Integration analog of automatic differentiation
I was recently looking at automatic differentiation.
- Does something like automatic differentiation exist for integration?
- Would the integral be equivalent to something like Euler's method? (or am I thinking about it wrong?)
edit: I am looking at some inherited code that includes https://projects.coin-or.org/ADOL-C as a black box.
If I'm reading your question correctly: I don't believe there is an algorithm that, given the algorithm for your function to be integrated and appropriate initial conditions, will give an algorithm that corresponds to the integral of your original function.
However: you might wish to look into the Chebfun project by Trefethen, Battles, Driscoll, and others. What this system does is to internally represent a function given to it as a piecewise polynomial of possibly high degree, interpolated at appropriately shifted and scaled "Chebyshev points" (roots of the Chebyshev polynomial of the first kind). The resulting chebfun() object is then easily differentiated, integrated, or whatever other operation you might wish to do to the function. See the user guide for more details on this approach.
Perhaps what you're thinking about is the Risch algorithm. See http://en.wikipedia.org/wiki/Risch_algorithm