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@node Numerical Integration
@chapter Numerical Integration

Octave comes with several built-in functions for computing the integral
of a function numerically (termed quadrature).  These functions all solve
1-dimensional integration problems.

@menu
* Functions of One Variable::
* Orthogonal Collocation::
* Functions of Multiple Variables::
@end menu

@node Functions of One Variable
@section Functions of One Variable

Octave supports five different algorithms for computing the integral
@tex
$$
 \int_a^b f(x) d x
$$
@end tex
of a function @math{f} over the interval from @math{a} to @math{b}.
These are

@table @code
@item quad
Numerical integration based on Gaussian quadrature.

@item quadv
Numerical integration using an adaptive vectorized Simpson's rule.

@item quadl
Numerical integration using an adaptive Lobatto rule.

@item quadgk
Numerical integration using an adaptive Gauss-Konrod rule.

@item quadcc
Numerical integration using adaptive @nospell{Clenshaw-Curtis} rules.

@item trapz, cumtrapz
Numerical integration of data using the trapezoidal method.
@end table

@noindent
The best quadrature algorithm to use depends on the integrand.  If you have
empirical data, rather than a function, the choice is @code{trapz} or
@code{cumtrapz}.  If you are uncertain about the characteristics of the
integrand, @code{quadcc} will be the most robust as it can handle
discontinuities, singularities, oscillatory functions, and infinite intervals.
When the integrand is smooth @code{quadgk} may be the fastest of the
algorithms.

@multitable @columnfractions 0.05 0.15 .80
@headitem @tab Function @tab Characteristics
@item @tab quad   @tab Low accuracy with nonsmooth integrands
@item @tab quadv  @tab Medium accuracy with smooth integrands
@item @tab quadl  @tab Medium accuracy with smooth integrands.  Slower than quadgk.
@item @tab quadgk @tab Medium accuracy (@math{1e^{-6}}--@math{1e^{-9}}) with smooth integrands.
@item @tab        @tab Handles oscillatory functions and infinite bounds
@item @tab quadcc @tab Low to High accuracy with nonsmooth/smooth integrands
@item @tab        @tab Handles oscillatory functions, singularities, and infinite bounds
@end multitable


Here is an example of using @code{quad} to integrate the function
@tex
$$
 f(x) = x \sin (1/x) \sqrt {|1 - x|}
$$
from $x = 0$ to $x = 3$.
@end tex
@ifnottex

@example
  @var{f}(@var{x}) = @var{x} * sin (1/@var{x}) * sqrt (abs (1 - @var{x}))
@end example

@noindent
from @var{x} = 0 to @var{x} = 3.
@end ifnottex

This is a fairly difficult integration (plot the function over the range
of integration to see why).

The first step is to define the function:

@example
@group
function y = f (x)
  y = x .* sin (1./x) .* sqrt (abs (1 - x));
endfunction
@end group
@end example

Note the use of the `dot' forms of the operators.  This is not necessary for
the @code{quad} integrator, but is required by the other integrators.  In any
case, it makes it much easier to generate a set of points for plotting because
it is possible to call the function with a vector argument to produce a vector
result.

The second step is to call quad with the limits of integration:

@example
@group
[q, ier, nfun, err] = quad ("f", 0, 3)
     @result{} 1.9819
     @result{} 1
     @result{} 5061
     @result{} 1.1522e-07
@end group
@end example

Although @code{quad} returns a nonzero value for @var{ier}, the result
is reasonably accurate (to see why, examine what happens to the result
if you move the lower bound to 0.1, then 0.01, then 0.001, etc.).

