NAG Library Routine Document

Integer, Intent (In)	::	inf, lw, liw
Integer, Intent (Inout)	::	ifail
Integer, Intent (Out)	::	iw(liw)
Real (Kind=nag_wp), External	::	f
Real (Kind=nag_wp), Intent (In)	::	bound, epsabs, epsrel
Real (Kind=nag_wp), Intent (Out)	::	result, abserr, w(lw)

C Header Interface

#include <nagmk26.h>

void	d01amf_ ( double (NAG_CALL f)(const double x), const double bound, const Integer inf, const double epsabs, const double epsrel, double result, double abserr, double w[], const Integer lw, Integer iw[], const Integer liw, Integer *ifail)

3

Description

d01amf is based on the QUADPACK routine QAGI (see Piessens et al. (1983)). The entire infinite integration range is first transformed to

[0, 1]

using one of the identities:

\int_{- \infty}^{a} f (x) d x = \int_{0}^{1} f (a - \frac{1 - t}{t}) \frac{1}{t^{2}} d t

\int_{a}^{\infty} f (x) d x = \int_{0}^{1} f (a + \frac{1 - t}{t}) \frac{1}{t^{2}} d t

\int_{- \infty}^{\infty} f (x) d x = \int_{0}^{\infty} (f (x) + f (- x)) d x = \int_{0}^{1} ​ ​ [f (\frac{1 - t}{t}) + f (\frac{- 1 + t}{t})] \frac{1}{t^{2}} d t

where

a

represents a finite integration limit. An adaptive procedure, based on the Gauss

7

-point and Kronrod

15

-point rules, is then employed on the transformed integral. The algorithm, described in de Doncker (1978), incorporates a global acceptance criterion (as defined by Malcolm and Simpson (1976)) together with the

ε

-algorithm (see Wynn (1956)) to perform extrapolation. The local error estimation is described in Piessens et al. (1983).

4

References

de Doncker E (1978) An adaptive extrapolation algorithm for automatic integration ACM SIGNUM Newsl. 13(2) 12–18

Malcolm M A and Simpson R B (1976) Local versus global strategies for adaptive quadrature ACM Trans. Math. Software 1 129–146

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} (S_{n})

transformation Math. Tables Aids Comput. 10 91–96

5

Arguments

1: $f$ – 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 d01amf 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 d01amf. If your code inadvertently does return any NaNs or infinities, d01amf is likely to produce unexpected results.

2: $bound$ – Real (Kind=nag_wp)Input

On entry: the finite limit of the integration range (if present). bound is not used if the interval is doubly infinite.

3: $\inf$ – IntegerInput

On entry: indicates the kind of integration range.

$\inf = 1$: The range is $[bound, + \infty)$ .
$\inf = - 1$: The range is $(- \infty, bound]$ .
$\inf = 2$: The range is $(- \infty, + \infty)$ .

Constraint:

\inf = - 1

1

2

4: $epsabs$ – Real (Kind=nag_wp)Input

On entry: the absolute accuracy required. If epsabs is negative, the absolute value is used. See Section 7.

5: $epsrel$ – Real (Kind=nag_wp)Input

On entry: the relative accuracy required. If epsrel is negative, the absolute value is used. See Section 7.

6: $result$ – Real (Kind=nag_wp)Output

On exit: the approximation to the integral

I

7: $abserr$ – Real (Kind=nag_wp)Output

On exit: an estimate of the modulus of the absolute error, which should be an upper bound for

|I - result|

8: $w (lw)$ – Real (Kind=nag_wp) arrayOutput

On exit: details of the computation see Section 9 for more information.

9: $lw$ – IntegerInput

On entry: the dimension of the array w as declared in the (sub)program from which d01amf is called. The value of lw (together with that of liw) imposes a bound on the number of sub-intervals into which the interval of integration may be divided by the routine. The number of sub-intervals cannot exceed

lw / 4

. The more difficult the integrand, the larger lw should be.

Suggested value:

lw = 800

2000

is adequate for most problems.

