466 PAMM, Proc. Appl. Math. Mech.

1 (2002)

Burgeth, B.

Numerical Evaluation of Integrals Involving the β-PDF

The fast and accurate evaluation of expected values involving the probabilistic β−distributions poses severe problems
to standard numerical integration schemes. An efficient algorithm to evaluate such integrals is presented based on
approximation and analytical evaluation rather than numerical integration. Starting from an extension of the 2-
parameter family of β-distributions a criterion is derived to assess the correctness of any integration scheme in the
numerically demanding limiting cases of this family.

1. Introduction

Some probabilistic turbulence models in computational fluid dynamics (see [2] and [5]) require the efficient and
accurate evaluation of integrals of the form

Z1
Eβ1 ,β2 (g) = g(τ ) · b(τ |β1 , β2 ) d τ. (1)
0

The β-probability density function (β-pdf) b(τ |β1 , β2 ) for strictly positive real parameters β1 , β2 is given by

1 Γ(β1 ) · Γ(β2 )
b(τ |β1 , β2 ) := · τ β1 −1 (1 − τ )β2 −1 · I]0,1[ (x) with Beta function B(β1 , β2 ) := .
B(β1 , β2 ) Γ(β1 + β2 )

Here IA denotes the indicator function of a set A ⊂ IR ( IA (x) = 1 iff x ∈ A, 0 else) . b(·|β1 , β2 ) is the pdf
of the β-distribution Pβ1 ,β2 with respect to the Lebesgue measure on [0, 1] . These β-distributions Pβ1 ,β2 form a
2-parameter family P of probability measures on the Borel subsets of [0, 1] . The accurate numerical evaluation
of such β-integrals Eβ1 ,β2 of the form (1) involving the β-pdf by means of a quadrature formula is a surprisingly
refractory task due to the singular behavior of b(·|β1 , β2 ) if β1 , β2 assume very small or very large values. The
approach presented here is based on suitable approximation by polynomials not of the whole integrand in (1) but
g alone. This avoids the calculation of β-pdf values and instead takes advantage of the fact that the henceforth
occurring β-integrals of (generalized) polynomials can be evaluated analytically. It is an additional computational
bonus that the β-integrals of these approximating expressions can be written in a convenient Horner type form.

2. Approximate Evaluation of β-Integrals

We rewrite the function g as g(x) = xν1 · g ∗ (x) · (1 − x)ν2 , x ∈ [0, 1] , 0 ≤ ν1 , ν2 , if g ∗ is supposed to have better
approximability properties than g . Otherwise ν1 , ν2 are zero. Let p∗ denote a polynomial approximation of g ∗ .
Pm
P r o p o s i t i o n 1. Let p∗ be a polynomial p∗ = i=0 a∗i xi , x ∈ [0, 1] , m ∈ IN , and set β1∗ = β1 + ν1 ,
∗
β2 = β2 + ν2 , with 0 ≤ ν1 , ν2 , then

Eβ1 ,β2 ((·)ν1 · p∗ · (1 − ·)ν2 ) =

 
B(β1∗ , β2∗ ) ∗ β1∗ ∗ β1∗ + m − 2 ∗ β1∗ + m − 1 ∗
= a + (a + . . . + ∗ (a + a ) . . .) . (2)
B(β1 , β2 ) 0 β1∗ + β2∗ 1 β1 + β2∗ + m − 2 m−1 β1∗ + β2∗ + m − 1 m

Hence the approximate value for Eβ1 ,β2 (g) is

B(β1∗ , β2∗ ) B(β1∗ , β2∗ )

Eβ1 ,β2 (g) ≈ Eβ1∗ ,β2∗ (p∗ ) , or |Eβ1∗ ,β2∗ (p∗ )| for g ≥ 0 , (3)
B(β1 , β2 ) B(β1 , β2 )

where ( · )ν1 · p∗ · (1 − · )ν2 approximates g and the RHS of (3) is determined through (2).
 Section 17.3 467

