Does anybody know a c++ library for numerical integration of samples (data points (x,y)), like scipy integrate.simps? I know it's not hard to implement by myself (in fact I already did), but I need to do this very often for large data sets, that's why I am looking for a maybe faster library implementation. I already checked boost and gsl, but didn't find anything!

Thanks and cheers

  • Why is it important to you that the library be in C++? Can't you use just any library (i.e. a .so or a .dll shared library)? Maybe this is also the reason why you haven't found one, this doesn't seem something particularly language-specific.
    – einpoklum
    Commented May 5, 2016 at 22:44
  • 2
    Of course, any library is fine, as long as it's compatible with my code Commented May 6, 2016 at 6:14
  • how about making your code compatible with a library ?
    – StefanS
    Commented May 6, 2016 at 9:17
  • 1
    :-) .. also ok, but as I wrote below, writing an interpolating function to get a continuous function doesn't help, since it would slow down the calculation. Thus, I am looking for a library, function, which can handle an array, vector, whatever, with a fixed number of points! Commented May 6, 2016 at 9:30

1 Answer 1


You should consider the relatively popular GNU Scientific Library (GSL), which is by the way what GCC uses internally (although not the numerical integration part).

It has a pretty long manual section on numeric integration, describing:

  • QNG non-adaptive Gauss-Kronrod integration
  • QAG adaptive integration
    • with singularities
    • with known singular points
    • on infinite intervals:
    • for Cauchy principal values:
    • for singular functions
  • adaptive integration
    • for oscillatory functions
    • for Fourier integrals
  • CQUAD doubly-adaptive integration
  • Fixed order Gauss-Legendre integration

And most/all of these seem to be sample-based (rather than integrating using some symbolic representation).

It's written in C, but it seems you're willing to accept that.

Also, Wikipedia has a long list of numerical libraries in various languages, including C and C++. I haven't much experience with numerical work in C or C++ (just a bit in MatLab), so I haven't tried any, but - you should.

If you do so, consider answering your own question and reporting which libraries fit your requirement (basically) and which you've chosen.

  • 1
    Thanks for your suggestion, but as far as I understand it, all the GSL numerical integration algorithms need a function (const gsl_function * f) as input. Of course I could interpolate my data points to get a continous function, but this would even slow down my calculations. None of these algorithms accept an array, or vector, of discrete points as input. Commented May 6, 2016 at 9:08

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