F — User-supplied FUNCTION to be integrated. The form is F(X, Y [, …]), where

A — Lower limit of integration for outer dimension. (Input)

B — Upper limit of integration. The relative values of A and B are interpreted properly. Thus if one exchanges A and B, the sign of the answer is changed. When the integrand is positive, the sign of the result is the same as the sign of B – A. (Input)

G — User-supplied FUNCTION to compute the lower limit of integration for the inner dimension. The form is G(X [, …]), where

H — User-supplied FUNCTION to compute the upper limit of integration for the inner dimension. The form is H(X [,]), where

RESULT — Estimate of the integral from A to B of the integral from G(X) to H(X) of G(X,Y). (Output)

ERRABS — Absolute error tolerance. See Comment 1 for a discussion of the error tolerances. (Input)
Default: ERRABS = 0.0.

ERRFRAC — A fraction expressing the (number of correct digits of accuracy desired)/(number of digits of achievable precision). See Comment 1 for a discussion of the error tolerances. (Input)
Default: ERRFRAC = 0.75.

ERRREL— Relative error tolerance. See Comment 1 for a discussion of the error tolerances. (Input)
Default: ERRABS = 0.0.

ERRPOST — An a posteriori estimate of the absolute value of the error committed while evaluating the integrand. This value may be computed during the evaluation of the integrand. When this optional argument is used, FCN_DATA must also be used as FCN_DATA%RDATA(1) will be used to pass the newly calculated value of ERRPOST back from the evaluator, F. In this case, the user should not use FCN_DATA%RDATA(1) for passing other data. (Input)
Default: ERRPOST = 0.0.

ERRPRIOR— An a priori estimate of the absolute value of the relative error expected to be committed while evaluating the integrand. Changes to this value are not detected during evaluation of the integral. (Input)
Default: ERRPRIOR = 1.19e-7 for single precision and 2.22d-16 for double precision.

MAXFCN — The maximum number of function values to use to compute the integral. (Input)
Default: The number of function values is not bounded.

SINGULARITY — The real part of the abscissa of a singularity or discontinuity in the innermost integrand. If this option is used, SINGULARITY_TYPE must also be used. (Input)
Default: It is assumed that there is no singularity in the innermost integrand so SINGULARITY is not set. It is an error to set SINGULARITY without also setting SINGULARITY_TYPE.

SINGULARITY_TYPE— A signed integer specifying the type of singularity which occurs in the innermost integrand. If the singularity has a leading term of the form xα where α is not an integer, if α is “large” or has the form α = (2n-1)/2 where n is a nonnegative integer, or the singularity is well outside the interval, set SINGULARITY_TYPE to a positive integer. Otherwise, set SINGULARITY_TYPE to a negative integer. (Input)
Default: It is assumed that there is no singularity in the innermost integrand so SINGULARITY_TYPE is not set. It is an error to set SINGULARITY_TYPE without also setting SINGULARITY.

FCN_DATA — A derived type, s_fcn_data, which may be used to pass additional information to/from the user-supplied function. The derived type, s_fcn_data, is defined as:

NEVAL — Number of function evaluations used to calculate the integral. (Output)

ERREST — An estimate of the upper bound of the magnitude of the difference between RESULT and the true value of the integral. (Output)

ISTATUS — A status flag indicating the error criteria which was satisfied on exit.
ISTATUS = -1 indicates normal termination with either the absolute or relative error tolerance criteria satisfied.
ISTATUS = -2 indicates normal termination with neither the absolute nor the relative error tolerance criteria satisfied, but the error tolerance based on the locally achievable precision is satisfied.
ISTATUS = -3 indicates normal termination with none of the error tolerance criteria satisfied.
ISTATUS = any value other than the above indicates abnormal termination due to an error condition. (Output)

1. The user provides the absolute error tolerance through optional argument ERRABS. Optional argument ERRFRAC represents the ratio of the (number of correct digits of accuracy desired) to (number of digits of achievable precision). The internal value for ERRFRAC is bounded between .5 and 1.The error tolerance relative to the value of the integral is specified via optional argument ERRREL. By default, ERRABS and ERRREL are set to 0.0 and ERRFRAC is set to .75. These default values usually provide all the accuracy that can be obtained efficiently.

2. Optional arguments SINGULARITY and SINGULARITY_TYPE provide the user with a means to give the routine information about the location and type of any known singularity of the innermost integrand. When an integrand appears to have singular behavior at the end of the interval, a transformation of the variable of integration is applied to reduce the strength of the singularity. When an integrand appears to have singular behavior inside the interval, the abscissa of the singularity is determined as precisely as necessary, depending on the error tolerance, and the interval is subdivided. The discovery of singular behavior and determination of the abscissa of singular behavior are expensive. If the user knows of the existence of a singularity, the efficiency of computation of the integral may be improved by requesting an immediate transformation of the independent variable or subdivision of the interval. It is recommended that the user select these optional arguments for all singularities, even those outside [A, B]. If the singularity has a leading term of the form xα where α is not an integer, if α is “large” or has the form α = (2n-1)/2 where n is a nonnegative integer, or the singularity is well outside the interval, set SINGULARITY_TYPE to a positive value. Otherwise, set SINGULARITY_TYPE to a negative value. The meaning of “large” depends on the rest of the integrand and the length of the interval. For the typical case, a value of about 2 is considered “large”. For a singularity of the form xα log x use the above rule, even if α is an integer. For other types of singularities make a reasonable guess based on the above. If several similar integrals are to be computed, some experimentation may be useful.