safeIntegrate {DistributionUtils}

Safe Integration of One-Dimensional Functions

Description

Adaptive quadrature of functions of one variable over a finite or infinite interval.

Usage

safeIntegrate(f, lower, upper, subdivisions=100,
              rel.tol = .Machine$double.eps^0.25, abs.tol = rel.tol,
              stop.on.error = TRUE, keep.xy = FALSE, aux = NULL, ...)

Arguments

f

An R function taking a numeric first argument and returning a numeric vector of the same length. Returning a non-finite element will generate an error.

lower, upper

The limits of integration. Can be infinite.

subdivisions

The maximum number of subintervals.

rel.tol

Relative accuracy requested.

abs.tol

Absolute accuracy requested.

stop.on.error

Logical. If true (the default) an error stops the function. If false some errors will give a result with a warning in the message component.

keep.xy

Unused. For compatibility with S.

aux

Unused. For compatibility with S.

...

Additional arguments to be passed to f. Remember to use argument names not matching those of safeIntegrate(.)!

Details

This function is just a wrapper around integrate to check for equality of upper and lower. A check is made using all.equal. When numerical equality is detected, if lower (and hence upper) is infinite, the value of the integral and the absolute error are both set to 0. When lower is finite, the value of the integral is set to 0, and the absolute error to the average of the function values at upper and lower times the difference between upper and lower.

When upper and lower are determined to be different, the result is exactly as given by integrate.

Value

A list of class "integrate" with components:

value

The final estimate of the integral.

abs.error

Estimate of the modulus of the absolute error.

subdivisions

The number of subintervals produced in the subdivision process.

message

"OK" or a character string giving the error message.

call

The matched call.

See Also

The function integrate and all.equal.

Examples

integrate(dnorm, -1.96, 1.96)
safeIntegrate(dnorm, -1.96, 1.96)  # Same as for integrate()
integrate(dnorm, -Inf, Inf)
safeIntegrate(dnorm, -Inf, Inf)    # Same as for integrate()
integrate(dnorm, 1.96, 1.96)       # OK here but can give an error
safeIntegrate(dnorm, 1.96, 1.96)
integrate(dnorm, -Inf, -Inf)
safeIntegrate(dnorm, -Inf, -Inf)   # Avoids nonsense answer
integrate(dnorm, Inf, Inf)
safeIntegrate(dnorm, Inf, Inf)     # Avoids nonsense answer