Boost C++ Libraries

...one of the most highly regarded and expertly designed C++ library projects in the world. Herb Sutter and Andrei Alexandrescu, C++ Coding Standards

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Chapter 11. Quadrature and Differentiation

Table of Contents

Trapezoidal Quadrature
Gauss-Legendre quadrature
Gauss-Kronrod Quadrature
Double-exponential quadrature
Overview
tanh_sinh
Handling functions with large features near an endpoint with tanh-sinh quadrature
sinh_sinh
exp_sinh
Setting the Termination Condition for Integration
Setting the Maximum Interval Halvings and Memory Requirements
Thread Safety
Caveats
References
Naive Monte Carlo Integration
Numerical Differentiation

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