[R] R numerical integration
casperyc
casperyc at hotmail.co.uk
Fri Mar 23 21:27:57 CET 2012
Hi all,
Is there any other packages to do numerical integration other than the
default 'integrate'?
Basically, I am integrating:
integrate(function(x) dnorm(x,mu,sigma)/(1+exp(-x)),-Inf,Inf)$value
The integration is ok provided sigma is >0.
However, when mu=-1.645074 and sigma=17535.26
It stopped working. On the other hand, Maple gives me a value of
0.5005299403.
It is an important line of the coding that I am doing and I am looking for
some package that is able to do numerical integration efficiently (fast and
accurate to a tol=1e-4). I have tried 'cubature', which does not give me
anything even after 10 minutes.
Thanks.
casper
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PhD candidate in Statistics
School of Mathematics, Statistics and Actuarial Science, University of Kent
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