FinMath.Integration Namespace

Gauss-Kronrod-Patterson integration in non-infinite range at 10, 21, 43 and 87 points sequentially until desired absolute or relative error reached. http://en.wikipedia.org/wiki/Gauss%E2%80%93Kronrod_quadrature_formula

Gauss-Kronrod adaptive integration with singularities and infinite integration limits. http://en.wikipedia.org/wiki/Gauss%E2%80%93Kronrod_quadrature_formula