/// <summary>
/// Integration of the function f with adaptive stepsize. The integration region is divided into subintervals,
/// and on each iteration the subinterval with the largest estimated error is bisected. This reduces the overall error
/// rapidly, as the subintervals become concentrated around local difficulties in the integrand. The function allocates static
/// memory for the used workspace accoring to the parameter memlimit.
/// This function applies an integration rule adaptively until an estimate of the integral of f over (a,b) is achieved within
/// the desired absolute and relative error limits, epsabs and epsrel. The integration rule is determined by the value of smoothness,
/// which should be chosen between 1 for smooth functions and 0 for functions that contain local difficulties, such as discontinuities.
/// </summary>
/// <param name="f">The function to integrate</param>
/// <param name="a">The lower bound of the integration</param>
/// <param name="b">The upper bound of the integration</param>
/// <param name="epsabs">The desired absolute error</param>
/// <param name="epsrel">The desired relative error</param>
/// <param name="memlimit">The maximum memory consumption of the routine, in bytes</param>
/// <param name="smoothness">The smoothness of the funtion. 1 indicates a smooth function and 0 indicates a function with local
/// difficulties.</param>
/// <param name="abserr">The absolute error of the integral</param>
/// <returns></returns>
public static double qa(IFunction1D f,
double a, double b,
double epsabs, double epsrel, int memlimit,
float smoothness,
out double abserr) {
IntegrationRule integration_rule = r15;
int limit = memlimit / (4*sizeof(double) + 2*sizeof(int));
double result = double.NaN;
Workspace workspace = new Workspace(limit);
if (smoothness < 0) smoothness = 0;
else if (smoothness >= 1) smoothness = 1;
switch ((int)(smoothness*6)) {
case 0:
integration_rule = r15;
break;
case 1:
integration_rule = r21;
break;
case 2:
integration_rule = r31;
break;
case 3:
integration_rule = r41;
break;
case 4:
integration_rule = r51;
break;
case 5:
case 6:
integration_rule = r61;
break;
default: break;
}
qag_work(f, a, b, epsabs, epsrel, limit, out result, out abserr, integration_rule, workspace);
return result;
}
static void qag_work(IFunction1D f,
double a, double b,
double epsabs, double epsrel,
int limit, out double result, out double abserr,
IntegrationRule q, Workspace workspace) {
double area, errsum;
double result0, abserr0, resabs0, resasc0;
double tolerance;
int iteration = 0;
int roundoff_type1 = 0, roundoff_type2 = 0, error_type = 0;
double round_off;
/* Initialize results */
workspace.initialise(a, b);
result = 0;
abserr = 0;
if (limit > workspace.limit) { throw new ArgumentOutOfRangeException("iteration limit exceeds available workspace"); }
if (epsabs <= 0 && (epsrel < 50 * GSL_DBL_EPSILON || epsrel < 0.5e-28)) {
throw new ArgumentOutOfRangeException("tolerance cannot be acheived with given epsabs and epsrel");
}
/* perform the first integration */
q(f, a, b, out result0, out abserr0, out resabs0, out resasc0, workspace);
workspace.set_initial_result(result0, abserr0);
/* Test on accuracy */
tolerance = Math.Max(epsabs, epsrel * Math.Abs(result0));
/* need IEEE rounding here to match original quadpack behavior */
round_off = (50 * GSL_DBL_EPSILON * resabs0);
if (abserr0 <= round_off && abserr0 > tolerance) {
result = result0;
abserr = abserr0;
if (ThrowOnErrors) throw new ArithmeticException("cannot reach tolerance because of roundoff error on first attempt");
return;
} else if ((abserr0 <= tolerance && abserr0 != resasc0) || abserr0 == 0.0) {
result = result0;
abserr = abserr0;
return;
} else if (limit == 1) {
result = result0;
abserr = abserr0;
if (ThrowOnErrors) throw new ArithmeticException("a maximum of one iteration was insufficient");
return;
}
area = result0;
errsum = abserr0;
iteration = 1;
do {
double a1, b1, a2, b2;
double a_i, b_i, r_i, e_i;
double area1 = 0, area2 = 0, area12 = 0;
double error1 = 0, error2 = 0, error12 = 0;
double resasc1, resasc2;
double resabs1, resabs2;
/* Bisect the subinterval with the largest error estimate */
workspace.retrieve(out a_i, out b_i, out r_i, out e_i);
a1 = a_i;
b1 = 0.5 * (a_i + b_i);
a2 = b1;
b2 = b_i;
q(f, a1, b1, out area1, out error1, out resabs1, out resasc1, workspace);
q(f, a2, b2, out area2, out error2, out resabs2, out resasc2, workspace);
