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 13. 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
Fourier Integrals
Naive Monte Carlo Integration
Wavelet Transforms
Numerical Differentiation
Automatic Differentiation
Lanczos Smoothing Derivatives

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