An Adaptive Algorithm for the Approximate Calculation of Multiple Integrals

Abstract

An adaptive algorithm for numerical integration over hyperrectangular regions is described. The algorithm uses a globally adaptive subdivision strategy. Several precautions are introduced in the error estimation in order to improve the reliability. In each dimension more than one integration rule is made available to the user. This algorithm has been implemented in DCUHRE and is so structured that it is amenable to efficient implementations on shared memory parallel computers. © 1991, ACM. All rights reserved.