[Rcpp-devel] Rf_integrate?

Qiang Kou qkou at umail.iu.edu
Wed Jul 30 21:23:36 CEST 2014

In my opinion, RcppGSL may be a good choice.

If you are using Weibull distribution, there is a *gsl_ran_weibull_pdf()*
in GSL [1].




On Wed, Jul 30, 2014 at 3:15 PM, Silkworth,David J. <
SILKWODJ at airproducts.com> wrote:

>  I have a current project desire to move something like R’s integrate
> function inside a loop in Rcpp code.  The performance hit to call back to R
> seems to kill the advantage of Rcpp in the first place.  Actually my
> integrand is t*pdf(t), very similar indeed to pweibull which integrates
> pdf(t).  It has been hard to find previous discussion on this topic since
> the title of articles and book include the word Integration in  another
> context.
> I realize that eventually R’s integrate function calls rdqags (over a
> definite interval), but there is a lot of memory management that is taken
> care of before the call.  This is over my head.
> I could try to incorporate the GSL, but this too seems daunting (even with
> RcppGSL).  I think there may be integration support in the boost headers,
> but my head is too small for this yet.
> Any ideas that could help me?
> Dave Silkworth
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Qiang Kou
qkou at umail.iu.edu
School of Informatics and Computing, Indiana University
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