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R package for fast, numerically-stable Gauss-Hermite quadrature
R C++
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fastGHQuad.Rproj

README

This is an R package for fast, numerically-stable Gauss-Hermite quadrature. It
uses the Golub-Welch algorithm (implemented using a Rcpp/LAPACK interface in
compiled code) to evaluate quadrature rules with 1000+ points with numerical
stability and efficiency. It also includes convenience functions for vanilla
Gauss-Hermite quadrature and adaptive Gauss-Hermite quadrature based on Laplace
approximations (Liu and Pierce 1994, Biometrika). All methods are currently
unidimensional.

The author's website is http://www.awblocker.com
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