Numerical integration for Ruby, with a simple interface. Several different integration methods are implemented.
$ gem install integration
You can install GSL (please use your package manager) for better performance and support for infinite bounds. After successfully installing the library:
$ gem install rb-gsl
You 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. .(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 .(::, 0, tolerance: 1e-10, &normal_pdf) # => 0.5 .(0, :: , tolerance: 1e-10, &normal_pdf) # => 0.5
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