nag_quad_1d_gauss_wset (d01tbc) (PDF version)

d01 Chapter Contents

d01 Chapter Introduction

NAG C Library Manual

NAG Library Function Document

nag_quad_1d_gauss_wset (d01tbc)

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

nag_quad_1d_gauss_wset (d01tbc) returns the weights and abscissae appropriate to a Gaussian quadrature formula with a specified number of abscissae. The formulae provided are Gauss–Legendre, rational Gauss, Gauss–Laguerre and Gauss–Hermite.

2 Specification

#include <nag.h>

#include <nagd01.h>

void	nag_quad_1d_gauss_wset (Nag_QuadType quad_type, double a, double b, Integer n, double weight[], double abscis[], NagError *fail)

3 Description

nag_quad_1d_gauss_wset (d01tbc) returns the weights and abscissae for use in the Gaussian quadrature of a function

f (x)

. The quadrature takes the form

S = \sum_{i = 1}^{n} w_{i} f (x_{i})

where

w_{i}

are the weights and

x_{i}

are the abscissae (see Davis and Rabinowitz (1975), Fröberg (1970), Ralston (1965) or Stroud and Secrest (1966)).

Weights and abscissae are available for Gauss–Legendre, rational Gauss, Gauss–Laguerre and Gauss–Hermite quadrature, and for a selection of values of

n

(see Section 5).

(a)

Gauss–Legendre Quadrature:

S ≃ \int_{a}^{b} f (x) d x

where

a

and

b

are finite and it will be exact for any function of the form

f (x) = \sum_{i = 0}^{2 n - 1} c_{i} x^{i} .

(b)

Rational Gauss quadrature, adjusted weights:

S ≃ \int_{a}^{\infty} f (x) d x (a + b > 0) or S ≃ \int_{- \infty}^{a} f (x) d x (a + b < 0)

and will be exact for any function of the form

f (x) = \sum_{i = 2}^{2 n + 1} \frac{c_{i}}{{(x + b)}^{i}} = \frac{\sum_{i = 0}^{2 n - 1} c_{2 n + 1 - i} {(x + b)}^{i}}{{(x + b)}^{2 n + 1}} .

(c)

Gauss–Laguerre quadrature, adjusted weights:

S ≃ \int_{a}^{\infty} f (x) d x (b > 0) or S ≃ \int_{- \infty}^{a} f (x) d x (b < 0)

and will be exact for any function of the form

f (x) = e^{- b x} \sum_{i = 0}^{2 n - 1} c_{i} x^{i} .

(d)

Gauss–Hermite quadrature, adjusted weights:

S ≃ \int_{- \infty}^{+ \infty} f (x) d x

and will be exact for any function of the form

f (x) = e^{- b {(x - a)}^{2}} \sum_{i = 0}^{2 n - 1} c_{i} x^{i} (b > 0) .

(e)

Gauss–Laguerre quadrature, normal weights:

S ≃ \int_{a}^{\infty} e^{- b x} f (x) d x (b > 0) or S ≃ \int_{- \infty}^{a} e^{- b x} f (x) d x (b < 0)

and will be exact for any function of the form

f (x) = \sum_{i = 0}^{2 n - 1} c_{i} x^{i} .

(f)

Gauss–Hermite quadrature, normal weights:

S ≃ \int_{- \infty}^{+ \infty} e^{- b {(x - a)}^{2}} f (x) d x

and will be exact for any function of the form

f (x) = \sum_{i = 0}^{2 n - 1} c_{i} x^{i} .

Note: the Gauss–Legendre abscissae, with

a = - 1

,

b = + 1

, are the zeros of the Legendre polynomials; the Gauss–Laguerre abscissae, with

a = 0

,

b = 1

, are the zeros of the Laguerre polynomials; and the Gauss–Hermite abscissae, with

a = 0

,

b = 1

, are the zeros of the Hermite polynomials.

