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IMSL Routines for Quadrature

IMSL Routines for Quadrature

Univariate and Bivariate Quadrature


IMSL_INTFCN: Integration of a user-defined univariate or bivariate function.

Arbitrary Dimension Quadrature


IMSL_INTFCN_QMC: Integrates a function on a hyper-rectangle using a Quasi Monte Carlo method.

IMSL_INTFCNHYPER: Iterated integral on a hyper-rectangle.

Gauss Quadrature


IMSL_GQUAD: Gauss quadrature formulas.

Differentiation


IMSL_FCN_DERIV: First, second, or third derivative of a function.



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