TEST_NINT
Multi-dimensional Integration
Test Functions.

TEST_NINT, a MATLAB library which defines a set of test problems for the approximate computation of integrals over multi-dimensional regions.

Routines are available to evaluate the integrand, return the exact value of the integral, report the name of the problem, report the integration limits, get, set or modify a base point.

The integrands is assigned an index. The integrands can be invoked by index. Most integrands may be defined for any value of the spatial dimension, which we denote here by m. Most integrands are defined on the unit m-dimensional hypercube. Some integrands include one or more parameters. These generally have default values, which can be altered by the user.

For each problem, a set of routines are available with a standard interface, for manipulating and evaluating the problem. For a problem with index "87", for instance, we might have the following set of routines. The most important is P87_F which evaluates the integrand. We probably also need P87_LIM to determine the limits of integration, and P87_EXACT to get the exact value of the integral (if known). A number of routines are available to set, get, or randomize parameters associated with the problem.

The list of integrand functions includes:

  1. f(x) = ( sum ( x(1:m) ) )^2;
  2. f(x) = ( sum ( 2 * x(1:m) - 1 ) )^4;
  3. f(x) = ( sum ( x(1:m) ) )^5;
  4. f(x) = ( sum ( 2 * x(1:m) - 1 ) )^6;
  5. f(x) = 1 / ( 1 + sum ( 2 * x(1:m) ) );
  6. f(x) = product ( 2 * abs ( 2 * x(1:m) - 1 ) );
  7. f(x) = product ( pi / 2 ) * sin ( pi * x(1:m) );
  8. f(x) = ( sin ( (pi/4) * sum ( x(1:m) ) ) )^2;
  9. f(x) = exp ( sum ( c(1:m) * x(1:m) ) );
  10. f(x) = sum ( abs ( x(1:m) - 0.5 ) );
  11. f(x) = exp ( sum ( abs ( 2 * x(1:m) - 1 ) ) );
  12. f(x) = product ( 1 <= i <= m ) ( i * cos ( i * x(i) ) );
  13. f(x) = product ( 1 <= i <= m ) t(n(i))(x(i)), t(n(i)) is a Chebyshev polynomial;
  14. f(x) = sum ( 1 <= i <= m ) (-1)^i * product ( 1 <= j <= i ) x(j);
  15. f(x) = product ( 1 <= i <= order ) x(mod(i-1,m)+1);
  16. f(x) = sum ( abs ( x(1:m) - x0(1:m) ) );
  17. f(x) = sum ( ( x(1:m) - x0(1:m) )^2 );
  18. f(x) = 1 inside an m-dimensional sphere around x0(1:m), 0 outside;
  19. f(x) = product ( sqrt ( abs ( x(1:m) - x0(1:m) ) ) );
  20. f(x) = ( sum ( x(1:m) ) )^power;
  21. f(x) = c * product ( x(1:m)^e(1:m) ) on the surface of an m-dimensional unit sphere;
  22. f(x) = c * product ( x(1:m)^e(1:m) ) in an m-dimensional ball;
  23. f(x) = c * product ( x(1:m)^e(1:m) ) in the unit m-dimensional simplex;
  24. f(x) = product ( abs ( 4 * x(1:m) - 2 ) + c(1:m) ) / ( 1 + c(1:m) ) );
  25. f(x) = exp ( c * product ( x(1:m) ) );
  26. f(x) = product ( c(1:m) * exp ( - c(1:m) * x(1:m) ) );
  27. f(x) = cos ( 2 * pi * r + sum ( c(1:m) * x(1:m) ) ),
    Genz "Oscillatory";
  28. f(x) = 1 / product ( c(1:m)^2 + (x(1:m) - x0(1:m))^2),
    Genz "Product Peak";
  29. f(x) = 1 / ( 1 + sum ( c(1:m) * x(1:m) ) )^(m+r),
    Genz "Corner Peak";
  30. f(x) = exp(-sum(c(1:m)^2 * ( x(1:m) - x0(1:m))^2 ) ),
    Genz "Gaussian";
  31. f(x) = exp ( - sum ( c(1:m) * abs ( x(1:m) - x0(1:m) ) ) ), Genz "Continuous";
  32. f(x) = exp(sum(c(1:m)*x(1:m)) for x(1:m) <= x0(1:m), 0 otherwise,
    Genz "Discontinuous";

An Important Quote:

"When good results are obtained in integrating a high-dimensional function, we should conclude first of all that an especially tractable integrand was tried and not that a generally successful method has been found. A secondary conclusion is that we might have made a very good choice in selecting an integration method to exploit whatever features of f made it tractable."
Art Owen,
Latin Supercube Sampling for Very High Dimensional Simulation,
ACM Transactions on Modeling and Computer Simulations,
Volume 8, Number 1, January 1998, pages 71-102.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

TEST_NINT is available in a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

CUBPACK, a FORTRAN90 library which estimates the integral of a function over a collection of N-dimensional hyperrectangles and simplices.

GSL, a C++ library which includes routines for estimating multidimensional integrals.

INTEGRAL_TEST, a FORTRAN90 program which uses some of these test integrals to evaluate sets of quadrature points.

NINT_EXACTNESS, a MATLAB program which demonstrates how to measure the polynomial exactness of a multidimensional quadrature rule.

NINTLIB, a MATLAB library which numerically estimates integrals in multiple dimensions.

PRODUCT_RULE, a MATLAB program which can create a multidimensional quadrature rule as a product of one dimensional rules.

QUADRATURE_RULES, a dataset directory which contains a description and examples of quadrature rules defined by a set of "X", "W" and "R" files.

QUADRATURE_TEST, a MATLAB program which reads the definition of a multidimensional quadrature rule from three files, applies the rule to a number of test integrals, and prints the results.

SANDIA_SPARSE, a MATLAB library which can produce a multidimensional sparse grid, based on a variety of 1D quadrature rules; only isotropic grids are generated, that is, the same rule is used in each dimension, and the same maximum order is used in each dimension.

SIMPACK, a FORTRAN77 library which approximates the integral of a function over a multidimensional simplex.

SPARSE_GRID_CC, a MATLAB library which creates sparse grids based on Clenshaw-Curtis rules.

STROUD, a MATLAB library which contains quadrature rules for a variety of unusual areas, surfaces and volumes in 2D, 3D and N-dimensions.

test_nint_test

TESTPACK, a MATLAB library which defines a set of integrands used to test multidimensional quadrature.

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Source Code:

Last revised on 30 March 2019.