PDL::GSL::INTEG - PDL interface to numerical integration routines in GSL
This is an interface to the numerical integration package present in the GNU Scientific Library, which is an implementation of QUADPACK.
Functions are named gslinteg_{algorithm} where {algorithm} is the QUADPACK naming convention. The available functions are:
Each algorithm computes an approximation to the integral, I, of the function f(x)w(x), where w(x) is a weight function (for general integrands w(x)=1). The user provides absolute and relative error bounds (epsabs,epsrel) which specify the following accuracy requirement:
|RESULT - I| <= max(epsabs, epsrel |I|)
The routines will fail to converge if the error bounds are too stringent, but always return the best approximation obtained up to that stage
All functions return the result, and estimate of the absolute error and an error flag (which is zero if there were no problems). You are responsible for checking for any errors, no warnings are issued unless the option {Warn => 'y'} is specified in which case the reason of failure will be printed.
You can nest integrals up to 20 levels. If you find yourself in the unlikely situation that you need more, you can change the value of 'max_nested_integrals' in the first line of the file 'FUNC.c' and recompile.
Throughout this documentation we strive to use the same variables that are present in the original GSL documentation (see See Also). Oftentimes those variables are called a and b. Since good Perl coding practices discourage the use of Perl variables $a and $b, here we refer to Parameters a and b as $pa and $pb, respectively, and Limits (of domain or integration) as $la and $lb.
a
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$b
$pa
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$lb
use PDL; use PDL::GSL::INTEG; my $la = 1.2; my $lb = 3.7; my $epsrel = 0; my $epsabs = 1e-6; # Non adaptive integration my ($res,$abserr,$ierr,$neval) = gslinteg_qng(\&myf,$la,$lb,$epsrel,$epsabs); # Warnings on my ($res,$abserr,$ierr,$neval) = gslinteg_qng(\&myf,$la,$lb,$epsrel,$epsabs,{Warn=>'y'}); # Adaptive integration with warnings on my $limit = 1000; my $key = 5; my ($res,$abserr,$ierr) = gslinteg_qag(\&myf,$la,$lb,$epsrel, $epsabs,$limit,$key,{Warn=>'y'}); sub myf{ my ($x) = @_; return exp(-$x**2); } #line 127 "INTEG.pm"
Signature: (a(); b(); epsabs(); epsrel(); int gslwarn(); [o] result(); [o] abserr(); int [o] neval(); int [o] ierr();; SV* function)
Non-adaptive Gauss-Kronrod integration
This function applies the Gauss-Kronrod 10-point, 21-point, 43-point and 87-point integration rules in succession until an estimate of the integral of f over ($la,$lb) is achieved within the desired absolute and relative error limits, $epsabs and $epsrel. It is meant for fast integration of smooth functions. It returns an array with the result, an estimate of the absolute error, an error flag and the number of function evaluations performed.
Usage:
($res,$abserr,$ierr,$neval) = gslinteg_qng($function_ref,$la,$lb, $epsrel,$epsabs,[{Warn => $warn}]);
Example:
my ($res,$abserr,$ierr,$neval) = gslinteg_qng(\&f,0,1,0,1e-9); # with warnings on my ($res,$abserr,$ierr,$neval) = gslinteg_qng(\&f,0,1,0,1e-9,{Warn => 'y'}); sub f{ my ($x) = @_; return ($x**2.6)*log(1.0/$x); }
gslinteg_qng does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (a(); b(); epsabs();epsrel(); int limit(); int key(); int n(); int gslwarn(); [o] result(); [o] abserr(); int [o] ierr();; SV* function)
Adaptive integration
This function applies an integration rule adaptively until an estimate of the integral of f over ($la,$lb) is achieved within the desired absolute and relative error limits, $epsabs and $epsrel. On each iteration the adaptive integration strategy bisects the interval with the largest error estimate; the maximum number of allowed subdivisions is given by the parameter $limit. The integration rule is determined by the value of $key, which has to be one of (1,2,3,4,5,6) and correspond to the 15, 21, 31, 41, 51 and 61 point Gauss-Kronrod rules respectively. It returns an array with the result, an estimate of the absolute error and an error flag.
