Cubature is an R package for adaptive multivariate integration over hypercubes using deterministic and Monte Carlo methods. The package provides wrappers around two C libraries:
- The cubature C library of Steven G. Johnson
- The Cuba C library of Thomas Hahn
Both scalar and vectorized interfaces are available for all routines. R users will gain a lot by using the vectorization as demonstrated in the included vignette.
Version 2.0 is dedicated to the memory of Kiên Kiêu, one of the
original authors of R2Cuba. I (BN) never knew him, but this package
derives from his work on R2Cuba.