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Help optimizing a slow integral

  • To: mathgroup at
  • Subject: [mg28740] Help optimizing a slow integral
  • From: Chris Johnson <cjohnson at>
  • Date: Fri, 11 May 2001 03:38:56 -0400 (EDT)
  • Sender: owner-wri-mathgroup at


I have the following functions and definitions:

opts = {MinRecursion -> 3, MaxRecursion -> 20};


low = {1.099425, 1.20904, 1.32989, 1.46313};

high = {1.14795, 1.31107, 1.44351, 1.588769};

fn1[low_, high_, a_, b_] := Min[low[[a]], b^a] + 
    0.97*Max[b^t - high[[a]], 0]; 

fn2[a_, m_, s_, opts_] := 
  Log[NIntegrate[fn1[low, high, a, b]*PDF[LogNormalDistribution[
         m - a*(s^2/2), s], b], {b, 0, Infinity}, opts]/0.97]/a;

which I wrote to calculate a mean for a function.

My first problem is that the integral often throws off errors, but gives
results that are at least reasonable to what I expect.  Try, for example, 
fn2[2, .2, .1, opts]

I've come to grips with these errors messages, especially, after getting
rid of many of them by adding the options into the integral.  If anyone
has suggestions as to a better solution I'd be all ears.

But my real question is how could I make this faster, or at least
understand the timing.  In particular, I want to integrate my expectation
function over varying paremeters for the distribution.  Again, another

Timing[NIntegrate[m-fn2[2,m,s,opts],{m,.1,.2},{s,.15,.2}]/(.1  .05)]

{9.133 Second,0.00667356}

{21.3 Second,0.0144371}

{2.955 Second,0.00893668}

Note the more I increase the lower bound of the s parameter, the integral
speeds up exponentially.  Why?  I was hoping to consider much wider bands,
and even add more complexity by including a distribution for the m and s
variables, but time is killing me.  For one run I actually allowed to
finish, it took a half hour.

I tried to use UnitStep to create the functions without Min and Max, but
that didn't seem to help.  Any speed demons out there want to give

Thanks for any help,


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