# NAG FL Interfaced01rjf (dim1_​fin_​general)

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## 1Purpose

d01rjf is a general purpose integrator which calculates an approximation to the integral of a function $f\left(x\right)$ over a finite interval $\left[a,b\right]$:
 $I= ∫ab f(x) dx .$

## 2Specification

Fortran Interface
 Subroutine d01rjf ( f, a, b,
 Integer, Intent (In) :: maxsub Integer, Intent (Inout) :: iuser(*), ifail Integer, Intent (Out) :: iinfo(max(maxsub,4)) Real (Kind=nag_wp), Intent (In) :: a, b, epsabs, epsrel Real (Kind=nag_wp), Intent (Inout) :: ruser(*) Real (Kind=nag_wp), Intent (Out) :: result, abserr, rinfo(4*maxsub) Type (c_ptr), Intent (In) :: cpuser External :: f
#include <nag.h>
 void d01rjf_ (void (NAG_CALL *f)(const double x[], const Integer *nx, double fv[], Integer *iflag, Integer iuser[], double ruser[], void **cpuser),const double *a, const double *b, const double *epsabs, const double *epsrel, const Integer *maxsub, double *result, double *abserr, double rinfo[], Integer iinfo[], Integer iuser[], double ruser[], void **cpuser, Integer *ifail)
The routine may be called by the names d01rjf or nagf_quad_dim1_fin_general.

## 3Description

d01rjf 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 $\epsilon$-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.
d01rjf requires you to supply a (sub)routine to evaluate the integrand at an array of points.

## 4References

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 ${e}_{m}\left({S}_{n}\right)$ transformation Math. Tables Aids Comput. 10 91–96

## 5Arguments

1: $\mathbf{f}$Subroutine, supplied by the user. External Procedure
f must return the values of the integrand $f$ at a set of points.
The specification of f is:
Fortran Interface
 Subroutine f ( x, nx, fv,
 Integer, Intent (In) :: nx Integer, Intent (Inout) :: iflag, iuser(*) Real (Kind=nag_wp), Intent (In) :: x(nx) Real (Kind=nag_wp), Intent (Inout) :: ruser(*) Real (Kind=nag_wp), Intent (Out) :: fv(nx) Type (c_ptr), Intent (In) :: cpuser
 void f (const double x[], const Integer *nx, double fv[], Integer *iflag, Integer iuser[], double ruser[], void **cpuser)
1: $\mathbf{x}\left({\mathbf{nx}}\right)$Real (Kind=nag_wp) array Input
On entry: the abscissae, ${x}_{i}$, for $\mathit{i}=1,2,\dots ,{\mathbf{nx}}$, at which function values are required.
2: $\mathbf{nx}$Integer Input
On entry: the number of abscissae at which a function value is required. nx will be of size equal to the number of Kronrod points in the quadrature rule used, in this case $21$.
3: $\mathbf{fv}\left({\mathbf{nx}}\right)$Real (Kind=nag_wp) array Output
On exit: fv must contain the values of the integrand $f$. ${\mathbf{fv}}\left(i\right)=f\left({x}_{i}\right)$ for all $i=1,2,\dots ,{\mathbf{nx}}$.
4: $\mathbf{iflag}$Integer Input/Output
On entry: ${\mathbf{iflag}}=0$.
On exit: set ${\mathbf{iflag}}<0$ to force an immediate exit with ${\mathbf{ifail}}=-{\mathbf{1}}$.
5: $\mathbf{iuser}\left(*\right)$Integer array User Workspace
6: $\mathbf{ruser}\left(*\right)$Real (Kind=nag_wp) array User Workspace
7: $\mathbf{cpuser}$Type (c_ptr) User Workspace
f is called with the arguments iuser, ruser and cpuser as supplied to d01rjf. You should use the arrays iuser and ruser, and the data handle cpuser to supply information to f.
f must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which d01rjf 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 d01rjf. If your code inadvertently does return any NaNs or infinities, d01rjf is likely to produce unexpected results.
2: $\mathbf{a}$Real (Kind=nag_wp) Input
On entry: $a$, the lower limit of integration.
3: $\mathbf{b}$Real (Kind=nag_wp) Input
On entry: $b$, the upper limit of integration. It is not necessary that $a.
Note: if ${\mathbf{a}}={\mathbf{b}}$, the routine will immediately return with ${\mathbf{result}}=0.0$, ${\mathbf{abserr}}=0.0$, ${\mathbf{rinfo}}=0.0$ and ${\mathbf{iinfo}}=0$.
4: $\mathbf{epsabs}$Real (Kind=nag_wp) Input
On entry: ${\epsilon }_{a}$, the absolute accuracy required. If epsabs is negative, ${\epsilon }_{a}=|{\mathbf{epsabs}}|$. See Section 7.
5: $\mathbf{epsrel}$Real (Kind=nag_wp) Input
On entry: ${\epsilon }_{r}$, the relative accuracy required. If epsrel is negative, ${\epsilon }_{r}=|{\mathbf{epsrel}}|$. See Section 7.
6: $\mathbf{maxsub}$Integer Input
On entry: ${\mathrm{max}}_{\mathit{sdiv}}$, the upper bound on the total number of subdivisions d01rjf may use to generate new segments. If ${\mathrm{max}}_{\mathit{sdiv}}=1$, only the initial segment will be evaluated.
Suggested value: a value in the range $200$ to $500$ is adequate for most problems.
Constraint: ${\mathbf{maxsub}}\ge 1$.
7: $\mathbf{result}$Real (Kind=nag_wp) Output
On exit: the approximation to the integral $I$.
8: $\mathbf{abserr}$Real (Kind=nag_wp) Output
On exit: an estimate of the modulus of the absolute error, which should be an upper bound for $|I-{\mathbf{result}}|$.
9: $\mathbf{rinfo}\left(4×{\mathbf{maxsub}}\right)$Real (Kind=nag_wp) array Output
On exit: details of the computation. See Section 9 for more information.
10: $\mathbf{iinfo}\left(\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{maxsub}},4\right)\right)$Integer array Output
On exit: details of the computation. See Section 9 for more information.
11: $\mathbf{iuser}\left(*\right)$Integer array User Workspace
12: $\mathbf{ruser}\left(*\right)$Real (Kind=nag_wp) array User Workspace
13: $\mathbf{cpuser}$Type (c_ptr) User Workspace
iuser, ruser and cpuser are not used by d01rjf, but are passed directly to f and may be used to pass information to this routine. If you do not need to reference cpuser, it should be initialized to c_null_ptr.
14: $\mathbf{ifail}$Integer Input/Output
On entry: ifail must be set to $0$, $-1$ or $1$ 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 $-1$ or $1$ 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 ${\mathbf{ifail}}\ne {\mathbf{0}}$ on exit. When the value $-\mathbf{1}$ or $\mathbf{1}$ is used it is essential to test the value of ifail on exit.
On exit: ${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see Section 6).

