Re: [R] two-dimensional integration?

From: Dimitris Rizopoulos <dimitris.rizopoulos_at_med.kuleuven.ac.be>
Date: Thu 10 Mar 2005 - 19:02:35 EST

This existed even before the Athens Olympics 2004 :)

look at package "adapt" which integrates a function from 2 to 20 dimensions, e.g.,

f <- function(x){

x1 <- x[1]
x2 <- x[2]
sin(x1*x2)*exp(x1-x2)
}

I hope it helps.

Best,
Dimitris

Dimitris Rizopoulos
Ph.D. Student
Biostatistical Centre
School of Public Health
Catholic University of Leuven

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• Original Message ----- From: "Nils-at-Duke Lid Hjort" <hjort@isds.duke.edu> To: <R-help@stat.math.ethz.ch>; <nils@math.uio.no> Sent: Thursday, March 10, 2005 6:22 AM Subject: [R] two-dimensional integration?

>I find the one-dimensional "integrate" very helpful,
> but often enough I stumble into problems that require
> two (or more)-dimensional integrals. I suppose there
> are no R functions that can do this for me, "directly"?
>
> The ideal thing would be to be able to define say
> f <- function(x)
> {
> x1 <- x[1]
> x2 <- x[2]
> sin(x1*x2)*exp(x1-x2)
> }
> and then write say
> integrate(f, xlim=c(0,1), ylim=c(0,1)) .
>
> (a) No such thing exists, as of today, right?
> (b) There *are* general numerical routines "out there"
> for doing such things, right? (Importance sampling
> or adaptive important sampling would often do the
> job, but it would be difficult to find something that
> "always" works -- at least in higher dimension?
> Also, iterated one-dimensional integrations could
> be attempted, but I find that messy, also because
> things lose the g(many) = many(g) property, and
> then R refuses to integrate g.)
> (c) Will a thing like the above exist in R before
> the Tromsoe Olympics in 2014? For which dimensions?
> Nils Lid Hjort

> [Professor of statistics at Oslo, but currently at Duke]
>
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