com.opengamma.strata.math.impl.integration

Class RungeKuttaIntegrator1D

java.lang.Object

com.opengamma.strata.math.impl.integration.Integrator1D<Double,Double>

com.opengamma.strata.math.impl.integration.RungeKuttaIntegrator1D

All Implemented Interfaces:

Integrator<Double,Double,Function<Double,Double>>

public class RungeKuttaIntegrator1D
extends Integrator1D<Double,Double>

Adapted from the forth-order Runge-Kutta method for solving ODE. See here for the maths. It is a very robust integrator and should be used before trying more specialised methods.

Constructor Summary

Constructors

Constructor and Description
RungeKuttaIntegrator1D()
RungeKuttaIntegrator1D(double tol)
RungeKuttaIntegrator1D(double atol, double rtol)
RungeKuttaIntegrator1D(double absTol, double relTol, int minSteps) Constructor from absolute and relative tolerance and minimal number of steps.
RungeKuttaIntegrator1D(double tol, int minSteps)
RungeKuttaIntegrator1D(int minSteps)

Method Summary

Modifier and Type	Method and Description
double	getRelativeTolerance()
Double	integrate(Function<Double,Double> f, Double lower, Double upper) 1-D integration method.

Methods inherited from class com.opengamma.strata.math.impl.integration.Integrator1D

integrate

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

RungeKuttaIntegrator1D

public RungeKuttaIntegrator1D(double absTol,
                              double relTol,
                              int minSteps)

Constructor from absolute and relative tolerance and minimal number of steps.

The adaptable integration process stops when the difference between 2 steps is below the absolute tolerance plus the relative tolerance multiplied by the value.

Parameters:

absTol - the absolute tolerance

relTol - the relative tolerance

minSteps - the minimal number of steps

RungeKuttaIntegrator1D

public RungeKuttaIntegrator1D(double tol,
                              int minSteps)

RungeKuttaIntegrator1D

public RungeKuttaIntegrator1D(double atol,
                              double rtol)

RungeKuttaIntegrator1D

public RungeKuttaIntegrator1D(double tol)

RungeKuttaIntegrator1D

public RungeKuttaIntegrator1D(int minSteps)

RungeKuttaIntegrator1D

public RungeKuttaIntegrator1D()

Method Detail

getRelativeTolerance

public double getRelativeTolerance()

integrate

public Double integrate(Function<Double,Double> f,
                        Double lower,
                        Double upper)

Description copied from class: Integrator1D

1-D integration method.

Specified by:

integrate in class Integrator1D<Double,Double>

Parameters:

f - The function to integrate, not null

lower - The lower bound, not null

upper - The upper bound, not null

Returns:

The result of the integration