Re: [R] Types of quadrature

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Wed, 12 Mar 2008 14:20:37 -0400

Hi,

Why do you need an extension of integrate()? integrate() is adaptive - it uses an adaptive Gauss-Kronrod quadrature.

You can specify Inf and -Inf as upper and lower limits, resp., in integrate(). In fact, this is what the help page recommends, and it also discourages the use of a large number as a surrogate for Inf.

What is the specific problem or distribution that you are having trouble with in using integrate()?

Ravi.



Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan_at_jhmi.edu

Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html



-----Original Message-----
From: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org] On Behalf Of Lüthi David (luda)
Sent: Wednesday, March 12, 2008 1:25 PM
To: r-help_at_r-project.org
Subject: [R] Types of quadrature

Dear R-users

I would like to integrate something like \int_k^\infty (1 - F(x)) dx, where (.) is a cumulative distribution function. As mentioned in the "integrate" help-page: integrate(dnorm,0,20000) ## fails on many systems. This does not happen for an adaptive Simpson or Lobatto quadrature (cf. Matlab). Even though I am hardly familiar with numerical integration the implementation seems to be fairly straightforward.

My questions:
- Is this extension of the function "integrate" planned for upcoming
versions of R?
- Do there exist packages / workarounds?

I'm using R 2.6.2 on Windows and the reason why I want to integrate such an expression is for the sake to compute the performance measure "Omega" for financial securities.

Best regards,
David

--
David Lüthi
idp - Institute of Data Analysis and Process Design
Zurich University of Applied Sciences
Postfach 805
CH-8401 Winterthur

E-mail: david.luethi_at_zhaw.ch
Phone: 058 934 78 03
http://www.idp.zhaw.ch 
--

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Received on Wed 12 Mar 2008 - 18:36:09 GMT

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