Introduction I have seen several conversations in Rcpp-devel mailing list asking how to compute numerical integration or optimization in Rcpp. While R in fact has the functions Rdqags, Rdqagi, nmmin, vmmin etc. in its API to accomplish such tasks, it is not so straightforward to use them with Rcpp.
For my own research projects I need to do a lot of numerical integration, root finding and optimization, so to make my life a little bit easier, I just created the RcppNumerical package that simplifies these procedures.