nag_1d_quad_inf_1 (d01smc) (PDF version)
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d01 Chapter Introduction
NAG Library Manual

# NAG Library Function Documentnag_1d_quad_inf_1 (d01smc)

## 1  Purpose

nag_1d_quad_inf_1 (d01smc) calculates an approximation to the integral of a function $f\left(x\right)$ over an infinite or semi-infinite interval $\left[a,b\right]$:
 $I = ∫ a b f x dx .$

## 2  Specification

 #include #include
void  nag_1d_quad_inf_1 (
 double (*f)(double x, Nag_User *comm),
Nag_BoundInterval boundinf, double bound, double epsabs, double epsrel, Integer max_num_subint, double *result, double *abserr, Nag_QuadProgress *qp, Nag_User *comm, NagError *fail)

## 3  Description

nag_1d_quad_inf_1 (d01smc) is based on the QUADPACK routine QAGI (Piessens et al. (1983)). The entire infinite integration range is first transformed to $\left[0,1\right]$ using one of the identities
 $∫ -∞ a f x dx = ∫ 0 1 f a - 1-t t 1 t 2 dt$
 $∫ a ∞ f x dx = ∫ 0 1 f a + 1-t t 1 t 2 dt$
 $∫ -∞ ∞ f x dx = ∫ 0 ∞ f x + f -x dx = ∫ 0 1 f 1-t t + f - 1 + t t 1 t 2 dt$
where $a$ represents a finite integration limit. An adaptive procedure, based on the Gauss 7-point and Kronrod 15-point rules, is then employed on the transformed integral. The algorithm, described by de Doncker (1978), incorporates a global acceptance criterion (as defined by Malcolm and Simpson (1976)) together with the $\epsilon$-algorithm (Wynn (1956)) to perform extrapolation. The local error estimation is described by Piessens et al. (1983).
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 ${e}_{m}\left({S}_{n}\right)$ transformation Math. Tables Aids Comput. 10 91–96

## 5  Arguments

1:    $\mathbf{f}$function, supplied by the userExternal Function
f must return the value of the integrand $f$ at a given point.
The specification of f is:
 double f (double x, Nag_User *comm)
1:    $\mathbf{x}$doubleInput
On entry: the point at which the integrand $f$ must be evaluated.
2:    $\mathbf{comm}$Nag_User *
Pointer to a structure of type Nag_User with the following member:
pPointer
On entry/exit: the pointer $\mathbf{comm}\mathbf{\to }\mathbf{p}$ should be cast to the required type, e.g., struct user *s = (struct user *)comm → p, to obtain the original object's address with appropriate type. (See the argument comm below.)
2:    $\mathbf{boundinf}$Nag_BoundIntervalInput
On entry: indicates the kind of integration interval.
${\mathbf{boundinf}}=\mathrm{Nag_UpperSemiInfinite}$
The interval is $\left[{\mathbf{bound}},+\infty \right)$.
${\mathbf{boundinf}}=\mathrm{Nag_LowerSemiInfinite}$
The interval is $\left(-\infty ,{\mathbf{bound}}\right]$.
${\mathbf{boundinf}}=\mathrm{Nag_Infinite}$
The interval is $\left(-\infty ,+\infty \right)$.
Constraint: ${\mathbf{boundinf}}=\mathrm{Nag_UpperSemiInfinite}$, $\mathrm{Nag_LowerSemiInfinite}$ or $\mathrm{Nag_Infinite}$.
3:    $\mathbf{bound}$doubleInput
On entry: the finite limit of the integration interval (if present). bound is not used if ${\mathbf{boundinf}}=\mathrm{Nag_Infinite}$.
4:    $\mathbf{epsabs}$doubleInput
On entry: the absolute accuracy required. If epsabs is negative, the absolute value is used. See Section 7.
5:    $\mathbf{epsrel}$doubleInput
On entry: the relative accuracy required. If epsrel is negative, the absolute value is used. See Section 7.
6:    $\mathbf{max_num_subint}$IntegerInput
On entry: the upper bound on the number of sub-intervals into which the interval of integration may be divided by the function. The more difficult the integrand, the larger max_num_subint should be.
Constraint: ${\mathbf{max_num_subint}}\ge 1$.
7:    $\mathbf{result}$double *Output
On exit: the approximation to the integral $I$.
8:    $\mathbf{abserr}$double *Output
On exit: an estimate of the modulus of the absolute error, which should be an upper bound for $\left|I-{\mathbf{result}}\right|$.
9:    $\mathbf{qp}$Nag_QuadProgress *
Pointer to structure of type Nag_QuadProgress with the following members:
num_subintIntegerOutput
On exit: the actual number of sub-intervals used.
fun_countIntegerOutput
On exit: the number of function evaluations performed by nag_1d_quad_inf_1 (d01smc).
sub_int_beg_ptsdouble *Output
sub_int_end_ptsdouble *Output
sub_int_resultdouble *Output
sub_int_errordouble *Output
On exit: these pointers are allocated memory internally with max_num_subint elements. If an error exit other than NE_INT_ARG_LT, NE_BAD_PARAM or NE_ALLOC_FAIL occurs, these arrays will contain information which may be useful. For details, see Section 9.
Before a subsequent call to nag_1d_quad_inf_1 (d01smc) is made, or when the information contained in these arrays is no longer useful, you should free the storage allocated by these pointers using the NAG macro NAG_FREE.
10:  $\mathbf{comm}$Nag_User *
Pointer to a structure of type Nag_User with the following member:
pPointer
On entry/exit: the pointer $\mathbf{comm}\mathbf{\to }\mathbf{p}$, of type Pointer, allows you to communicate information to and from f(). An object of the required type should be declared, e.g., a structure, and its address assigned to the pointer $\mathbf{comm}\mathbf{\to }\mathbf{p}$ by means of a cast to Pointer in the calling program, e.g., comm.p = (Pointer)&s. The type Pointer is void *.
11:  $\mathbf{fail}$NagError *Input/Output
The NAG error argument (see Section 2.7 in How to Use the NAG Library and its Documentation).

