Numerical Integration

Numerical Integration

This section describes how to do numerical integration in ADCME. In fact, the numerical integration functionality is independent of automatic differentiation. We can use a third-party library, such as FastGaussQuadrature for extracts the quadrature weights and points. Then the quadrature weights and points can be used to calculate the integral.

The general rule for numerical integral is

\[\int_a^b w(x) f(x) dx = \sum_{i=1}^n w_i f(x_i)\]

The method works best when $f(x)$ can be approximated by a polynomial on the interval $(a, b)$.


Let us consider some examples.

Example 1


Here $a$ is a tensor (e.g., a = Variable(1.0)). We can use the Gauss-Chebyshev quadrature rule of the 1st kind. The corresponding weight function is $\frac{1}{\sqrt{1-x^2}}$

using FastGaussQuadrature, ADCME
x, w = gausschebyshev(100) # 100 is the number of quadrature nodes
a = Variable(1.0)
integral = sum(cos(a * x) * w)

We can verify the result with the exact value

sess = Session(); init(sess)
@show sum(cos.(x) .* w), run(sess, integral)

The output is

(sum(cos.(x) .* w), run(sess, integral)) = (2.4039394306344133, 2.4039394306344137)

Example 2

\[\int_0^\infty (x-1)^β x^\alpha \exp(-x) dx\]

Here we consider the Gauss-Laguerre quadrature rule. The weight function is $w(x) = x^\alpha \exp(-x)$ and $f(x) = (x-1)^2$.

using FastGaussQuadrature, ADCME
α = 2.0
x, w = gausslaguerre(100, α)
β = Variable(2.0)
integrand = constant(x .- 1)^β
integral = sum(integrand .* w)

We can verify the result with the exact value

sess = Session(); init(sess)
@show sum((x .- 1).^2 .* w), run(sess, integral)

The output is

(sum((x .- 1) .^ 2 .* w), run(sess, integral)) = (14.000000000000039, 14.000000000000037)

The integral rule is also differentiable, for example, we can calculate the gradient of the integral with respect to $\beta$

run(sess, gradients(integral, β))

For convenience, here is a list of supported quadrature rules (run using FastGaussQuadrature first)

Intervalω(x)Orthogonal polynomialsFunction
$[−1, 1]$1Legendre polynomialsgausslegendre(n)
$(−1, 1)$$(1-x)^\alpha (1+x)^\beta$Jacobi polynomialsgaussjacobi(n, a, b)
$(−1, 1)$$\frac{1}{sqrt{1-x^2}}$Chebyshev polynomials (first kind)gausschebyshev(n, 1)
$[−1, 1]$$\sqrt{1-x^2}$Chebyshev polynomials (second kind)gausschebyshev(n, 2)
$[−1, 1]$$\sqrt{(1+x)/(1-x)}$Chebyshev polynomials (third kind)gausschebyshev(n, 3)
$[−1, 1]$$\sqrt{(1-x)/(1+x)}$Chebyshev polynomials (fourth kind)gausschebyshev(n, 4)
$[0, \infty)$$e^{-x}$Laguerre polynomialsgausslaguerre(n)
$[0, \infty)$$x^\alpha e^{-x}, \alpha>1$Generalized Laguerre polynomialsgausslaguerre(n, α)
$(-\infty, \infty)$$e^{-x^2}$Hermite polynomialsgausshermite(n)