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From Alexander Nozik <alta...@gmail.com>
Subject Re: [math] Calculating bivariate integral
Date Thu, 31 Jul 2014 15:37:58 GMT
Hello,
the problem is the number of function calls which is tremendously high 
for any non-univariate integral. Event if you have bivariate function 
with say 300 nodes for each dimension, the total number of calls is 
90000. There is rather limited number of cases when you can sacrifice 
performance in that way. In such cases you can easily replace bivariate 
integral by nested integration as proposed by Ted Dunning . If the 
performance is an issue, you should either use symbol algebra 
(DerivativeStructure) or implement some kind of Monte-Carlo integration 
procedure which is not yet present at commons-math (I use a Monte-Carlo 
sampler).

With best regards, Alexander Nozik.

On 30-Jul-14 07:11, Marcelo Alves wrote:
> Hi,
>
> The apache math library for java supports only univariates integrators. Is
> there a way to use these integrators to calculate bivariate integral?
>
> Thanks
>


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