[R] two-dimensional integration?
Prof Brian Ripley
ripley at stats.ox.ac.uk
Thu Mar 10 08:56:34 CET 2005
Nils,
For 2D, see package 'adapt' on CRAN. e.g.
adapt(2, c(0,0), c(1,1), functn=function(x) sin(prod(x))*exp(x[1]-x[2]))
Package `adapt' will do larger numbers of dimensions, but numerical
quadrature is often no more effective than Monte-Carlo methods in more
than a few dimensions. For very smooth functions, quasi-random numbers
can help.
A good reference aimed at statisticians is
@Book{Evans.Swartz.00,
author = {Michael Evans and Tim Swartz},
title = {Approximating Integrals via Monte Carlo and
Deterministic Methods},
publisher = {Oxford University Press},
year = 2000,
address = {Oxford},
ISBN = "0-19-850278-8",
}
BTW, we are not good are predicting to 2014, but fairly good at the
present. In this case I could not guess a good search term on
http://search.r-project.org, but it often gets you there. It has a
`complete' list of packages, as does CRAN, and searching those pages for
`integrate' works.
Brian
On Thu, 10 Mar 2005, Nils-at-Duke Lid Hjort wrote:
> 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]
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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