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Chapter Introduction
NAG Toolbox

NAG Toolbox: nag_quad_1d_fin_osc_vec (d01au)


    1  Purpose
    2  Syntax
    7  Accuracy
    9  Example


nag_quad_1d_fin_osc_vec (d01au) is an adaptive integrator, especially suited to oscillating, nonsingular integrands, which calculates an approximation to the integral of a function fx over a finite interval a,b:
I= ab fx dx .  


[result, abserr, w, iw, ifail] = d01au(f, a, b, epsabs, epsrel, 'key', key, 'lw', lw, 'liw', liw)
[result, abserr, w, iw, ifail] = nag_quad_1d_fin_osc_vec(f, a, b, epsabs, epsrel, 'key', key, 'lw', lw, 'liw', liw)


nag_quad_1d_fin_osc_vec (d01au) is based on the QUADPACK routine QAG (see Piessens et al. (1983)). It is an adaptive function, offering a choice of six Gauss–Kronrod 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 nag_quad_1d_fin_osc_vec (d01au) is based on integration rules of high order, it is especially suitable for nonsingular oscillating integrands.
nag_quad_1d_fin_osc_vec (d01au) requires a function to evaluate the integrand at an array of different points and is therefore amenable to parallel execution. Otherwise this algorithm with key=6 is identical to that used by nag_quad_1d_fin_osc (d01ak).


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


Compulsory Input Parameters

1:     f – function handle or string containing name of m-file
f must return the values of the integrand f at a set of points.
[fv] = f(x, n)

Input Parameters

1:     xn – double array
The points at which the integrand f must be evaluated.
2:     n int64int32nag_int scalar
The number of points at which the integrand is to be evaluated. The actual value of n is equal to the number of points in the Kronrod rule (see specification of key).

Output Parameters

1:     fvn – double array
fvj must contain the value of f at the point xj, for j=1,2,,n.
2:     a – double scalar
a, the lower limit of integration.
3:     b – double scalar
b, the upper limit of integration. It is not necessary that a<b.
4:     epsabs – double scalar
The absolute accuracy required. If epsabs is negative, the absolute value is used. See Accuracy.
5:     epsrel – double scalar
The relative accuracy required. If epsrel is negative, the absolute value is used. See Accuracy.

Optional Input Parameters

1:     key int64int32nag_int scalar
Default: 6
Indicates which integration rule is to be used.
For the Gauss 7-point and Kronrod 15-point rule.
For the Gauss 10-point and Kronrod 21-point rule.
For the Gauss 15-point and Kronrod 31-point rule.
For the Gauss 20-point and Kronrod 41-point rule.
For the Gauss 25-point and Kronrod 51-point rule.
For the Gauss 30-point and Kronrod 61-point rule.
Constraint: key=1, 2, 3, 4, 5 or 6.
2:     lw int64int32nag_int scalar
Suggested value: lw=800 to 2000 is adequate for most problems.
Default: 800 
The dimension of the array w. 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 function. The number of sub-intervals cannot exceed lw/4. The more difficult the integrand, the larger lw should be.
Constraint: lw4.
3:     liw int64int32nag_int scalar
Default: lw/4 
The dimension of the array iw.
The number of sub-intervals into which the interval of integration may be divided cannot exceed liw.
Constraint: liw1.

Output Parameters

1:     result – double scalar
The approximation to the integral I.
2:     abserr – double scalar
An estimate of the modulus of the absolute error, which should be an upper bound for I-result.
3:     wlw – double array
Details of the computation see Further Comments for more information.
4:     iwliw int64int32nag_int array
iw1 contains the actual number of sub-intervals used. The rest of the array is used as workspace.
5:     ifail int64int32nag_int scalar
ifail=0 unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

Note: nag_quad_1d_fin_osc_vec (d01au) may return useful information for one or more of the following detected errors or warnings.
Errors or warnings detected by the function:

Cases prefixed with W are classified as warnings and do not generate an error of type NAG:error_n. See nag_issue_warnings.

W  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 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.
W  ifail=2
Round-off error prevents the requested tolerance from being achieved. Consider requesting less accuracy.
W  ifail=3
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 ifail=1.
On entry, key1, 2, 3, 4, 5 or 6.
On entry,lw<4,
An unexpected error has been triggered by this routine. Please contact NAG.
Your licence key may have expired or may not have been installed correctly.
Dynamic memory allocation failed.


nag_quad_1d_fin_osc_vec (d01au) cannot guarantee, but in practice usually achieves, the following accuracy:
I-result tol ,  
tol=maxepsabs,epsrel×I ,  
and epsabs and epsrel are user-specified absolute and relative error tolerances. Moreover, it returns the quantity abserr which, in normal circumstances, satisfies

Further Comments

If ifail0 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 nag_quad_1d_fin_osc_vec (d01au) along with the integral contributions and error estimates over these sub-intervals.
Specifically, for i=1,2,,n, let ri denote the approximation to the value of the integral over the sub-interval ai,bi  in the partition of a,b  and ei  be the corresponding absolute error estimate. Then, ai bi fx dx ri  and result = i=1 n ri . The value of n is returned in iw1, and the values ai, bi, ei and ri are stored consecutively in the array w, that is:


This example computes
0 2π x sin30x cosx   dx .  
function d01au_example

fprintf('d01au example results\n\n');

a = 0;
b = 2*pi;
epsabs = 0;
epsrel = 0.001;
[result, abserr, w, iw, ifail] = ...
  d01au( ...
	 @f, a, b, epsabs, epsrel);

fprintf('Result = %13.5f,  Standard error = %10.2e\n', result, abserr);

function [fv] = f(x,n)
  for i=1:n
    fv(i) = x(i)*sin(30*x(i))*cos(x(i));
d01au example results

Result =      -0.20967,  Standard error =   4.48e-14

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Chapter Contents
Chapter Introduction
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