Instructor: Colin Grudzien

## Instructions: We will work through the following series of activities as a group and hold small group work and discussions in Zoom Breakout Rooms. Follow the instructions in each sub-section when the instructor assigns you to a breakout room. ## Activities: To perform some integration techniques, we will want the following packages, ```{r} require(cubature) require(caTools) ``` ### Activity 1: Accuracy of integration by partition size Consider how the accuracy of the trapezoidal rule differs from that of Gaussian quadrature. In the following, we will define our ground truth for the true numerical value of the probability $$\begin{align} P(-2 \leq X \leq 2) & & X \sim N(0,1) \end{align}$$ to be ```{r} ground_truth <- pnorm(2) - pnorm(-2) ``` The following `while` loop will approximate the integral $$\int_{-2}^2 f(x) \mathrm{d}x = P(-2 \leq X \leq 2) $$ with the trapezoidal rule, and it will double the step size until the error reaches the error level of the Gaussian quadrature ```{r eval=FALSE} tol <- # estimated error of Gaussian quadrature ``` Use the Gaussian quadrature method to integrate `dnorm()` over the interval $[-2,2]$ and assign the estimated error from the resulting object `abs.error` to the variable `tol` above the `while` loop below. Then find how large of a step size is needed to match the estimated error tolerance of the quadrature method. ```{r eval=FALSE} absolute_error <-1 # dummy initial value for the error n_part <- 2 # initial partition size while (absolute_error > tol) { partition <- seq(-2, 2, len=n_part) # generate a partition value <- trapz(partition, dnorm(partition)) # compute the integral absolute_error <- abs(ground_truth - value) # compute the absolute error cat("Absolute error", absolute_error, "Partition size", n_part, "\n") # print the absolute error and partition size n_part <- n_part*2 # double partition size } ```