[R] Double integration using R

[R. Michael Weylandt <michael.weylandt@gmail.com>]

There do exist packages for multi-variate integration in R, but sticking to base functions, what you've described should work but the inner integral will need to be vectorized before it's passes to the outer integral: Vectorize() can do this directly, but it won't be particularly fast since it's not true vectorization. Send real code if this doesn't help and we can take a look at it. 

Michael

On Nov 6, 2011, at 12:15 PM, "Robert A'gata" <rhelpacc at gmail.com> wrote:

> Hi,
> 
> I have a function that I need to do double integration:
> 
> \int^T_0 \int^t_0 N(\delta / \sigma \sqrt(u)) (1-N(\delta / \sigma
> \sqrt(u))) du dt
> 
> where N(x) is a standard normal probability of x.
> 
> I start off by writing an inner integral into a function. Meaning
> \int^t_0 N(\delta,\sigma \sqrt(u)) (1-N(\delta,\sigma \sqrt(u))) du.
> Then calling integrate function on this function. This straightforward
> way does not seem to work. I am not sure if there is any sample code
> to do such integration? Thank you.
> 
> Regards,
> 
> Robert
> 
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