[R] numerical integration of a ftn of 2 variables

From: Chris Rhoads <c-rhoads_at_northwestern.edu>
Date: Tue, 19 Feb 2008 23:07:31 +0000

Dear R gurus,

To start, let me confess to not being an experienced programmer, although I have used R fairly extensively in my work as a
graduate student in statistics.

I wish to find the root of a function of two variables that is defined by an integral which must be evaluated numerically.

So the problem I want to solve is of the form: Find k such that f(k)=0, where f(y) = int_a^b g(x,y) dx. Again, the integral
involved must be done numerically.

I'm told by a friend who knows programming, but not R, that what I need to do is create something like a "local environment"
within which I could create a placeholder for x. So I want to make something like the following work.

f(var) <- function(var) {

cons <- var

g <- function(x,cons) {h(x,cons)}

ret <- function(cons) integrate(g(x,cons),a,b)$value ret

I could then use (e.g.) a Newton Raphson algorithm to find the root of the function"f".


Chris Rhoads
Northwestern University

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