Adaptive Multivariate Integration over Hypercubes

R wrappers around the cubature C library of Steven G. Johnson for adaptive multivariate integration over hypercubes and the Cuba C library of Thomas Hahn for deterministic and Monte Carlo integration. Scalar and vector interfaces for cubature and Cuba routines are provided; the vector interfaces are highly recommended as demonstrated in the package vignette.

cubature

Cubature is an R package for adaptive multivariate integration over hypercubes using deterministic and Monte Carlo methods. The package provides wrappers around two C libraries:

• The cubature C library of Steven G. Johnson
• The Cuba C library of Thomas Hahn

Both scalar and vectorized interfaces are available for all routines. R users will gain a lot by using the vectorization as demonstrated in the included vignette.

Dedication

Version 2.0 is dedicated to the memory of Kiên Kiêu, one of the original authors of R2Cuba. I (BN) never knew him, but this package derives from his work on R2Cuba.