Gauss-Legendre Quadrature
Gauss-Legendre quadrature over a finite interval.
GLIntegrate(f, lower, upper, order = 500, ...)
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 |
finite lower limit of integration. |
upper |
finite upper limit of integration. |
order |
order of Gauss-Legendre quadrature. |
... |
additional arguments to be passed to |
In case order = 100, 500, 1000 saved abscissas and weights
are used. Otherwise the corresponding abscissas and weights are
computed using the algorithm given in Section 4.5 of
Press et al. (1992).
Estimate of the integral.
Matthias Kohl Matthias.Kohl@stamats.de
W.H. Press, S.A. Teukolsky, W.T. Vetterling, B.P. Flannery (1992) Numerical Recipies in C. The Art of Scientific Computing. Second Edition. Cambridge University Press.
integrate(dnorm, -1.96, 1.96) GLIntegrate(dnorm, -1.96, 1.96)
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