private double IntegrateInner(double from, double to, double rho, double x)
{
double kronrodSum = 0.0;
double gaussSum = 0.0;
double y = 0.0;
double yt = 0.0;
double densityBN = 0.0;
double center = (from + to) / 2.0;
double halfDistance = to - center;
for (int i = 0; i < abscissae.Length; i++)
{
y = abscissae[i] * halfDistance + center;
yt = transform(y);
densityBN = BivariateStandardNormal.GetDensity(x, y, rho);
kronrodSum += yt * densityBN * kronrodWeights[i];
gaussSum += yt * densityBN * gaussWeights[i];
}
kronrodSum = halfDistance * kronrodSum;
gaussSum = halfDistance * gaussSum;
if (Math.Abs(kronrodSum - gaussSum) > TOLERANCE_INNER)
{
kronrodSum = IntegrateInner(from, center, rho, x) + IntegrateInner(center, to, rho, x);
}
return(kronrodSum);
}
private double IntegrateInner(double from, double to, double rho, double x)
{
var kronrodSum = 0.0;
var gaussSum = 0.0;
var y = 0.0;
var yt = 0.0;
var densityBN = 0.0;
var center = (from + to) / 2.0;
var halfDistance = to - center;
for (var i = 0; i < abscissae.Length; i++)
{
y = abscissae[i] * halfDistance + center;
yt = Transform(y);
densityBN = BivariateStandardNormal.GetDensity(x, y, rho);
kronrodSum += yt * densityBN * kronrodWeights[i];
gaussSum += yt * densityBN * gaussWeights[i];
}
kronrodSum = halfDistance * kronrodSum;
gaussSum = halfDistance * gaussSum;
if (System.Math.Abs(kronrodSum - gaussSum) > Tolerance_Inner)
{
kronrodSum = IntegrateInner(from, center, rho, x) + IntegrateInner(center, to, rho, x);
}
return(kronrodSum);
}