[R] Numerical integration

[David Winsemius]

On Nov 17, 2010, at 6:44 AM, Eduardo de Oliveira Horta wrote:

> Hi!
>
> I was wondering if there are any other functions for numerical  
> integration,
> besides 'integrate' from the stats package, but which wouldn't  
> require the
> integrand to be vectorized. Oh, and must be capable of integrating  
> over
> (-inf,+inf).

You could modify integrate to suit you specifications, Just substitute  
this at the beginning of the integrate:

integrateV <- function (f, lower, upper, ..., subdivisions = 100,  
rel.tol = .Machine$double.eps^0.25,
     abs.tol = rel.tol, stop.on.error = TRUE, keep.xy = FALSE,
     aux = NULL)
{
     f <- match.fun(f)
     ### New material
     options(show.error.messages = FALSE)
     if( class(try(integrate(f, upper, lower))) == 'try-error') {f <-  
Vectorize(f)}
     options(show.error.messages = TRUE)
     ### End new material
     ff <- function(x) f(x, ...)
.
.
.


Passes both your requirements:
 >  zz<- function(x) 2.0  # the function that fails in the integrate  
help page
 > try(integrateV(zz, 0, 1))
2 with absolute error < 2.2e-14

 >  zz<- function(x) dnorm(x) # test of infinite range capacity
 > try(integrateV(zz, -Inf, Inf))
1 with absolute error < 9.4e-05


-- 

David Winsemius, MD
West Hartford, CT