adaptive 1d numerical Gauss–Kronrod integration in Julia
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README.md

QuadGK.jl

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Latest release: QuadGK QuadGK

Documentation:

This package provides support for one-dimensional numerical integration in Julia using adaptive Gauss-Kronrod quadrature. The code was originally part of Base Julia.

The package provides three functions: quadgk, gauss, and kronrod. quadgk performs the integration, gauss computes Gaussian quadrature points and weights for integrating over the interval [-1, 1], and kronrod computes Kronrod points, weights, and embedded Gaussian quadrature weights for integrating over [-1, 1].

For more information, see the documentation.

Similar packages

The FastGaussQuadrature.jl package provides non-adaptive Gaussian quadrature with a wider variety of weight functions. It should be preferred to this package for higher orders N, since the algorithms here are O(N2) whereas the FastGaussQuadrature algorithms are O(N).

For multidimensional integration, see the HCubature.jl, Cubature.jl, and Cuba.jl packages.