com.opengamma.analytics.math.integration.GaussHermiteQuadratureIntegrator1D.java Source code

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Here is the source code for com.opengamma.analytics.math.integration.GaussHermiteQuadratureIntegrator1D.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.math.integration;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.function.Function1D;

/**
 * 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 {@link GaussHermiteWeightAndAbscissaFunction}. 
 * <p>
 * At present, this integrator can only be used for the limits $\pm\infty$. The
 * function to integrate is scaled in such a way as to allow any values for the
 * limits of integration.
 */
public class GaussHermiteQuadratureIntegrator1D extends GaussianQuadratureIntegrator1D {
    private static final Double[] LIMITS = new Double[] { Double.NEGATIVE_INFINITY, Double.POSITIVE_INFINITY };
    private static final GaussHermiteWeightAndAbscissaFunction GENERATOR = new GaussHermiteWeightAndAbscissaFunction();

    /**
     * @param n The number of sample points to use in the integration
     */
    public GaussHermiteQuadratureIntegrator1D(final int n) {
        super(n, GENERATOR);
    }

    /**
     * {@inheritDoc}
     */
    @Override
    public Double[] getLimits() {
        return LIMITS;
    }

    /**
     * {@inheritDoc}
     * The function $f(x)$ that is to be integrated is transformed into a form
     * suitable for this quadrature method using:
     * $$
     * \begin{align*}
     * \int_{-\infty}^{\infty} f(x) dx
     * &= \int_{-\infty}^{\infty} f(x) e^{x^2} e^{-x^2} dx\\
     * &= \int_{-\infty}^{\infty} g(x) e^{-x^2} dx
     * \end{align*} 
     * $$
     * @throws UnsupportedOperationException If the lower limit is not $-\infty$ or the upper limit is not $\infty$
     */
    @Override
    public Function1D<Double, Double> getIntegralFunction(final Function1D<Double, Double> function,
            final Double lower, final Double upper) {
        Validate.notNull(function, "function");
        Validate.notNull(lower, "lower");
        Validate.notNull(upper, "upper");
        if (lower.equals(LIMITS[0]) && upper.equals(LIMITS[1])) {
            return new Function1D<Double, Double>() {

                @Override
                public Double evaluate(final Double x) {
                    return Math.exp(x * x) * function.evaluate(x);
                }

            };
        }
        throw new UnsupportedOperationException("Limits for this integration method are +/-infinity");
    }

}