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Numerical integration with R
2 messages · Christofer Bogaso, David Winsemius
On Jun 14, 2014, at 7:40 AM, Christofer Bogaso wrote:
Hi again, I was tying to solve following 2-fold integration with package cubature. However spending approximately 2 hours it failed to generate any number. I am using latest R with win-7 machine having 4gb ram.
library(cubature)
f <- function(x) {
+ z1 <- x[1] + z2 <- x[2] + + Rho = 1 + + L <- log(1 - pnorm(z1)) * log(1 - pnorm(Rho * z1 + sqrt(1 - Rho^2) * z2)) * dnorm(z1) * dnorm(z2) + + return(L) + }; adaptIntegrate(f, lowerLimit = c(-Inf, -Inf), upperLimit = c(Inf, Inf)) Error in adaptIntegrate(f, lowerLimit = c(-Inf, -Inf), upperLimit = c(Inf, : 'Realloc' could not re-allocate memory (1006632880 bytes) In addition: Warning messages: 1: In adaptIntegrate(f, lowerLimit = c(-Inf, -Inf), upperLimit = c(Inf, : Reached total allocation of 1535Mb: see help(memory.size) 2: In adaptIntegrate(f, lowerLimit = c(-Inf, -Inf), upperLimit = c(Inf, : Reached total allocation of 1535Mb: see help(memory.size) Would really appreciate if someone helps me to sort out this problem.
You are posting a problem with no data. You are also not explaining what you are trying to do. In particular, what was your intent when you wrote:
upperLimit = c(Inf, Inf) # ????
When I run this with finite limits that are increasing in range and several values for a length 2 "x"-vector
x <- c(0.1,0.1)
x <-c(.1, 0 )
x <- c(10,10)
x <- c(10, -10)
I consistently get:
#------------
adaptIntegrate(f, lowerLimit = c(-1000, 1000), upperLimit = c(-1000, 1000))
$integral [1] 0 $error [1] 0 $functionEvaluations [1] 17 $returnCode [1] 0 #--------------- Which makes me think there is something mathematically degenerate about your "L" expression.
Thanks and regards, [[alternative HTML version deleted]]
Arrrgh. Pray tell, exactly how many years have you been posting to R-help? I've checked... and it's really not that difficult to get gmail to send plain text.
David Winsemius Alameda, CA, USA