Lightweight Numerical Integration Tools (LNIT) Some basic tools for numrrical integration

Integration over infinie/semi-infinite domain

We want to compute the following integral: $\int_{a}^{\infty} f(x)\mathrm{d}x$ or $\int_{-\infty}^{a} f(x)\mathrm{d}x$.

We can use Gauss-Laguerre quadrature.

const auto f = [mu, sigma, k](const Scalar x) -> Scalar
{
  return std::pow(x, k)*(1 / (sigma*std::sqrt(2*M_PI)))*std::exp(-(x-mu)*(x-mu) / (2*sigma*sigma));
};

LNIT::GaussLaguerreQuadrature<Scalar> quadLaguerre;
quadLaguerre.integrateRightInfinite(f, a); // \f$\int_{a}^{\infty} f(x)\,\mathrm{d}x\f$
quadLaguerre.integrateLeftInfinite(f, a); // \f$\int_{-\infty}^{a} f(x)\,\mathrm{d}x\f$

As for now, the Gauss-Laguerre quadrature is only implemented with 33 nodes.

Now if we want to integrate over $\mathbb{R}$, we could simply do

const Scalar I = quadLaguerre.integrateRightInfinite(f, a) + quadLaguerre.integrateLeftInfinite(f, a);

Or we could use Gauss-Hermite quadrature:

LNIT::GaussHermiteQuadrature<Scalar> quadHermite;
const Scalar hermiteEstimated  = quadHermite.integrate(f);

As for now, the Gauss-Hermite quadrature is only implemented with 66 nodes.

Since both quadratures integrate over $\mathbb{R}$ with the same number of nodes, we could assume both are equaly accurate. We compare how both methods integrate the first 40 moments of a Gaussian distribution ($\sigma = 1$ and $\mu = \frac{1}{2}$). We show, the relative error committed by both Gauss-Laguerre and Gauss-Hermite quadratures and observe that Gauss-Hermite is much more accurate.

This is to be expected as the Gauss-Hermite quadrature is exact for integral of the following kind: $\int_{\mathbb{R}} \exp(-x^2)p(x)\mathrm{d}x$, where $p$ is a polynomial of order 66.

Integration over finite domain with addaptive quadrature

A general strategy for addaptive quadrature over a finite domain $[a,b]$ is to

def integrate(f, a, b, tau):
  I = estimate_integral(f, a, b)
  err = estimate_error(I, f, a, b)
  if err < tau:
    m = (a + b) / 2
    return integrate(f, a, m, tau/2) + integrate(f, m, b, tau/2)
  return I

Addaptive quadratures typically use nested quadratures to estimate the integral and the error. LNIT Implements three nested quadrature.

1. A 15 nodes Gauss legrendre with a 14 and 6 nodes non-Gaussian quadratures
2. A nested Clensaw-Curtis with 33, 17 and 9 nodes
3. A 33 nodes Clensaw-Curtis with a 30 nodes non-Gaussian quadrature

Theses quadratures are implemented in the classes GaussLegendreAdaptiveQuadrature, ClensawCurtisAdaptiveQuadrature and ClensawCurtisHybridAdaptiveQuadrature.

Suppose we want to integrate $f(x) = 2 + \sin(3\cos(0.002(x-40)^2))$ with an addaptive Gauss-Legendre method:

const auto f = [](const Scalar x) -> Scalar
{
  return 2 + std::sin(3.*std::cos(0.002*(x - 40)*(x - 40)));
};

LNIT::GaussLegendreAdaptiveQuadrature<Scalar> quad;
quad.setTol(1.0e-11); //
const Scalar integral  = quad.integrate(mf_k);

Addaptive quadratures over an infinite interval

Addaptives quadratures cannnot be directly used to integrate over $\mathbb{R}$. However, one can:

1. Use an addaptive quadrature over $[-1, 1]$ and perform a change of variable e.g. $x(t) = \frac{t}{1 - t^2}$
2. Use a Gauss-Legendre quadrature to find $a$ (resp. $b$) such that $\int_{-\inf}^{a} f(x)\mathrm{d}x \approx 0$ (resp. $\int_{b}^{\inf} f(x)\mathrm{d}x \approx 0$) and then use an addaptive quadrature over $[a,b]$.

All addaptive quadrature implements an remapAndIntegrate method that implements the change of variable technique and a integrate method that uses the second approach.

Comparaison of the different quadratures.

First, we compare the accuracy of the three quadratures introduced in the above section. In the present section, we are going to integrate over $\mathbb{R}$ using the second approach i.e. we find an interval $[a,b]$ such that $\int_{a}^{b} f(x)\mathrm{d}x \approx \int_{\mathbb{R}} f(x)\mathrm{d}x.$

We compute the first 100 moments of a Gaussian distribution ($\sigma = 1$ and $\mu = \frac{1}{2}$) for various tolerences $10^{-4}$, $10^{-6}$, $10^{-8}$, $10^{-10}$, $10^{-12}$ and $10^{-14}$. and display the actual relative error commited by the quadrature and the prescribed thershold.

We see that the "Hybrid" Clensaw-Curstis (i.e. 33 nodes Clensaw-Curtis with a 30 nodes non-Gaussian quadrature) is the most reliable quadrature as the relative error rarelly grows larger than the prescibed treshold. This means the "Hybrid" Clensaw-Curstis has the most pesimistic error estimate.

We now compare the speed of the three methods on the same example with a treshold of $10^{-11}$.

We see that the Gauss-Legrendre addaptive quadrature is the fastest. This is to be expected as it has roughly the same accuracy as the 33 nodes Clensaw-Curstis with less Nodes. The "Hybrid" Clensaw-Curtis is the slower method. This is to be expected because a) it uses more nodes 33 + 30 vs 33+17+9 vs 15+14+6 and b) its more pesimistic error estimate pushes it to subdivide the integration domain more.

If we need speed, the Gauss-Legrendre addaptive quadrature is the best. If we want precision, the "Hybrid" Clensaw-Curtis is the best. The nested Clensaw-Curtis represents a middle ground between speed and acuracy.

Comparaison of the different integration method over an infinite interval.

We now compare the two approaches to integrate over an infinite interval. We compute the first 100 moments of a Gaussian distribution ($\sigma = 1$ and $\mu = \frac{1}{2}$) with the "Hybrid" Clensaw-Curtis as it is the more accurate.

For the lower modes, the second appraoch is the fastest. Conversly, for the higer modes, the "remap" approach is the fastest.