[Rcpp-devel] Integrals with Rcpp

[Qiang Kou]

Hi,

The backend of cubature package is the cubature C library from MIT. The
same author with nlopt.

Can you give a little more detail about the double integral?  Cubature
should not be that slow from my experience.

Best,

KK


On Fri, Jan 9, 2015 at 9:38 AM, Dirk Eddelbuettel <edd at debian.org> wrote:

>
> On 9 January 2015 at 15:10, Federico Andreis wrote:
> | Dear all,
> |
> | I was wondering what, in your opinion, would be the best way to handle
> the
> | computation of definite integrals using Rcpp.
> |
> | To be more precise, I need to evaluate a double integral that turns out
> to be
> | somewhat nasty (really slow computation and presumably inaccurate
> results using
> | the R cubature package).
> |
> | Should I write the integration algorithm from scratch, or is there any
> external
> | library you would suggest?
> |
> | I've already found the post on Stackoverflow 'using C function from other
> | package in Rcpp' that dealt with an integration problem as well, but it
> looked
> | too general for my problem and also, it's one year old, maybe something
> else
> | has turned up in the meanwhile..
>
> From the top of my head, I think there are several CRAN package doing
> something like cubature with related names.  It is not something I use day
> to day so maybe somebody else will chime in...
>
> In general, though, one (easy ?) approach is to solve the problem with
> standalone C/C++ code [ possibly entirely outside of of R ] and then learn
> (here and elsewhere) how to connect that to R via Rcpp. It is
> straightforward.
>
> Alternatively, and starting from the other end, learn how to access C / C++
> code in another package and do it with C++ code from R via Rcpp.
>
> Or use the middle ground.  There are lots of ways in which Rcpp can help
> you here.
>
> Dirk
>
> | Thanks in advance, and congrats for the great work with Rcpp!
> |
> | /federico
> | _______________________________________________
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>
> --
> http://dirk.eddelbuettel.com | @eddelbuettel | edd at debian.org
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-- 
Qiang Kou
qkou at umail.iu.edu
School of Informatics and Computing, Indiana University
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