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We could, but it's not adaptive so it's hard. The user would have to supply the number of nodes, and we could then do the calculation, but that wouldn't guarantee a tolerance like the other methods.
I was looking though quadrature libraries and spotted https://github.com/JuliaApproximation/FastGaussQuadrature.jl
It might be nice to also hook that up to this interface.
(I don't actually have any need for this, was just speculating)
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