toms672, a FORTRAN77 library which computes a quadrature rule which is a maximally accurate extension of a given quadrature rule.
That is, we suppose we have a quadrature rule that uses N points, and that we wish to compute a new quadrature rule, which uses N+M points. The new rule is required to include the original N points of the old rule.
This kind of procedure is analogous to the process by which the nested Gauss-Patterson rules were developed. Thus, one use of the software is to try to develop nested families of rules for other weight functions, or starting from other initial rules.
In certain cases, this algorithm may be able to extend the given rule in a way which produces a rule with the maximum possible precision. (However, it is also possible that the extension cannot be made.)
By calling this algorithm repeatedly, it is possible to compute a family of nested quadrature rules of any order. Nested rules can be efficient when function evaluations are expensive, and a series of integral estimates must be made to estimate accuracy, or to detect convergence.
The original, true, correct version of ACM TOMS Algorithm 672 is available through ACM: http://www.acm.org/pubs/calgo or NETLIB: http://www.netlib.org/toms/index.html.
The computer code and data files made available on this web page are distributed under the GNU LGPL license.
toms672 is available in a FORTRAN77 version and a FORTRAN90 version.
INT_EXACTNESS, a FORTRAN90 program which checks the polynomial exactness of a 1-dimensional quadrature rule for a finite interval.
KRONROD, a FORTRAN77 library which can compute a Gauss and Gauss-Kronrod pair of quadrature rules of arbitrary order, by Robert Piessens, Maria Branders.
PATTERSON_RULE, a FORTRAN90 program which computes a Gauss-Patterson quadrature rule.
QUADRATURE_RULES, a dataset directory which contains sets of files that define quadrature rules over various 1D intervals or multidimensional hypercubes.
QUADRULE, a FORTRAN90 library which defines quadrature rules on a variety of intervals with different weight functions.