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hcubature hanging and leaking memory on a simple multivariate normal expectation calculation #7

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bnaras opened this issue Jun 15, 2018 · 1 comment
Open

hcubature hanging and leaking memory on a simple multivariate normal expectation calculation #7

bnaras opened this issue Jun 15, 2018 · 1 comment

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@bnaras
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@bnaras bnaras commented Jun 15, 2018

I got a bug report on my R package from a user and found that hcubature is having trouble with a simple integral of x * f(x) where f is 2-d multivariate normal density.

I provide a reproducible example on my repo

I checked that the problem occurs both on Unix and Mac. Pcubature works nicely though!
@stevengj
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@stevengj stevengj commented Jul 27, 2018 •
edited

Does HCubature.jl work? Sorry, wrong language! Might be the same problem as was fixed in JuliaMath/HCubature.jl#5 though. Would be nice to apply the same fix to the C cubature routine.
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@stevengj @bnaras
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