org.jquantlib.math.integrals

Class GaussKronrodAdaptive

java.lang.Object

org.jquantlib.math.integrals.Integrator

org.jquantlib.math.integrals.KronrodIntegral

org.jquantlib.math.integrals.GaussKronrodAdaptive

public class GaussKronrodAdaptive
extends KronrodIntegral

Integral of a 1-dimensional function using the Gauss-Kronrod methods

This class provide a non-adaptive integration procedure which uses fixed Gauss-Kronrod abscissae to sample the integrand at a maximum of 87 points. It is provided for fast integration of smooth functions.

This function applies the Gauss-Kronrod 10-point, 21-point, 43-point and 87-point integration rules in succession until an estimate of the integral of f over (a, b) is achieved within the desired absolute and relative error limits, epsabs and epsrel. The function returns the final approximation, result, an estimate of the absolute error, abserr and the number of function evaluations used, neval. The Gauss-Kronrod rules are designed in such a way that each rule uses all the results of its predecessors, in order to minimize the total number of function evaluations.

Constructor Summary

Constructors

Constructor and Description
GaussKronrodAdaptive(double absoluteAccuracy, int maxEvaluations)

Method Summary

Methods inherited from class org.jquantlib.math.integrals.Integrator

absoluteAccuracy, absoluteError, isIntegrationSuccess, maxEvaluations, op, setAbsoluteAccuracy, setMaxEvaluations

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GaussKronrodAdaptive

public GaussKronrodAdaptive(double absoluteAccuracy,
                            int maxEvaluations)