search for: fastnumericalintegration

...this one. The method is described in detail here: http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.prims/1145474600 If you want to give it a shot outside R there are a couple of C/C++ implementations out there: http://www.codeproject.com/KB/recipes/FastNumericalIntegration.aspx http://www.crbond.com/download/deint.c I have used the second one in a project of mine that is similar to the one you describe (calculation of posterior expectations in Bayesian inference), and I can say that it works reasonably well. As a side note, the DE method is one (actually the defa...