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Hi,

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
on 20 Jul 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 .

Walter Roberson
on 14 Aug 2021

value = int(exp(-(T-L.*(0.97)).*(2e+05)).*(int((exp(-omega-(((2e+05).*sqrt((T-L.*(0.97)).^2+(U+L.*(0.26)).^2)).^2./(4*omega))))./(2*omega),omega,AA,BB)),L,A,B);

valF = matlabFunction(value, 'vars', [AA,BB,A,B,U,T]);

That is going to fail because matlabFunction does not generate integral2() automatically when it sees nested integral(), and matlabFunction() does not know it should generate 'arrayvalued' at any point.

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