src/main/cpp/numerics4cpp/integration/romberg.h

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#ifndef _NUMERICS4CPP_INTEGRATION_ROMBERG_H_
#define _NUMERICS4CPP_INTEGRATION_ROMBERG_H_

#include <vector>
#include "trapezoid.h"

NUM_NAMESPACE_BEGIN

template<class Function>
class romberg_integrator : public iterative_method {

public:
    romberg_integrator(Function& f, unsigned int iterations = 100,
        double relative_error = 1.0e-15)
        : iterative_method(iterations, relative_error), _function(f)
    {
    }
    
    ~romberg_integrator() {
    }

    double integrate(double a, double b) {
        trapezoidal_integrator_state<Function> state(_function, a, b);

        std::vector<double> r0, r1;
        double error = std::numeric_limits<double>::max();
        unsigned int n;
        
        r0.push_back(state.result());
        do {
            state.iterate();
            n = state.iterations();
            
            r1.resize(0);
            r1.push_back(state.result());
            double d = 4.0;
            for (unsigned int i = 0; i < n; ++i) {
                r1.push_back(r1[i] + (r1[i] - r0[i]) / (d - 1.0));
                d *= 4.0;
            }
            error = std::fabs(r1[n] / r0[n - 1] - 1.0);
            r0 = r1;
            r1.resize(0);
        } while (n < maximum_iterations() && error > maximum_relative_error());
        
        if (n >= maximum_iterations()) {
            throw new convergence_exception(
                "Romberg integration failed to converge.");
        }
        
        return r0[r0.size() - 1];
    }
    
private:
    Function& _function;
};

NUM_NAMESPACE_END

#endif

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