GLIntegrate

From distrEx v0.4-2 by Matthias Kohl

Gauss-Legendre Quadrature

Gauss-Legendre quadrature over a finite interval.

Keywords: utilities, math

Usage

GLIntegrate(f, lower, upper, order = 500, ...)

Arguments

f: an R function taking a numeric first argument and returning a numeric vector of the same length. Returning a non-finite element will generate an error.
lower: finite lower limit of integration.
upper: finite upper limit of integration.
order: order of Gau�-Legendre quadrature.
...: additional arguments to be passed to f. Remember to use argument names not matching those of GLIntegrate!

Details

In case order = 100, 500, 1000 saved abscissas and weights are used. Otherwise the corresponding abscissas and weights are computed using the algorithm given in Section 4.5 of Press et al. (1992).

Value

Estimate of the integral.

concept

integration

References

W.H. Press, S.A. Teukolsky, W.T. Vetterling, B.P. Flannery (1992) Numerical Recipies in C. The Art of Scientific Computing. Second Edition. Cambridge University Press.

Examples

integrate(dnorm, -1.96, 1.96)
GLIntegrate(dnorm, -1.96, 1.96)

Documentation reproduced from package distrEx, version 0.4-2, License: GPL (version 2 or later)

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