Integration of norminv function

2 views (last 30 days)
Is there any way to integrate norminv function for big number of dimensions?
For example in case of 3-dimensional integration integration:
fun3=@(x,y,z) exp(-norminv(x,0,1)).*(abs(sin(norminv(y,0,1)))+abs(sin(norminv(z,0,1)))+abs(sin(norminv(x,0,1))));
q3 = integral3(fun3,0,1,0,1,0,1);
vpa(q3)
Matlab returns the following warnings:
Warning: Reached the maximum number of function evaluations (10000). The result passes the global error test.
> In integral2Calc>integral2t (line 136)
In integral2Calc (line 9)
In integral3/innerintegral (line 146)
In integralCalc/iterateScalarValued (line 314)
In integralCalc/vadapt (line 132)
In integralCalc (line 75)
In integral3 (line 121)
In ICDFd (line 20)
Can somebody please give me an advise?

Accepted Answer

Andrew Newell
Andrew Newell on 25 Apr 2017
Edited: Andrew Newell on 25 Apr 2017
The problem is that norminv(x,0,1) goes to -Inf as x goes to zero and Inf as x goes to 1 (and ditto for y and z), so it's hard to integrate accurately. If you can manage with a larger tolerance,
q3 = integral3(fun3,0,1,0,1,0,1,'AbsTol',1e-3);
does not return any warnings (the default tolerance is 1e-10). If you need higher precision, you'll just need to be patient, as the warnings are not fatal. However, I don't know if the precision is actually met under such circumstances.
  3 Comments
Mariia Vasileva
Mariia Vasileva on 28 Apr 2017
Yes, but I have problems with multidimensional (greater than 3) integrals...

Sign in to comment.

More Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!