| integrate {stats} | R Documentation |
Integration of One-Dimensional Functions
Description
Adaptive quadrature of functions of one variable over a finite or infinite interval.
Usage
integrate(f, lower, upper, ..., subdivisions = 100L,
rel.tol = .Machine$double.eps^0.25, abs.tol = rel.tol,
stop.on.error = TRUE, keep.xy = FALSE, aux = NULL)
Arguments
f |
an R function taking a numeric first argument and returning a numeric vector of the same length. Returning a non-finite element will generate an error. |
lower, upper |
the limits of integration. Can be infinite. |
... |
additional arguments to be passed to |
subdivisions |
the maximum number of subintervals. |
rel.tol |
relative accuracy requested. |
abs.tol |
absolute accuracy requested. |
stop.on.error |
logical. If true (the default) an error stops the
function. If false some errors will give a result with a warning in
the |
keep.xy |
unused. For compatibility with S. |
aux |
unused. For compatibility with S. |
Details
Note that arguments after ... must be matched exactly.
If one or both limits are infinite, the infinite range is mapped onto a finite interval.
For a finite interval, globally adaptive interval subdivision is used in connection with extrapolation by Wynn's Epsilon algorithm, with the basic step being \IGauss–\IKronrod quadrature.
rel.tol cannot be less than max(50*.Machine$double.eps,
0.5e-28) if abs.tol <= 0.
Note that the comments in the C source code in
‘R/src/appl/integrate.c’ give more details, particularly about
reasons for failure (internal error code ier >= 1).
In R versions \le 3.2.x, the first entries of
lower and upper were used whereas an error is signalled
now if they are not of length one.
Value
A list of class "integrate" with components
value |
the final estimate of the integral. |
abs.error |
estimate of the modulus of the absolute error. |
subdivisions |
the number of subintervals produced in the subdivision process. |
message |
|
call |
the matched call. |
Note
Like all numerical integration routines, these evaluate the function on a finite set of points. If the function is approximately constant (in particular, zero) over nearly all its range it is possible that the result and error estimate may be seriously wrong.
When integrating over infinite intervals do so explicitly, rather than just using a large number as the endpoint. This increases the chance of a correct answer – any function whose integral over an infinite interval is finite must be near zero for most of that interval.
For values at a finite set of points to be a fair reflection of the behaviour of the function elsewhere, the function needs to be well-behaved, for example differentiable except perhaps for a small number of jumps or integrable singularities.
f must accept a vector of inputs and produce a vector of function
evaluations at those points. The Vectorize function
may be helpful to convert f to this form.
Source
Based on QUADPACK routines dqags and dqagi by
R. Piessens and E. deDoncker–Kapenga, available from Netlib.
References
R. Piessens, E. deDoncker–Kapenga, C. Uberhuber, D. Kahaner (1983) Quadpack: a Subroutine Package for Automatic Integration; Springer Verlag.
Examples
integrate(dnorm, -1.96, 1.96)
integrate(dnorm, -Inf, Inf)
## a slowly-convergent integral
integrand <- function(x) {1/((x+1)*sqrt(x))}
integrate(integrand, lower = 0, upper = Inf)
## don't do this if you really want the integral from 0 to Inf
integrate(integrand, lower = 0, upper = 10)
integrate(integrand, lower = 0, upper = 100000)
integrate(integrand, lower = 0, upper = 1000000, stop.on.error = FALSE)
## some functions do not handle vector input properly
f <- function(x) 2.0
try(integrate(f, 0, 1))
integrate(Vectorize(f), 0, 1) ## correct
integrate(function(x) rep(2.0, length(x)), 0, 1) ## correct
## integrate can fail if misused
integrate(dnorm, 0, 2)
integrate(dnorm, 0, 20)
integrate(dnorm, 0, 200)
integrate(dnorm, 0, 2000)
integrate(dnorm, 0, 20000) ## "fails" on many systems -- "wrongly" giving '0'
integrate(dnorm, 0, Inf) ## works
integrate(dnorm, 0:1, 20) #-> error!
## "silently" gave integrate(dnorm, 0, 20) in earlier versions of R