GaussKronrodAdaptive Class Reference

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

#include <ql/math/integrals/kronrodintegral.hpp>

Inheritance diagram for GaussKronrodAdaptive:

Collaboration diagram for GaussKronrodAdaptive:

Public Member Functions
	GaussKronrodAdaptive (Real tolerance, Size maxFunctionEvaluations=Null< Size >())
Public Member Functions inherited from Integrator
	Integrator (Real absoluteAccuracy, Size maxEvaluations)
virtual	~Integrator ()=default
Real	operator() (const ext::function< Real(Real)> &f, Real a, Real b) const
void	setAbsoluteAccuracy (Real)
void	setMaxEvaluations (Size)
Real	absoluteAccuracy () const
Size	maxEvaluations () const
Real	absoluteError () const
Size	numberOfEvaluations () const
virtual bool	integrationSuccess () const

Protected Member Functions
Real	integrate (const ext::function< Real(Real)> &f, Real a, Real b) const override
Protected Member Functions inherited from Integrator
void	setAbsoluteError (Real error) const
void	setNumberOfEvaluations (Size evaluations) const
void	increaseNumberOfEvaluations (Size increase) const

Private Member Functions
Real	integrateRecursively (const ext::function< Real(Real)> &f, Real a, Real b, Real tolerance) const

Detailed Description

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

This class provide an adaptive integration procedure using 15 points Gauss-Kronrod integration rule. This is more robust in that it allows to integrate less smooth functions (though singular functions should be integrated using dedicated algorithms) but less efficient beacuse it does not reuse precedently computed points during computation steps.

References:

Gauss-Kronrod Integration http://mathcssun1.emporia.edu/~oneilcat/ExperimentApplet3/ExperimentApplet3.html

NMS - Numerical Analysis Library http://www.math.iastate.edu/burkardt/f_src/nms/nms.html

Tests:

the correctness of the result is tested by checking it against known good values.

Definition at line 85 of file kronrodintegral.hpp.

Constructor & Destructor Documentation

GaussKronrodAdaptive()

GaussKronrodAdaptive ( Real  tolerance, Size  maxFunctionEvaluations = Null<Size>()  )

explicit

Definition at line 442 of file kronrodintegral.cpp.

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Member Function Documentation

integrate()

Real integrate ( const ext::function< Real(Real)> &  f, Real  a, Real  b  ) const

overrideprotectedvirtual

Implements Integrator.

Definition at line 354 of file kronrodintegral.cpp.

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integrateRecursively()

Real integrateRecursively ( const ext::function< Real(Real)> &  f, Real  a, Real  b, Real  tolerance  ) const

private

Definition at line 386 of file kronrodintegral.cpp.

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