quadgk

quadgk: Numerically evaluate integral, adaptive Gauss-Kronrod quadrature, q = quadgk(fun,a,b) attempts to approximate the integral of a scalar-valued function fun from a to b using high-order global adaptive quadrature and default error tolerances. The function y = fun(x) should accept a vector argument x and return a vector result y, where y is the integrand evaluated at each element of x. fun must be a function handle. Limits a and b can be -Inf or Inf. If both are finite, they can be complex. If at least one is complex, the integral is approximated over a straight line path from a to b in the complex plane.


References in zbMATH (referenced in 11 articles , 1 standard article )

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  1. Keller, Paweł; Wróbel, Iwona: Computing Cauchy principal value integrals using a standard adaptive quadrature (2016)
  2. Kubyshkin, V.A.; Postnov, S.S.: Optimal control problem investigation for linear time-invariant systems of fractional order with lumped parameters described by equations with Riemann-Liouville derivative (2016)
  3. Chan, Ron Tat Lung; Hubbert, Simon: Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (2014)
  4. Pang, Hong-Kui; Sun, Hai-Wei: Fast exponential time integration for pricing options in stochastic volatility jump diffusion models (2014)
  5. Ratnanather, J.Tilak; Kim, Jung H.; Zhang, Sirong; Davis, Anthony M.J.; Lucas, Stephen K.: Algorithm 935: IIPBF, a MATLAB toolbox for infinite integral of products of two Bessel functions (2014)
  6. D’Elia, Marta; Gunzburger, Max: The fractional Laplacian operator on bounded domains as a special case of the nonlocal diffusion operator (2013)
  7. Pang, Guofei; Chen, Wen; Sze, K.Y.: Gauss-Jacobi-type quadrature rules for fractional directional integrals (2013)
  8. Schröter, Alexander; Heider, Pascal: An analytical formula for pricing $m$-th to default swaps (2013)
  9. Shampine, L.F.: Efficient Filon method for oscillatory integrals (2013)
  10. Shampine, L.F.: Vectorized adaptive quadrature in MATLAB (2008)
  11. Shampine, L.F.: MATLAB program for quadrature in 2D (2008)