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dqagie.f
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1996-09-28
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SUBROUTINE DQAGIE(F,BOUND,INF,EPSABS,EPSREL,LIMIT,RESULT,ABSERR,
* NEVAL,IER,ALIST,BLIST,RLIST,ELIST,IORD,LAST)
C***BEGIN PROLOGUE DQAGIE
C***DATE WRITTEN 800101 (YYMMDD)
C***REVISION DATE 830518 (YYMMDD)
C***CATEGORY NO. H2A3A1,H2A4A1
C***KEYWORDS AUTOMATIC INTEGRATOR, INFINITE INTERVALS,
C GENERAL-PURPOSE, TRANSFORMATION, EXTRAPOLATION,
C GLOBALLY ADAPTIVE
C***AUTHOR PIESSENS,ROBERT,APPL. MATH & PROGR. DIV - K.U.LEUVEN
C DE DONCKER,ELISE,APPL. MATH & PROGR. DIV - K.U.LEUVEN
C***PURPOSE THE ROUTINE CALCULATES AN APPROXIMATION RESULT TO A GIVEN
C INTEGRAL I = INTEGRAL OF F OVER (BOUND,+INFINITY)
C OR I = INTEGRAL OF F OVER (-INFINITY,BOUND)
C OR I = INTEGRAL OF F OVER (-INFINITY,+INFINITY),
C HOPEFULLY SATISFYING FOLLOWING CLAIM FOR ACCURACY
C ABS(I-RESULT).LE.MAX(EPSABS,EPSREL*ABS(I))
C***DESCRIPTION
C
C INTEGRATION OVER INFINITE INTERVALS
C STANDARD FORTRAN SUBROUTINE
C
C F - DOUBLE PRECISION
C FUNCTION SUBPROGRAM DEFINING THE INTEGRAND
C FUNCTION F(X). THE ACTUAL NAME FOR F NEEDS TO BE
C DECLARED E X T E R N A L IN THE DRIVER PROGRAM.
C
C BOUND - DOUBLE PRECISION
C FINITE BOUND OF INTEGRATION RANGE
C (HAS NO MEANING IF INTERVAL IS DOUBLY-INFINITE)
C
C INF - DOUBLE PRECISION
C INDICATING THE KIND OF INTEGRATION RANGE INVOLVED
C INF = 1 CORRESPONDS TO (BOUND,+INFINITY),
C INF = -1 TO (-INFINITY,BOUND),
C INF = 2 TO (-INFINITY,+INFINITY).
C
C EPSABS - DOUBLE PRECISION
C ABSOLUTE ACCURACY REQUESTED
C EPSREL - DOUBLE PRECISION
C RELATIVE ACCURACY REQUESTED
C IF EPSABS.LE.0
C AND EPSREL.LT.MAX(50*REL.MACH.ACC.,0.5D-28),
C THE ROUTINE WILL END WITH IER = 6.
C
C LIMIT - INTEGER
C GIVES AN UPPER BOUND ON THE NUMBER OF SUBINTERVALS
C IN THE PARTITION OF (A,B), LIMIT.GE.1
C
C ON RETURN
C RESULT - DOUBLE PRECISION
C APPROXIMATION TO THE INTEGRAL
C
C ABSERR - DOUBLE PRECISION
C ESTIMATE OF THE MODULUS OF THE ABSOLUTE ERROR,
C WHICH SHOULD EQUAL OR EXCEED ABS(I-RESULT)
C
C NEVAL - INTEGER
C NUMBER OF INTEGRAND EVALUATIONS
C
C IER - INTEGER
C IER = 0 NORMAL AND RELIABLE TERMINATION OF THE
C ROUTINE. IT IS ASSUMED THAT THE REQUESTED
C ACCURACY HAS BEEN ACHIEVED.
C IER.GT.0 ABNORMAL TERMINATION OF THE ROUTINE. THE
C ESTIMATES FOR RESULT AND ERROR ARE LESS
C RELIABLE. IT IS ASSUMED THAT THE REQUESTED
C ACCURACY HAS NOT BEEN ACHIEVED.