The function @qcode{"f"} can be the string name of a function, a function
handle, or an inline function.  These options make it quite easy to do
integration without having to fully define a function in an m-file.  For
example:

@example
@group
# Verify integral (x^3) = x^4/4
f = inline ("x.^3");
quadgk (f, 0, 1)
     @result{} 0.25000

# Verify gamma function = (n-1)! for n = 4
f = @@(x) x.^3 .* exp (-x);
quadcc (f, 0, Inf)
     @result{} 6.0000
@end group
@end example

@c quad libinterp/corefcn/quad.cc
@anchor{XREFquad}
@deftypefn  {Built-in Function} {@var{q} =} quad (@var{f}, @var{a}, @var{b})
@deftypefnx {Built-in Function} {@var{q} =} quad (@var{f}, @var{a}, @var{b}, @var{tol})
@deftypefnx {Built-in Function} {@var{q} =} quad (@var{f}, @var{a}, @var{b}, @var{tol}, @var{sing})
@deftypefnx {Built-in Function} {[@var{q}, @var{ier}, @var{nfun}, @var{err}] =} quad (@dots{})
Numerically evaluate the integral of @var{f} from @var{a} to @var{b} using
Fortran routines from @w{@sc{quadpack}}.

@var{f} is a function handle, inline function, or a string containing the
name of the function to evaluate.  The function must have the form @code{y =
f (x)} where @var{y} and @var{x} are scalars.

@var{a} and @var{b} are the lower and upper limits of integration.  Either
or both may be infinite.

The optional argument @var{tol} is a vector that specifies the desired
accuracy of the result.  The first element of the vector is the desired
absolute tolerance, and the second element is the desired relative
tolerance.  To choose a relative test only, set the absolute
tolerance to zero.  To choose an absolute test only, set the relative
tolerance to zero.  Both tolerances default to @code{sqrt (eps)} or
approximately @math{1.5e^{-8}}.

The optional argument @var{sing} is a vector of values at which the
integrand is known to be singular.

The result of the integration is returned in @var{q}.

@var{ier} contains an integer error code (0 indicates a successful
integration).

@var{nfun} indicates the number of function evaluations that were
made.

@var{err} contains an estimate of the error in the solution.

The function @code{quad_options} can set other optional parameters for
@code{quad}.

Note: because @code{quad} is written in Fortran it cannot be called
recursively.  This prevents its use in integrating over more than one
variable by routines @code{dblquad} and @code{triplequad}.
@seealso{@ref{XREFquad_options,,quad_options}, @ref{XREFquadv,,quadv}, @ref{XREFquadl,,quadl}, @ref{XREFquadgk,,quadgk}, @ref{XREFquadcc,,quadcc}, @ref{XREFtrapz,,trapz}, @ref{XREFdblquad,,dblquad}, @ref{XREFtriplequad,,triplequad}}
@end deftypefn


@c quad_options libinterp/corefcn/quad.cc
@anchor{XREFquad_options}
@deftypefn  {Built-in Function} {} quad_options ()
@deftypefnx {Built-in Function} {val =} quad_options (@var{opt})
@deftypefnx {Built-in Function} {} quad_options (@var{opt}, @var{val})
Query or set options for the function @code{quad}.

When called with no arguments, the names of all available options and
their current values are displayed.

Given one argument, return the value of the option @var{opt}.

When called with two arguments, @code{quad_options} sets the option
@var{opt} to value @var{val}.

Options include

@table @code
@item @qcode{"absolute tolerance"}
Absolute tolerance; may be zero for pure relative error test.

@item @qcode{"relative tolerance"}
Non-negative relative tolerance.  If the absolute tolerance is zero,
the relative tolerance must be greater than or equal to
@w{@code{max (50*eps, 0.5e-28)}}.

@item @qcode{"single precision absolute tolerance"}
Absolute tolerance for single precision; may be zero for pure relative
error test.

@item @qcode{"single precision relative tolerance"}
Non-negative relative tolerance for single precision.  If the absolute
tolerance is zero, the relative tolerance must be greater than or equal to
@w{@code{max (50*eps, 0.5e-28)}}.
@end table
@end deftypefn


@c quadv scripts/general/quadv.m
@anchor{XREFquadv}
@deftypefn  {Function File} {@var{q} =} quadv (@var{f}, @var{a}, @var{b})
@deftypefnx {Function File} {@var{q} =} quadv (@var{f}, @var{a}, @var{b}, @var{tol})
@deftypefnx {Function File} {@var{q} =} quadv (@var{f}, @var{a}, @var{b}, @var{tol}, @var{trace})
@deftypefnx {Function File} {@var{q} =} quadv (@var{f}, @var{a}, @var{b}, @var{tol}, @var{trace}, @var{p1}, @var{p2}, @dots{})
@deftypefnx {Function File} {[@var{q}, @var{nfun}] =} quadv (@dots{})

Numerically evaluate the integral of @var{f} from @var{a} to @var{b}
using an adaptive Simpson's rule.

