NAG Library Routine Document

Real (Kind=nag_wp)	::	d01ahf
Integer, Intent (In)	::	nlimit
Integer, Intent (Inout)	::	ifail
Integer, Intent (Out)	::	npts
Real (Kind=nag_wp), External	::	f
Real (Kind=nag_wp), Intent (In)	::	a, b, epsr
Real (Kind=nag_wp), Intent (Out)	::	relerr

C Header Interface

#include <nagmk26.h>

double

d01ahf_ (const double *a, const double *b, const double *epsr, Integer *npts, double *relerr,
double (NAG_CALL *f)(const double *x),
const Integer *nlimit, Integer *ifail)

3

Description

d01ahf computes a definite integral of the form

\int_{a}^{b} f (x) d x .

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.

4

References

Patterson T N L (1968) The Optimum addition of points to quadrature formulae Math. Comput. 22 847–856

Wynn P (1956) On a device for computing the

e_{m} (S_{n})

transformation Math. Tables Aids Comput. 10 91–96

5

Arguments

1: $a$ – Real (Kind=nag_wp)Input

On entry:

a

, the lower limit of integration.

2: $b$ – Real (Kind=nag_wp)Input

On entry:

b

, the upper limit of integration. It is not necessary that

a < b

3: $epsr$ – Real (Kind=nag_wp)Input

On entry: the relative accuracy required.

Constraint:

epsr > 0.0

4: $npts$ – IntegerOutput

On exit: the number of function evaluations used in the calculation of the integral.

5: $relerr$ – Real (Kind=nag_wp)Output

On exit: a rough estimate of the relative error achieved.

6: $f$ – real (Kind=nag_wp) Function, supplied by the user.External Procedure

f must return the value of the integrand

f

at a given point.

The specification of f is:

Fortran Interface

Function f (

Real (Kind=nag_wp)	::	f
Real (Kind=nag_wp), Intent (In)	::	x

C Header Interface

#include <nagmk26.h>

double

f (const double *x)

1: $x$ – Real (Kind=nag_wp)Input: On entry: the point at which the integrand $f$ must be evaluated.

f must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which d01ahf is called. Arguments denoted as Input must not be changed by this procedure.

Note: f should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by d01ahf. If your code inadvertently does return any NaNs or infinities, d01ahf is likely to produce unexpected results.

7: $nlimit$ – IntegerInput

On entry: a limit to the number of function evaluations. If

nlimit \leq 0

, the routine uses a default limit of

10000

8: $ifail$ – IntegerInput/Output

On entry: ifail must be set to

0

- 1 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 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

ifail \neq 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.

On exit:

ifail = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6

Error Indicators and Warnings

If on entry

ifail = 0

- 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:

$ifail = 1$: Integral has failed to converge to requested accuracy. It may be worthwhile to try increasing nlimit.

$ifail = 2$: Too many unsuccessful levels of subdivision.

$ifail = 3$: On entry, $epsr = 〈value〉$ .
Constraint: $epsr > 0.0$ .

$ifail = - 99$: 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.

$ifail = - 399$: 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.

$ifail = - 999$: Dynamic memory allocation failed.
See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

When

ifail = 1

2

a result may be obtained by continuing without further subdivision, but this is likely to be inaccurate.

7

Accuracy

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

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.

8

Parallelism and Performance

d01ahf is not threaded in any implementation.

9

Further Comments

The time taken by d01ahf depends on the complexity of the integrand and the accuracy required.

10

Example

This example evaluates the integral to a requested relative accuracy of

10^{- 5}

\int_{0}^{1} \frac{4}{1 + x^{2}} d x = π .

NAG Library Routine Document

d01ahf (dim1_fin_well)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

1

Purpose

2

Specification