denoted as
Input must
not be changed by this procedure.
 2: $\mathrm{A}$ – REAL (KIND=nag_wp)Input

On entry: $a$, the lower limit of integration.
 3: $\mathrm{B}$ – REAL (KIND=nag_wp)Input

On entry: $b$, the upper limit of integration. It is not necessary that $a<b$.
 4: $\mathrm{OMEGA}$ – REAL (KIND=nag_wp)Input

On entry: the argument $\omega $ in the weight function of the transform.
 5: $\mathrm{KEY}$ – INTEGERInput

On entry: indicates which integral is to be computed.
 ${\mathbf{KEY}}=1$
 $w\left(x\right)=\mathrm{cos}\left(\omega x\right)$.
 ${\mathbf{KEY}}=2$
 $w\left(x\right)=\mathrm{sin}\left(\omega x\right)$.
Constraint:
${\mathbf{KEY}}=1$ or $2$.
 6: $\mathrm{EPSABS}$ – REAL (KIND=nag_wp)Input

On entry: the absolute accuracy required. If
EPSABS is negative, the absolute value is used. See
Section 7.
 7: $\mathrm{EPSREL}$ – REAL (KIND=nag_wp)Input

On entry: the relative accuracy required. If
EPSREL is negative, the absolute value is used. See
Section 7.
 8: $\mathrm{RESULT}$ – REAL (KIND=nag_wp)Output

On exit: the approximation to the integral $I$.
 9: $\mathrm{ABSERR}$ – REAL (KIND=nag_wp)Output

On exit: an estimate of the modulus of the absolute error, which should be an upper bound for $\leftI{\mathbf{RESULT}}\right$.
 10: $\mathrm{W}\left({\mathbf{LW}}\right)$ – REAL (KIND=nag_wp) arrayOutput

On exit: details of the computation see
Section 9 for more information.
 11: $\mathrm{LW}$ – INTEGERInput

On entry: the dimension of the array
W as declared in the (sub)program from which D01ANF is called. The value of
LW (together with that of
LIW) imposes a bound on the number of subintervals into which the interval of integration may be divided by the routine. The number of subintervals cannot exceed
${\mathbf{LW}}/4$. The more difficult the integrand, the larger
LW should be.
Suggested value:
${\mathbf{LW}}=800$ to $2000$ is adequate for most problems.
Constraint:
${\mathbf{LW}}\ge 4$.
 12: $\mathrm{IW}\left({\mathbf{LIW}}\right)$ – INTEGER arrayOutput

On exit: ${\mathbf{IW}}\left(1\right)$ contains the actual number of subintervals used. The rest of the array is used as workspace.
 13: $\mathrm{LIW}$ – INTEGERInput

On entry: the dimension of the array
IW as declared in the (sub)program from which D01ANF is called. The number of subintervals into which the interval of integration may be divided cannot exceed
${\mathbf{LIW}}/2$.
Suggested value:
${\mathbf{LIW}}={\mathbf{LW}}/2$.
Constraint:
${\mathbf{LIW}}\ge 2$.
 14: $\mathrm{IFAIL}$ – INTEGERInput/Output

On entry:
IFAIL must be set to
$0$,
$1\text{ or}1$. If you are unfamiliar with this argument you should refer to
Section 3.4 in How to Use the NAG Library and its Documentation for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
$1\text{ or}1$ 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 arguments may be useful even if
${\mathbf{IFAIL}}\ne {\mathbf{0}}$ on exit, the recommended value is
$1$.
When the value $\mathbf{1}\text{ or}1$ is used it is essential to test the value of IFAIL on exit.
On exit:
${\mathbf{IFAIL}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6 Error Indicators and Warnings
If on entry
${\mathbf{IFAIL}}=0$ or
$1$, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Note: D01ANF may return useful information for one or more of the following detected errors or warnings.
Errors or warnings detected by the routine:
 ${\mathbf{IFAIL}}=1$

