[R] Types of quadrature

[Ravi Varadhan]

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.

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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



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-----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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