SMOLPAK

"Multidimensional quadrature using sparse grids.  SMOLPACK is a C library which estimates the integral of a function over a hypercube using a sparse grid, by Knut Petras.

An interactive test program is also provided. The user can specify the input to this program as part of the commandline, or wait to enter the data interactively.

Output from the program includes the exact and approximate integral values, the error, and, if requested, the number of quadrature points (function evaluations) and the number of quadrature weights that needed to be computed. Note that, because of symmetry in the quadrature rule, the number of quadrature weights computed will generally be much lower than the number of quadrature points."

http://people.sc.fsu.edu/~jburkardt/c_src/smolpack/smolpack.html