A C++ header-only, precision-independent library for performing numerical integration. This project is intended to be easily utilized in conjunction with the Eigen C++ library. (For a very simple way to incorporate this Numerical Integration capability as one of the unsupported submodules in your normal Eigen package, just clone our fork of the eigen library from this Bitbucket Repository and use the normal commands install it!)
$ hg clone ssh://[email protected]/tbs1980/eigen-numerical-integration-module
$ cd eigen-numerical-integration-module/
$ mkdir build
$ cd build
$ cmake ..
$ make
$ sudo make install
Adaptive Quadrature Numerical Integration routine in the Gauss Kronrod method capable of multiprecision calculation of Gauss Kronrod nodes/weights utilizing Laurie/Gautschi and Piessens'/Patterson's methods for the desired number of nodes/ruleset for the quadrature calculations. Considerations have also been also paid in this effort to allow the future integration of the additional QUADPACK routines.
The original QUADPACK FORTRAN77 code can be found here: (http://www.netlib.org/quadpack/)
Note: The naming of functions and variable has been adapted to favor either the associated
journal publications' naming or simply better descriptive names over the original
QUADPCK FORTRAN77 source code.
C++ functionality has been created for the calculation of Gauss-Kronrod Quadrature Weights and Abscissa based on previous work by Dirk Laurie, Walter Gautschi, and Robert Piessens', et. al. This work has also been templated/extended to allow multiple precision by Pavel Holoborodko, Sreekumar Thaitara Balan, Mark Sauder, and Matt Beall. Additional contribution to the Piessens' method for calculations of the nodes/weights was provided by John Burkardt.
Laurie's (a.k.a. Golub-Welsch), algorithm as implemented is outlined in the following publication:
Calculation of Gauss-Kronrod Quadrature Rules, Dirk P. Laurie
Mathematics of Computation, Volume 66, Number 219, July 1997, Pages 1133-1145
S 0025-5718(97)00861-2:
Walter Gautschi's OPQ Matlab library and the work cited above can be found at:
https://www.cs.purdue.edu/archives/2002/wxg/codes/OPQ.html,
Orthogonal Polynomials, Quadrature, and Approximation: Computational Methods and Software (in Matlab),
can be found at: https://www.cs.purdue.edu/homes/wxg/Madrid.pdf
Monegato method used in quadpackcpp is under development
Some remarks on the construction of extended Gaussian quadrature rules", Giovanni Monegato,
Math. Comp., Vol. 32 (1978) pp. 247-252. http://www.jstor.org/stable/2006272 .
The capabilities of this library have been greatly expanded through multiprecision templating via MPFRC++. The homepage of MPFRC++ can be found here: (http://www.holoborodko.com/pavel/mpfr/)
(If extended precision is needed, as will be the case for computing the Gauss-Kronrod nodes/weights or if desired for integration computations, MPFR C++ will also be required.)
Debian-based linux users can install dependencies with aptitude package manager:
$sudo apt-get install libeigen3-dev
(and if your application requires extended precision)
$sudo apt-get install libmpfrc++-dev
A compile script has been added to the top level directory, from a terminal you may simply run: ./compile.sh
(The following compilation flags must be passed)
* -DEIGEN3_INCLUDE_DIR
* -DGMP_ROOT
* -DMPFR_ROOT
* -DMPFRCPP_ROOT
$ mkdir build
$ cd build
$ cmake -DEIGEN3_INCLUDE_DIR=path_to_Eigen3 -DGMP_ROOT=path_GMP_root_dir -DMPFR_ROOT=path_to_MPFR_root_dir -DMPFRCPP_ROOT=path_to_MPFRC++_root_dir path_to_GaussKronrod
$ make
For example,
$ cmake ../ -DEIGEN3_INCLUDE_DIR=/arxiv/libraries/ubuntu/gcc/eigen-3.2.1/include/eigen3 -DGMP_ROOT=/arxiv/libraries/ubuntu/gcc/gmp-6.0.0 -DMPFR_ROOT=/arxiv/libraries/ubuntu/gcc/mpfr-3.1.2 -DMPFRCPP_ROOT=/arxiv/libraries/ubuntu/gcc/mpfrc++-3.5.9
$ make
When utilizing this library for precision higher than 53 bits, (double precision), the Gauss-Kronrod nodes must be computed at run-time by calling the QuadratureKronrod::computeNodesAndWeights() method. This is due to the default precision value of long double and mpreal types at the initialization of the static arrays used to store the Gauss-Kronrod nodes and weights. Two details are at play, 1) using long doubles requires the array initialization values to be appended with an "L" for the compiler to invoke higher than double precision during initialization, and 2) when initialized, the default precision of mpreal types is 53 bits, therefore the tabulated values are truncated to double precision and values at the arbitrary desired level of precision should be recomputed at the beginning of the runtime integration.
The way to work around this is to call the computeNodesAndWeights() method once at the beginning of your program.
Contributions are most welcome 😄 . Please submit a pull request or use the issues facility to raise any comments 👍 .
(You can let people know that this Repository was useful to you by clicking the "Star" in the upper right of the repository home page!)
Here's an alphabetical list: (note to contributors: do add yourself!)
| name | contributions |
|---|---|
| Sreekumar T. Balan | Laurie-Gautschi and Monegato methods |
| Matt Beall | Adaptive quadrature and Piessens method |
| Mark Sauder | Adaptive quadrature, Piessens method, unit-tests |