Integration and Differentiation

FNLMath : Integration and Differentiation

Routines

Univariate Quadrature

Adaptive general-purpose endpoint singularities QDAGS

Adaptive general purpose QDAG

Adaptive general-purpose points of singularity QDAGP

Adaptive general-purpose with a possible internal or endpoint singularity QDAG1D

Adaptive general-purpose infinite interval QDAGI

Adaptive weighted oscillatory (trigonometric) QDAWO

Adaptive weighted Fourier (trigonometric) QDAWF

Adaptive weighted algebraic endpoint singularities QDAWS

Adaptive weighted Cauchy principal value QDAWC

Nonadaptive general purpose QDNG

Multidimensional Quadrature

Two-dimensional quadrature (iterated integral) TWODQ

Two-dimensional quadrature with a possible internal or
endpoint singularity QDAG2D

Three-dimensional quadrature with a possible internal or
endpoint singularity QDAG3D

Adaptive N-dimensional quadrature over a hyper-rectangle QAND

Integrates a function over a hyperrectangle using
a quasi-Monte Carlo method QMC

Gauss Rules and Three-term Recurrences

Gauss quadrature rule for classical weights GQRUL

Gauss quadrature rule from recurrence coefficients GQRCF

Recurrence coefficients for classical weights RECCF

Recurrence coefficients from quadrature rule RECQR

Fejer quadrature rule FQRUL

Differentiation

Approximation to first, second, or third derivative DERIV