area12 = area1 + area2;
error12 = error1 + error2;
errsum += (error12 - e_i);
area += area12 - r_i;
if (resasc1 != error1 && resasc2 != error2) {
double delta = r_i - area12;
if (Math.Abs(delta) <= 1.0e-5 * Math.Abs(area12) && error12 >= 0.99 * e_i) {
roundoff_type1++;
}
if (iteration >= 10 && error12 > e_i) {
roundoff_type2++;
}
}
tolerance = Math.Max(epsabs, epsrel * Math.Abs(area));
if (errsum > tolerance) {
if (roundoff_type1 >= 6 || roundoff_type2 >= 20) {
error_type = 2; /* round off error */
}
/* set error flag in the case of bad integrand behaviour at
a point of the integration range */
if (subinterval_too_small(a1, a2, b2)) {
error_type = 3;
}
}
workspace.update(a1, b1, area1, error1, a2, b2, area2, error2);
workspace.retrieve(out a_i, out b_i, out r_i, out e_i);
iteration++;
} while (iteration < limit && error_type == 0 && errsum > tolerance);
result = workspace.sum_results();
abserr = errsum;
if (errsum <= tolerance) {
return;
} else if (error_type == 2) {
if (ThrowOnErrors) throw new ArithmeticException("roundoff error prevents tolerance from being achieved");
} else if (error_type == 3) {
if (ThrowOnErrors) throw new ArithmeticException("bad integrand behavior found in the integration interval");
} else if (iteration == limit) {
if (ThrowOnErrors) throw new ArithmeticException("maximum number of subdivisions reached, increase memlimit.");
} else {
if (ThrowOnErrors) throw new ArithmeticException("could not integrate function");
}
}
public static void Integrate(QuadFunction f, double a, double b, double epsabs, double epsrel, int limit, out double result, out double abserr, IntegrationRule q)
{
double area, errsum;
double result0, abserr0, resabs0, resasc0;
double tolerance;
int iteration = 0;
int roundoff_type1 = 0, roundoff_type2 = 0, error_type = 0;
double round_off;
/* Initialize results */
IntegrationWorkspace workspace = new IntegrationWorkspace(limit, a, b);
result = 0;
abserr = 0;
if (epsabs <= 0 && (epsrel < 50 * QuadConst.dbl_eps || epsrel < 0.5e-28)) {
throw new ArgumentException("Tolerance cannot be achieved with given epsabs and epsrel");
}
/* perform the first integration */
q(f, a, b, out result0, out abserr0, out resabs0, out resasc0);
workspace.SetInitialResult(result0, abserr0);
/* Test on accuracy */
tolerance = Math.Max(epsabs, epsrel * Math.Abs(result0));
/* need IEEE rounding here to match original quadpack behavior */
round_off = 50 * QuadConst.dbl_eps * resabs0;
if (abserr0 <= round_off && abserr0 > tolerance) {
result = result0;
abserr = abserr0;
throw new InvalidOperationException("cannot reach tolerance because of roundoff error on first attempt");
}
else if ((abserr0 <= tolerance && abserr0 != resasc0) || abserr0 == 0.0) {
result = result0;
abserr = abserr0;
//return GSL_SUCCESS;
return;
}
else if (limit == 1) {
result = result0;
abserr = abserr0;
throw new InvalidOperationException("a maximum of one iteration was insufficient");
}
area = result0;
errsum = abserr0;
iteration = 1;
do {
double a1, b1, a2, b2;
double a_i, b_i, r_i, e_i;
double area1 = 0, area2 = 0, area12 = 0;
double error1 = 0, error2 = 0, error12 = 0;
double resasc1, resasc2;
double resabs1, resabs2;
/* Bisect the subinterval with the largest error estimate */
workspace.Retrieve(out a_i, out b_i, out r_i, out e_i);
a1 = a_i;
b1 = 0.5 * (a_i + b_i);
a2 = b1;
b2 = b_i;
q(f, a1, b1, out area1, out error1, out resabs1, out resasc1);
q(f, a2, b2, out area2, out error2, out resabs2, out resasc2);
area12 = area1 + area2;
error12 = error1 + error2;
errsum += (error12 - e_i);
area += area12 - r_i;
if (resasc1 != error1 && resasc2 != error2) {
double delta = r_i - area12;
if (Math.Abs(delta) <= 1.0e-5 * Math.Abs(area12) && error12 >= 0.99 * e_i) {
roundoff_type1++;
}
if (iteration >= 10 && error12 > e_i) {
roundoff_type2++;
}
}
tolerance = Math.Max(epsabs, epsrel * Math.Abs(area));
if (errsum > tolerance) {
if (roundoff_type1 >= 6 || roundoff_type2 >= 20) {
error_type = 2; /* round off error */
}
/* set error flag in the case of bad integrand behaviour at
a point of the integration range */
if (workspace.SubintervalTooSmall(a1, a2, b2)) {
error_type = 3;
}
}
workspace.Update(a1, b1, area1, error1, a2, b2, area2, error2);
workspace.Retrieve(out a_i, out b_i, out r_i, out e_i);
iteration++;
}
while (iteration < limit && (error_type == 0) && errsum > tolerance);
result = workspace.SumResults();
abserr = errsum;
if (errsum <= tolerance) {
//return GSL_SUCCESS;
}
