Numerical Integration

This section describes how to compute numerical integration of a function in one dimension. In Ruby/GSL, all the GSL routines for numerical integration is provided as methods of GSL_Function objects. A GSL_Function object which represents the sine function sin(x) can be created as

f = GSL_Function.new { |x| sin(x) }

To compute numerical integration of sin(x) over the range (a, b), one may invote a method integratexxx, as

f.integratexxx(a, b)

For detailed descriptions of each C function which corresponds to the Ruby instance method listed below, consult GSL manual.

Methods

GSL_Function#integration_qng(a, b, epsabs, epsrel)

This method applies the Gauss-Kronrod integration rules in succession until an estimate of the integral of the reciever function (a GSL_Function object) over (a,b) is achieved within the desired absolute and relative error limits, epsabs and epsrel. The method returns an array of four elements [result, err, neval, status], those are the final approximation of the integration, an estimate of the absolute error, the number of function evaluation, and the status which is returned by the GSL integration_qng() function.

ex.) Integrate sin(x) over x = 0 -- 2 with accuracies epsabs = 0, epsrel = 1.0e-7.

require 'gsl'

f = GSL_Function.new { |x| sin(x) }
ans = f.integration_qng(0, 2, 0, 1.0e-7)
p ans[0]   <- result

GSL_Function#integration_qag(a, b, epsabs, epsrel, limit, key)

This method applies an integration rule adaptively until an estimate of the integral of the reciever function over (a,b) is achieved within the desired absolute and relative error limits, epsabs and epsrel. The method returns an array with four elements [result, err, neval, status]. The integration rule is determined by the value of key, which should be chosen from the following symbolic names,

GSL_INTEG_GAUSS15  (key = 1)
GSL_INTEG_GAUSS21  (key = 2)
GSL_INTEG_GAUSS31  (key = 3)
GSL_INTEG_GAUSS41  (key = 4)
GSL_INTEG_GAUSS51  (key = 5)
GSL_INTEG_GAUSS61  (key = 6)

corresponding to the 15, 21, 31, 41, 51 and 61 point Gauss-Kronrod rules. The higher-order rules give better accuracy for smooth functions, while lower-order rules save time when the function contains local difficulties, such as discontinuities.

ex.) from GSL manual p.160

f = GSL_Function.new { |x|
  log(x)/sqrt(x)
}
p f.integration_qags(0, 1, 0, 1e-7, 1000)

GSL_Function#integration_qags(a, b, epsabs, epsrel, limit)

GSL_Function#integration_qagp(ary, epsabs, epsrel, limit)

GSL_Function#integration_qagi(epsabs, epsrel, limit)

GSL_Function#integration_qagiu(a, epsabs, epsrel, limit)

GSL_Function#integration_qagil(b, epsabs, epsrel, limit)

GSL_Function#integration_qagwc(a, b, c, epsabs, epsrel, limit)

GSL_Function#integration_qaws(a, b, t, epsabs, epsrel, limit)