NAG Library Routine Document

D01BDF

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

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

D01BDF calculates an approximation to the integral of a function over a finite interval

[a, b]

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

It is non-adaptive and as such is recommended for the integration of ‘smooth’ functions. These exclude integrands with singularities, derivative singularities or high peaks on

[a, b]

, or which oscillate too strongly on

[a, b]

2 Specification

SUBROUTINE D01BDF (

F, A, B, EPSABS, EPSREL, RESULT, ABSERR)

REAL (KIND=nag_wp)	F, A, B, EPSABS, EPSREL, RESULT, ABSERR
EXTERNAL	F

3 Description

D01BDF is based on the QUADPACK routine QNG (see Piessens et al. (1983)). It is a non-adaptive routine which uses as its basic rules, the Gauss

10

-point and

21

-point formulae. If the accuracy criterion is not met, formulae using

43

and

87

points are used successively, stopping whenever the accuracy criterion is satisfied.

This routine is designed for smooth integrands only.

4 References

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

Piessens R, de Doncker–Kapenga E, Überhuber C and Kahaner D (1983) QUADPACK, A Subroutine Package for Automatic Integration Springer–Verlag

5 Parameters

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:

FUNCTION F (

REAL (KIND=nag_wp) F

REAL (KIND=nag_wp)

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 D01BDF is called. Parameters denoted as Input must not be changed by this procedure.

2: $A$ – REAL (KIND=nag_wp)Input

On entry:

a

, the lower limit of integration.

3: $B$ – REAL (KIND=nag_wp)Input

On entry:

b

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

a < b

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|

6 Error Indicators and Warnings

There are no specific errors detected by D01BDF. However, if ABSERR is greater than

\max \{EPSABS, EPSREL \times |RESULT|\}

this indicates that the routine has probably failed to achieve the requested accuracy within

87

function evaluations.

7 Accuracy

D01BDF attempts to compute an approximation, RESULT, such that:

|I - RESULT| \leq tol,

where

tol = \max \{|EPSABS|, |EPSREL| \times |I|\},

and EPSABS and EPSREL are user-specified absolute and relative error tolerances. There can be no guarantee that this is achieved, and you are advised to subdivide the interval if you have any doubts about the accuracy obtained. Note that ABSERR contains an estimated bound on