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

C Header Interface

#include <nag.h>

void	d01ajf_ ( double (NAG_CALL f)(const double x), const double a, const double b, const double epsabs, const double epsrel, double result, double abserr, double w[], const Integer lw, Integer iw[], const Integer liw, Integer *ifail)

The routine may be called by the names d01ajf or nagf_quad_dim1_fin_bad.

3 Description

d01ajf is based on the QUADPACK routine QAGS (see Piessens et al. (1983)). It is an adaptive routine, using the Gauss

10

-point and Kronrod

21

-point rules. 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).

The routine is suitable as a general purpose integrator, and can be used when the integrand has singularities, especially when these are of algebraic or logarithmic type.

d01ajf requires you to supply a function to evaluate the integrand at a single point.

The routine d01atf uses an identical algorithm but requires you to supply a subroutine to evaluate the integrand at an array of points. Therefore d01atf may be more efficient for some problem types and some machine architectures.

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

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 d01ajf 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 d01ajf. If your code inadvertently does return any NaNs or infinities, d01ajf is likely to produce unexpected results.

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|

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

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

9: $lw$ – Integer Input

On entry: the dimension of the array w as declared in the (sub)program from which d01ajf 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 array Output

On exit:

iw (1)

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

11: $liw$ – Integer Input

On entry: the dimension of the array iw as declared in the (sub)program from which d01ajf 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: $ifail$ – Integer Input/Output

On entry: ifail must be set to

0

- 1

1

to set behaviour on detection of an error; these values have no effect when no error is detected.

A value of

0

causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of

- 1

means that an error message is printed while a value of

1

means that it is not.

If halting is not appropriate, the value

- 1

1

is recommended. If message printing is undesirable, then the value

1

is recommended. Otherwise, the value

- 1

is recommended since useful values can be provided in some output arguments even when

ifail \neq 0

on exit. 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).

Errors or warnings detected by the routine:

Note: in some cases d01ajf may return useful information.

$ifail = 1$: 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 the integrator on the subranges. 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.

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

$ifail = 3$: Extremely bad integrand behaviour occurs around 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, $liw = 〈value〉$ .
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 7 in the Introduction to the NAG Library FL Interface for further information.

$ifail = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.

$ifail = - 999$: Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

d01ajf 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

d01ajf is not threaded in any implementation.

9 Further Comments

The time taken by d01ajf 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 d01ajf along with the integral contributions and error estimates over the 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 d01ajf 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