C IER.LT.0 EXIT REQUESTED FROM USER-SUPPLIED
C FUNCTION.
C
C ERROR MESSAGES
C IER = 1 MAXIMUM NUMBER OF SUBDIVISIONS ALLOWED
C HAS BEEN ACHIEVED. ONE CAN ALLOW MORE
C SUBDIVISIONS BY INCREASING THE VALUE OF
C LIMIT (AND TAKING THE ACCORDING DIMENSION
C ADJUSTMENTS INTO ACCOUNT). HOWEVER,IF
C THIS YIELDS NO IMPROVEMENT IT IS ADVISED
C TO ANALYZE THE INTEGRAND IN ORDER TO
C DETERMINE THE INTEGRATION DIFFICULTIES.
C IF THE POSITION OF A LOCAL DIFFICULTY CAN
C BE DETERMINED (E.G. SINGULARITY,
C DISCONTINUITY WITHIN THE INTERVAL) ONE
C WILL PROBABLY GAIN FROM SPLITTING UP THE
C INTERVAL AT THIS POINT AND CALLING THE
C INTEGRATOR ON THE SUBRANGES. IF POSSIBLE,
C AN APPROPRIATE SPECIAL-PURPOSE INTEGRATOR
C SHOULD BE USED, WHICH IS DESIGNED FOR
C HANDLING THE TYPE OF DIFFICULTY INVOLVED.
C = 2 THE OCCURRENCE OF ROUNDOFF ERROR IS
C DETECTED, WHICH PREVENTS THE REQUESTED
C TOLERANCE FROM BEING ACHIEVED.
C THE ERROR MAY BE UNDER-ESTIMATED.
C = 3 EXTREMELY BAD INTEGRAND BEHAVIOUR OCCURS
C AT SOME POINTS OF THE INTEGRATION
C INTERVAL.
C = 4 THE ALGORITHM DOES NOT CONVERGE.
C ROUNDOFF ERROR IS DETECTED IN THE
C EXTRAPOLATION TABLE.
C IT IS ASSUMED THAT THE REQUESTED TOLERANCE
C CANNOT BE ACHIEVED, AND THAT THE RETURNED
C RESULT IS THE BEST WHICH CAN BE OBTAINED.
C = 5 THE INTEGRAL IS PROBABLY DIVERGENT, OR
C SLOWLY CONVERGENT. IT MUST BE NOTED THAT
C DIVERGENCE CAN OCCUR WITH ANY OTHER VALUE
C OF IER.
C = 6 THE INPUT IS INVALID, BECAUSE
C (EPSABS.LE.0 AND
C EPSREL.LT.MAX(50*REL.MACH.ACC.,0.5D-28),
C RESULT, ABSERR, NEVAL, LAST, RLIST(1),
C ELIST(1) AND IORD(1) ARE SET TO ZERO.
C ALIST(1) AND BLIST(1) ARE SET TO 0
C AND 1 RESPECTIVELY.
C
C ALIST - DOUBLE PRECISION
C VECTOR OF DIMENSION AT LEAST LIMIT, THE FIRST
C LAST ELEMENTS OF WHICH ARE THE LEFT
C END POINTS OF THE SUBINTERVALS IN THE PARTITION
C OF THE TRANSFORMED INTEGRATION RANGE (0,1).
C
C BLIST - DOUBLE PRECISION
C VECTOR OF DIMENSION AT LEAST LIMIT, THE FIRST
C LAST ELEMENTS OF WHICH ARE THE RIGHT
C END POINTS OF THE SUBINTERVALS IN THE PARTITION
C OF THE TRANSFORMED INTEGRATION RANGE (0,1).