@var{f} is a function handle, inline function, or string containing the name
of the function to evaluate.  @code{quadv} is a vectorized version of
@code{quad} and the function defined by @var{f} must accept a scalar or
vector as input and return a scalar, vector, or array as output.

@var{a} and @var{b} are the lower and upper limits of integration.  Both
limits must be finite.

The optional argument @var{tol} defines the absolute tolerance used to stop
the adaptation procedure.  The default value is 1e-6.

The algorithm used by @code{quadv} involves recursively subdividing the
integration interval and applying Simpson's rule on each subinterval.
If @var{trace} is true then after computing each of these partial
integrals display: (1) the total number of function evaluations,
(2) the left end of the subinterval, (3) the length of the subinterval,
(4) the approximation of the integral over the subinterval.

Additional arguments @var{p1}, etc., are passed directly to the function
@var{f}.  To use default values for @var{tol} and @var{trace}, one may pass
empty matrices ([]).

The result of the integration is returned in @var{q}

@var{nfun} indicates the number of function evaluations that were made.

Note: @code{quadv} is written in Octave's scripting language and can be
used recursively in @code{dblquad} and @code{triplequad}, unlike the
@code{quad} function.
@seealso{@ref{XREFquad,,quad}, @ref{XREFquadl,,quadl}, @ref{XREFquadgk,,quadgk}, @ref{XREFquadcc,,quadcc}, @ref{XREFtrapz,,trapz}, @ref{XREFdblquad,,dblquad}, @ref{XREFtriplequad,,triplequad}}
@end deftypefn


@c quadl scripts/general/quadl.m
@anchor{XREFquadl}
@deftypefn  {Function File} {@var{q} =} quadl (@var{f}, @var{a}, @var{b})
@deftypefnx {Function File} {@var{q} =} quadl (@var{f}, @var{a}, @var{b}, @var{tol})
@deftypefnx {Function File} {@var{q} =} quadl (@var{f}, @var{a}, @var{b}, @var{tol}, @var{trace})
@deftypefnx {Function File} {@var{q} =} quadl (@var{f}, @var{a}, @var{b}, @var{tol}, @var{trace}, @var{p1}, @var{p2}, @dots{})

Numerically evaluate the integral of @var{f} from @var{a} to @var{b} using
an adaptive Lobatto rule.

@var{f} is a function handle, inline function, or string containing the name
of the function to evaluate.  The function @var{f} must be vectorized and
return a vector of output values when given a vector of input values.

@var{a} and @var{b} are the lower and upper limits of integration.  Both
limits must be finite.

The optional argument @var{tol} defines the relative tolerance with which
to perform the integration.  The default value is @code{eps}.

The algorithm used by @code{quadl} involves recursively subdividing the
integration interval.  If @var{trace} is defined then for each subinterval
display: (1) the left end of the subinterval, (2) the length of the
subinterval, (3) the approximation of the integral over the subinterval.

Additional arguments @var{p1}, etc., are passed directly to the function
@var{f}.  To use default values for @var{tol} and @var{trace}, one may pass
empty matrices ([]).

Reference: @nospell{W. Gander and W. Gautschi}, @cite{Adaptive Quadrature -
Revisited}, BIT Vol. 40, No. 1, March 2000, pp. 84--101.
@url{http://www.inf.ethz.ch/personal/gander/}
@seealso{@ref{XREFquad,,quad}, @ref{XREFquadv,,quadv}, @ref{XREFquadgk,,quadgk}, @ref{XREFquadcc,,quadcc}, @ref{XREFtrapz,,trapz}, @ref{XREFdblquad,,dblquad}, @ref{XREFtriplequad,,triplequad}}
@end deftypefn


