Quadrature / Numerical Integration of Functions.

This package implements Bayesian quadrature rules used for numerical integration of functions on a given domain. Such methods integrate a function by iteratively building a probabilistic model and adaptively choosing points to evaluate the integrand based on said model.


bayesquad(fun, input_dim[, kernel, measure, ...])

Infer the solution of the uni- or multivariate integral \(\int_\Omega f(x) d \mu(x)\) on a hyper-rectangle \(\Omega = [a_1, b_1] \times \cdots \times [a_D, b_D]\) or \(\Omega = \mathbb{R}^D\).

bayesquad_from_data(nodes, fun_evals[, ...])

Infer the value of an integral from a given set of nodes and function evaluations.

multilevel_bayesquad_from_data(nodes, ...[, ...])

Infer the value of an integral from given sets of nodes and function evaluations using a multilevel method.