NAG CL Interface
d01dac (dim2_fin)
1
Purpose
d01dac attempts to evaluate a double integral to a specified absolute accuracy by repeated applications of the method described by
Patterson (1968) and
Patterson (1969).
2
Specification
The function may be called by the names: d01dac, nag_quad_dim2_fin or nag_quad_2d_fin.
3
Description
d01dac attempts to evaluate a definite integral of the form
where
and
are constants and
and
are functions of the variable
.
The integral is evaluated by expressing it as
Both the outer integral
and the inner integrals
are evaluated by the method, described by
Patterson (1968) and
Patterson (1969), of the optimum addition of points to Gauss quadrature formulae.
This method uses a family of interlacing common point formulae. Beginning with the -point Gauss rule, formulae using , , , , and finally points are derived. Each new formula contains all the points of the earlier formulae so that no function evaluations are wasted. Each integral is evaluated by applying these formulae successively until two results are obtained which differ by less than the specified absolute accuracy.
4
References
Patterson T N L (1968) On some Gauss and Lobatto based integration formulae Math. Comput. 22 877–881
Patterson T N L (1969) The optimum addition of points to quadrature formulae, errata Math. Comput. 23 892
5
Arguments
-
1:
– double
Input
-
On entry: , the lower limit of the integral.
-
2:
– double
Input
-
On entry: , the upper limit of the integral. It is not necessary that .
-
3:
– function, supplied by the user
External Function
-
phi1 must return the lower limit of the inner integral for a given value of
.
The specification of
phi1 is:
double |
phi1 (double y,
Nag_Comm *comm)
|
|
-
1:
– double
Input
-
On entry: the value of for which the lower limit must be evaluated.
-
2:
– Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
phi1.
- user – double *
- iuser – Integer *
- p – Pointer
The type Pointer will be
void *. Before calling
d01dac you may allocate memory and initialize these pointers with various quantities for use by
phi1 when called from
d01dac (see
Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: phi1 should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by
d01dac. If your code inadvertently
does return any NaNs or infinities,
d01dac is likely to produce unexpected results.
-
4:
– function, supplied by the user
External Function
-
phi2 must return the upper limit of the inner integral for a given value of
.
The specification of
phi2 is:
double |
phi2 (double y,
Nag_Comm *comm)
|
|
-
1:
– double
Input
-
On entry: the value of for which the upper limit must be evaluated.
-
2:
– Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
phi2.
- user – double *
- iuser – Integer *
- p – Pointer
The type Pointer will be
void *. Before calling
d01dac you may allocate memory and initialize these pointers with various quantities for use by
phi2 when called from
d01dac (see
Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: phi2 should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by
d01dac. If your code inadvertently
does return any NaNs or infinities,
d01dac is likely to produce unexpected results.
-
5:
– function, supplied by the user
External Function
-
f must return the value of the integrand
at a given point.
The specification of
f is:
double |
f (double x,
double y,
Nag_Comm *comm)
|
|
-
1:
– double
Input
-
2:
– double
Input
-
On entry: the coordinates of the point at which the integrand must be evaluated.
-
3:
– Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
f.
- user – double *
- iuser – Integer *
- p – Pointer
The type Pointer will be
void *. Before calling
d01dac you may allocate memory and initialize these pointers with various quantities for use by
f when called from
d01dac (see
Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: f should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by
d01dac. If your code inadvertently
does return any NaNs or infinities,
d01dac is likely to produce unexpected results.
-
6:
– double
Input
-
On entry: the absolute accuracy requested.
-
7:
– double *
Output
-
On exit: the estimated value of the integral.
-
8:
– Integer *
Output
-
On exit: the total number of function evaluations.
-
9:
– Nag_Comm *
-
The NAG communication argument (see
Section 3.1.1 in the Introduction to the NAG Library CL Interface).
-
10:
– NagError *
Input/Output
-
The NAG error argument (see
Section 7 in the Introduction to the NAG Library CL Interface).
6
Error Indicators and Warnings
- NE_ALLOC_FAIL
-
Dynamic memory allocation failed.
See
Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_CONVERGENCE
-
The outer integral has converged, but
of the inner integrals have not converged with
points:
.
ans may still contain an approximate estimate of the integral, but its reliability will decrease as
increases.
The outer integral has not converged, and
of the inner integrals have not converged with
points:
.
ans may still contain an approximate estimate of the integral, but its reliability will decrease as
increases.
The outer integral has not converged with
points. However, all the inner integrals have converged, and
ans may still contain an approximate estimate of the integral.
- NE_INTERNAL_ERROR
-
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
See
Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
- NE_NO_LICENCE
-
Your licence key may have expired or may not have been installed correctly.
See
Section 8 in the Introduction to the NAG Library CL Interface for further information.
7
Accuracy
The absolute accuracy is specified by the variable
absacc. If, on exit,
NE_NOERROR then the result is most likely correct to this accuracy. Even if
NE_CONVERGENCE
on exit, it is still possible that the calculated result could differ from the true value by less than the given accuracy.
8
Parallelism and Performance
d01dac is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
Please consult the
X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the
Users' Note for your implementation for any additional implementation-specific information.
The time taken by d01dac depends upon the complexity of the integrand and the accuracy requested.
With Patterson's method accidental convergence may occasionally occur, when two estimates of an integral agree to within the requested accuracy, but both estimates differ considerably from the true result. This could occur in either the outer integral or in one or more of the inner integrals.
If it occurs in the outer integral then apparent convergence is likely to be obtained with considerably fewer integrand evaluations than may be expected. If it occurs in an inner integral, the incorrect value could make the function appear to be badly behaved, in which case a very large number of pivots may be needed for the overall evaluation of the integral. Thus both unexpectedly small and unexpectedly large numbers of integrand evaluations should be considered as indicating possible trouble. If accidental convergence is suspected, the integral may be recomputed, requesting better accuracy; if the new request is more stringent than the degree of accidental agreement (which is of course unknown), improved results should be obtained. This is only possible when the accidental agreement is not better than machine accuracy. It should be noted that the function requests the same accuracy for the inner integrals as for the outer integral. In practice it has been found that in the vast majority of cases this has proved to be adequate for the overall result of the double integral to be accurate to within the specified value.
The function is not well-suited to non-smooth integrands, i.e., integrands having some kind of analytic discontinuity (such as a discontinuous or infinite partial derivative of some low-order) in, on the boundary of, or near, the region of integration.
Warning: such singularities may be induced by incautiously presenting an apparently smooth interval over the positive quadrant of the unit circle,
This may be presented to
d01dac as
but here the outer integral has an induced square-root singularity stemming from the way the region has been presented to
d01dac. This situation should be avoided by re-casting the problem. For the example given, the use of polar coordinates would avoid the difficulty:
10
Example
This example evaluates the integral discussed in
Section 9, presenting it to
d01dac first as
and then as
Note the difference in the number of function evaluations.
10.1
Program Text
10.2
Program Data
None.
10.3
Program Results