C
C RLIST - DOUBLE PRECISION
C VECTOR OF DIMENSION AT LEAST LIMIT, THE FIRST
C LAST ELEMENTS OF WHICH ARE THE INTEGRAL
C APPROXIMATIONS ON THE SUBINTERVALS
C
C ELIST - DOUBLE PRECISION
C VECTOR OF DIMENSION AT LEAST LIMIT, THE FIRST
C LAST ELEMENTS OF WHICH ARE THE MODULI OF THE
C ABSOLUTE ERROR ESTIMATES ON THE SUBINTERVALS
C
C IORD - INTEGER
C VECTOR OF DIMENSION LIMIT, THE FIRST K
C ELEMENTS OF WHICH ARE POINTERS TO THE
C ERROR ESTIMATES OVER THE SUBINTERVALS,
C SUCH THAT ELIST(IORD(1)), ..., ELIST(IORD(K))
C FORM A DECREASING SEQUENCE, WITH K = LAST
C IF LAST.LE.(LIMIT/2+2), AND K = LIMIT+1-LAST
C OTHERWISE
C
C LAST - INTEGER
C NUMBER OF SUBINTERVALS ACTUALLY PRODUCED
C IN THE SUBDIVISION PROCESS
C
C***REFERENCES (NONE)
C***ROUTINES CALLED D1MACH,DQELG,DQK15I,DQPSRT
C***END PROLOGUE DQAGIE
DOUBLE PRECISION ABSEPS,ABSERR,ALIST,AREA,AREA1,AREA12,AREA2,A1,
* A2,BLIST,BOUN,BOUND,B1,B2,CORREC,DABS,DEFABS,DEFAB1,DEFAB2,
* DMAX1,DRES,D1MACH,ELIST,EPMACH,EPSABS,EPSREL,ERLARG,ERLAST,
* ERRBND,ERRMAX,ERROR1,ERROR2,ERRO12,ERRSUM,ERTEST,F,OFLOW,RESABS,
* RESEPS,RESULT,RES3LA,RLIST,RLIST2,SMALL,UFLOW
INTEGER ID,IER,IERRO,INF,IORD,IROFF1,IROFF2,IROFF3,JUPBND,K,KSGN,
* KTMIN,LAST,LIMIT,MAXERR,NEVAL,NRES,NRMAX,NUMRL2
LOGICAL EXTRAP,NOEXT
C
DIMENSION ALIST(LIMIT),BLIST(LIMIT),ELIST(LIMIT),IORD(LIMIT),
* RES3LA(3),RLIST(LIMIT),RLIST2(52)
C
EXTERNAL F
C
C THE DIMENSION OF RLIST2 IS DETERMINED BY THE VALUE OF
C LIMEXP IN SUBROUTINE DQELG.
C
C
C LIST OF MAJOR VARIABLES
C -----------------------
C
C ALIST - LIST OF LEFT END POINTS OF ALL SUBINTERVALS
C CONSIDERED UP TO NOW
C BLIST - LIST OF RIGHT END POINTS OF ALL SUBINTERVALS
C CONSIDERED UP TO NOW
C RLIST(I) - APPROXIMATION TO THE INTEGRAL OVER
C (ALIST(I),BLIST(I))
C RLIST2 - ARRAY OF DIMENSION AT LEAST (LIMEXP+2),
C CONTAINING THE PART OF THE EPSILON TABLE
C WICH IS STILL NEEDED FOR FURTHER COMPUTATIONS
C ELIST(I) - ERROR ESTIMATE APPLYING TO RLIST(I)
C MAXERR - POINTER TO THE INTERVAL WITH LARGEST ERROR
C ESTIMATE
C ERRMAX - ELIST(MAXERR)
C ERLAST - ERROR ON THE INTERVAL CURRENTLY SUBDIVIDED
C (BEFORE THAT SUBDIVISION HAS TAKEN PLACE)
C AREA - SUM OF THE INTEGRALS OVER THE SUBINTERVALS
C ERRSUM - SUM OF THE ERRORS OVER THE SUBINTERVALS
C ERRBND - REQUESTED ACCURACY MAX(EPSABS,EPSREL*
C ABS(RESULT))
C *****1 - VARIABLE FOR THE LEFT SUBINTERVAL
C *****2 - VARIABLE FOR THE RIGHT SUBINTERVAL
C LAST - INDEX FOR SUBDIVISION
C NRES - NUMBER OF CALLS TO THE EXTRAPOLATION ROUTINE
C NUMRL2 - NUMBER OF ELEMENTS CURRENTLY IN RLIST2. IF AN
C APPROPRIATE APPROXIMATION TO THE COMPOUNDED
C INTEGRAL HAS BEEN OBTAINED, IT IS PUT IN
C RLIST2(NUMRL2) AFTER NUMRL2 HAS BEEN INCREASED
C BY ONE.
