D01AUF (PDF version)
D01 Chapter Contents
D01 Chapter Introduction
NAG Library Manual

NAG Library Routine Document


Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

D01AUF is an adaptive integrator, especially suited to oscillating, nonsingular integrands, which calculates an approximation to the integral of a function fx over a finite interval a,b:
I= ab fx dx .

2  Specification


3  Description

D01AUF is based on the QUADPACK routine QAG (see Piessens et al. (1983)). It is an adaptive routine, offering a choice of six Gauss–Kronrod rules. A global acceptance criterion (as defined by Malcolm and Simpson (1976)) is used. The local error estimation is described in Piessens et al. (1983).
Because D01AUF is based on integration rules of high order, it is especially suitable for nonsingular oscillating integrands.
D01AUF requires a subroutine to evaluate the integrand at an array of different points and is therefore particularly efficient when the evaluation can be performed in vector mode on a vector-processing machine. Otherwise this algorithm with KEY=6 is identical to that used by D01AKF.

4  References

Malcolm M A and Simpson R B (1976) Local versus global strategies for adaptive quadrature ACM Trans. Math. Software 1 129–146
Piessens R (1973) An algorithm for automatic integration Angew. Inf. 15 399–401
Piessens R, de Doncker–Kapenga E, Überhuber C and Kahaner D (1983) QUADPACK, A Subroutine Package for Automatic Integration Springer–Verlag

5  Parameters

1:     F – SUBROUTINE, supplied by the user.External Procedure
F must return the values of the integrand f at a set of points.
The specification of F is:
REAL (KIND=nag_wp)  X(N), FV(N)
1:     X(N) – REAL (KIND=nag_wp) arrayInput
On entry: the points at which the integrand f must be evaluated.
2:     FV(N) – REAL (KIND=nag_wp) arrayOutput
On exit: FVj must contain the value of f at the point Xj, for j=1,2,,N.
3:     N – INTEGERInput
On entry: the number of points at which the integrand is to be evaluated. The actual value of N is equal to the number of points in the Kronrod rule (see specification of KEY).
F must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D01AUF is called. Parameters denoted as Input must not be changed by this procedure.
2:     A – REAL (KIND=nag_wp)Input
On entry: a, the lower limit of integration.
3:     B – REAL (KIND=nag_wp)Input
On entry: b, the upper limit of integration. It is not necessary that a<b.
4:     KEY – INTEGERInput
On entry: indicates which integration rule is to be used.
For the Gauss 7-point and Kronrod 15-point rule.
For the Gauss 10-point and Kronrod 21-point rule.
For the Gauss 15-point and Kronrod 31-point rule.
For the Gauss 20-point and Kronrod 41-point rule.
For the Gauss 25-point and Kronrod 51-point rule.
For the Gauss 30-point and Kronrod 61-point rule.
Suggested value: KEY=6.
Constraint: KEY=1, 2, 3, 4, 5 or 6.
5:     EPSABS – REAL (KIND=nag_wp)Input
On entry: the absolute accuracy required. If EPSABS is negative, the absolute value is used. See Section 7.
6:     EPSREL – REAL (KIND=nag_wp)Input
On entry: the relative accuracy required. If EPSREL is negative, the absolute value is used. See Section 7.
7:     RESULT – REAL (KIND=nag_wp)Output
On exit: the approximation to the integral I.
8:     ABSERR – REAL (KIND=nag_wp)Output
On exit: an estimate of the modulus of the absolute error, which should be an upper bound for I-RESULT.
9:     W(LW) – REAL (KIND=nag_wp) arrayOutput
On exit: details of the computation see Section 8 for more information.
10:   LW – INTEGERInput
On entry: the dimension of the array W as declared in the (sub)program from which D01AUF 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 LW/4. The more difficult the integrand, the larger LW should be.
Suggested value: LW=800 to 2000 is adequate for most problems.
Constraint: LW4.
11:   IW(LIW) – INTEGER arrayOutput
On exit: IW1 contains the actual number of sub-intervals used. The rest of the array is used as workspace.
12:   LIW – INTEGERInput
On entry: the dimension of the array IW as declared in the (sub)program from which D01AUF is called.
The number of sub-intervals into which the interval of integration may be divided cannot exceed LIW.
Suggested value: LIW=LW/4.
Constraint: LIW1.
13:   IFAIL – INTEGERInput/Output
On entry: IFAIL must be set to 0, -1​ or ​1. 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 -1​ or ​1 is recommended. If the output of error messages is undesirable, then the value 1 is recommended. Otherwise, because for this routine the values of the output parameters may be useful even if IFAIL0 on exit, the recommended value is -1. When the value -1​ or ​1 is used it is essential to test the value of IFAIL on exit.
On exit: IFAIL=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6  Error Indicators and Warnings

If on entry IFAIL=0 or -1, explanatory error messages are output on the current error message unit (as defined by X04AAF).
Note: D01AUF 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 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 and EPSREL, 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 IFAIL=1.
On entry, KEY1, 2, 3, 4, 5 or 6.
On entry,LW<4,

7  Accuracy

D01AUF cannot guarantee, but in practice usually achieves, the following accuracy:
I-RESULT tol ,
and EPSABS and EPSREL are user-specified absolute and relative error tolerances. Moreover, it returns the quantity ABSERR which, in normal circumstances, satisfies

8  Further Comments

If IFAIL0 on exit, then you may wish to examine the contents of the array W, which contains the end points of the sub-intervals used by D01AUF along with the integral contributions and error estimates over these sub-intervals.
Specifically, for i=1,2,,n, let ri denote the approximation to the value of the integral over the sub-interval ai,bi  in the partition of a,b  and ei  be the corresponding absolute error estimate. Then, ai bi fx dx ri  and RESULT = i=1 n ri . The value of n is returned in IW1, and the values ai, bi, ei and ri are stored consecutively in the array W, that is:

9  Example

This example computes
0 2π x sin30x cosx   dx .

9.1  Program Text

Program Text (d01aufe.f90)

9.2  Program Data


9.3  Program Results

Program Results (d01aufe.r)

D01AUF (PDF version)
D01 Chapter Contents
D01 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012