($res,$abserr,$ierr) = gslinteg_qag($function_ref,$la,$lb,$epsrel, $epsabs,$limit,$key,[{Warn => $warn}]);
my ($res,$abserr,$ierr) = gslinteg_qag(\&f,0,1,0,1e-10,1000,1); # with warnings on my ($res,$abserr,$ierr) = gslinteg_qag(\&f,0,1,0,1e-10,1000,1,{Warn => 'y'}); sub f{ my ($x) = @_; return ($x**2.6)*log(1.0/$x); }
gslinteg_qag does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (a(); b(); epsabs(); epsrel(); int limit(); int n(); int gslwarn(); [o] result(); [o] abserr(); int [o] ierr();; SV* function)
Adaptive integration with singularities
This function applies the Gauss-Kronrod 21-point integration rule adaptively until an estimate of the integral of f over ($la,$lb) is achieved within the desired absolute and relative error limits, $epsabs and $epsrel. The algorithm is such that it accelerates the convergence of the integral in the presence of discontinuities and integrable singularities. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qags($function_ref,$la,$lb,$epsrel, $epsabs,$limit,[{Warn => $warn}]);
my ($res,$abserr,$ierr) = gslinteg_qags(\&f,0,1,0,1e-10,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qags(\&f,0,1,0,1e-10,1000,{Warn => 'y'}); sub f{ my ($x) = @_; return ($x)*log(1.0/$x); }
gslinteg_qags does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (pts(l); epsabs(); epsrel();int limit();int n();int gslwarn(); [o] result(); [o] abserr();int [o] ierr();; SV* function)
Adaptive integration with known singular points
This function applies the adaptive integration algorithm used by gslinteg_qags taking into account the location of singular points until an estimate of the integral of f over ($la,$lb) is achieved within the desired absolute and relative error limits, $epsabs and $epsrel. Singular points are supplied in the ndarray $points, whose endpoints determine the integration range. So, for example, if the function has singular points at x_1 and x_2 and the integral is desired from a to b (a < x_1 < x_2 < b), $points = pdl(a,x_1,x_2,b). The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qagp($function_ref,$points,$epsabs, $epsrel,$limit,[{Warn => $warn}])
my $points = pdl(0,1,sqrt(2),3); my ($res,$abserr,$ierr) = gslinteg_qagp(\&f,$points,0,1e-3,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qagp(\&f,$points,0,1e-3,1000,{Warn => 'y'}); sub f{ my ($x) = @_; my $x2 = $x**2; my $x3 = $x**3; return $x3 * log(abs(($x2-1.0)*($x2-2.0))); }
gslinteg_qagp does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (epsabs(); epsrel(); int limit(); int n();int gslwarn(); [o] result(); [o] abserr(); int [o] ierr();; SV* function)
Adaptive integration on infinite interval
This function estimates the integral of the function f over the infinite interval (-\infty,+\infty) within the desired absolute and relative error limits, $epsabs and $epsrel. After a transformation, the algorithm of gslinteg_qags with a 15-point Gauss-Kronrod rule is used. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qagi($function_ref,$epsabs, $epsrel,$limit,[{Warn => $warn}]);
my ($res,$abserr,$ierr) = gslinteg_qagi(\&myfn,1e-7,0,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qagi(\&myfn,1e-7,0,1000,{Warn => 'y'}); sub myfn{ my ($x) = @_; return exp(-$x - $x*$x) ; }
gslinteg_qagi does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (a(); epsabs(); epsrel();int limit();int n();int gslwarn(); [o] result(); [o] abserr();int [o] ierr();; SV* function)
This function estimates the integral of the function f over the infinite interval (la,+\infty) within the desired absolute and relative error limits, $epsabs and $epsrel. After a transformation, the algorithm of gslinteg_qags with a 15-point Gauss-Kronrod rule is used. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qagiu($function_ref,$la,$epsabs, $epsrel,$limit,[{Warn => $warn}]);
my $alfa = 1; my ($res,$abserr,$ierr) = gslinteg_qagiu(\&f,99.9,1e-7,0,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qagiu(\&f,99.9,1e-7,0,1000,{Warn => 'y'}); sub f{ my ($x) = @_; if (($x==0) && ($alfa == 1)) {return 1;} if (($x==0) && ($alfa > 1)) {return 0;} return ($x**($alfa-1))/((1+10*$x)**2); }
gslinteg_qagiu does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (b(); epsabs(); epsrel();int limit();int n();int gslwarn(); [o] result(); [o] abserr();int [o] ierr();; SV* function)
This function estimates the integral of the function f over the infinite interval (-\infty,lb) within the desired absolute and relative error limits, $epsabs and $epsrel. After a transformation, the algorithm of gslinteg_qags with a 15-point Gauss-Kronrod rule is used. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qagl($function_ref,$lb,$epsabs, $epsrel,$limit,[{Warn => $warn}]);
my ($res,$abserr,$ierr) = gslinteg_qagil(\&myfn,1.0,1e-7,0,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qagil(\&myfn,1.0,1e-7,0,1000,{Warn => 'y'}); sub myfn{ my ($x) = @_; return exp($x); }