C SMALL - LENGTH OF THE SMALLEST INTERVAL CONSIDERED UP
C TO NOW, MULTIPLIED BY 1.5
C ERLARG - SUM OF THE ERRORS OVER THE INTERVALS LARGER
C THAN THE SMALLEST INTERVAL CONSIDERED UP TO NOW
C EXTRAP - LOGICAL VARIABLE DENOTING THAT THE ROUTINE
C IS ATTEMPTING TO PERFORM EXTRAPOLATION. I.E.
C BEFORE SUBDIVIDING THE SMALLEST INTERVAL WE
C TRY TO DECREASE THE VALUE OF ERLARG.
C NOEXT - LOGICAL VARIABLE DENOTING THAT EXTRAPOLATION
C IS NO LONGER ALLOWED (TRUE-VALUE)
C
C MACHINE DEPENDENT CONSTANTS
C ---------------------------
C
C EPMACH IS THE LARGEST RELATIVE SPACING.
C UFLOW IS THE SMALLEST POSITIVE MAGNITUDE.
C OFLOW IS THE LARGEST POSITIVE MAGNITUDE.
C
C***FIRST EXECUTABLE STATEMENT DQAGIE
EPMACH = D1MACH(4)
C
C TEST ON VALIDITY OF PARAMETERS
C -----------------------------
C
IER = 0
NEVAL = 0
LAST = 0
RESULT = 0.0D+00
ABSERR = 0.0D+00
ALIST(1) = 0.0D+00
BLIST(1) = 0.1D+01
RLIST(1) = 0.0D+00
ELIST(1) = 0.0D+00
IORD(1) = 0
IF(EPSABS.LE.0.0D+00.AND.EPSREL.LT.DMAX1(0.5D+02*EPMACH,0.5D-28))
* IER = 6
IF(IER.EQ.6) GO TO 999
C
C
C FIRST APPROXIMATION TO THE INTEGRAL
C -----------------------------------
C
C DETERMINE THE INTERVAL TO BE MAPPED ONTO (0,1).
C IF INF = 2 THE INTEGRAL IS COMPUTED AS I = I1+I2, WHERE
C I1 = INTEGRAL OF F OVER (-INFINITY,0),
C I2 = INTEGRAL OF F OVER (0,+INFINITY).
C
BOUN = BOUND
IF(INF.EQ.2) BOUN = 0.0D+00
CALL DQK15I(F,BOUN,INF,0.0D+00,0.1D+01,RESULT,ABSERR,
* DEFABS,RESABS,IER)
IF (IER .LT. 0) RETURN
C
C TEST ON ACCURACY
C
LAST = 1
RLIST(1) = RESULT
ELIST(1) = ABSERR
IORD(1) = 1
DRES = DABS(RESULT)
ERRBND = DMAX1(EPSABS,EPSREL*DRES)
IF(ABSERR.LE.1.0D+02*EPMACH*DEFABS.AND.ABSERR.GT.ERRBND) IER = 2
IF(LIMIT.EQ.1) IER = 1
IF(IER.NE.0.OR.(ABSERR.LE.ERRBND.AND.ABSERR.NE.RESABS).OR.
* ABSERR.EQ.0.0D+00) GO TO 130
C
C INITIALIZATION
C --------------
C
UFLOW = D1MACH(1)
OFLOW = D1MACH(2)
RLIST2(1) = RESULT
ERRMAX = ABSERR
MAXERR = 1
AREA = RESULT
ERRSUM = ABSERR
ABSERR = OFLOW
NRMAX = 1
NRES = 0
KTMIN = 0
NUMRL2 = 2
EXTRAP = .FALSE.
NOEXT = .FALSE.
IERRO = 0
IROFF1 = 0
IROFF2 = 0
IROFF3 = 0
KSGN = -1
IF(DRES.GE.(0.1D+01-0.5D+02*EPMACH)*DEFABS) KSGN = 1
C
C MAIN DO-LOOP
C ------------
C
DO 90 LAST = 2,LIMIT
C
C BISECT THE SUBINTERVAL WITH NRMAX-TH LARGEST ERROR ESTIMATE.
