I have a complicated integration to solve that I can not find an analytical solution for or even a simplification. I thus defaulted to using a Riemann sum to evaluate it which works well but is slow. I have had great speed increase using quadrature methods before so thought to try this.
The general form of the integration is as follows:
The integration domains are coupled which is causing the issue. a is independent but then b depends on a. The quadrature methods require the end points of integration to evaluate to a floating point number which the second integration cannot do. Is there any way to bypass this issue and use Quadrature methods?
Thank you in advance