else if (error_type == 2) {
throw new InvalidOperationException("roundoff error prevents tolerance from being achieved");
/*GSL_ERROR ("roundoff error prevents tolerance from being achieved",
GSL_EROUND);*/
}
else if (error_type == 3) {
throw new InvalidOperationException("bad integrand found in the integration interval");
/*GSL_ERROR ("bad integrand behavior found in the integration interval",
GSL_ESING);*/
}
else if (iteration == limit) {
//GSL_ERROR ("maximum number of subdivisions reached", GSL_EMAXITER);
throw new InvalidOperationException("maximum number of subdivisions reached");
}
else {
//GSL_ERROR ("could not integrate function", GSL_EFAILED);
throw new InvalidOperationException("could not integrate function");
}
}
public static void Integrate(QuadFunction f, double a, double b, double epsabs, double epsrel, int limit, out double result, out double abserr, IntegrationRule q)
{
double area, errsum;
double result0, abserr0, resabs0, resasc0;
double tolerance;
int iteration = 0;
int roundoff_type1 = 0, roundoff_type2 = 0, error_type = 0;
double round_off;
/* Initialize results */
IntegrationWorkspace workspace = new IntegrationWorkspace(limit, a, b);
result = 0;
abserr = 0;
if (epsabs <= 0 && (epsrel < 50 * QuadConst.dbl_eps || epsrel < 0.5e-28))
{
throw new ArgumentException("Tolerance cannot be achieved with given epsabs and epsrel");
}
/* perform the first integration */
q(f, a, b, out result0, out abserr0, out resabs0, out resasc0);
workspace.SetInitialResult(result0, abserr0);
/* Test on accuracy */
tolerance = Math.Max(epsabs, epsrel * Math.Abs(result0));
/* need IEEE rounding here to match original quadpack behavior */
round_off = 50 * QuadConst.dbl_eps * resabs0;
if (abserr0 <= round_off && abserr0 > tolerance)
{
result = result0;
abserr = abserr0;
throw new InvalidOperationException("cannot reach tolerance because of roundoff error on first attempt");
}
else if ((abserr0 <= tolerance && abserr0 != resasc0) || abserr0 == 0.0)
{
result = result0;
abserr = abserr0;
//return GSL_SUCCESS;
return;
}
else if (limit == 1)
{
result = result0;
abserr = abserr0;
throw new InvalidOperationException("a maximum of one iteration was insufficient");
}
area = result0;
errsum = abserr0;
iteration = 1;
do
{
double a1, b1, a2, b2;
double a_i, b_i, r_i, e_i;
double area1 = 0, area2 = 0, area12 = 0;
double error1 = 0, error2 = 0, error12 = 0;
double resasc1, resasc2;
double resabs1, resabs2;
/* Bisect the subinterval with the largest error estimate */
workspace.Retrieve(out a_i, out b_i, out r_i, out e_i);
a1 = a_i;
b1 = 0.5 * (a_i + b_i);
a2 = b1;
b2 = b_i;
q(f, a1, b1, out area1, out error1, out resabs1, out resasc1);
q(f, a2, b2, out area2, out error2, out resabs2, out resasc2);
area12 = area1 + area2;
error12 = error1 + error2;
errsum += (error12 - e_i);
area += area12 - r_i;
if (resasc1 != error1 && resasc2 != error2)
{
double delta = r_i - area12;
if (Math.Abs(delta) <= 1.0e-5 * Math.Abs(area12) && error12 >= 0.99 * e_i)
{
roundoff_type1++;
}
if (iteration >= 10 && error12 > e_i)
{
roundoff_type2++;
}
}
tolerance = Math.Max(epsabs, epsrel * Math.Abs(area));
if (errsum > tolerance)
{
if (roundoff_type1 >= 6 || roundoff_type2 >= 20)
{
error_type = 2; /* round off error */
}
/* set error flag in the case of bad integrand behaviour at
* a point of the integration range */
if (workspace.SubintervalTooSmall(a1, a2, b2))
{
error_type = 3;
}
}
workspace.Update(a1, b1, area1, error1, a2, b2, area2, error2);
workspace.Retrieve(out a_i, out b_i, out r_i, out e_i);
iteration++;
}while (iteration < limit && (error_type == 0) && errsum > tolerance);
result = workspace.SumResults();
abserr = errsum;
if (errsum <= tolerance)
{
//return GSL_SUCCESS;
}
else if (error_type == 2)
{
throw new InvalidOperationException("roundoff error prevents tolerance from being achieved");
/*GSL_ERROR ("roundoff error prevents tolerance from being achieved",
* GSL_EROUND);*/
}
else if (error_type == 3)
{
throw new InvalidOperationException("bad integrand found in the integration interval");
/*GSL_ERROR ("bad integrand behavior found in the integration interval",
* GSL_ESING);*/
}
else if (iteration == limit)
{
//GSL_ERROR ("maximum number of subdivisions reached", GSL_EMAXITER);
throw new InvalidOperationException("maximum number of subdivisions reached");
}
else
{
//GSL_ERROR ("could not integrate function", GSL_EFAILED);
throw new InvalidOperationException("could not integrate function");
}
}