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I want to use Simpson's rule to evaluate the following double integral: $$\int_{a}^{b}\left|\int_{0}^{z}x\cdot \mathrm{erf}(x-10)\cdot J_{0}(x) \mathrm{dx}\right|^{2}\exp(-0.5*(z-40)^2)\mathrm{dz} $$
Usually, if both the limits were numeric I would get away with just applying simps from scipy.integrate twice, but here I have no idea how to proceed.
Your integral can be written as $$ \int_a^b f(z)^2 h(z) dz \approx \sum_q f(z_q)^2 h(z_q) w_q $$ where I wrote some quadrature approximation. Now do another quadrature for $f(z)$ $$ f(z) = \int_0^z g(x) dx \approx \sum_q g(x_q) v_q $$ where $x_q \in [0,z]$ are some quadrature nodes and $v_q$ are corresponding weights.
Write a function to compute $f(z)$ that does the second quadrature. Then use that do the first quadrature.
