[R] how to use quadrature to integrate some complicated functions
R. Michael Weylandt
michael.weylandt at gmail.com
Tue Nov 8 20:14:05 CET 2011
It's polite to include the whole list in your replies so the threads
get archived properly.
Yes, underflow is occasionally a problem: hence the common use of
log-likelihood in MLE and other applications. Might that help you out
here? You can get log-likelihoods directly from pnorm and dnorm with
the log = TRUE option.
Michael
On Tue, Nov 8, 2011 at 11:35 AM, Zuofeng Shang <Zuofeng.Shang.5 at nd.edu> wrote:
> Hi Michael , Thanks for your suggestion!
>
> Integrate() possibly workx for my problem. However my function is a product
> of
> a sequence with values between zero and one, which could be extremely small
> when the length of the sequence is large. Note: my integrand is like
>
> Phi(x-a_1)*Phi(x-a_2)*...*Phi(x-a_{n-1})*phi(x-a_n).
>
> So when "n" is very small, the above product will be very close to zero.
>
> So my concern is whether integrate() can handle accurately such integrand.
>
>
> Thanks a lot for your time!
> Best wishes,
> Zuofeng
>
>
>
> 于 2011/11/8 8:43, R. Michael Weylandt <michael.weylandt at gmail.com> 写道:
>>
>> Have you tried wrapping it in a function and using integrate()? R is
>> pretty good at handling numerical integration. If integrate() isn't good for
>> you, can you say more as to why?
>>
>> Michael
>>
>>
>> On Nov 6, 2011, at 4:15 PM, JeffND<Zuofeng.Shang.5 at nd.edu> wrote:
>>
>>> Hello to all,
>>>
>>> I am having trouble with intregrating a complicated uni-dimensional
>>> function
>>> of the following form
>>>
>>> Phi(x-a_1)*Phi(x-a_2)*...*Phi(x-a_{n-1})*phi(x-a_n).
>>>
>>> Here n is about 5000, Phi is the cumulative distribution function of
>>> standard normal,
>>> phi is the density function of standard normal, and x ranges over
>>> (-infty,infty).
>>>
>>> My idea is to to use quadrature to handle this integral. But since Phi
>>> has
>>> not cloaed form,
>>> I don't know how to do this effeciently. I appreciate very much if
>>> someone
>>> has any ideas about it.
>>>
>>> Thanks!
>>>
>>> Jeff
>>>
>>> --
>>> View this message in context:
>>> http://r.789695.n4.nabble.com/how-to-use-quadrature-to-integrate-some-complicated-functions-tp3996765p3996765.html
>>> Sent from the R help mailing list archive at Nabble.com.
>>>
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>
>
> --
>
>
>
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