R help - Nov 2010 - Numerical integration

Hi!

I was wondering if there are any other functions for numerical integration,
besides 'integrate' from the stats package, but which wouldn't
require the
integrand to be vectorized. Oh, and must be capable of integrating over
(-inf,+inf).

Thanks in advance,

Eduardo Horta

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On Nov 17, 2010, at 6:44 AM, Eduardo de Oliveira Horta wrote:
> Hi!
>
> I was wondering if there are any other functions for numerical  
> integration,
> besides 'integrate' from the stats package, but which wouldn't
> require the
> integrand to be vectorized. Oh, and must be capable of integrating  
> over
> (-inf,+inf).
You could modify integrate to suit you specifications, Just substitute  
this at the beginning of the integrate:

integrateV <- function (f, lower, upper, ..., subdivisions = 100,  
rel.tol = .Machine$double.eps^0.25,
     abs.tol = rel.tol, stop.on.error = TRUE, keep.xy = FALSE,
     aux = NULL)
{
     f <- match.fun(f)
     ### New material
     options(show.error.messages = FALSE)
     if( class(try(integrate(f, upper, lower))) == 'try-error') {f <-
Vectorize(f)}
     options(show.error.messages = TRUE)
     ### End new material
     ff <- function(x) f(x, ...)
.
.
.


Passes both your requirements:
 >  zz<- function(x) 2.0  # the function that fails in the integrate  
help page
 > try(integrateV(zz, 0, 1))
2 with absolute error < 2.2e-14

 >  zz<- function(x) dnorm(x) # test of infinite range capacity
 > try(integrateV(zz, -Inf, Inf))
1 with absolute error < 9.4e-05


-- 

David Winsemius, MD
West Hartford, CT

---------- Forwarded message ----------
From: Eduardo de Oliveira Horta <eduardo.oliveirahorta@gmail.com>
Date: Wed, Nov 17, 2010 at 3:59 PM
Subject: Re: [R] Numerical integration
To: David Winsemius <dwinsemius@comcast.net>


It works, however is not very efficient for the problem I'm working with,
since it is the same as vectorizing the integrand before applying
"integrate".

Any other thoughts? Efficiency would be highly welcome!

Thanks again,

Eduardo Horta


On Wed, Nov 17, 2010 at 2:10 PM, Eduardo de Oliveira Horta <
eduardo.oliveirahorta@gmail.com> wrote:
> Thanks! I'll take a look into it and let you know if it works.
>
>
> On Wed, Nov 17, 2010 at 1:57 PM, David Winsemius
<dwinsemius@comcast.net>wrote:
>
>>
>> On Nov 17, 2010, at 6:44 AM, Eduardo de Oliveira Horta wrote:
>>
>>  Hi!
>>>
>>> I was wondering if there are any other functions for numerical
>>> integration,
>>> besides 'integrate' from the stats package, but which
wouldn't require
>>> the
>>> integrand to be vectorized. Oh, and must be capable of integrating
over
>>> (-inf,+inf).
>>>
>>
>> You could modify integrate to suit you specifications, Just substitute
>> this at the beginning of the integrate:
>>
>> integrateV <- function (f, lower, upper, ..., subdivisions = 100,
rel.tol
>> = .Machine$double.eps^0.25,
>>    abs.tol = rel.tol, stop.on.error = TRUE, keep.xy = FALSE,
>>    aux = NULL)
>> {
>>    f <- match.fun(f)
>>    ### New material
>>    options(show.error.messages = FALSE)
>>    if( class(try(integrate(f, upper, lower))) == 'try-error')
{f <-
>> Vectorize(f)}
>>    options(show.error.messages = TRUE)
>>    ### End new material
>>    ff <- function(x) f(x, ...)
>> .
>> .
>> .
>>
>>
>> Passes both your requirements:
>> >  zz<- function(x) 2.0  # the function that fails in the
integrate help
>> page
>> > try(integrateV(zz, 0, 1))
>> 2 with absolute error < 2.2e-14
>>
>> >  zz<- function(x) dnorm(x) # test of infinite range capacity
>> > try(integrateV(zz, -Inf, Inf))
>> 1 with absolute error < 9.4e-05
>>
>>
>> --
>>
>> David Winsemius, MD
>> West Hartford, CT
>>
>>
>
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