Re: [math] Calculating bivariate integral

[Ted Dunning]

Have you tried nesting univariate integrators?

That is the function passed to the first integrator would be something that
calls the second integrator?

This strategy is disastrous for high dimensionality, but should be adequate
with two variable.



On Tue, Jul 29, 2014 at 9:11 PM, Marcelo Alves marceloalve...@gmail.com
wrote:

 Hi,

 The apache math library for java supports only univariates integrators. Is
 there a way to use these integrators to calculate bivariate integral?

 Thanks

Re: [math] Calculating bivariate integral

[Alexander Nozik]

Hello,
the problem is the number of function calls which is tremendously high 
for any non-univariate integral. Event if you have bivariate function 
with say 300 nodes for each dimension, the total number of calls is 
9. There is rather limited number of cases when you can sacrifice 
performance in that way. In such cases you can easily replace bivariate 
integral by nested integration as proposed by Ted Dunning . If the 
performance is an issue, you should either use symbol algebra 
(DerivativeStructure) or implement some kind of Monte-Carlo integration 
procedure which is not yet present at commons-math (I use a Monte-Carlo 
sampler).


With best regards, Alexander Nozik.

On 30-Jul-14 07:11, Marcelo Alves wrote:

Hi,

The apache math library for java supports only univariates integrators. Is
there a way to use these integrators to calculate bivariate integral?

Thanks

[math] Calculating bivariate integral

[Marcelo Alves]

Hi,

The apache math library for java supports only univariates integrators. Is
there a way to use these integrators to calculate bivariate integral?

Thanks