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Numerical integration inside numerical integration


Hello all,

I'm trying to solve numerically an integral like,


A=some_value
NIntegrate[f[y,u]*Log[1+NIntegrate[g[y,u,s], {s, A, \[Infinity]}]],
    {u, -\[Infinity],\[Infinity]},{y, -\[Infinity],\[Infinity]}]

I know I am doing this wrong as the inner integration fails because
it doesn't have specific numerical values for y and u.
I guess Mathematica doesn't perform numerical integrations from the
outside to the inside (and so passing each time values of y,u to
the inner integration).

How can this problem be solved with Mathematica please ?

Thanks.


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