C math library with integration? [closed]

Answer 1

As suggested by John, if you want the Cumulative Distribution Function of a standard function, using a specific solution would be a better approach. He pointed out DCDFLIB. GSL has a very large number of specific CDFs, hidden in Chapter 19, "Random Number Distributions".

To do numerically evaluate the CDF of a unusual function, there are several choices in GSL, e.g., gsl_integration_qag for an integral from a to b, or gsl_integration_qagiu, which does semi-infinite integrals from a to +infinity.

Answer 2

ROOT. This is a free open source software package for physicists, it inludes integration techniques of course, Math_GSLIntegrator.html">http://root.cern.ch/root/html/ROOT_Math_GSLIntegrator.html

Answer 3

Regarding the numerical integration, you can also look at some commercial package, for exmaple, NAG

Answer 4

You can find cumulative distribution functions using integration, but there are direct methods that far more efficient and more accurate. For example, there is a library, DCDFLIB, for computing CDFs. It's available in C and Fortran here and in managed C++ here.

Answer 5

But GSL does have numerical integration capabilities ...is there some other reason this library doesn't meet your needs?

For symbolic math, Mathematica is a popular choice. They support a C API .

Answer 6

Wikipedia has lists and comparisons of numerical analysis software (many of which will do numerical integration, and some of which are C/C++ libraries or have an appropriate API), and comparisons of computer algebra software.