C
A1 = ALIST(MAXERR)
B1 = 0.5D+00*(ALIST(MAXERR)+BLIST(MAXERR))
A2 = B1
B2 = BLIST(MAXERR)
ERLAST = ERRMAX
CALL DQK15I(F,BOUN,INF,A1,B1,AREA1,ERROR1,RESABS,DEFAB1,IER)
IF (IER .LT. 0) RETURN
CALL DQK15I(F,BOUN,INF,A2,B2,AREA2,ERROR2,RESABS,DEFAB2,IER)
IF (IER .LT. 0) RETURN
C
C IMPROVE PREVIOUS APPROXIMATIONS TO INTEGRAL
C AND ERROR AND TEST FOR ACCURACY.
C
AREA12 = AREA1+AREA2
ERRO12 = ERROR1+ERROR2
ERRSUM = ERRSUM+ERRO12-ERRMAX
AREA = AREA+AREA12-RLIST(MAXERR)
IF(DEFAB1.EQ.ERROR1.OR.DEFAB2.EQ.ERROR2)GO TO 15
IF(DABS(RLIST(MAXERR)-AREA12).GT.0.1D-04*DABS(AREA12)
* .OR.ERRO12.LT.0.99D+00*ERRMAX) GO TO 10
IF(EXTRAP) IROFF2 = IROFF2+1
IF(.NOT.EXTRAP) IROFF1 = IROFF1+1
10 IF(LAST.GT.10.AND.ERRO12.GT.ERRMAX) IROFF3 = IROFF3+1
15 RLIST(MAXERR) = AREA1
RLIST(LAST) = AREA2
ERRBND = DMAX1(EPSABS,EPSREL*DABS(AREA))
C
C TEST FOR ROUNDOFF ERROR AND EVENTUALLY SET ERROR FLAG.
C
IF(IROFF1+IROFF2.GE.10.OR.IROFF3.GE.20) IER = 2
IF(IROFF2.GE.5) IERRO = 3
C
C SET ERROR FLAG IN THE CASE THAT THE NUMBER OF
C SUBINTERVALS EQUALS LIMIT.
C
IF(LAST.EQ.LIMIT) IER = 1
C
C SET ERROR FLAG IN THE CASE OF BAD INTEGRAND BEHAVIOUR
C AT SOME POINTS OF THE INTEGRATION RANGE.
C
IF(DMAX1(DABS(A1),DABS(B2)).LE.(0.1D+01+0.1D+03*EPMACH)*
* (DABS(A2)+0.1D+04*UFLOW)) IER = 4
C
C APPEND THE NEWLY-CREATED INTERVALS TO THE LIST.
C
IF(ERROR2.GT.ERROR1) GO TO 20
ALIST(LAST) = A2
BLIST(MAXERR) = B1
BLIST(LAST) = B2
ELIST(MAXERR) = ERROR1
ELIST(LAST) = ERROR2
GO TO 30
20 ALIST(MAXERR) = A2
ALIST(LAST) = A1
BLIST(LAST) = B1
RLIST(MAXERR) = AREA2
RLIST(LAST) = AREA1
ELIST(MAXERR) = ERROR2
ELIST(LAST) = ERROR1
C
C CALL SUBROUTINE DQPSRT TO MAINTAIN THE DESCENDING ORDERING
C IN THE LIST OF ERROR ESTIMATES AND SELECT THE SUBINTERVAL
C WITH NRMAX-TH LARGEST ERROR ESTIMATE (TO BE BISECTED NEXT).
C
30 CALL DQPSRT(LIMIT,LAST,MAXERR,ERRMAX,ELIST,IORD,NRMAX)
IF(ERRSUM.LE.ERRBND) GO TO 115
IF(IER.NE.0) GO TO 100
IF(LAST.EQ.2) GO TO 80
IF(NOEXT) GO TO 90
ERLARG = ERLARG-ERLAST
IF(DABS(B1-A1).GT.SMALL) ERLARG = ERLARG+ERRO12
IF(EXTRAP) GO TO 40
C
C TEST WHETHER THE INTERVAL TO BE BISECTED NEXT IS THE
C SMALLEST INTERVAL.