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 the position of a local difficulty within the interval can be determined (e.g., a singularity of the integrand or its derivative, a peak, a discontinuity, etc.) you will probably gain from splitting up the interval at this point and calling the integrator on the subranges. 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.
 ${\mathbf{IFAIL}}=2$

Roundoff error prevents the requested tolerance from being achieved. Consider requesting less accuracy.
 ${\mathbf{IFAIL}}=3$

Extremely bad local behaviour of $g\left(x\right)$ causes a very strong subdivision around one (or more) points of the interval. The same advice applies as in the case of ${\mathbf{IFAIL}}={\mathbf{1}}$.
 ${\mathbf{IFAIL}}=4$

The requested tolerance cannot be achieved because the extrapolation does not increase the accuracy satisfactorily; the returned result is the best which can be obtained. The same advice applies as in the case of ${\mathbf{IFAIL}}={\mathbf{1}}$.
 ${\mathbf{IFAIL}}=5$

The integral is probably divergent, or slowly convergent. Please note that divergence can occur with any nonzero value of
IFAIL.
 ${\mathbf{IFAIL}}=6$

On entry, ${\mathbf{KEY}}\ne 1$ or $2$.
 ${\mathbf{IFAIL}}=7$

On entry,  ${\mathbf{LW}}<4$, 
or  ${\mathbf{LIW}}<2$. 
 ${\mathbf{IFAIL}}=99$
An unexpected error has been triggered by this routine. Please
contact
NAG.
See
Section 3.9 in How to Use the NAG Library and its Documentation for further information.
 ${\mathbf{IFAIL}}=399$
Your licence key may have expired or may not have been installed correctly.
See
Section 3.8 in How to Use the NAG Library and its Documentation for further information.
 ${\mathbf{IFAIL}}=999$
Dynamic memory allocation failed.
See
Section 3.7 in How to Use the NAG Library and its Documentation for further information.
7 Accuracy
D01ANF cannot guarantee, but in practice usually achieves, the following accuracy:
where
and
EPSABS and
EPSREL are userspecified absolute and relative tolerances. Moreover, it returns the quantity
ABSERR which in normal circumstances, satisfies
8 Parallelism and Performance
D01ANF is not threaded in any implementation.
The time taken by D01ANF depends on the integrand and the accuracy required.
If
${\mathbf{IFAIL}}\ne {\mathbf{0}}$ on exit, then you may wish to examine the contents of the array
W, which contains the end points of the subintervals used by D01ANF along with the integral contributions and error estimates over these subintervals.
Specifically, for
$i=1,2,\dots ,n$, let
${r}_{i}$ denote the approximation to the value of the integral over the subinterval
$\left[{a}_{i},{b}_{i}\right]$ in the partition of
$\left[a,b\right]$ and
${e}_{i}$ be the corresponding absolute error estimate. Then,
$\underset{{a}_{i}}{\overset{{b}_{i}}{\int}}}g\left(x\right)w\left(x\right)dx\simeq {r}_{i$ and
${\mathbf{RESULT}}={\displaystyle \sum _{i=1}^{n}}{r}_{i}$ unless D01ANF terminates while testing for divergence of the integral (see Section 3.4.3 of
Piessens et al. (1983)). In this case,
RESULT (and
ABSERR) are taken to be the values returned from the extrapolation process. The value of
$n$ is returned in
${\mathbf{IW}}\left(1\right)$,
and the values
${a}_{i}$,
${b}_{i}$,
${e}_{i}$ and
${r}_{i}$ are stored consecutively in the
array
W,
that is:
 ${a}_{i}={\mathbf{W}}\left(i\right)$,
 ${b}_{i}={\mathbf{W}}\left(n+i\right)$,
 ${e}_{i}={\mathbf{W}}\left(2n+i\right)$ and
 ${r}_{i}={\mathbf{W}}\left(3n+i\right)$.
10 Example
10.1 Program Text
Program Text (d01anfe.f90)
10.2 Program Data
None.
10.3 Program Results
Program Results (d01anfe.r)