inst/resources/scripts/simpson.r

# program spuRs/resources/scripts/simpson.r

simpson <- function(ftn, a, b, tol = 1e-8, verbose = FALSE) {
  # numerical integral of ftn from a to b
  # using Simpson's rule with tolerance tol
  #
  # ftn is a function of a single variable and a < b
  # if verbose is TRUE then n is printed to the screen

  # initialise
  n <- 4
  h <- (b - a)/4
  fx <- sapply(seq(a, b, by = h), ftn)
  S <- sum(fx*c(1, 4, 2, 4, 1))*h/3
  S.diff <- tol + 1  # ensures we loop at least once
  
  # increase n until S changes by less than tol
  while (S.diff > tol) {
    # cat('n =', n, 'S =', S, '\n')  # diagnostic
    S.old <- S
    n <- 2*n
    h <- h/2
    fx[seq(1, n+1, by = 2)] <- fx  # reuse old ftn values
    fx[seq(2, n, by = 2)] <- sapply(seq(a+h, b-h, by = 2*h), ftn)
    S <- h/3*(fx[1] + fx[n+1] + 4*sum(fx[seq(2, n, by = 2)]) +
         2*sum(fx[seq(3, n-1, by = 2)]))
    S.diff <- abs(S - S.old)
  }
  if (verbose) cat('partition size', n, '\n')
  return(S)
}

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spuRs documentation built on May 30, 2017, 4:58 a.m.