nag_quad_md_numth_vec (d01gdc) calculates an approximation to a definite integral in up to dimensions, using the Korobov–Conroy number theoretic method.
nag_quad_md_numth_vec (d01gdc) calculates an approximation to the integral
using the Korobov–Conroy number theoretic method (see
Korobov (1957),
Korobov (1963) and
Conroy (1967)). The region of integration defined in
(1) is such that generally
and
may be functions of
, for
, with
and
constants. The integral is first of all transformed to an integral over the
-cube
by the change of variables
The method then uses as its basis the number theoretic formula for the
-cube,
:
where
denotes the fractional part of
,
are the so-called optimal coefficients,
is the error, and
is a prime integer. (It is strictly only necessary that
be relatively prime to all
and is in fact chosen to be even for some cases in
Conroy (1967).) The method makes use of properties of the Fourier expansion of
which is assumed to have some degree of periodicity. Depending on the choice of
the contributions from certain groups of Fourier coefficients are eliminated from the error,
. Korobov shows that
can be chosen so that the error satisfies
where
and
are real numbers depending on the convergence rate of the Fourier series,
is a constant depending on
, and
is a constant depending on
and
. There are a number of procedures for calculating these optimal coefficients. Korobov imposes the constraint that
and gives a procedure for calculating the argument,
, to satisfy the optimal conditions.
In this function the periodisation is achieved by the simple transformation
More sophisticated periodisation procedures are available but in practice the degree of periodisation does not appear to be a critical requirement of the method.
An easily calculable error estimate is not available apart from repetition with an increasing sequence of values of
which can yield erratic results. The difficulties have been studied by
Cranley and Patterson (1976) who have proposed a Monte–Carlo error estimate arising from converting
(2) into a stochastic integration rule by the inclusion of a random origin shift which leaves the form of the error
(3) unchanged; i.e., in the formula
(2),
is replaced by
, for
, where each
, is uniformly distributed over
. Computing the integral for each of a sequence of random vectors
allows a ‘standard error’ to be estimated.
This function provides built-in sets of optimal coefficients, corresponding to six different values of
. Alternatively, the optimal coefficients may be supplied by you. Functions
nag_quad_md_numth_coeff_prime (d01gyc) and
nag_quad_md_numth_coeff_2prime (d01gzc) compute the optimal coefficients for the cases where
is a prime number or
is a product of two primes, respectively.
Conroy H (1967) Molecular Shroedinger equation VIII. A new method for evaluting multi-dimensional integrals J. Chem. Phys. 47 5307–5318
Cranley R and Patterson T N L (1976) Randomisation of number theoretic methods for mulitple integration SIAM J. Numer. Anal. 13 904–914
Korobov N M (1957) The approximate calculation of multiple integrals using number theoretic methods Dokl. Acad. Nauk SSSR 115 1062–1065
If
, an estimate of the absolute standard error is given by the value, on exit, of
err.
Not applicable.
vecfun and
vecreg must calculate the integrand and limits of integration at a
set of points. For some problems the amount of time spent in these two functions, which must be supplied by you, may account for a significant part of the total computation time.
The time taken will be approximately proportional to
, where
is the number of points used, but may depend significantly on the efficiency of the code provided by you in
vecfun and
vecreg.
The exact values of
res and
err on return will depend (within statistical limits) on the sequence of random numbers generated within nag_quad_md_numth_vec (d01gdc) by calls to
nag_rand_basic (g05sac). Separate runs will produce identical answers.
This example calculates the integral
None.