Dear Aaron,
An extension of the quadrature module could include :-
1. for implementing the computation of multi - dimensional integrals :-
a. Monte Carlo methods
b. Sparse Grids
c. Bayesian Quadrature
2. for implementing the computation of one - dimensional integrals :-
a. Clenshaw Curtis Quadrature
b. Gauss Kronrod Quadrature
c. Tanh-Sinh Quadrature
d. Romberg's method
These are a few of the methods that can be in included in the quadrature module (for computation of one - dimensional and multi - dimensional integrals) thereby making it a lot better.
Would love your (or any mentor's) insights in this, so that this can be taken progressively ahead.
Please do let me know about what you think of implementing these methods.
Regards --
Avi Shrivastava