Numerical integration for Ruby, with a simple interface
- Use only one method: Integration.integrate
- Rectangular, Trapezoidal, Simpson, Adaptive quadrature, Monte Carlo and Romberg integration methods available on pure Ruby.
- If available, uses Ruby/GSL QNG non-adaptive Gauss-Kronrod integration and QAG adaptive integration, with support for Infinity+ and Infinity-
Integration.integrate(1,2,{:tolerance=>1e-10,:method=>:simpson}) {|x| x**2} => 2.333333
normal_pdf=lambda {|x| (1/Math.sqrt(2*Math::PI))*Math.exp(-(x**2/2))} Integration.integrate(Integration::MInfinity, 0 , {:tolerance=>1e-10}, &normal_pdf) => 0.5 Integration.integrate(0, Integration::Infinity , {:tolerance=>1e-10}, &normal_pdf) => 0.5
- Ruby/GSL, for better performance and support for infinite bounds
gem install integration
Copyright (c) 2005 Beng
2011.2014 clbustos
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