[R] 2-D numerical integration over odd region

[Doran, Harold]

I have used the functions in the statmod package regularly to evaluate
complex integrals using gaussian quadrature.  

> -----Original Message-----
> From: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] On Behalf Of Chris Rhoads
> Sent: Tuesday, October 23, 2007 4:58 PM
> To: r-help at r-project.org
> Subject: [R] 2-D numerical integration over odd region
> 
> Hello all,
> 
> I'm hoping to find a way to evaluate the following sort of 
> integral in R.
> 
> \int_a^b \int_{g(y)}^Inf  f(x,y) dx dy.
> 
> The integral has no closed form and so must be evaluated 
> numerically.  The "adapt" package provides for 
> multidimensional integration but does not appear to allow the 
> limits of integration to be a function.  I need to evaluate a 
> number of integrals of this sort and I need the evaluations 
> to be fairly precise (something like 10^-6 or 10^-7 would be 
> sufficient) so I'd prefer to avoid time-consuming MCMC methods.
> 
> Any ideas?
> 
> Thanks,
> 
> Chris Rhoads
> 
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