@c quadgk scripts/general/quadgk.m
@anchor{XREFquadgk}
@deftypefn  {Function File} {@var{q} =} quadgk (@var{f}, @var{a}, @var{b})
@deftypefnx {Function File} {@var{q} =} quadgk (@var{f}, @var{a}, @var{b}, @var{abstol})
@deftypefnx {Function File} {@var{q} =} quadgk (@var{f}, @var{a}, @var{b}, @var{abstol}, @var{trace})
@deftypefnx {Function File} {@var{q} =} quadgk (@var{f}, @var{a}, @var{b}, @var{prop}, @var{val}, @dots{})
@deftypefnx {Function File} {[@var{q}, @var{err}] =} quadgk (@dots{})

Numerically evaluate the integral of @var{f} from @var{a} to @var{b}
using adaptive Gauss-Konrod quadrature.

@var{f} is a function handle, inline function, or string containing the name
of the function to evaluate.  The function @var{f} must be vectorized and
return a vector of output values when given a vector of input values.

@var{a} and @var{b} are the lower and upper limits of integration.  Either
or both limits may be infinite or contain weak end singularities.  Variable
transformation will be used to treat any infinite intervals and weaken the
singularities.  For example:

@example
quadgk (@@(x) 1 ./ (sqrt (x) .* (x + 1)), 0, Inf)
@end example

@noindent
Note that the formulation of the integrand uses the element-by-element
operator @code{./} and all user functions to @code{quadgk} should do the
same.

The optional argument @var{tol} defines the absolute tolerance used to stop
the integration procedure.  The default value is 1e-10.

The algorithm used by @code{quadgk} involves subdividing the integration
interval and evaluating each subinterval.  If @var{trace} is true then after
computing each of these partial integrals display: (1) the number of
subintervals at this step, (2) the current estimate of the error @var{err},
(3) the current estimate for the integral @var{q}.

Alternatively, properties of @code{quadgk} can be passed to the function as
pairs @qcode{"@var{prop}", @var{val}}.  Valid properties are

@table @code
@item AbsTol
Define the absolute error tolerance for the quadrature.  The default
absolute tolerance is 1e-10.

@item RelTol
Define the relative error tolerance for the quadrature.  The default
relative tolerance is 1e-5.

@item MaxIntervalCount
@code{quadgk} initially subdivides the interval on which to perform the
quadrature into 10 intervals.  Subintervals that have an unacceptable error
are subdivided and re-evaluated.  If the number of subintervals exceeds 650
subintervals at any point then a poor convergence is signaled and the
current estimate of the integral is returned.  The property
@qcode{"MaxIntervalCount"} can be used to alter the number of subintervals
that can exist before exiting.

@item WayPoints
Discontinuities in the first derivative of the function to integrate can be
flagged with the @qcode{"WayPoints"} property.  This forces the ends of a
subinterval to fall on the breakpoints of the function and can result in
significantly improved estimation of the error in the integral, faster
computation, or both.  For example,

@example
quadgk (@@(x) abs (1 - x.^2), 0, 2, "Waypoints", 1)
@end example

@noindent
signals the breakpoint in the integrand at @code{@var{x} = 1}.

@item Trace
If logically true @code{quadgk} prints information on the convergence of the
quadrature at each iteration.
@end table

If any of @var{a}, @var{b}, or @var{waypoints} is complex then the
quadrature is treated as a contour integral along a piecewise continuous
path defined by the above.  In this case the integral is assumed to have no
edge singularities.  For example,

@example
@group
quadgk (@@(z) log (z), 1+1i, 1+1i, "WayPoints",
        [1-1i, -1,-1i, -1+1i])
@end group
@end example

@noindent
integrates @code{log (z)} along the square defined by
@code{[1+1i, 1-1i, -1-1i, -1+1i]}.

The result of the integration is returned in @var{q}.

@var{err} is an approximate bound on the error in the integral
@code{abs (@var{q} - @var{I})}, where @var{I} is the exact value of the
integral.

Reference: @nospell{L.F. Shampine},
@cite{"Vectorized adaptive quadrature in @sc{matlab}"}, Journal of
Computational and Applied Mathematics, pp. 131--140, Vol 211, Issue 2,
Feb 2008.