gslinteg_qagil does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (a(); b(); c(); epsabs(); epsrel();int limit();int n();int gslwarn(); [o] result(); [o] abserr();int [o] ierr();; SV* function)
Adaptive integration for Cauchy principal values
This function computes the Cauchy principal value of the integral of f over (la,lb), with a singularity at c, I = \int_{la}^{lb} dx f(x)/(x - c). The integral is estimated within the desired absolute and relative error limits, $epsabs and $epsrel. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qawc($function_ref,$la,$lb,$c,$epsabs,$epsrel,$limit)
my ($res,$abserr,$ierr) = gslinteg_qawc(\&f,-1,5,0,0,1e-3,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qawc(\&f,-1,5,0,0,1e-3,1000,{Warn => 'y'}); sub f{ my ($x) = @_; return 1.0 / (5.0 * $x * $x * $x + 6.0) ; }
gslinteg_qawc does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (a(); b(); epsabs(); epsrel();int limit(); int n(); alpha(); beta(); int mu(); int nu(); int gslwarn(); [o] result(); [o] abserr(); int [o] ierr();; SV* function)
Adaptive integration for singular functions
The algorithm in gslinteg_qaws is designed for integrands with algebraic-logarithmic singularities at the end-points of an integration region. Specifically, this function computes the integral given by I = \int_{la}^{lb} dx f(x) (x-la)^alpha (lb-x)^beta log^mu (x-la) log^nu (lb-x). The integral is estimated within the desired absolute and relative error limits, $epsabs and $epsrel. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qaws($function_ref,$alpha,$beta,$mu,$nu,$la,$lb, $epsabs,$epsrel,$limit,[{Warn => $warn}]);
my ($res,$abserr,$ierr) = gslinteg_qaws(\&f,0,0,1,0,0,1,0,1e-7,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qaws(\&f,0,0,1,0,0,1,0,1e-7,1000,{Warn => 'y'}); sub f{ my ($x) = @_; if($x==0){return 0;} else{ my $u = log($x); my $v = 1 + $u*$u; return 1.0/($v*$v); } }
gslinteg_qaws does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (a(); b(); epsabs(); epsrel();int limit();int n(); int sincosopt(); omega(); L(); int nlevels();int gslwarn(); [o] result(); [o] abserr();int [o] ierr();; SV* function)
Adaptive integration for oscillatory functions
This function uses an adaptive algorithm to compute the integral of f over (la,lb) with the weight function sin(omega*x) or cos(omega*x) -- which of sine or cosine is used is determined by the parameter $opt ('cos' or 'sin'). The integral is estimated within the desired absolute and relative error limits, $epsabs and $epsrel. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
($res,$abserr,$ierr) = gslinteg_qawo($function_ref,$omega,$sin_or_cos, $la,$lb,$epsabs,$epsrel,$limit,[opt])
my $PI = 3.14159265358979323846264338328; my ($res,$abserr,$ierr) = PDL::GSL::INTEG::gslinteg_qawo(\&f,10*$PI,'sin',0,1,0,1e-7,1000); # with warnings on ($res,$abserr,$ierr) = PDL::GSL::INTEG::gslinteg_qawo(\&f,10*$PI,'sin',0,1,0,1e-7,1000,{Warn => 'y'}); sub f{ my ($x) = @_; if($x==0){return 0;} else{ return log($x);} }
gslinteg_qawo does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Signature: (a(); epsabs();int limit();int n(); int sincosopt(); omega(); int nlevels();int gslwarn(); [o] result(); [o] abserr();int [o] ierr();; SV* function)
Adaptive integration for Fourier integrals
This function attempts to compute a Fourier integral of the function f over the semi-infinite interval [la,+\infty). Specifically, it attempts tp compute I = \int_{la}^{+\infty} dx f(x)w(x), where w(x) is sin(omega*x) or cos(omega*x) -- which of sine or cosine is used is determined by the parameter $opt ('cos' or 'sin'). The integral is estimated within the desired absolute error limit $epsabs. The maximum number of allowed subdivisions done by the adaptive algorithm must be supplied in the parameter $limit.
gslinteg_qawf($function_ref,$omega,$sin_or_cos,$la,$epsabs,$limit,[opt])
my ($res,$abserr,$ierr) = gslinteg_qawf(\&f,$PI/2.0,'cos',0,1e-7,1000); # with warnings on ($res,$abserr,$ierr) = gslinteg_qawf(\&f,$PI/2.0,'cos',0,1e-7,1000,{Warn => 'y'}); sub f{ my ($x) = @_; if ($x == 0){return 0;} return 1.0/sqrt($x) }
gslinteg_qawf does not process bad values. It will set the bad-value flag of all output ndarrays if the flag is set for any of the input ndarrays.
Feedback is welcome. Log bugs in the PDL bug database (the database is always linked from http://pdl.perl.org).
PDL
The GSL documentation for numerical integration is online at https://www.gnu.org/software/gsl/doc/html/integration.html
This file copyright (C) 2003,2005 Andres Jordan <ajordan@eso.org> All rights reserved. There is no warranty. You are allowed to redistribute this software documentation under certain conditions. For details, see the file COPYING in the PDL distribution. If this file is separated from the PDL distribution, the copyright notice should be included in the file.
The GSL integration routines were written by Brian Gough. QUADPACK was written by Piessens, Doncker-Kapenga, Uberhuber and Kahaner.
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