Constraint:

lw \geq 4

10: $iw (liw)$ – Integer arrayOutput

On exit:

iw (1)

contains the actual number of sub-intervals used. The rest of the array is used as workspace.

11: $liw$ – IntegerInput

On entry: the dimension of the array iw as declared in the (sub)program from which d01amf is called. The number of sub-intervals into which the interval of integration may be divided cannot exceed liw.

Suggested value:

liw = lw / 4

Constraint:

liw \geq 1

12: $ifail$ – 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: d01amf may return useful information for one or more of the following detected errors or warnings.

Errors or warnings detected by the routine:

$ifail = 1$: 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 d01amf on the infinite subrange and an appropriate integrator on the finite subrange. Alternatively, consider relaxing the accuracy requirements specified by epsabs and epsrel, or increasing the amount of workspace.

$ifail = 2$: Round-off error prevents the requested tolerance from being achieved: $epsabs = 〈value〉$ and $epsrel = 〈value〉$ .

$ifail = 3$: Extremely bad integrand behaviour occurs around one of the sub-intervals $(〈value〉, 〈value〉)$ or $(〈value〉, 〈value〉)$ . The same advice applies as in the case of $ifail = 1$ .

Extremely bad integrand behaviour occurs around the sub-interval $(〈value〉, 〈value〉)$ . The same advice applies as in the case of $ifail = 1$ .

$ifail = 4$: Round-off error is detected in the extrapolation table. The requested tolerance cannot be achieved because the extrapolation does not increase the accuracy satisfactorily; the returned result is the best that can be obtained. The same advice applies as in the case of $ifail = 1$ .

$ifail = 5$: The integral is probably divergent or slowly convergent.

$ifail = 6$: On entry, $\inf = 〈value〉$ .
Constraint: $\inf = - 1$ , $1$ or $2$ .

On entry, $liw = 〈value〉$ .
Constraint: $liw \geq 1$ .

On entry, $lw = 〈value〉$ .
Constraint: $lw \geq 4$ .

$ifail = - 99$: 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.

7

Accuracy

d01amf cannot guarantee, but in practice usually achieves, the following accuracy:

|I - result| \leq tol,

where

tol = \max \{|epsabs|, |epsrel| \times |I|\},

and epsabs and epsrel are user-specified absolute and relative error tolerances. Moreover, it returns the quantity abserr which, in normal circumstances, satisfies

|I - result| \leq abserr \leq tol .

8

Parallelism and Performance

d01amf is not threaded in any implementation.

9

Further Comments

The time taken by d01amf depends on the integrand and the accuracy required.

ifail \neq 0

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 d01amf along with the integral contributions and error estimates over these sub-intervals.

Specifically, for

i = 1, 2, \dots, n

, let

r_{i}

denote the approximation to the value of the integral over the sub-interval

[a_{i}, b_{i}]

in the partition of

[a, b]

and

e_{i}

be the corresponding absolute error estimate. Then,

\int_{a_{i}}^{b_{i}} f (x) d x ≃ r_{i}

and

result = \sum_{i = 1}^{n} r_{i}

, unless d01amf 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

iw (1)

, and the values

a_{i}

b_{i}

e_{i}

and

r_{i}

are stored consecutively in the array w, that is:

$a_{i} = w (i)$ ,
$b_{i} = w (n + i)$ ,
$e_{i} = w (2 n + i)$ and
$r_{i} = w (3 n + i)$ .

Note: this information applies to the integral transformed to

[0, 1]

as described in Section 3, not to the original integral.

10

Example

This example computes

\int_{0}^{\infty} \frac{1}{(x + 1) \sqrt{x}} d x .

The exact answer is

π

10.1

Program Text

Program Text (d01amfe.f90)

10.2

Program Data

None.

10.3

Program Results

Program Results (d01amfe.r)

NAG Library Manual, Mark 26

NAG AD Library Manual, Mark 26

NAG C Library Manual, Mark 26

D01 (quad) Chapter Contents

D01 (quad) Chapter Introduction

NAG Library Routine Document

d01amf (dim1_inf)

▸▿ 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

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