@seealso{@ref{XREFquad,,quad}, @ref{XREFquadv,,quadv}, @ref{XREFquadl,,quadl}, @ref{XREFquadcc,,quadcc}, @ref{XREFtrapz,,trapz}, @ref{XREFdblquad,,dblquad}, @ref{XREFtriplequad,,triplequad}}
@end deftypefn


@c quadcc libinterp/corefcn/quadcc.cc
@anchor{XREFquadcc}
@deftypefn  {Function File} {@var{q} =} quadcc (@var{f}, @var{a}, @var{b})
@deftypefnx {Function File} {@var{q} =} quadcc (@var{f}, @var{a}, @var{b}, @var{tol})
@deftypefnx {Function File} {@var{q} =} quadcc (@var{f}, @var{a}, @var{b}, @var{tol}, @var{sing})
@deftypefnx {Function File} {[@var{q}, @var{err}, @var{nr_points}] =} quadcc (@dots{})
Numerically evaluate the integral of @var{f} from @var{a} to @var{b}
using doubly-adaptive @nospell{Clenshaw-Curtis} quadrature.

@var{f} is a function handle, inline function, or string containing the name
of the function to evaluate.  The function @var{f} must be vectorized and
must return a vector of output values if given a vector of input values.
For example,

@example
f = @@(x) x .* sin (1./x) .* sqrt (abs (1 - x));
@end example

@noindent
which uses the element-by-element ``dot'' form for all operators.

@var{a} and @var{b} are the lower and upper limits of integration.  Either
or both limits may be infinite.  @code{quadcc} handles an inifinite limit
by substituting the variable of integration with @code{x = tan (pi/2*u)}.

The optional argument @var{tol} defines the relative tolerance used to stop
the integration procedure.  The default value is @math{1e^{-6}}.

The optional argument @var{sing} contains a list of points where the
integrand has known singularities, or discontinuities
in any of its derivatives, inside the integration interval.
For the example above, which has a discontinuity at x=1, the call to
@code{quadcc} would be as follows

@example
int = quadcc (f, a, b, 1.0e-6, [ 1 ]);
@end example

The result of the integration is returned in @var{q}.

@var{err} is an estimate of the absolute integration error.

@var{nr_points} is the number of points at which the integrand was evaluated.

If the adaptive integration did not converge, the value of @var{err} will be
larger than the requested tolerance.  Therefore, it is recommended to verify
this value for difficult integrands.

@code{quadcc} is capable of dealing with non-numeric values of the integrand
such as @code{NaN} or @code{Inf}.  If the integral diverges, and
@code{quadcc} detects this, then a warning is issued and @code{Inf} or
@code{-Inf} is returned.

Note: @code{quadcc} is a general purpose quadrature algorithm and, as such,
may be less efficient for a smooth or otherwise well-behaved integrand than
other methods such as @code{quadgk}.

The algorithm uses @nospell{Clenshaw-Curtis} quadrature rules of increasing
degree in each interval and bisects the interval if either the function does
not appear to be smooth or a rule of maximum degree has been reached.  The
error estimate is computed from the L2-norm of the difference between two
successive interpolations of the integrand over the nodes of the respective
quadrature rules.

Reference: @nospell{P. Gonnet}, @cite{Increasing the Reliability of Adaptive
Quadrature Using Explicit Interpolants}, ACM Transactions on
Mathematical Software, Vol. 37, Issue 3, Article No. 3, 2010.
@seealso{@ref{XREFquad,,quad}, @ref{XREFquadv,,quadv}, @ref{XREFquadl,,quadl}, @ref{XREFquadgk,,quadgk}, @ref{XREFtrapz,,trapz}, @ref{XREFdblquad,,dblquad}, @ref{XREFtriplequad,,triplequad}}
@end deftypefn


Sometimes one does not have the function, but only the raw (x, y) points from
which to perform an integration.  This can occur when collecting data in an
experiment.  The @code{trapz} function can integrate these values as shown in
the following example where "data" has been collected on the cosine function
over the range [0, pi/2).