3. Assessing the Correctness of an Integration Scheme and a Numerical Example

In order to capture the behavior of the family P of measures we introduce a new system of parameters (m, s):
ÿ ÿ1
ÿ1


(m, s) := β1β+β1
2
, β 1
1
+β 2 +1 , which implies (β 1 , β 2 ) = m · s − 1 , (1 − m) · s − 1 This establishes a bijec-
tive mapping from the open quadrant ]0, +∞[×]0, +∞[ onto the open unit square ]0, 1[×]0, 1[ . Setting P̃m,s :=
Pm·( 1s −1),(1−m)·( 1s −1) , we re-index P to get a family W := {P̃m,s | 0 < m, s < 1} with corresponding densities
b̃(x|m, s) w.r.t. Lebesgue measure. W is recognized as a continuous family with respect to the vague topology on
the set of probability measures on [0, 1] . (For a definition of the vague topology see [1]). The decisive point is that,
unlike P, the family W can be extended continuously in this vague topology onto the closed unit square [0, 1]2 .

Proposition 2. The specifications

P̃m,0 = δ{m} , P̃m,1 = (1 − m) · δ{0} + m · δ{1} , P̃0,s = δ{0} , P̃1,s = δ{1} ,

provide a continuous extension W f := {P̃m,s | 0 ≤ m, s ≤ 1} of W onto the boundary [0, 1]2 \]0, 1[2 of the unit square
with respect to the vague topology.

The proof is based on arguments in the spirit of Korovkin type theorems using distinguished discrete measures on
[0, 1] . For details of the proof the reader is referred to ([3]).

Hence given any continuous function f on [0, 1], the mapping

Z 1
(m, s) 7−→ Ẽm,s (f ) := f (x) b̃(x|m, s) dx (4)
0
has a continuous extension onto the closed unit square [0, 1]2
with the ‘boundary values’
Ẽm,0 (f ) = f (m) , Ẽm,1 (f ) = (1−m) f (0)+m f (1) for m ∈ [0, 1]
0.6 and Ẽ0,s (f ) = f (0) , Ẽ1,s (f ) = f (1) for any s ∈ [0, 1] . A re-
liable (numerical) integration scheme applied to β-integrals
should reproduce this boundary values with some accuracy.
0.4 1
The function x → 7 x 10 · ( 34 − sin(π x)), 0 ≤ x ≤ 1
serves as a test case to demonstrate the capabilities of the
E(f) method to calculate β-integrals approximately. Its graph ap-
0.2
pears as a bold curve in the figure on the right. Here only
the sin-part of the function is approximated by a polynomial
of degree 4. The ‘boundary condition’ described above is met
0
1 with sufficient accuracy.
Since the P̃m,s , 0 ≤ m, s ≤ 1 are probability measures
–0.2 the maximal absolute error in the calculation of Ẽm,s (f ) is
0.5 s
0
bounded by the absolute error of the approximation of f by
0.2
0.4
a (generalized) polynomial dealt with in proposition 1.
m 0.6 0.8
For information about an appropriate approximation proce-
0
1 dure see ([3]). The calculation and the preparation of the
Figur: The average/expectation (4) of the test figure has been performed with MAPLE V, Release 5.1 ([4]).
function depending on m and s .

4. References

1 Bauer, H.: Mass- und Integrationstheorie. Walter de Gruyter, Berlin, 1990.

2 Borghi, R.: Turbulent Combustion Modelling . Prog. Energy Combust. Sci. , 14 (1988), 145–292.
3 Burgeth, B.: On the Numerical Treatment of Integrals Involving the β-PDF, submitted, 2001.
4 MAPLE V, Release 5.1: Waterloo Incorporation. Waterloo, 1998.
5 Warnatz, J.; Maas, U.; Dibble, R.: Combustion. Springer, Berlin, Heidelberg, 2nd edition, 1999.

Dr. Bernhard Burgeth, Institute for Nuclear and Energy Technologies (IKET), Forschungszentrum Karlsruhe
GmbH, P.O. Box 3640, D-76021 Karlsruhe, Germany