CQUAD doubly-adaptive integration

[ivan-pi]

The GNU Scientific Library also contains an implementation of the algorithm from

P. Gonnet, “Increasing the Reliability of Adaptive Quadrature Using Explicit Interpolants”, ACM Transactions on Mathematical Software, Volume 37 (2010), Issue 3, Article 26. https://doi.org/10.1145/1824801.1824804

In principle Fortran programmers can use it via the fgsl wrapper library, but it would be nice to have them all in one place.

The same author also published a review of error estimation approaches

Gonnet, P. (2012). A review of error estimation in adaptive quadrature. ACM Computing Surveys (CSUR), 44(4), 1-36. https://dl.acm.org/doi/abs/10.1145/2333112.2333117

[ivan-pi]

This algorithm is also available as quadcc in Octave. As a side note, I'm kind of impressed by the quality of Octave's documentation on numerical integration.