I still code in my spare time and for a while I’ve been gathering some numerical methods I did at university in an easy-to-understand generic C++ package. Despite being easy to understand, I also tried to implement the best method I knew for each problem.

The root finding algorithm is based on Brent’s method which is, in turn, based on the secant method. If everything fails, it throws an exception and you can use the safe bisection method.

The integration is using the Romberg’s method, which is a further extrapolations of Simpson’s method which is already much better than the trapezoid basic method.

For Interpolation I’m using the Natural Cubic Spline but would like to implement other types of splines (like complete, periodical, clamped etc). The interpolation is working, but I couldn’t managed to get the coefficients right yet.

Other codes I have are Monte Carlo, Runge-Kutta and Markov Chain (this one using boost graph library for C++) and will be integrated soon. I’ll let you know when it’s done.