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Integrating a normal distribution many times

From: Søren Hauberg
Subject: Integrating a normal distribution many times
Date: Thu, 17 May 2007 13:33:05 +0200
User-agent: Thunderbird (X11/20070403)

  This is not necessarily an Octave question. but here goes anyway.
I need to evaluate the integrate a normal distribution over a specific interval with many mean values. My current Octave implementation just calls 'quad' at mean value, i.e.

for t = linspace(0, 32, 750)
  qq = @(x) normal_pdf(x, t, 2.5);
  result = quad(qq, 19, 26, 0)

This is, however, fairly slow. At some point my system needs to run in real-time (not in an Octave implementation), so I doubt that the above strategy will work. Does anybody have some hints on how to speed this up? Should I precalculate a lookup table with some values and then interpolate when I need to evaluate the function at a new mean value?


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