Numerical Integration Routines

[Gianluca_G_1]

Hello,

Is there any MKL routine for numerical integration?

We are interesting in numerical integration in a semiinfinite region and our integrand is oscillating but it decay quikly to zero (like a Lipschitz function exp(-ax)*Jo(bx)).

Thank you very much

Gianluca

[mecej4]

No such routines in MKL, but see https://people.sc.fsu.edu/~jburkardt/f_src/quadpack/quadpack.html. There are routines in Quadpack for singular integrands, infinite intervals and oscillatory integrands.

[Gianluca_G_1]

Is it possible to integrate this library in C# ?

Are there dlls? 

is there better commercial solutions, for this purpose?

BR

Gianluca

[mecej4]

The source code of Quadpack is in Fortran. In principle, you can build a DLL from that and call the routines from C and Fortran. On top of that, using well-known procedures, you could in principle use the DLL from C#.  I don't use C# much, so I cannot comment on the basis of personal experience.

See also the IMSL C# library, http://docs.roguewave.com/imsl/net/6.5.2/manual/docs/api/html/Example/Math/QuadratureEx4.html, and the similar NAG C# numerical library.

[Gianluca_G_1]

ok thank you,

but is it your intention to integrate these procedures in MKL in the future?

At the moment, we don't want to use other lib than MKL.

BR

Gianluca

[mecej4]

Gianluca G. wrote:
but is it your intention to integrate these procedures in MKL in the future?

Note: I do not represent Intel; I am a forum user just as you are.

[Gennady_F_Intel]

Guinluca, currently we don't have such plans. at least at the nearest (next ) version of MKl 2018. 

[Gianluca_G_1]

Dear mecej4, 

I want to say thank you for every helpfull suggestions you've given us.

is it possible to know who you are? we can stay in touch with you?

Best Regards

Gianluca

[mecej4]

I forgot to mention another library/framework that you may wish to consider: ALGLIB, at www.alglib.net/integration.

You are welcome to bring your numerical methods questions to this forum. Even when a particular topic is not covered in MKL, it is relevant to consider how to link external software with MKL. Both IMSL and NAG do this concerning their libraries.

[Gennady_F_Intel]

btw, Alglib reuses internally MKL