Hi, I have a function that I need to do double integration: \int^T_0 \int^t_0 N(\delta / \sigma \sqrt(u)) (1-N(\delta / \sigma \sqrt(u))) du dt where N(x) is a standard normal probability of x. I start off by writing an inner integral into a function. Meaning \int^t_0 N(\delta,\sigma \sqrt(u)) (1-N(\delta,\sigma \sqrt(u))) du. Then calling integrate function on this function. This straightforward way does not seem to work. I am not sure if there is any sample code to do such integration? Thank you. Regards, Robert
Double integration using R
2 messages · Robert A'gata, michael.weylandt at gmail.com (R. Michael Weylandt
There do exist packages for multi-variate integration in R, but sticking to base functions, what you've described should work but the inner integral will need to be vectorized before it's passes to the outer integral: Vectorize() can do this directly, but it won't be particularly fast since it's not true vectorization. Send real code if this doesn't help and we can take a look at it. Michael
On Nov 6, 2011, at 12:15 PM, "Robert A'gata" <rhelpacc at gmail.com> wrote:
Hi, I have a function that I need to do double integration: \int^T_0 \int^t_0 N(\delta / \sigma \sqrt(u)) (1-N(\delta / \sigma \sqrt(u))) du dt where N(x) is a standard normal probability of x. I start off by writing an inner integral into a function. Meaning \int^t_0 N(\delta,\sigma \sqrt(u)) (1-N(\delta,\sigma \sqrt(u))) du. Then calling integrate function on this function. This straightforward way does not seem to work. I am not sure if there is any sample code to do such integration? Thank you. Regards, Robert
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