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
