Package com.opengamma.strata.math.impl.integration

Interface Summary

Interface	Description
Integrator<T,U,V>	Interface for integration.
QuadratureWeightAndAbscissaFunction	Interface for classes that generate weights and abscissas for use in Gaussian quadrature.

Class Summary

Class	Description
AdaptiveCompositeIntegrator1D	Adaptive composite integrator: step size is set to be small if functional variation of integrand is large The integrator in individual intervals (base integrator) should be specified by constructor.
ExtendedTrapezoidIntegrator1D	The trapezoid integration rule is a two-point Newton-Cotes formula that approximates the area under the curve as a trapezoid.
GaussHermiteQuadratureIntegrator1D	Gauss-Hermite quadrature approximates the value of integrals of the form $$ \begin{align*} \int_{-\infty}^{\infty} e^{-x^2} g(x) dx \end{align*} $$ The weights and abscissas are generated by GaussHermiteWeightAndAbscissaFunction.
GaussHermiteWeightAndAbscissaFunction	Class that generates weights and abscissas for Gauss-Hermite quadrature.
GaussianQuadratureData	Class holding the results of calculations of weights and abscissas by QuadratureWeightAndAbscissaFunction.
GaussianQuadratureIntegrator1D	Class that performs integration using Gaussian quadrature.
GaussJacobiQuadratureIntegrator1D	Gauss-Jacobi quadrature approximates the value of integrals of the form $$ \begin{align*} \int_{-1}^{1} (1 - x)^\alpha (1 + x)^\beta f(x) dx \end{align*} $$ The weights and abscissas are generated by GaussJacobiWeightAndAbscissaFunction.
GaussJacobiWeightAndAbscissaFunction	Class that generates weights and abscissas for Gauss-Jacobi quadrature.
GaussLaguerreQuadratureIntegrator1D	Gauss-Laguerre quadrature approximates the value of integrals of the form $$ \begin{align*} \int_{0}^{\infty} e^{-x}f(x) dx \end{align*} $$ The weights and abscissas are generated by GaussLaguerreWeightAndAbscissaFunction.
GaussLaguerreWeightAndAbscissaFunction	Class that generates weights and abscissas for Gauss-Laguerre quadrature.
GaussLegendreQuadratureIntegrator1D	Gauss-Legendre quadrature approximates the value of integrals of the form $$ \begin{align*} \int_{-1}^{1} f(x) dx \end{align*} $$ The weights and abscissas are generated by GaussLegendreWeightAndAbscissaFunction.
GaussLegendreWeightAndAbscissaFunction	Class that generates weights and abscissas for Gauss-Legendre quadrature.
Integrator1D<T,U>	Class for defining the integration of 1-D functions.
Integrator2D<T,U>	Class for defining the integration of 2-D functions.
IntegratorRepeated2D	Two dimensional integration by repeated one dimensional integration using Integrator1D.
RealFunctionIntegrator1DFactory	Factory class for 1-D integrators that do not take arguments.
RombergIntegrator1D	Romberg's method estimates an integral by repeatedly using Richardson extrapolation on the extended trapezium rule ExtendedTrapezoidIntegrator1D.
RungeKuttaIntegrator1D	Adapted from the forth-order Runge-Kutta method for solving ODE.
SimpsonIntegrator1D	Simpson's integration rule is a Newton-Cotes formula that approximates the function to be integrated with quadratic polynomials before performing the integration.