multidimensional numerical integration

[Brian Gough]

At Mon, 22 Oct 2007 12:59:16 -0600,
Kevin Jackman wrote:
> Q: I realize "epsabs" and "epsrel" control the desired accuracy of numerical
> integration, but how? Mainly, how do they each affect the GSL routines, and
> how do they differ from each other? How about on a Quadpack level? I think
> the GSL manual is kind of vague on how these parameters individually
> control numerical integration convergence. (No hard feelings, ok?)

Hello, 

There is a definition of epsabs and epsrel in the introductory section
of the Integration chapter but maybe it is not clear enough.  

The original book on quadpack has a complete explanation of them. It
is worth getting for serious use, the GSL routines are a faithful
implementation of the algorithms in the book. 

I think the book also has a section on error bounds for computing
multidimensional integrals recursively.

-- 
Brian Gough

GNU Scientific Library -
http://www.gnu.org/software/gsl/