[SciPy-Dev] New multidimensional integration package available in scikits

[Nathan Woods]

I'd like to announce the availability of CyCuba, a Python wrapper​​ to the
Cuba library for multidimensional integration.

The numerical evaluation of integrals is largely a solved problem these
days, usually through the use of adaptive quadrature such as that found in
Quadpack and other libraries. For multi-dimensional integrals, the solution
has traditionally been to use iterated one-dimensional quadrature rules,
but the costs associated with these can be prohibitively high, even in
moderate (3-7) dimensions. The Cuba library (http://www.feynarts.de/cuba/​)
implements several different deterministic and Monte Carlo algorithms for
more efficient evaluation of multidimensional integrals, and is available
under the GNU LGPL. CyCuba is a BSD-licensed Cython wrapper that provides
access to the Cuba library from Python.

It is my hope that this scikit will be useful to others who run into
difficulties efficiently evaluating multidimensional integrals. If
possible, I'd also like to include a reference to this project in the
documentation for scipy.integrate.nquad.

I'd love to get community involvement and feedback on this, as I think that
a more-scalable, robust tool for multidimensional integration is needed in
the scientific python community. The repository is located at
https://github.com/scikit-cycuba/scikit-cycuba. Please check it out, and
let me know what you think.

Thanks,

Nathan Woods
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