FunctionMathIntegrate Method (FuncDouble, Double, Double, Double, IntegrationSettings)
public static IntegrationResult Integrate( Func<double, double> integrand, double start, double end, IntegrationSettings settings )
Public Shared Function Integrate ( integrand As Func(Of Double, Double), start As Double, end As Double, settings As IntegrationSettings ) As IntegrationResult
public: static IntegrationResult^ Integrate( Func<double, double>^ integrand, double start, double end, IntegrationSettings^ settings )
static member Integrate : integrand : Func<float, float> * start : float * end : float * settings : IntegrationSettings -> IntegrationResult
Our integrator handles smooth functions extremely efficiently. It handles integrands with discontinuities or kinks at the price of slightly more evaluations of the integrand. It can handle oscillatory functions, as long as cancelation between positive and negative regions is not too severe. It can integrate logarithmic and mild power-law singularities.
Strong power-law singularities will cause the algorithm to fail with a NonconvergenceException. This is unavoidable for essentially any double-precision numerical integrator. Consider, for example, the integrable singularity x-1/2. Since ε = ∫0δ x-1/2 dx = 2 δ1/2, points within δ ∼ 10-16 of the end-points, which as a close as you can get to a point in double precision without being on top of it, contribute at the ε ∼ 10-8 level to our integral, well beyond limit that nearly-full double precision requires. Said differently, to know the value of the integral to ε ∼ 10-16 precision, we would need to evaluate the contributions of points within δ ∼ 10-32 of the endpoints, which is far closer than we can get.
If you need to evaluate an integral with such a strong singularity, try to make an analytic change of variable to absorb the singularity before attempting numerical integration. For example, to evaluate I = ∫0b f(x) x-1/2 dx, substitute y = x1/2 to obtain I = 2 ∫0√b f(y2) dy.
To do multi-dimensional integrals, use Integrate(FuncIReadOnlyListDouble, Double, IReadOnlyListInterval, IntegrationSettings).