Questions tagged [quadrature]

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Is quadrature still considered part of numerical analysis?

This question may admittedly sound strange, but having received several desk-rejects (all of them being based on being "out of scope" for the journal in question) from numerical analysis ...
gmvh's user avatar
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2 votes
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Computing $\int_0^{2\pi}\frac{e^{ikt}}{|e^{it}-e^{it_0}|^m}~\text{d}t$, where $k\in\mathbb{Z}$, $t_0\in\mathbb{C}$, and $m=1,3,5,\dots$

I am working on a project on accurate numerical quadrature where I need to compute the following integral in order to find my quadrature weights, $$ \int_{0}^{2\pi}\frac{{\rm e}^{{\rm i}kt}}{\,\left\...
David's user avatar
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3 votes
0 answers
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How well do Gauss-Legendre quadrature methods fare on "fractal" functions?

The context I'm making your tipical Mandelbrot set viewer, and I have a function $f: ℂ → ℕ$ that counts how many iterations of $$ z_0 = 0 \\ z_{i+1} = z_i^2 + c $$ it takes for a particular point $c$ ...
Eduard Gomez's user avatar
1 vote
1 answer
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Integrating a B-Spline basis function with respect to the standard normal PDF

I am looking for ways to evaluate exactly (i.e. analytically or semi-analytically) integrals of the type: $$ \int_{-\infty}^{+\infty}B_{i}^k(u)e^{-\frac{(u-\mu)^2}{2\sigma^2}}du, $$ where $B_i^k$ is a ...
Gabe's user avatar
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1 vote
0 answers
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Explicit growth rate estimation of Gauss-Laguerre quadrature

The $n$-th Gauss-Laguerre quadrature scheme aims to approximate integral of exponentially decreassing function over $[0;+ \infty[$ by a finite sum, according to: $ \displaystyle { \int _0 ^{+ \infty} ...
MathTolliob's user avatar
2 votes
1 answer
714 views

Error in Gauss-Laguerre numerical quadrature scheme

The $n$-th Gauss-Laguerre quadrature scheme aims to approximate integral of exponentially decreassing function over $[0 ; \infty[$ by a finite sum, according to: $$ \int _0 ^{+ \infty} ...
MathTolliob's user avatar
0 votes
1 answer
344 views

Gaussian quadrature, with no exact result over polynomial, but on inverse functions

Generally, a Gaussian quadrature of degree $n$ over an interval $I$ is defined so that it integrates exactly polynomials up to degree $2n - 1$. The main tool are the orthogonal polynomials. When $I$ ...
MathTolliob's user avatar
3 votes
1 answer
2k views

Quadrature for numerical integration over infinite intervals

I am looking for book recommendations or hints on numerical integration over infinite intervals. I am particularly interested in integrals of the form $\int\limits_{-\infty}^{+\infty} g(x) \exp(p_d(x))...
BernieD's user avatar
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4 votes
0 answers
266 views

For noisy or fine-structured data, are there better quadratures than the midpoint rule?

Only the first two sections of this long question are essential. The others are just for illustration. Background Advanced quadratures such as higher-degree composite Newton–Cotes, Gauß–Legendre, ...
Wrzlprmft's user avatar
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1 answer
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Proof Reference - Polynomial interpolation at quadrature points

If $\left( p_n \right)_{n=0}^{\infty}$ is a family of orthogonal polynoamials with respect to a measure $\mu$ on $[-1,1]$, and $\left( x_j, w_j \right)$ are the quadrature points and weights for the ...
Amir Sagiv's user avatar
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0 votes
1 answer
155 views

Clenshaw-Curtis integration without Fourier

The Clenshaw-Curtis quadrature rule approximates an integral $I=\int\limits_{-1}^{1} f(x) \, dx$ by $$I\approx I_n = \sum\limits_{j=1}^N f(x_j)w_j \, ,$$ where the $x_j$'s are the roots of the $N$-th ...
Amir Sagiv's user avatar
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4 votes
0 answers
288 views

When (if ever) are the weights from Smolyak (sparse grid) cubature positive?

