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
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.
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.
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?
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.