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 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.
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).