Re: [Quantlib-dev] Gauss Kronrod Implementation

[DU V. DE V. F. G. P. <fra...@ca...>]

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Hi Niels,

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The version I have implemented uses an increasing number of evaluation =
of the integrand until it reaches the required precision. The key point =
is that it reuses all the values computed (with different weights each =
time). It uses up to 87 points; meaning that it is less robust than your =
adaptative algorithm which can use as many points as required. In =
particular, the integrand should be smooth enough otherwise we have to =
make a change of variable.

Good to see that you keep an eye on what's going on ...

Best regards,

Fran=E7ois=20

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=20

-----Original Message-----
From: qua...@li... =
[mailto:qua...@li...] On Behalf Of Niels =
Elken S=F8nderby
Sent: luned=EC 26 marzo 2007 20.23
To: qua...@li...
Subject: Re: [Quantlib-dev] Gauss Kronrod Implementation

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Hi Fran=E7ois

I was the one who added the Gauss-Kronrod algorithm to QuantLib years =
ago. But I'm not actively developing on QuantLib now, so I will leave it =
up to the active developers to decide which coding style is better.=20

Was is the advantage of the new algorithm? Is it faster? More precise?

Good to see contributions coming in!

Best regards,
Niels



2007/3/26, DU VIGNAUD DE VILLEFORT FRANCOIS GASAPRD PHI < =
fra...@ca...>:

Hi all,

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Sorry to annoy you again with a some new questions, I hope to make =
myself clear enough this time ;-)=20

As you may have noticed I have coded a new implementation of Gauss =
Kronrod integration algorithm (the true one actually). It is coded in a =
slightly different way than other existing integration methods. First, I =
use boost::function to define the integrand, second, it is coded as a =
free (non member) function.=20

I use boost::function to avoid templatization. This allow me to store =
the function definition in a cpp file and to provide the same =
flexibility in the integrand definition as with other methods. Do you =
agree with this approach ? or do you prefer the current implementation ? =
( if you agree I can refactor the existing code quickly).=20

As for the second point, I have use a free function because I had no =
better idea. In fact I have the impression that current integration =
framework lacks a bit of consistency. I am tempted to provide an =
abstract base class and make all other inherit from it. Any thoughts ?=20

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Fran=E7ois

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PS: What about using a forum dedicated to this kind of discussions ?=20

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