4 References

Davis P J and Rabinowitz P (1975) Methods of Numerical Integration Academic Press

Fröberg C E (1970) Introduction to Numerical Analysis Addison–Wesley

Ralston A (1965) A First Course in Numerical Analysis pp. 87–90 McGraw–Hill

Stroud A H and Secrest D (1966) Gaussian Quadrature Formulas Prentice–Hall

5 Arguments

1: quad_type – Nag_QuadTypeInput

On entry: indicates the quadrature formula.

$quad_type = Nag_Quad_Gauss_Legendre$: Gauss–Legendre quadrature on a finite interval, using normal weights.
$quad_type = Nag_Quad_Gauss_Rational_Adjusted$: Rational Gauss quadrature on a semi-infinite interval, using adjusted weights.
$quad_type = Nag_Quad_Gauss_Laguerre_Adjusted$: Gauss–Laguerre quadrature on a semi-infinite interval, using adjusted weights.
$quad_type = Nag_Quad_Gauss_Hermite_Adjusted$: Gauss–Hermite quadrature on an infinite interval, using adjusted weights.
$quad_type = Nag_Quad_Gauss_Laguerre$: Gauss–Laguerre quadrature on a semi-infinite interval, using normal weights.
$quad_type = Nag_Quad_Gauss_Hermite$: Gauss–Hermite quadrature on an infinite interval, using normal weights.

Constraint:

quad_type = Nag_Quad_Gauss_Legendre

,

Nag_Quad_Gauss_Rational_Adjusted

,

Nag_Quad_Gauss_Laguerre_Adjusted

,

Nag_Quad_Gauss_Hermite_Adjusted

,

Nag_Quad_Gauss_Laguerre

or

Nag_Quad_Gauss_Hermite

.

2: a – doubleInput

3: b – doubleInput

On entry: the quantities

a

and

b

as described in the appropriate sub-section of Section 3.

Constraints:

if $quad_type = Nag_Quad_Gauss_Rational_Adjusted$ , $a + b \neq 0.0$ ;
if $quad_type = Nag_Quad_Gauss_Laguerre$ or $Nag_Quad_Gauss_Laguerre_Adjusted$ , $b \neq 0.0$ ;
if $quad_type = Nag_Quad_Gauss_Hermite$ or $Nag_Quad_Gauss_Hermite_Adjusted$ , $b > 0.0$ .

4: n – IntegerInput

On entry:

n

, the number of weights and abscissae to be returned.

Constraint:

n = 1

,

2

,

3

,

4

,

5

,

6

,

8

,

10

,

12

,

14

,

16

,

20

,

24

,

32

,

48

or

64

.

5: weight[n] – doubleOutput

On exit: the n weights.

6: abscis[n] – doubleOutput

On exit: the n abscissae.

7: fail – NagError *Input/Output

The NAG error argument (see Section 3.6 in the Essential Introduction).

6 Error Indicators and Warnings

NE_BAD_PARAM: On entry, argument $〈value〉$ had an illegal value.; The value of a and/or b is invalid: $a = 〈value〉$ and $b = 〈value〉$ .
NE_INTERNAL_ERROR: An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
NE_QUAD_GAUSS_NPTS_RULE: The n-point rule is not among those stored.
NE_TOO_SMALL: Underflow occurred in calculation of normal weights. Reduce n or use adjusted weights: $n = 〈value〉$ .

7 Accuracy

The weights and abscissae are stored for standard values of a and b to full machine accuracy.

8 Further Comments

Timing is negligible.

9 Example

This example returns the abscissae and (adjusted) weights for the six-point Gauss–Laguerre formula.

9.1 Program Text

Program Text (d01tbce.c)

9.2 Program Data

Program Data (d01tbce.d)

9.3 Program Results

Program Results (d01tbce.r)

nag_quad_1d_gauss_wset (d01tbc) (PDF version)

d01 Chapter Contents

d01 Chapter Introduction

NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012