Gaussian quadrature rules

E697759

Gaussian quadrature rules are numerical integration methods that approximate definite integrals by optimally choosing evaluation points and weights to achieve exactness for polynomials up to a high degree.

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Predicate Object
instanceOf numerical integration method
quadrature rule
advantage high accuracy with relatively few nodes
application computational engineering
computational finance
computational physics
finite element methods
probability and statistics
appliesTo integrals with weight functions associated to orthogonal polynomials
assumption integrand is sufficiently smooth
constructionMethod solve moment-matching conditions for polynomials
use three-term recurrence of orthogonal polynomials
contrastWith Newton–Cotes rules that use equally spaced nodes
degreeOfExactness 2n-1 for n nodes
disadvantage less effective for highly oscillatory integrands without adaptation
nodes depend on integrand weight function and interval
errorTerm proportional to (2n)th derivative of integrand for n-node rule under smoothness assumptions
field numerical analysis
generalization Gauss–Kronrod rules
adaptive Gaussian quadrature
historicalOrigin 19th century
mathematicalBasis theory of orthogonal polynomials and moment problems
namedAfter Carl Friedrich Gauss
nodeDistribution nodes are interior to the interval for standard Gauss rules
nodeSelectionCriterion nodes are zeros of an orthogonal polynomial of degree n
optimize choice of evaluation points
choice of weights
property exactness for polynomials up to maximal possible degree for given number of nodes
purpose approximation of definite integrals
relatedTo Clenshaw–Curtis quadrature
Newton–Cotes formulas
spectral methods
requires precomputation or tabulation of nodes and weights
specialCase Gauss–Chebyshev quadrature
Gauss–Hermite quadrature
Gauss–Jacobi quadrature
Gauss–Laguerre quadrature
Gauss–Legendre quadrature
typicalDomain integration over a finite interval
typicalImplementation use of eigenvalue problems for Jacobi matrices to compute nodes and weights
typicalInterval [-1,1] after change of variables
usedIn Gaussian process quadrature variants
high-precision numerical integration
uses orthogonal polynomials
roots of orthogonal polynomials as nodes
weightProperty weights are positive for standard Gaussian rules

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Referenced by (9)

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Jacobi polynomials usedIn Gaussian quadrature rules
Runge–Kutta methods hasSubclass Gauss–Legendre Runge–Kutta methods
linked to: Gaussian quadrature rules
Legendre polynomials areUsedIn Gaussian quadrature (Gauss–Legendre quadrature)
linked to: Gaussian quadrature rules
Gaussian quadrature rules generalization Gauss–Kronrod rules
linked to: Gaussian quadrature rules
Gaussian quadrature rules specialCase Gauss–Legendre quadrature
linked to: Gaussian quadrature rules
Gaussian quadrature rules specialCase Gauss–Laguerre quadrature
linked to: Gaussian quadrature rules
Gaussian quadrature rules specialCase Gauss–Hermite quadrature
linked to: Gaussian quadrature rules
Gaussian quadrature rules specialCase Gauss–Jacobi quadrature
linked to: Gaussian quadrature rules
Methods of Numerical Integration hasTopic Gaussian quadrature
linked to: Gaussian quadrature rules