A quick update: with new version 0.0.5 the syntax of the integrand function 
has been changed and now the integrand function should be passed as in 
Cubature,jl, for the case of vector-valued integrands.  So, for example, to 
integrate log(x)/sqrt(x) for x in [0, 1], one can use one of the following 
commands:

Vegas( (x,f) -> f[1] = log(x[1])/sqrt(x[1]), 1, 1)
Suave( (x,f) -> f[1] = log(x[1])/sqrt(x[1]), 1, 1)
Divonne( (x,f) -> f[1] = log(x[1])/sqrt(x[1]), 1, 1)
Cuhre( (x,f) -> f[1] = log(x[1])/sqrt(x[1]), 1, 1)

More details and examples are available in the manual: 
http://cubajl.readthedocs.org/

Let me thank Steven G. Johnson for his help.

Bye,
Mosè

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