NAG Library Routine Document
D01AJF is a general purpose integrator which calculates an approximation to the integral of a function
over a finite interval
|SUBROUTINE D01AJF (
||F, A, B, EPSABS, EPSREL, RESULT, ABSERR, W, LW, IW, LIW, IFAIL)
||LW, IW(LIW), LIW, IFAIL
||F, A, B, EPSABS, EPSREL, RESULT, ABSERR, W(LW)
D01AJF is based on the QUADPACK routine QAGS (see Piessens et al. (1983)
). It is an adaptive routine, using the Gauss
-point and Kronrod
-point rules. The algorithm, described in de Doncker (1978)
, incorporates a global acceptance criterion (as defined by Malcolm and Simpson (1976)
) together with the
-algorithm (see Wynn (1956)
) to perform extrapolation. The local error estimation is described in Piessens et al. (1983)
The routine is suitable as a general purpose integrator, and can be used when the integrand has singularities, especially when these are of algebraic or logarithmic type.
D01AJF requires you to supply a function to evaluate the integrand at a single point.
The routine D01ATF
uses an identical algorithm but requires you to supply a subroutine to evaluate the integrand at an array of points. Therefore D01ATF
may be more efficient for some problem types and some machine architectures.
de Doncker E (1978) An adaptive extrapolation algorithm for automatic integration ACM SIGNUM Newsl. 13(2) 12–18
Malcolm M A and Simpson R B (1976) Local versus global strategies for adaptive quadrature ACM Trans. Math. Software 1 129–146
Piessens R, de Doncker–Kapenga E, Überhuber C and Kahaner D (1983) QUADPACK, A Subroutine Package for Automatic Integration Springer–Verlag
Wynn P (1956) On a device for computing the transformation Math. Tables Aids Comput. 10 91–96
- 1: F – REAL (KIND=nag_wp) FUNCTION, supplied by the user.External Procedure
must return the value of the integrand
at a given point.
The specification of F
- 1: X – REAL (KIND=nag_wp)Input
On entry: the point at which the integrand must be evaluated.
must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D01AJF is called. Parameters denoted as Input
be changed by this procedure.
- 2: A – REAL (KIND=nag_wp)Input
On entry: , the lower limit of integration.
- 3: B – REAL (KIND=nag_wp)Input
On entry: , the upper limit of integration. It is not necessary that .
- 4: EPSABS – REAL (KIND=nag_wp)Input
: the absolute accuracy required. If EPSABS
is negative, the absolute value is used. See Section 7
- 5: EPSREL – REAL (KIND=nag_wp)Input
: the relative accuracy required. If EPSREL
is negative, the absolute value is used. See Section 7
- 6: RESULT – REAL (KIND=nag_wp)Output
On exit: the approximation to the integral .
- 7: ABSERR – REAL (KIND=nag_wp)Output
On exit: an estimate of the modulus of the absolute error, which should be an upper bound for .
- 8: W(LW) – REAL (KIND=nag_wp) arrayOutput
: details of the computation see Section 8
for more information.
- 9: LW – INTEGERInput
: the dimension of the array W
as declared in the (sub)program from which D01AJF is called. The value of LW
(together with that of LIW
) imposes a bound on the number of sub-intervals into which the interval of integration may be divided by the routine. The number of sub-intervals cannot exceed
. The more difficult the integrand, the larger LW
to is adequate for most problems.
- 10: IW(LIW) – INTEGER arrayOutput
On exit: contains the actual number of sub-intervals used. The rest of the array is used as workspace.
- 11: LIW – INTEGERInput
: the dimension of the array IW
as declared in the (sub)program from which D01AJF is called. The number of sub-intervals into which the interval of integration may be divided cannot exceed LIW
- 12: IFAIL – INTEGERInput/Output
must be set to
. If you are unfamiliar with this parameter you should refer to Section 3.3
in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
is recommended. If the output of error messages is undesirable, then the value
is recommended. Otherwise, because for this routine the values of the output parameters may be useful even if
on exit, the recommended value is
. When the value is used it is essential to test the value of IFAIL on exit.
unless the routine detects an error or a warning has been flagged (see Section 6
6 Error Indicators and Warnings
If on entry
, explanatory error messages are output on the current error message unit (as defined by X04AAF
Note: D01AJF may return useful information for one or more of the following detected errors or warnings.
Errors or warnings detected by the routine:
The maximum number of subdivisions allowed with the given workspace has been reached without the accuracy requirements being achieved. Look at the integrand in order to determine the integration difficulties. If the position of a local difficulty within the interval can be determined (e.g., a singularity of the integrand or its derivative, a peak, a discontinuity, etc.) you will probably gain from splitting up the interval at this point and calling the integrator on the subranges. If necessary, another integrator, which is designed for handling the type of difficulty involved, must be used. Alternatively, consider relaxing the accuracy requirements specified by EPSABS
, or increasing the amount of workspace.
Round-off error prevents the requested tolerance from being achieved. Consider requesting less accuracy.
Extremely bad local integrand behaviour causes a very strong subdivision around one (or more) points of the interval. The same advice applies as in the case of .
The requested tolerance cannot be achieved because the extrapolation does not increase the accuracy satisfactorily; the returned result is the best which can be obtained. The same advice applies as in the case of .
The integral is probably divergent, or slowly convergent. Please note that divergence can occur with any nonzero value of IFAIL
D01AJF cannot guarantee, but in practice usually achieves, the following accuracy:
are user-specified absolute and relative error tolerances. Moreover, it returns the quantity ABSERR
which, in normal circumstances, satisfies
The time taken by D01AJF depends on the integrand and the accuracy required.
on exit, then you may wish to examine the contents of the
which contains the end points of the sub-intervals used by D01AJF along with the integral contributions and error estimates over the sub-intervals.
denote the approximation to the value of the integral over the sub-interval
in the partition of
be the corresponding absolute error estimate. Then,
, unless D01AJF terminates while testing for divergence of the integral (see Section 3.4.3 of Piessens et al. (1983)
). In this case, RESULT
) are taken to be the values returned from the extrapolation process. The value of
is returned in
, and the
are stored consecutively in the
This example computes
9.1 Program Text
Program Text (d01ajfe.f90)
9.2 Program Data
9.3 Program Results
Program Results (d01ajfe.r)