@example
@group
x = 0:0.1:pi/2;  # Uniformly spaced points
y = cos (x);
trapz (x, y)
     @result{} 0.99666
@end group
@end example

The answer is reasonably close to the exact value of 1.  Ordinary quadrature
is sensitive to the characteristics of the integrand.  Empirical integration
depends not just on the integrand, but also on the particular points chosen to
represent the function.  Repeating the example above with the sine function
over the range [0, pi/2) produces far inferior results.

@example
@group
x = 0:0.1:pi/2;  # Uniformly spaced points
y = sin (x);
trapz (x, y)
     @result{} 0.92849
@end group
@end example

However, a slightly different choice of data points can change the result
significantly.  The same integration, with the same number of points, but
spaced differently produces a more accurate answer.

@example
@group
x = linspace (0, pi/2, 16);  # Uniformly spaced, but including endpoint
y = sin (x);
trapz (x, y)
     @result{} 0.99909
@end group
@end example

In general there may be no way of knowing the best distribution of points ahead
of time.  Or the points may come from an experiment where there is no freedom to
select the best distribution.  In any case, one must remain aware of this
issue when using @code{trapz}.

@c trapz scripts/general/trapz.m
@anchor{XREFtrapz}
@deftypefn  {Function File} {@var{q} =} trapz (@var{y})
@deftypefnx {Function File} {@var{q} =} trapz (@var{x}, @var{y})
@deftypefnx {Function File} {@var{q} =} trapz (@dots{}, @var{dim})

Numerically evaluate the integral of points @var{y} using the trapezoidal
method.

@w{@code{trapz (@var{y})}} computes the integral of @var{y} along the first
non-singleton dimension.  When the argument @var{x} is omitted an equally
spaced @var{x} vector with unit spacing (1) is assumed.
@code{trapz (@var{x}, @var{y})} evaluates the integral with respect to the
spacing in @var{x} and the values in @var{y}.  This is useful if the points
in @var{y} have been sampled unevenly.

If the optional @var{dim} argument is given, operate along this dimension.

Application Note: If @var{x} is not specified then unit spacing will be
used.  To scale the integral to the correct value you must multiply by the
actual spacing value (deltaX).  As an example, the integral of @math{x^3}
over the range [0, 1] is @math{x^4/4} or 0.25.  The following code uses
@code{trapz} to calculate the integral in three different ways.

@example
@group
x = 0:0.1:1;
y = x.^3;
q = trapz (y)
  @result{} q = 2.525   # No scaling
q * 0.1
  @result{} q = 0.2525  # Approximation to integral by scaling
trapz (x, y)
  @result{} q = 0.2525  # Same result by specifying @var{x}
@end group
@end example

@seealso{@ref{XREFcumtrapz,,cumtrapz}}
@end deftypefn


@c cumtrapz scripts/general/cumtrapz.m
@anchor{XREFcumtrapz}
@deftypefn  {Function File} {@var{q} =} cumtrapz (@var{y})
@deftypefnx {Function File} {@var{q} =} cumtrapz (@var{x}, @var{y})
@deftypefnx {Function File} {@var{q} =} cumtrapz (@dots{}, @var{dim})
Cumulative numerical integration of points @var{y} using the trapezoidal
method.

@w{@code{cumtrapz (@var{y})}} computes the cumulative integral of @var{y}
along the first non-singleton dimension.  Where @code{trapz} reports only
the overall integral sum, @code{cumtrapz} reports the current partial sum
value at each point of @var{y}.

When the argument @var{x} is omitted an equally spaced @var{x} vector with
unit spacing (1) is assumed.  @code{cumtrapz (@var{x}, @var{y})} evaluates
the integral with respect to the spacing in @var{x} and the values in
@var{y}.  This is useful if the points in @var{y} have been sampled unevenly.

If the optional @var{dim} argument is given, operate along this dimension.

Application Note: If @var{x} is not specified then unit spacing will be
used.  To scale the integral to the correct value you must multiply by the
actual spacing value (deltaX).
@seealso{@ref{XREFtrapz,,trapz}, @ref{XREFcumsum,,cumsum}}
@end deftypefn


@node Orthogonal Collocation
@section Orthogonal Collocation

@c colloc libinterp/corefcn/colloc.cc
@anchor{XREFcolloc}
@deftypefn {Built-in Function} {[@var{r}, @var{amat}, @var{bmat}, @var{q}] =} colloc (@var{n}, "left", "right")
Compute derivative and integral weight matrices for orthogonal collocation.

