qnwunif: Gaussian quadrature nodes and weights for uniform...

In randall-romero/CompEconR: An R version of Miranda & Fackler's CompEcon toolbox for MATLAB

Description

Generates Gaussian quadrature nodes and probability weights for multivariate Uniform distribution on hypercube [a,b] in R^d.

Usage

qnwunif(n, a = matrix(0, 1, length(n)), b = matrix(1, 1, length(n)))

Arguments

n	1.d number of nodes per dimension
a	1.d left endpoints
b	1.d right endpoints

Value

List with fields

• xpoints prod(n).d quadrature nodes

• weights prod(n).1 quadrature weights

Author(s)

Randall Romero-Aguilar, based on Miranda & Fackler's CompEcon toolbox

References

Miranda, Fackler 2002 Applied Computational Economics and Finance

See Also

Other quadrature functions: qnwequi; qnwlege; qnwlogn; qnwnorm; qnwsimp; qnwtrap; quadrature

Examples

# To compute Ef(X) when f is real-valued and X is Uniform(a,b) on R^d, write a
# function f that returns m.1 vector when passed an m.d matrix, and write
q <- qnwunif(n,a,b)
Ef <- crossprod(q$w,f(q$x))

# Alternatively, use the quadrature function
Ef <- quadrature(f,qnwunif,n,mu,var)

randall-romero/CompEconR documentation built on May 26, 2019, 10:56 p.m.