GNU Scientific Library – Reference Manual: Integrands without weight functions

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#### 17.1.1 Integrands without weight functions

The algorithms for general functions (without a weight function) are based on Gauss-Kronrod rules.

A Gauss-Kronrod rule begins with a classical Gaussian quadrature rule of order m. This is extended with additional points between each of the abscissae to give a higher order Kronrod rule of order 2m+1. The Kronrod rule is efficient because it reuses existing function evaluations from the Gaussian rule.

The higher order Kronrod rule is used as the best approximation to the integral, and the difference between the two rules is used as an estimate of the error in the approximation.