C
IF(DABS(BLIST(MAXERR)-ALIST(MAXERR)).GT.SMALL) GO TO 90
EXTRAP = .TRUE.
NRMAX = 2
40 IF(IERRO.EQ.3.OR.ERLARG.LE.ERTEST) GO TO 60
C
C THE SMALLEST INTERVAL HAS THE LARGEST ERROR.
C BEFORE BISECTING DECREASE THE SUM OF THE ERRORS OVER THE
C LARGER INTERVALS (ERLARG) AND PERFORM EXTRAPOLATION.
C
ID = NRMAX
JUPBND = LAST
IF(LAST.GT.(2+LIMIT/2)) JUPBND = LIMIT+3-LAST
DO 50 K = ID,JUPBND
MAXERR = IORD(NRMAX)
ERRMAX = ELIST(MAXERR)
IF(DABS(BLIST(MAXERR)-ALIST(MAXERR)).GT.SMALL) GO TO 90
NRMAX = NRMAX+1
50 CONTINUE
C
C PERFORM EXTRAPOLATION.
C
60 NUMRL2 = NUMRL2+1
RLIST2(NUMRL2) = AREA
CALL DQELG(NUMRL2,RLIST2,RESEPS,ABSEPS,RES3LA,NRES)
KTMIN = KTMIN+1
IF(KTMIN.GT.5.AND.ABSERR.LT.0.1D-02*ERRSUM) IER = 5
IF(ABSEPS.GE.ABSERR) GO TO 70
KTMIN = 0
ABSERR = ABSEPS
RESULT = RESEPS
CORREC = ERLARG
ERTEST = DMAX1(EPSABS,EPSREL*DABS(RESEPS))
IF(ABSERR.LE.ERTEST) GO TO 100
C
C PREPARE BISECTION OF THE SMALLEST INTERVAL.
C
70 IF(NUMRL2.EQ.1) NOEXT = .TRUE.
IF(IER.EQ.5) GO TO 100
MAXERR = IORD(1)
ERRMAX = ELIST(MAXERR)
NRMAX = 1
EXTRAP = .FALSE.
SMALL = SMALL*0.5D+00
ERLARG = ERRSUM
GO TO 90
80 SMALL = 0.375D+00
ERLARG = ERRSUM
ERTEST = ERRBND
RLIST2(2) = AREA
90 CONTINUE
C
C SET FINAL RESULT AND ERROR ESTIMATE.
C ------------------------------------
C
100 IF(ABSERR.EQ.OFLOW) GO TO 115
IF((IER+IERRO).EQ.0) GO TO 110
IF(IERRO.EQ.3) ABSERR = ABSERR+CORREC
IF(IER.EQ.0) IER = 3
IF(RESULT.NE.0.0D+00.AND.AREA.NE.0.0D+00)GO TO 105
IF(ABSERR.GT.ERRSUM)GO TO 115
IF(AREA.EQ.0.0D+00) GO TO 130
GO TO 110
105 IF(ABSERR/DABS(RESULT).GT.ERRSUM/DABS(AREA))GO TO 115
C
C TEST ON DIVERGENCE
C
110 IF(KSGN.EQ.(-1).AND.DMAX1(DABS(RESULT),DABS(AREA)).LE.
* DEFABS*0.1D-01) GO TO 130
IF(0.1D-01.GT.(RESULT/AREA).OR.(RESULT/AREA).GT.0.1D+03.
*OR.ERRSUM.GT.DABS(AREA)) IER = 6
GO TO 130
C
C COMPUTE GLOBAL INTEGRAL SUM.
C
115 RESULT = 0.0D+00
DO 120 K = 1,LAST
RESULT = RESULT+RLIST(K)
120 CONTINUE
ABSERR = ERRSUM
130 NEVAL = 30*LAST-15
IF(INF.EQ.2) NEVAL = 2*NEVAL
IF(IER.GT.2) IER=IER-1
999 RETURN
END