Integral inside integral is taking too much time
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Waseem Akhtar il 20 Lug 2021
I am trying to evaluate integral inside integral using the following script but it is taking too much time, is there anyway I can reduce the time of evaluation:
f =@(x,y) x+y; % "x+y is just a simple example, the actual function is way more complicated"
integral(@(y) exp(-integral(@(x) f(x,y),a,b,'RelTol',1e-8,'AbsTol',1e-13),aa,bb,'RelTol',1e-8,'AbsTol',1e-13,'ArrayValued',true)
Walter Roberson il 20 Lug 2021
Use worse tolerances to reduce the computation time, at the expense of decreased accuracy.
In some cases, switching to integral2 might help. You are using arrayvalued so that would require multiple calls to integral2.
The fastest approach can depend on what your function is sensitive to. Numeric integration is adaptive, so if part of the range has rapid changes then it can slow down. In some cases, the rapid change only applies for one part of a range, and if you are using arrayvalued you can end up having to do the detailed integration for everything according to the worst part of the range, so sometimes arrayfun of non-arrayvalued can be faster. Sometimes .