## 6Error Indicators and Warnings

If on entry ${\mathbf{ifail}}=0$ or $-1$, 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 d01rjf may return useful information.
${\mathbf{ifail}}=1$
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.
${\mathbf{ifail}}=2$
Round-off error prevents the requested tolerance from being achieved: ${\mathbf{epsabs}}=⟨\mathit{\text{value}}⟩$ and ${\mathbf{epsrel}}=⟨\mathit{\text{value}}⟩$.
${\mathbf{ifail}}=3$
Extremely bad integrand behaviour occurs around the sub-interval $\left(⟨\mathit{\text{value}}⟩,⟨\mathit{\text{value}}⟩\right)$. The same advice applies as in the case of ${\mathbf{ifail}}={\mathbf{1}}$.
${\mathbf{ifail}}=4$
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 ${\mathbf{ifail}}={\mathbf{1}}$.
${\mathbf{ifail}}=5$
The integral is probably divergent or slowly convergent.
${\mathbf{ifail}}=61$
On entry, ${\mathbf{maxsub}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{maxsub}}\ge 1$.
${\mathbf{ifail}}=-1$
Exit from f with ${\mathbf{iflag}}<0$.
${\mathbf{ifail}}=-99$
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
${\mathbf{ifail}}=-399$
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.
${\mathbf{ifail}}=-999$
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

## 7Accuracy

d01rjf cannot guarantee, but in practice usually achieves, the following accuracy:
 $|I-result|≤tol,$
where
 $tol= max{|epsabs|,|epsrel|×|I|} ,$
and epsabs and epsrel are user-specified absolute and relative error tolerances. Moreover, it returns the quantity abserr which, in normal circumstances, satisfies
 $|I-result|≤abserr≤tol.$

## 8Parallelism and Performance

d01rjf is not threaded in any implementation.

The time taken by d01rjf depends on the integrand and the accuracy required.
If ${\mathbf{ifail}}={\mathbf{0}}$, ${\mathbf{1}}$, ${\mathbf{2}}$, ${\mathbf{3}}$, ${\mathbf{4}}$ or ${\mathbf{5}}$, or if ${\mathbf{ifail}}=-{\mathbf{1}}$ and at least one complete vector evaluation of f was completed, result and abserr will contain computed results. If these results are unacceptable, or if otherwise required, then you may wish to examine the contents of the array rinfo, which contains the end points of the sub-intervals used by d01rjf 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 $\left[{a}_{i},{b}_{i}\right]$ in the partition of $\left[a,b\right]$ and ${e}_{i}$ be the corresponding absolute error estimate. Then, $\underset{{a}_{i}}{\overset{{b}_{i}}{\int }}f\left(x\right)dx\simeq {r}_{i}$ and ${\mathbf{result}}=\sum _{i=1}^{n}{r}_{i}$, unless d01rjf 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. This will be indicated by ${\mathbf{iinfo}}\left(3\right)=1$ instead of $0$. The value of $n$ is returned in ${\mathbf{iinfo}}\left(1\right)$, and the values ${a}_{i}$, ${b}_{i}$, ${e}_{i}$ and ${r}_{i}$ are stored consecutively in the array rinfo, that is:
• ${a}_{i}={\mathbf{rinfo}}\left(i\right)$,
• ${b}_{i}={\mathbf{rinfo}}\left(n+i\right)$,
• ${e}_{i}={\mathbf{rinfo}}\left(2n+i\right)$ and
• ${r}_{i}={\mathbf{rinfo}}\left(3n+i\right)$.
The total number of abscissae at which the function was evaluated is returned in ${\mathbf{iinfo}}\left(2\right)$.

## 10Example

This example computes
 $∫ 0 2π xsin(30x) 1- (x/2π) 2 dx .$

### 10.1Program Text

Program Text (d01rjfe.f90)

None.

### 10.3Program Results

Program Results (d01rjfe.r)