Reference: @nospell{J. Villadsen}, @nospell{M. L. Michelsen},
@cite{Solution of Differential Equation Models by Polynomial Approximation}.
@end deftypefn


Here is an example of using @code{colloc} to generate weight matrices
for solving the second order differential equation
@tex
$u^\prime - \alpha u^{\prime\prime} = 0$ with the boundary conditions
$u(0) = 0$ and $u(1) = 1$.
@end tex
@ifnottex
@var{u}' - @var{alpha} * @var{u}'' = 0 with the boundary conditions
@var{u}(0) = 0 and @var{u}(1) = 1.
@end ifnottex

First, we can generate the weight matrices for @var{n} points (including
the endpoints of the interval), and incorporate the boundary conditions
in the right hand side (for a specific value of
@tex
$\alpha$).
@end tex
@ifnottex
@var{alpha}).
@end ifnottex

@example
@group
n = 7;
alpha = 0.1;
[r, a, b] = colloc (n-2, "left", "right");
at = a(2:n-1,2:n-1);
bt = b(2:n-1,2:n-1);
rhs = alpha * b(2:n-1,n) - a(2:n-1,n);
@end group
@end example

Then the solution at the roots @var{r} is

@example
@group
u = [ 0; (at - alpha * bt) \ rhs; 1]
     @result{} [ 0.00; 0.004; 0.01 0.00; 0.12; 0.62; 1.00 ]
@end group
@end example

@node Functions of Multiple Variables
@section Functions of Multiple Variables

Octave does not have built-in functions for computing the integral of
functions of multiple variables directly.  It is possible, however, to
compute the integral of a function of multiple variables using the
existing functions for one-dimensional integrals.

To illustrate how the integration can be performed, we will integrate
the function
@tex
$$
  f(x, y) = \sin(\pi x y)\sqrt{x y}
$$
@end tex
@ifnottex

@example
f(x, y) = sin(pi*x*y)*sqrt(x*y)
@end example

@end ifnottex
for @math{x} and @math{y} between 0 and 1.

The first approach creates a function that integrates @math{f} with
respect to @math{x}, and then integrates that function with respect to
@math{y}.  Because @code{quad} is written in Fortran it cannot be called
recursively.  This means that @code{quad} cannot integrate a function
that calls @code{quad}, and hence cannot be used to perform the double
integration.  Any of the other integrators, however, can be used which is
what the following code demonstrates.

@example
@group
function q = g(y)
  q = ones (size (y));
  for i = 1:length (y)
    f = @@(x) sin (pi*x.*y(i)) .* sqrt (x.*y(i));
    q(i) = quadgk (f, 0, 1);
  endfor
endfunction

I = quadgk ("g", 0, 1)
      @result{} 0.30022
@end group
@end example

The above process can be simplified with the @code{dblquad} and
@code{triplequad} functions for integrals over two and three
variables.  For example:

@example
@group
I = dblquad (@@(x, y) sin (pi*x.*y) .* sqrt (x.*y), 0, 1, 0, 1)
      @result{} 0.30022
@end group
@end example

@c dblquad scripts/general/dblquad.m
@anchor{XREFdblquad}
@deftypefn  {Function File} {} dblquad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb})
@deftypefnx {Function File} {} dblquad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb}, @var{tol})
@deftypefnx {Function File} {} dblquad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb}, @var{tol}, @var{quadf})
@deftypefnx {Function File} {} dblquad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb}, @var{tol}, @var{quadf}, @dots{})
Numerically evaluate the double integral of @var{f}.

@var{f} is a function handle, inline function, or string containing the name
of the function to evaluate.  The function @var{f} must have the form
@math{z = f(x,y)} where @var{x} is a vector and @var{y} is a scalar.  It
should return a vector of the same length and orientation as @var{x}.

@var{xa}, @var{ya} and @var{xb}, @var{yb} are the lower and upper limits of
integration for x and y respectively.  The underlying integrator determines
whether infinite bounds are accepted.

