numint

One-dimensional numerical quadrature

Description

Numint is a package for one-dimensional numerical quadrature. It provides several Newton-Cotes and Gauss Legendre quadrature rules and an algorithm for successive approximations.

Numint was developed for use with the mab Thompson sampling multi-armed bandit strategy, but works as a standalone library for numerical integration.

Numint can be extended by implementing the Rule and/or Subdivider interfaces.

Installation

go get -u github.com/stitchfix/mab/numint

Usage

package main
import (
	"fmt"
	
	"github.com/stitchfix/mab/numint"
)

func main() {
    q := numint.NewQuadrature(numint.WithAbsTol(1E-6))
    res, _ := q.Integrate(math.Cos, 0, 1)
    fmt.Println(res)
}

Documentation

More detailed refence docs can be found on pkg.go.dev

License

Mab and Numint are licensed under the Apache 2.0 license. See the LICENSE file for terms and conditions for use, reproduction, and distribution.