Adaptive Quadrature

In applied mathematics, adaptive quadrature is a process in which the integral of

a function f(x) is approximated using static quadrature rules on adaptively refined subintervals of
the integration domain. Generally, adaptive algorithms are just as efficient and effective as
traditional algorithms for "well behaved" integrands, but are also effective for "badly behaved"
integrands for which traditional algorithms fail. In contrast, the strategy of the adaptive
quadrature is to divide the integration interval non uniformly into segments of (generally)unequal
lengthsthat is, short/long segments for swaying/smooth portion of the curve of integrand f (x),
aiming at having smaller error with fewer segments.
The quadrature rules generally have the form

where the nodes

and weights

are generally precomputed.

Gauss Legendre
Gauss Legendre is the quadrature rule which tries to approximate integrals of type

GaussLegendre Integration
If the integrand f (t) is a polynomial of degree 3(= 2N 1), then its integration

can exactly be obtained from just 2(N) points by using the following formula
I [t1, t2] = w1f (t1) + w2f (t2)
Then, lets find the weights w1, w2 and the grid points t1, t2 such that the approximating formula
equals the integration for f (t) = 1(of degree 0), t(of degree 1), t2(of degree 2), and t3(of degree 3).
In order to do so, we should solve the following system of equations:

Multiplying second equation by t2 and subtracting the result from fourth equation yields

We can expect this approximating formula to give us the exact value of the integral when the
integrand f (t) is a polynomial of degree 3. Now, you are concerned about how to generalize this
two-point GaussLegendre integration formula to an N-point case, since a system of nonlinear
equation like can be very difficult to solve as the dimension increases. But, dont worry about it.
The N grid points (tis) of GaussLegendre integration formula

giving us the exact integral of an integrand polynomial of degree (2N 1) can be obtained as
the zeros of the Nth-degree Legendre polynomial.

Given the N grid point tis, we can get the corresponding weight wN,i s of the N-point Gauss
Legendre integration formula by solving the system of linear equations

where the nth element of the right-hand side (RHS) vector is

Even though we are happy with the N-point GaussLegendre integration formula giving the
exact integral of polynomials of degree (2N 1), we do not feel comfortable with the fixed
integration interval [1, +1]. But, we can be relieved from the stress because any arbitrary finite
interval [a, b] can be transformed into [1, +1] by the variable substitution known as the Gauss
Legendre translation

Then, we can write the N-point GaussLegendre integration formula for the integration interval
[a, b] as

(Note: Gauss Legendre Quadrature gives exact results only for finite polynomial series).