[R] How to double integrate a function in R

[Hans W Borchers]

Tiago V. Pereira <tiago.pereira <at> mbe.bio.br> writes:

> I am trying to double integrate the following expression:
> 
> #  expression
> (1/(2*pi))*exp(-y2/2)*sqrt((y1/(y2-y1)))
> 
> for y2>y1>0.
> 
> I am trying the following approach
> 
> # first attempt
> 
>  library(cubature)
>     fun <- function(x)   { (1/(2*pi))*exp(-x[2]/2)*sqrt((x[1]/(x[2]-x[1])))}
>     adaptIntegrate(fun, lower = c(0,0), upper =c(5, 6), tol=1e-8)
> 
> However, I don't know how to constrain the integration so that y2>y1>0.
> 
> Any ideas?
> Tiago

You could use integral2() in package 'pracma'. It implements the
"TwoD" algorithm and has the following properties:

(1) The boundaries of the second variable y can be functions of the first
      variable x;
(2) it can handle singularities on the boundaries (to a certain extent).

    > library(pracma)
    > fun <- function(y1, y2) (1/(2*pi))*exp(-y2/2)*sqrt((y1/(y2-y1)))

    > integral2(fun, 0, 5, function(x) x, 6, singular=TRUE)
    $Q
    [1] 0.7706771
    
    $error
    [1] 7.890093e-11

The relative error is a bit optimistic, the absolute error here is < 0.5e-6.
The computation time is 0.025 seconds.

Hans Werner