cubature

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Cubature is an R package for adaptive multivariate integration over hypercubes. The core of the package is the cubature C library of Steven G. Johnson.

The package provides both hcubature and pcubature routines in addition to a vector interface.

R users will gain a lot by using the vector interace. Writing functions to take advantage of the vector interface is quite easy. Refer to the vignette that provides timing comparisons and vectorization examples to emulate.