Saddle-Point Approximation Explained

A detailed tutorial on saddle-point approximation. Step by step tutorial including several examples of saddle-point approximation for reference.

Saddle-point approximation is also referred to as the method of steepest descent and Laplace’s method. It is a way of approximating integrals in the form . f(x) is some twice-differentiable function, M is a large number, and the integral endpoints a and b have a possibilty of being infinite.