Are there any $1$-dimensional quadrature rules of arbitrary accuracy, on either $[0,1]$ or $\mathbb{R}$, with any non-trivial weight function, such that the associated $N$-dimensional cubature rule ...
cfp's user avatar
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1 vote
2 answers
267 views

Numerical Computation of Orthogonal Polynomials Recurrence Relations

Background and notations: Given an interval $I\subseteq \mathbb{R}$ and a continuous finite measure $d\mu = w(x)dx$, and denote $p_n(x)$ the orthogonal polynomials with respect to $d\mu$. We have the ...
Amir Sagiv's user avatar
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9 votes
2 answers
1k views

Recurrence of Legendre polynomial roots/ quadrature points

Consider Legendre polynomials $p_n (x)$ on $[-1,1]$. For each $n \in \mathbb{N}$ we denote the zeros of $p_n (x)$ by $\left( x_j ^{(n)} \right) _{j=1} ^n$. We know that these roots are distinct, and ...
Amir Sagiv's user avatar
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1 vote
1 answer
493 views

PDF and CDF using Gauss-Legendre quadrature

Consider the unit interval $I$ with a continuous probability measure $\mu$, and consider a smooth random variable $f:I\to \mathbb{R}$. We can define its cumulative distribution function and ...
Amir Sagiv's user avatar
  • 3,554
6 votes
2 answers
762 views

Symmetric matrix formula for Gauss-Legendre quadrature

While searching the web, I came across the following algorithm for the Gauss-Legendre quadrature. I wasn't able to find a reference or a proof of my own as to why it works. I'll present it, and the ...
Amir Sagiv's user avatar
  • 3,554
4 votes
1 answer
792 views

Reference for the exponential decay of Legendre coefficients

In Short: I look for a reference to the proof that the spectral coefficients in the Legendre (or Jacobi) expansion are of exponential decay rate. Longer: If $p_n$ is the $n$-th Legendre polynomial, ...
Amir Sagiv's user avatar
  • 3,554
2 votes
1 answer
161 views

Does Gaussian Quadrature actually refer to Gauss-Legendre Quadrature?

When the term Gaussian Quadrature appears in most Literatures, does it actually refer to Gauss-Legendre Quadrature. In other words, do they implicitly admit that they use the Legendre orthogonal ...
user123's user avatar
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14 votes
2 answers
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Computing Gauss Legendre quadrature for large $N$

I've been scanning across the web, and haven't found a good method to compute the Gauss Legendre abscissas and weights $\{ x_j, w^j \} _{j=1}^N$ for large $N\in\mathbb{N}$. My question is how to do it,...
Amir Sagiv's user avatar
  • 3,554
4 votes
3 answers
1k views

Quadrature formula max accuracy

I'm looking for a maximum accuracy quadrature formula: $$ \int_{-1} ^{1} \sqrt{\frac {1-x}{1+x}} f(x)dx = A_1f(x_1)+A_2f(x_2)+R(f) $$ I don't know exactly if it's Trapezoidal rule which has the ...
Soreena's user avatar
  • 43
2 votes
0 answers
162 views

2d quadrature weights for an arbitrary set of nodes

I need to estimate the value of a 2d integral $\int_{y_{min}}^{y_{max}}dy \int_{x_{min}}^{x_{max}} dx \, f(x,y) P(x,y)$ I have the an explicit analytical form for $P(x,y)$. I have samples of the ...
acortis's user avatar
  • 121
2 votes
0 answers
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Area Under Generalized Parabolas and Hyperbolas without Calculus

This is shorter and more specific version of certain questions about a rather simple quadrature method. The answers I got were great but not what I asked. The terms in the title for $y=x^p$ look ...
Aaron Meyerowitz's user avatar
16 votes
5 answers
3k views

Integrating powers without much calculus

I'll jump into the question and then back off into qualifications and context Using the definition of a definite integral as the limit of Riemann sums, what is the best way (or the very good ways) to ...
Aaron Meyerowitz's user avatar
6 votes
1 answer
790 views

Approximation of an integral of a concave function

I suspect this is a homework question somewhere, but I've not seen it elsewhere and it seems like it should be easy: let $f(x)$ be a concave function from $[0,1]$ to the reals such that $f(0) = f(1) =...
Jennifer Gao's user avatar
1 vote
1 answer
440 views

gaussian quadrature

Gaussian quadrature allows us to integrate polynomials up to order $2 n-1$ using only $n$ function values. $\int_{x_0}^{x_1} ( \sum_{i=0}^{2 n-1} a_i x^i ) dx = f(a_0, \dots , a_{2 n-1}) $ thus, the ...
someone's user avatar
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