org.jquantlib.math.integrals

Class GaussKronrodNonAdaptive

java.lang.Object

org.jquantlib.math.integrals.Integrator

org.jquantlib.math.integrals.KronrodIntegral

org.jquantlib.math.integrals.GaussKronrodNonAdaptive

public class GaussKronrodNonAdaptive
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
GaussKronrodNonAdaptive(double absoluteAccuracy, int maxEvaluations, double relativeAccuracy)

Method Summary

Modifier and Type	Method and Description
double	integrate(Ops.DoubleOp f, double a, double b)
double	relativeAccuracy()
void	setRelativeAccuracy(double relativeAccuracy)

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

GaussKronrodNonAdaptive

public GaussKronrodNonAdaptive(double absoluteAccuracy,
                               int maxEvaluations,
                               double relativeAccuracy)

Method Detail

relativeAccuracy

public double relativeAccuracy()

setRelativeAccuracy

public void setRelativeAccuracy(double relativeAccuracy)

integrate

public double integrate(Ops.DoubleOp f,
                        double a,
                        double b)