Package org.drip.numerical.integration

Class QuadratureEstimator

java.lang.Object
org.drip.numerical.integration.QuadratureEstimator
Direct Known Subclasses:
NestedQuadratureEstimator
public class QuadratureEstimator
extends java.lang.Object
QuadratureEstimator estimates an Integrand Quadrature using the Array of Transformed Quadrature Abscissa and their corresponding Weights. The References are:

  • Briol, F. X., C. J. Oates, M. Girolami, and M. A. Osborne (2015): Frank-Wolfe Bayesian Quadrature: Probabilistic Integration with Theoretical Guarantees arXiv
  • Forsythe, G. E., M. A. Malcolm, and C. B. Moler (1977): Computer Methods for Mathematical Computation Prentice Hall Englewood Cliffs NJ
  • Leader, J. J. (2004): Numerical Analysis and Scientific Computation Addison Wesley
  • Stoer, J., and R. Bulirsch (1980): Introduction to Numerical Analysis Springer-Verlag New York
  • Wikipedia (2019): Numerical Integration https://en.wikipedia.org/wiki/Numerical_integration


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    QuadratureEstimator​(AbscissaTransform abscissaTransform, Array2D nodeWeightArray)
    QuadratureEstimator Constructor

  • Method Summary

    Modifier and Type Method Description
    AbscissaTransform abscissaTransform()
    Retrieve the Abscissa Transform
    double integrate​(R1ToR1 r1ToR1Integrand)
    Integrate the Specified Integrand over the Nodes
    Array2D nodeWeightArray()
    Retrieve the 2D Array of Nodes and Weights

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • QuadratureEstimator

      public QuadratureEstimator​(AbscissaTransform abscissaTransform, Array2D nodeWeightArray) throws java.lang.Exception
      QuadratureEstimator Constructor
      Parameters:
      abscissaTransform - The Abscissa Transform
      nodeWeightArray - Array of the Nodes and Weights
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • abscissaTransform

      public AbscissaTransform abscissaTransform()
      Retrieve the Abscissa Transform
      Returns:
      The Abscissa Transform

    • nodeWeightArray

      public Array2D nodeWeightArray()
      Retrieve the 2D Array of Nodes and Weights
      Returns:
      2D Array of Nodes and Weights

    • integrate

      public double integrate​(R1ToR1 r1ToR1Integrand) throws java.lang.Exception
      Integrate the Specified Integrand over the Nodes
      Parameters:
      r1ToR1Integrand - The R1 To R1 Integrand
      Returns:
      The Integrand Quadrature
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid