A recent answer reminded me of the gauge integral, which you can read about here.
It seems like the gauge integral is more general than the Lebesgue integral, e.g. if a function is Lebesgue integrable, it is gauge integrable. (EDIT - as Qiaochu Yuan points out, I should clarify this to mean that the set of Lebesgue integrable functions is a proper subset of gauge integrable functions.)
My question is this: What mathematical properties, if any, make the gauge integral (aka the Henstock–Kurzweil integral) less useful than the Lebesgue or Riemann integrals?
I have just a cursory overview of the properties that make Lebesgue integration more useful than Riemann in certain situations and vice versa. I was wondering if any corresponding overview could be given for the gauge integral, since I don't quite have the background to tackle textbooks or articles on the subject.
Answer
I would have written this as a comment, but by lack of reputation this has become an answer. Not long ago I've posed the same question to a group of analysts and they gave me more or less these answers:
1) The gauge integral is only defined for (subsets of) $\mathbb R^n$. It can easily be extended to manifolds but not to a more general class of spaces. It is therefore not of use in (general) harmonic analysis and other fields.
2) It lacks a lot of very nice properties the lebesgue integral has. For example $f \in \mathcal L^1 \Rightarrow |f| \in \mathcal L^1$ obviously has no generalization to gauge theory.
3) and probably most important. Afaik (also according to wikipedia) there is no known natural topology for the space of gauge integrable functions.
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