inthp2

Purpose

Integrates a user-defined function over the \([a,+∞)\) interval.

Format

y = inthp2(&f, pds, ctl, l_lim)
Parameters
  • &f (scalar) – pointer to the procedure containing the function to be integrated.

  • pds (scalar) –

    pointer to instance of a DS structure. The members of the DS are:

    pds->dataMatrix

    NxK matrix.

    pds->dataArray

    NxKxL… array.

    pds->vnames

    string array.

    pds->dsname

    string.

    pds->type

    scalar.

    The contents, if any, are set by the user and are passed by inthp1() to the user-provided function without modification.

  • ctl (struct) –

    instance of an inthpControl structure with members

    ctl.maxEvaluations

    scalar, maximum number of function evaluations, default = 1e5;

    ctl.p

    scalar, termination parameter

    0

    heuristic termination, default.

    1

    deterministic termination with infinity norm.

    2,…

    deterministic termination with p-th norm.

    ctl.d

    scalar, termination parameter

    1

    if heuristic termination

    0 < ctl.d < π/2

    if deterministic termination

    ctl.eps

    scalar, relative error bound. Default = 1e-6.

    A default ctl can be generated by calling inthpControlCreate().

  • l_lim (1xN vector) – lower limits of integration.

Returns

y (Nx1 vector) – the estimated integrals of \(f(x)\) evaluated over the interval \([a,+∞)\).

Examples

/*
** Function to be integrated
** note that ds pointer is
** first input (*pd0)
*/
proc normal(struct DS *pd0, x);
   local var;

   var = pd0->dataMatrix;

   retp( (1/sqrt(2*pi*var))*exp( -(x*x) / (2*var) ));
endp;

// Define DS structure
struct DS d0;

// Define DS structure pointer
struct DS *pd0;

// Set pointer to d0
pd0 = &d0;

/*
** Declare instance of inthpControl
** structure
*/
struct inthpControl c0;
c0 = inthpControlCreate;

// Lower limit
l_lim = 2;

// Set termination parameter
c0.d = pi/4;

// Set termination parameter
c0.p = 2;

// Set var
var = 1;

// Set d0 data matrix
d0.dataMatrix = var;

// Integrate function fct
r = inthp2(&normal, pd0, c0, l_lim);

// Print results
format /ld 16,10;
print r;
print cdfnc(2);

produces the following output:

0.0227501281
0.0227501319

References

  1. “Optimal Quadratures in H_p Spaces” by K. Sikorski and F. Stenger, ACM Transactions on Mathematical Software, 10(2):140-151, June 1984.

Remarks

The user-provided function must have the following format

f(struct DS *pds, x)

where

pds

scalar, pointer to an instance of a DS structure.

x

scalar, value at which integral will be evaluated.

If ctl.d can be specified (see Sikorski and Stenger, 1984), deterministic termination can be specified and accuracy guaranteed. If not, the heuristic method can be used and the value of ctl.d is disregarded.

The pointer to the instance of the data structure, pds, is passed untouched to the user-provided procedure computing the function to be integrated. Any information needed by that function can be put into that data structure.

Source

inthp.src