expect_norm_gq: Calculate the expected value of f(X) with X~N(mu, sigma)

In sebastianueckert/funsu: Collection of Useful Functions

Description

Calculate the expected value of f(X) with X~N(mu, sigma)

Usage

expect_norm_gq(fun, dimensions = 1, mu = rep(0, dimensions),
  sigma = diag(1, dimensions), settings = settings.gq(), ...)

expect_norm_mc(fun, dimensions, mu = rep(0, dimensions),
  sigma = diag(1, dimensions), settings = settings.mc(), ...)

settings.gq(quad_points = 5)

settings.mc(n_samples = 1000, seed = 123)

Arguments

fun	Function to integrate
dimensions	Number of dimensions of X
mu	Mean of X
sigma	Variance of X
settings	Settings
...	Arguments to f

Value

Numeric value of the integral

Functions

• expect_norm_gq: Calculation using Gaussian quadrature

• expect_norm_mc: Calculation using Monte-Carlo sampling

Examples

f <- function(x) x^2
expect_norm_gq(f)

sebastianueckert/funsu documentation built on Nov. 5, 2019, 8:48 a.m.