## 6  Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
NE_BAD_PARAM
On entry, argument boundinf had an illegal value.
NE_INT_ARG_LT
On entry, max_num_subint must not be less than 1: ${\mathbf{max_num_subint}}=〈\mathit{\text{value}}〉$.
NE_QUAD_BAD_SUBDIV
Extremely bad integrand behaviour occurs around the sub-interval $\left(〈\mathit{\text{value}}〉,〈\mathit{\text{value}}〉\right)$.
The same advice applies as in the case of NE_QUAD_MAX_SUBDIV.
NE_QUAD_BAD_SUBDIV_INTS
Extremely bad integrand behaviour occurs around one of the sub-intervals $\left(〈\mathit{\text{value}}〉,〈\mathit{\text{value}}〉\right)$ or $\left(〈\mathit{\text{value}}〉,〈\mathit{\text{value}}〉\right)$.
The same advice applies as in the case of NE_QUAD_MAX_SUBDIV.
NE_QUAD_MAX_SUBDIV
The maximum number of subdivisions has been reached: ${\mathbf{max_num_subint}}=〈\mathit{\text{value}}〉$.
The maximum number of subdivisions 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 sub-intervals. 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 value of max_num_subint.
NE_QUAD_NO_CONV
The integral is probably divergent or slowly convergent.
Please note that divergence can also occur with any error exit other than NE_INT_ARG_LT, NE_BAD_PARAM or NE_ALLOC_FAIL.
NE_QUAD_ROUNDOFF_EXTRAPL
Round-off error is detected during extrapolation.
The requested tolerance cannot be achieved, because the extrapolation does not increase the accuracy satisfactorily; the returned result is the best that can be obtained.
The same advice applies as in the case of NE_QUAD_MAX_SUBDIV.
NE_QUAD_ROUNDOFF_TOL
Round-off error prevents the requested tolerance from being achieved: ${\mathbf{epsabs}}=〈\mathit{\text{value}}〉$, ${\mathbf{epsrel}}=〈\mathit{\text{value}}〉$.
The error may be underestimated. Consider relaxing the accuracy requirements specified by epsabs and epsrel.

## 7  Accuracy

nag_1d_quad_inf_1 (d01smc) cannot guarantee, but in practice usually achieves, the following accuracy:
 $I - result ≤ tol$
where
 $tol = max epsabs , epsrel × I$
and epsabs and epsrel are user-specified absolute and relative error tolerances. Moreover it returns the quantity abserr which, in normal circumstances, satisfies
 $I - result ≤ abserr ≤ tol .$

## 8  Parallelism and Performance

nag_1d_quad_inf_1 (d01smc) is not threaded in any implementation.

## 9  Further Comments

The time taken by nag_1d_quad_inf_1 (d01smc) depends on the integrand and the accuracy required.
If the function fails with an error exit other than NE_INT_ARG_LT, NE_BAD_PARAM or NE_ALLOC_FAIL then you may wish to examine the contents of the structure qp. These contain the end-points of the sub-intervals used by nag_1d_quad_inf_1 (d01smc) along with the integral contributions and error estimates over the sub-intervals.
Specifically, $i=1,2,\dots ,n$, let ${r}_{i}$ denote the approximation to the value of the integral over the sub-interval $\left[{a}_{i},{b}_{i}\right]$ in the partition of $\left[a,b\right]$ and ${e}_{i}$ be the corresponding absolute error estimate.
Then, ${\int }_{{a}_{i}}^{{b}_{i}}f\left(x\right)dx\simeq {r}_{i}$ and ${\mathbf{result}}={\sum }_{i=1}^{n}{r}_{i}$ unless the function terminates while testing for divergence of the integral (see Section 3.4.3 of Piessens et al. (1983)). In this case, result (and abserr) are taken to be the values returned from the extrapolation process. The value of $n$ is returned in $\mathbf{qp}\mathbf{\to }\mathbf{num_subint}$, and the values ${a}_{i}$, ${b}_{i}$, ${r}_{i}$ and ${e}_{i}$ are stored in the structure qp as
• ${a}_{i}=\mathbf{qp}\mathbf{\to }\mathbf{sub_int_beg_pts}\left[i-1\right]$,
• ${b}_{i}=\mathbf{qp}\mathbf{\to }\mathbf{sub_int_end_pts}\left[i-1\right]$,
• ${r}_{i}=\mathbf{qp}\mathbf{\to }\mathbf{sub_int_result}\left[i-1\right]$ and
• ${e}_{i}=\mathbf{qp}\mathbf{\to }\mathbf{sub_int_error}\left[i-1\right]$.

## 10  Example

This example computes
 $∫ 0 ∞ 1 x+1 x dx .$

### 10.1  Program Text

Program Text (d01smce.c)

None.

### 10.3  Program Results

Program Results (d01smce.r)

nag_1d_quad_inf_1 (d01smc) (PDF version)
d01 Chapter Contents
d01 Chapter Introduction
NAG Library Manual