Dear all, I was wondering what, in your opinion, would be the best way to handle the computation of definite integrals using Rcpp.
To be more precise, I need to evaluate a double integral that turns out to be somewhat nasty (really slow computation and presumably inaccurate results using the R cubature package). Should I write the integration algorithm from scratch, or is there any external library you would suggest? I've already found the post on Stackoverflow 'using C function from other package in Rcpp' that dealt with an integration problem as well, but it looked too general for my problem and also, it's one year old, maybe something else has turned up in the meanwhile.. Thanks in advance, and congrats for the great work with Rcpp! /federico
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