Integral of a 1-dimensional function using the Gauss-Kronrod methods. More...
#include <ql/math/integrals/kronrodintegral.hpp>
Inherits Integrator.
Public Member Functions | |
GaussKronrodAdaptive (Real tolerance, Size maxFunctionEvaluations=Null< Size >()) | |
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Integrator (Real absoluteAccuracy, Size maxEvaluations) | |
Real | operator() (const boost::function< Real(Real)> &f, Real a, Real b) const |
Real | absoluteError () const |
Size | numberOfEvaluations () const |
virtual bool | integrationSuccess () const |
void | setAbsoluteAccuracy (Real) |
void | setMaxEvaluations (Size) |
Real | absoluteAccuracy () const |
Size | maxEvaluations () const |
Protected Member Functions | |
Real | integrate (const boost::function< Real(Real)> &f, Real a, Real b) const |
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virtual Real | integrate (const boost::function< Real(Real)> &f, Real a, Real b) const =0 |
void | setAbsoluteError (Real error) const |
void | setNumberOfEvaluations (Size evaluations) const |
void | increaseNumberOfEvaluations (Size increase) const |
Integral of a 1-dimensional function using the Gauss-Kronrod methods.
This class provide an adaptive integration procedure using 15 points Gauss-Kronrod integration rule. This is more robust in that it allows to integrate less smooth functions (though singular functions should be integrated using dedicated algorithms) but less efficient beacuse it does not reuse precedently computed points during computation steps.
References:
Gauss-Kronrod Integration http://mathcssun1.emporia.edu/~oneilcat/ExperimentApplet3/ExperimentApplet3.html
NMS - Numerical Analysis Library http://www.math.iastate.edu/burkardt/f_src/nms/nms.html