The optional argument @var{tol} defines the absolute tolerance used to
integrate each sub-integral.  The default value is @math{1e^{-6}}.

The optional argument @var{quadf} specifies which underlying integrator
function to use.  Any choice but @code{quad} is available and the default
is @code{quadcc}.

Additional arguments, are passed directly to @var{f}.  To use the default
value for @var{tol} or @var{quadf} one may pass @qcode{':'} or an empty
matrix ([]).
@seealso{@ref{XREFtriplequad,,triplequad}, @ref{XREFquad,,quad}, @ref{XREFquadv,,quadv}, @ref{XREFquadl,,quadl}, @ref{XREFquadgk,,quadgk}, @ref{XREFquadcc,,quadcc}, @ref{XREFtrapz,,trapz}}
@end deftypefn


@c triplequad scripts/general/triplequad.m
@anchor{XREFtriplequad}
@deftypefn  {Function File} {} triplequad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb}, @var{za}, @var{zb})
@deftypefnx {Function File} {} triplequad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb}, @var{za}, @var{zb}, @var{tol})
@deftypefnx {Function File} {} triplequad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb}, @var{za}, @var{zb}, @var{tol}, @var{quadf})
@deftypefnx {Function File} {} triplequad (@var{f}, @var{xa}, @var{xb}, @var{ya}, @var{yb}, @var{za}, @var{zb}, @var{tol}, @var{quadf}, @dots{})
Numerically evaluate the triple integral of @var{f}.

@var{f} is a function handle, inline function, or string containing the name
of the function to evaluate.  The function @var{f} must have the form
@math{w = f(x,y,z)} where either @var{x} or @var{y} is a vector and the
remaining inputs are scalars.  It should return a vector of the same length
and orientation as @var{x} or @var{y}.

@var{xa}, @var{ya}, @var{za} and @var{xb}, @var{yb}, @var{zb} are the lower
and upper limits of integration for x, y, and z respectively.  The
underlying integrator determines whether infinite bounds are accepted.

The optional argument @var{tol} defines the absolute tolerance used to
integrate each sub-integral.  The default value is 1e-6.

The optional argument @var{quadf} specifies which underlying integrator
function to use.  Any choice but @code{quad} is available and the default
is @code{quadcc}.

Additional arguments, are passed directly to @var{f}.  To use the default
value for @var{tol} or @var{quadf} one may pass @qcode{':'} or an empty
matrix ([]).
@seealso{@ref{XREFdblquad,,dblquad}, @ref{XREFquad,,quad}, @ref{XREFquadv,,quadv}, @ref{XREFquadl,,quadl}, @ref{XREFquadgk,,quadgk}, @ref{XREFquadcc,,quadcc}, @ref{XREFtrapz,,trapz}}
@end deftypefn


The above mentioned approach works, but is fairly slow, and that problem
increases exponentially with the dimensionality of the integral.  Another
possible solution is to use Orthogonal Collocation as described in the
previous section (@pxref{Orthogonal Collocation}).  The integral of a function
@math{f(x,y)} for @math{x} and @math{y} between 0 and 1 can be approximated
using @math{n} points by
@tex
$$
 \int_0^1 \int_0^1 f(x,y) d x d y \approx \sum_{i=1}^n \sum_{j=1}^n q_i q_j f(r_i, r_j),
$$
@end tex
@ifnottex
the sum over @code{i=1:n} and @code{j=1:n} of @code{q(i)*q(j)*f(r(i),r(j))},
@end ifnottex
where @math{q} and @math{r} is as returned by @code{colloc (n)}.  The
generalization to more than two variables is straight forward.  The
following code computes the studied integral using @math{n=8} points.

@example
@group
f = @@(x,y) sin (pi*x*y') .* sqrt (x*y');
n = 8;
[t, ~, ~, q] = colloc (n);
I = q'*f(t,t)*q;
      @result{} 0.30022
@end group
@end example

@noindent
It should be noted that the number of points determines the quality
of the approximation.  If the integration needs to be performed between
@math{a} and @math{b}, instead of 0 and 1, then a change of variables is needed.