C math library with integration?

Question

Is there a science/math related C/C++ programming library that includes functions for mathematical integration? This might be useful for finding values for a cumulative distribution function, etc. Symbolic manipulation ideal but not required. Thanks!

P.S. I've looked at GSL but it does not contain functions specific for integration.

Jim Lewis · Answer 1 · 2009-10-14T06:40:38.067

6

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 .

edited Oct 14 '09 at 06:40

answered Oct 14 '09 at 06:33

Jim Lewis

43,505
7
82
96

I'm using gls, but I need to integrate a function (also a non standard CDF) in a grid of points instead of single value (say, 0.1, 0.3, 0.5, 0.6). I'm wondering if there is library that implements this with an efficient algorithm. – eaponte May 07 '16 at 17:15

score 2 · Answer 2 · answered Dec 02 '11 at 18:18

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

answered Dec 02 '11 at 18:18

Yaroslav Nikitenko

1,695
2
23
31

2

Then here: http://root.cern.ch/root/html/ROOT__Math__GSLIntegrator.html – Yaroslav Nikitenko Nov 23 '12 at 15:45

score 1 · Answer 3 · answered Oct 14 '09 at 07:18

1

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

answered Oct 14 '09 at 07:18

fairstar

163
2

score 1 · Answer 4 · answered Oct 14 '09 at 10:11

1

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.

answered Oct 14 '09 at 10:11

Richie Cotton

118,240
47
247
360

score 1 · Answer 5 · answered Oct 14 '09 at 11:41

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.

M. S. B. · Accepted Answer · 2009-10-14T12:27:17.257

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.

C math library with integration?

6 Answers6

Linked