c - calculating double integrals in R quickly -

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c - calculating double integrals in R quickly -

i'm looking solution double integral faster

integrate(function(y) { sapply(y, function(y) { integrate(function(x) myfun(x,y), llim, ulim)$value }) }, llim, ulim)

with eg

myfun <- function(x,y) cos(x+y) llim <- -0.5 ulim <- 0.5

i found old paper referred fortran programme called quad2d, couldn't find else help pages matlab rest. i'm looking c or fortran library can double integrals quick (i.e. without sapply loop), , can called r. ideas much appreciated, long they're gpl compatible.

if solution involves calling other functions libraries shipped r, i'd love hear them well.

the cubature bundle 2d (and n-d) integration using adaptive algorithm. should outperform simpler approaches integrands.

c r fortran integral

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