MATLAB: Problem with integration of Normal PDF

numerical integration

When I expand the limits of integration, the result goes to zero, which does not make any sense, since the function is always positive. Here is an example of the output I am getting:

>> integral(@(x)normpdf(x),-10^1,10)

ans =

   1.000000000000000

>> integral(@(x)normpdf(x),-10^100,10)

ans =

If someone knows a proper way to integrate the normpdf function please let me know.

Thanks!

Best Answer

Use the "Waypoints" option, i.e. distribute points in the region where the mass of your function is located (in this case around x=0).

Best wishes

Torsten.

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MATLAB: Numerical integration

This turned out to be surprisingly tricky, but here is the solution. First, define a function

function fzv = integrateOverSecondPair(fun,x,y,zmin,zmax,vmin,vmax)
% DBLQUAD evaluates FUN for a vector x and scalar y. The backwards loop is
% Matt Fig's dynamic preallocation.
for ii=numel(x):-1:1
  g = @(z,v) fun(x(ii),y,z,v);
  fzv(ii) = dblquad(g,zmin,zmax,vmin,vmax);
end

Then use the commands

fzv = @(x,y) integrateOverSecondPair(@f,x,y,zmin,zmax,vmin,vmax);
fxyzv = dblquad(fzv,xmin,xmax,ymin,ymax);

Best Answer

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