Thank you Victor and Uwe for your replies.
look at http://www.nrbook.com/a/bookcpdf/c4-6.pdf
this should help you.
I've picked "Numerical Recipes in C++" from the local library,
and in fact chapter 4.6 (Multidimensional Integration)
addresses my problem with a very straightforward code.
I was trapped by the esotericism I found in the
code of the Matlab function dblquad.m
http://www.mathworks.com/access/help...f/dblquad.html
but with a bit of thinking I could come out with
the minimal code provided in NR...
With that I can really use the 1-D Gaussian quadrature
provided in the GNU Scientific Library (wich is
just an implementation of the well known QUADPACK),
or pick up some fancy 1-D algorithm from
http://www.netlib.org/
or
http://www.oonumerics.org/oon/.
For the sake of completeness I will also list two
commercial resources I've found:
1. Visual Numerics IMSL C numerical Library
http://www.vni.com/products/imsl/c/imslc.php
2. NAG C library
http://www.nag.com/numeric/CL/CLdescription.asp
At least VN provides 2-D integration out of the box,
but I haven't strong arguments to persuade my
company to buy their license...
Victor:
In case you didn't know, there is a hierarchy of math
newsgroups, named 'sci.math.*'.
As unbelievable as it can seem, I didn't know.
Anyway, since my problem is completely solved from the
theoretical point of view, but can be trappy on the
implementation side, I thought this newsgroup was the
right place to post. Sorry if it was inappropriate.
Do you know a newsgroups specifically dedicated to numerical
analysis in C++? I've never been on the oonumerics.org
mailing list, but I tend to prefer Usenet groups.
Also, there's www.google.com (a web site) [...]
Of course I've googled the subject before posting,
and I've found that classical resources as GSL and NETLIB
only provide tools for 1-D integration.
And now, after the 20-lines sample code in the NR book,
I know why...
Regards,
Giovanni Gh.