[SciPy-dev] double exponential integrator

[Thouis (Ray) Jones]

I'm soliciting feedback on an implementation of integration using the
double exponential transform.  I've tentatively placed it in
scipy.integrate as de_integrate.

It's available at this url and branch:
http://broad.mit.edu/~thouis/scipy.git DEintegrator

(assuming I've set up my git repository correctly, which is quite
possibly not the case.)

See http://www.johndcook.com/double_exponential_integration.html for
an explanation of the double exponential transform.  It's main use is
integrating functions that have a singularity at one or both ends of
the integration limits, though it works reasonably well for arbitrary
functions, though my implementation could be made more robust in many
ways.

I've also included code for generating the constants necessary for
integrations with infinite limits (0 to infinity as well as -inf to
+inf).

Thouis Jones