Adding 2D interpolation and quasi-Monte Carlo integration to GSL

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Here’s another post for my more technically-minded readers: in the course of writing the software for my latest research project (which I am still going to post about later this month), I needed algorithms for two-dimensional interpolation and quasi-Monte Carlo integration. Neither of these exists in GSL — the GNU Scientific Library, kind of a standard set of libraries for scientific software. So I wrote my own.

  • interp2d is a simple generalization of the 1D GSL interpolation routines to 2D interpolation
  • The insightfully named quasimontecarlo is practically a copy of GSL’s Monte Carlo integrator, except that it uses a quasirandom number generator instead of a pseudorandom number generator.

These might be useful for anyone else doing scientific computation.