1
vote
0answers
64 views

Is there an example where the error of Gauss-Laguerre quadrature does not vanish?

The $n$th Gauss-Laguerre quadrature aims to approximate integral $$\int_{\mathbb{R}_+} f(x) \exp(-x)$$ by the sum $$\sum_{i=1}^n f(x_i) w_i$$ where $x_1,...,x_n$ are the roots of the $n$th Laguerre ...
1
vote
2answers
80 views

Numerical calculation of Fourier transform with a nice error bound

I'd like to have an algorithm for a numerical calculation of Fourier transform with a nice error bound. To be precise, if $f$ is a function from $L_1(R)$, $F[f]$ is it's exact Fourier transform and ...
2
votes
2answers
142 views

dense lattices in high dimensions

I want a collection of points $\{ x_1, \dots, x_m\}$ to sample a unit cube $[0,1]^n$ with $n >>1 $ in high dimensions so that summing over these points is approximate the integral over that ...
4
votes
0answers
122 views

About arithmetic-geometric mean

It's well known that if we set $a_0=x \geq 0, \ g_0=y \geq 0$, and $$ a_{n+1}=\dfrac{1}{2}(a_n+g_n), \ g_{n+1}=\sqrt{a_n g_n} ,$$ then both $\{a_n\}$ and $\{g_n\}$ will converge to $AGM(x,y)$. ...
2
votes
0answers
78 views

Distribute Monte Carlo samples among dimensions

Simplified problem: Given a $d$-times nested convolution of an input function $g(x):\mathbb{R}\mapsto \mathbb{R}$ with the same band-limited smooth function $f(x):\mathbb{R}\mapsto \mathbb{R}$. I am ...
4
votes
1answer
190 views

How to get an expression for this integral(Numerically/Analytically)

I have the following problem: I need to evaluate the integral $$\int_{\cos(\alpha)}^{1} P_l(t)P_{l'}(t) dt $$ for $\alpha \in [0,\pi]$ and each combination of $l$ and $l'$, where $P_l$ is the l-th ...
3
votes
1answer
159 views

Practical error-estimates for (adaptive) Newton-Cotes Quadrature

I am looking for practical error estimates for Newton-Cotes Quadrature rules. Most books on numerical methods I have found mainly deal with theoretical error bounds/estimates for the respective ...
4
votes
1answer
311 views

Numerical multivariate definite integration

I need to compute a set of multivariate definite integrals with infinite integration domain $$\displaystyle \int_{-\infty}^{\infty} \cdots \int_{-\infty}^{\infty} f(x_1,x_2, \ldots , x_n)\;\;dx_1 ...
1
vote
0answers
75 views

Integrating B-Spline composed with log

If $f$ is a real B-Spline and $a, b$ are real numbers, then is there a numerically stable way to evaluate the following expression? $\int_a^b f (\log x) \mathrm{d}x$
1
vote
2answers
271 views

Gauss Legendre Method for Implicit Integration

Methods that are usually adopted for time integration in transport phenomena problems are either: Euler (explicit, first-order accurate) $\frac{dY}{dt}=f(t,Y)$ $Y^{n+1}=Y^n+\Delta t f(t,Y^n)$ ...
1
vote
3answers
284 views

do numerical integration with fixed abscissas

Can I do an integral, possibly using gaussian quadrature, when the abscissas are fixed (for reasons that I don't want to get into right now), i.e. is it possible to calculate the weights for fixed ...
3
votes
2answers
873 views

Best Numerical Method for Evaluating a Hilbert transform

I have to evaluate a Hilbert transform for some $\mathcal{L}^p(\mathbb{R},\mathbb{C})$-function ($1\leq p<\infty$). I know there are a number of algorithms out there to do it, but I don't have a ...
14
votes
1answer
919 views

A mass spring model for hair simulation

A strand of hair is represented by a set of particles connected by springs. The velocity for a particular particle is calculated implicitly using the following formula: ...
1
vote
2answers
632 views

integration of a laplacian

Hi, I solved for a Poisson equation with finite elements, using piecewise linear basis functions on 2d triangles. Now, I want to evaluate the following expressions: $$ \int_\Omega \Delta u ~dx$$ and ...
16
votes
6answers
2k views

Why not evaluate integrals using ODE-solvers?

Hello! I have a question about the relationship between numerical integration and the solution of ordinary differential equations (ODE). Suppose I want to evaluate the integral $I(x) = \int_{0}^{x} ...
9
votes
6answers
2k views

Numerical integration over 2D disk

I have a real-valued function $f$ on the unit disk $D$ that is fairly well behaved (real-analytic everywhere) and would like to find the integral $\int_D f(x,y)dxdy$ numerically. After much searching, ...