Multivariate Numerical Integration

[Brian Gough]

John.Cagnol@devinci.fr writes:
 > I'm following up on my earlier post.  Here is a simple 2-variable
 > integration routine based what already exists for 1-variable
 > integration.  At this time the integration is performed by the
 > means of iterated integrals, which is not the most efficient
 > algorithm.  The routine is also limited triangle-domains.  The
 > point is to test the types and discuss what should be improved in
 > the format before embarking in programming more complex algorithms.
 > It is also to see if there would be an interest in such routines in
 > gsl.

It would be reasonable to have something like this in the library.  I
think it would take quite a bit of work though.  Some things to
consider are how to create the domains, perhaps to avoid having to
free points individually, and having a 3d version.  Maybe it is
possible to make the code object oriented so that the user can easily
provide new types of regions extensibly, with pointers to method
functions, rather than using switch statements.

I noticed some non-standard things in the code (such as nested
functions).  If you are interested in working on it I'd recommend
reading the GSL Design document in the gsl-1.5 distribution.

-- 
Brian Gough

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