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/*
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.math.impl.integration;
import java.util.function.Function;
import org.apache.commons.math3.analysis.integration.SimpsonIntegrator;
import org.apache.commons.math3.analysis.integration.UnivariateIntegrator;
import org.apache.commons.math3.exception.NumberIsTooLargeException;
import org.apache.commons.math3.exception.NumberIsTooSmallException;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.math.MathException;
import com.opengamma.strata.math.impl.util.CommonsMathWrapper;
/**
* Simpson's integration rule is a Newton-Cotes formula that approximates the
* function to be integrated with quadratic polynomials before performing the
* integration. For a function $f(x)$, if three points $x_1$, $x_2$ and $x_3$
* are equally spaced on the abscissa with $x_2 - x_1 = h$ then
* $$
* \begin{align*}
* \int^{x_3} _{x_1} f(x)dx \approx \frac{1}{3}h(f(x_1) + 4f(x_2) + f(x_3))
* \end{align*}
* $$
*
* This class is a wrapper for the
* Commons Math library implementation
* of Simpson integration.
*/
public class SimpsonIntegrator1D extends Integrator1D {
private static final Logger log = LoggerFactory.getLogger(SimpsonIntegrator1D.class);
private static final int MAX_EVAL = 1000;
private final UnivariateIntegrator integrator = new SimpsonIntegrator();
/**
* Simpson's integration method.
*
* Note that the Commons implementation fails if the lower bound is larger than the upper -
* in this case, the bounds are reversed and the result negated.
*
* @param f The function to integrate, not null
* @param lower The lower bound, not null
* @param upper The upper bound, not null
* @return The result of the integration
*/
@Override
public Double integrate(Function f, Double lower, Double upper) {
ArgChecker.notNull(f, "function");
ArgChecker.notNull(lower, "lower bound");
ArgChecker.notNull(upper, "upper bound");
try {
if (lower < upper) {
return integrator.integrate(MAX_EVAL, CommonsMathWrapper.wrapUnivariate(f), lower, upper);
}
log.info("Upper bound was less than lower bound; swapping bounds and negating result");
return -integrator.integrate(MAX_EVAL, CommonsMathWrapper.wrapUnivariate(f), upper, lower);
} catch (NumberIsTooSmallException | NumberIsTooLargeException e) {
throw new MathException(e);
}
}
}