Numerical integration for Ruby, with a simple interface. Several different integration methods are implemented.
$ gem install integrationYou can install GSL (please use your package manager) for better performance and support for infinite bounds. After successfully installing the library:
$ gem install rb-gslYou can see the latest documentation for Integration at Rubydoc: rubydoc.info/github/sciruby/integration.
- Use only one method: Integration.integrate
- Rectangular, Trapezoidal, Simpson, Adaptive quadrature, Monte Carlo and Romberg integration methods available on pure Ruby.
- If available, uses Ruby/GSL QNG non-adaptive Gauss-Kronrod integration and QAG adaptive integration, with support for Infinity+ and Infinity-
# Integrate x^2 in [1, 2] using Simpson's rule.
Integration.integrate(1, 2, tolerance: 1e-10, method: :simpson) do |x|
x**2
end
# => 2.333333
# Support for infinity bounds with GSL QAG adaptative integration.
normal_pdf = lambda do |x|
(1 / Math.sqrt(2 * Math::PI)) * Math.exp(-0.5 * (x**2))
end
Integration.integrate(Integration::MInfinity, 0, tolerance: 1e-10, &normal_pdf) # => 0.5
Integration.integrate(0, Integration::Infinity , tolerance: 1e-10, &normal_pdf) # => 0.5Copyright (c) 2005 Beng 2011-2015 clbustos
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