Numerical integration in C++

Question

I need to integrate a function (of two variables). I know I can do it by using Fubini theorem to integrate one variable functions, then using numerical methods such

Answer 1

You can use the GNU Scientific Library, which supports many "Numerical analysis" functions including integration.

A very simple example of integration from the manual is just a few lines of code:

#include 
#include 
#include 

double f (double x, void * params) {
  double alpha = *(double *) params;
  return log(alpha*x) / sqrt(x);
}

int
main (void)
{
  double result, error;
  double expected = -4.0;
  double alpha = 1.0;
  gsl_integration_workspace * w 
    = gsl_integration_workspace_alloc (1000);

  gsl_function F;
  F.function = &f;
  F.params = α

  gsl_integration_qags (&F, 0, 1, 0, 1e-7, 1000,
                        w, &result, &error); 

  printf ("result          = % .18f\n", result);
  printf ("exact result    = % .18f\n", expected);
  printf ("estimated error = % .18f\n", error);
  printf ("actual error    = % .18f\n", result - expected);
  printf ("intervals =  %d\n", w->size);

  gsl_integration_workspace_free (w);

  return 0;
}