[SciPy-User] [SciPy-user] Speeding up scipy.integrate.quad

tomrichardson thomas.d.richardson@kcl.ac...
Tue Oct 25 04:48:27 CDT 2011


I'm currently trying to implement a Metropolis Hastings algorithm for which a
numerical integration has to be called to obtain the acceptance probability
of any given trial in the iteration. I'm currently using the
scipy.integrate.quad function but it's too slow.Only part of the integrand
has an analytical form - in fact it depends on an interpolation function
that uses data in two numpy arrays. I've plotted the integrand and it
diverges near the lower limit of integration, there is a term

1/(r^2-R^2) where r is the the dummy variable over which I am integrating
and R is the lower limit of integration [I've already added a small
increment to R to avoid a zero division error]

Things I've tried:
-I've implemented all of the other QUADPACK integration methods in scipy
which are all slower
-reduced the epsabs and epsrel limits
-split the interval into subranges that weight the divergence

Are there any special purpose integrators that anyone can recommend that can
deal with this integrand and compete favourably with quad for speed?

Ideas:

I'm not familiar with the C language but I have Cython and Weave installed
as part of the Enthought Python pack. Would implementing the numerical
integration in the C compiler increase the speed dramatically? If so how do
I introduce the numpy arrays in the cdef terminology for Cython / are there
any C++ recipes that use a sampled data input that I can implement
(relatively pain free as a C++ noob).
 
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