r2d2lri

$r2d2lri$ is a non-adaptive algorithm implemented in C++ for performing automatic cubature over a wide variety of finite and non-finite two-dimensional domains. The core integrator uses a sixth-order Sidi transformation applied to a sequence of embedded lattice rules in such a fashion as to incur virtually no computational overhead. Even for integrals over non-finite domains, for which several non-finite to finite transformations may be attempted, the algorithm remains very fast. Performance data are presented which demonstrate both the effectiveness and efficiency of $r2d2lri$, taking into account the number of function evaluations needed and the execution speed. (Source: http://dl.acm.org/)

This software is also peer reviewed by journal TOMS.