pystra.integration#

Numerical integration for the Nataf modified correlation matrix.

The Nataf model requires solving for a modified correlation coefficient rho_0 in standard-normal space that reproduces a given correlation coefficient rho in physical space. The functions in this module evaluate the double integral that relates rho_0 to the physical correlation using 2-D Gauss-Legendre quadrature.

Functions

drho0_dtheta

Sensitivity of the modified correlation to a marginal parameter.

drho_drho0

Derivative of the Nataf integral w.r.t.

rho_integral

Evaluate the Nataf correlation integral for a trial rho_0.

zi_and_xi

Set up the 2-D quadrature grid for the Nataf correlation integral.