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Gérard MEURANT

October, 2008

1 Quadrature rules

Quadrature rules

quadrature rule is a relation

Z b N

X

f (λ) dα = wj f (tj ) + R[f ]

a j=1

The real numbers tj are the nodes and wj the weights

The rule is said to be of exact degree d if R[p] = 0 for all

polynomials p of degree d and there are some polynomials q of

degree d + 1 for which R[q] 6= 0

I Quadrature rules of degree N − 1 can be obtained by

interpolation

I Such quadrature rules are called interpolatory

I Newton–Cotes formulas are defined by taking the nodes to be

equally spaced

I A popular choice for the nodes is the zeros of the Chebyshev

polynomial of degree N. This is called the Fejér quadrature

rule

I Another interesting choice is the set of extrema of the

Chebyshev polynomial of degree N − 1. This gives the

Clenshaw–Curtis quadrature rule

Theorem

Let k be an integer, 0 ≤ k ≤ N. The quadrature rule has degree

d = N − 1 + k if and only if it is interpolatory and

Z N

bY

(λ − tj )p(x) dα = 0, ∀p polynomial of degree ≤ k − 1.

a j=1

see Gautschi

If the measure is positive, k = N is maximal for interpolatory

quadrature since if k = N + 1 the condition in the last theorem

would give that the polynomial

N

Y

(λ − tj )

j=1

Gauss quadrature rules

quadrature

It was introduced by C.F. Gauss at the beginning of the nineteenth

century

The general formula for a Riemann–Stieltjes integral is

Z b N

X M

X

I [f ] = f (λ) dα(λ) = wj f (tj ) + vk f (zk ) + R[f ], (1)

a j=1 k=1

j=1 , [vk ]k=1 and the nodes [tj ]j=1 are

unknowns and the nodes [zk ]M k=1 are prescribed

I If M = 0, this is the Gauss rule with no prescribed nodes

I If M = 1 and z1 = a or z1 = b we have the Gauss–Radau rule

I If M = 2 and z1 = a, z2 = b, this is the Gauss–Lobatto rule

The term R[f ] is the remainder which generally cannot be

explicitly computed

If the measure α is a positive non–decreasing function

2

M

b Y N

f (2N+M) (η)

Z Y

R[f ] = (λ−zk ) (λ − tj ) dα(λ), a<η<b

(2N + M)! a k=1 j=1

(2)

Note that for the Gauss rule, the remainder R[f ] has the sign of

f (2N) (η)

see Stoer and Bulirsch

The Gauss rule

f (λ) = λi , i = 1, . . . , 2N − 1 and to solve the non linear

equations expressing the fact that the quadrature rule is exact

I Use of the orthogonal polynomials associated with the

measure α

Z b

pi (λ)pj (λ) dα(λ) = δi,j

a

P(λ) = [p0 (λ) p1 (λ) · · · pN−1 (λ)]T , e N = (0 0 · · · 0 1)T

ω1 γ1

γ1 ω2 γ2

JN =

.. .. ..

. . .

γN−2 ωN−1 γN−1

γN−1 ωN

JN is a Jacobi matrix, its eigenvalues are real and simple

Theorem

(N)

The eigenvalues of JN (the so–called Ritz values θj which are

also the zeros of pN ) are the nodes tj of the Gauss quadrature rule.

The weights wj are the squares of the first elements of the

normalized eigenvectors of JN

Proof.

The monic polynomial N

Q

j=1 (λ − tj ) is orthogonal to all

polynomials of degree less than or equal to N − 1. Therefore, (up

to a multiplicative constant) it is the orthogonal polynomial

associated to α and the nodes of the quadrature rule are the zeros

of the orthogonal polynomial, that is the eigenvalues of JN

The vector P(tj ) is an unnormalized eigenvector of JN

corresponding to the eigenvalue tj

If q is an eigenvector with norm 1, we have P(tj ) = ωq with a

scalar ω. From the Christoffel–Darboux relation

wj P(tj )T P(tj ) = 1, j = 1, . . . , N

Then

wj P(tj )T P(tj ) = wj ω 2 kqk2 = wj ω 2 = 1

Hence, wj = 1/ω 2 . To find ω we can pick any component of the

eigenvector q, for instance, the first one which is different from

zero ω = p0 (tj )/q1 = 1/q1 . Then, the weight is given by

wj = q12

Z b

wj = q12 µ0 = q12 dα(λ)

a

The knowledge of the Jacobi matrix and of the first moment allows

to compute the nodes and weights of the Gauss quadrature rule

Golub and Welsch showed how the squares of the first components

of the eigenvectors can be computed without having to compute

the other components with a QR–like method

Z b N

X

I [f ] = f (λ) dα(λ) = wjG f (tjG ) + RG [f ]

a j=1

with 2

b N

f (2N) (η)

Z Y

RG [f ] = (λ − tjG ) dα(λ)

(2N)! a j=1

QN

The monic polynomial j=1 (tjG − λ) which is the determinant χN

of JN − λI can be written as γ1 · · · γN−1 pN (λ)

Theorem

Suppose f is such that f (2n) (ξ) > 0, ∀n, ∀ξ, a < ξ < b, and let

N

X

LG [f ] = wjG f (tjG )

j=1

equal to 2N − 1 and

LG [f ] ≤ I [f ]

Moreover ∀N, ∃η ∈ [a, b] such that

f (2N) (η)

I [f ] − LG [f ] = (γ1 · · · γN−1 )2

(2N)!

The Gauss–Radau rule

in such a way that it has one prescribed eigenvalue z1 = a or b

Assume z1 = a. We wish to construct pN+1 such that pN+1 (a) = 0

This gives

pN−1 (a)

ωN+1 = a − γN

pN (a)

Note that

(JN − aI )P(a) = −γN pN (a)e N

Let δ(a) = [δ1 (a), · · · , δN (a)]T with

pl−1 (a)

δl (a) = −γN l = 1, . . . , N

pN (a)

I we generate γN

I we solve the tridiagonal system for δ(a), this gives δN (a)

I we compute ωN+1 = a + δN (a)

γN e N

JN

ĴN+1 =

γN (e N )T ωN+1

gives the nodes and the weights of the Gauss–Radau quadrature

rule

Theorem

Suppose f is such that f (2n+1) (ξ) < 0, ∀n, ∀ξ, a < ξ < b. Let

N

X

UGR [f ] = wja f (tja ) + v1a f (a)

j=1

wja , v1a , tja being the weights and nodes computed with z1 = a and

let LGR

N

X

LGR [f ] = wjb f (tjb ) + v1b f (b)

j=1

wjb , v1b , tjb being the weights and nodes computed with z1 = b.

The Gauss–Radau rule is exact for polynomials of degree less than

or equal to 2N and we have

LGR [f ] ≤ I [f ] ≤ UGR [f ]

Theorem (end)

Moreover ∀N ∃ ηU , ηL ∈ [a, b] such that

2

b N

f (2N+1) (ηU )

Z Y

I [f ] − UGR [f ] = (λ − a) (λ − tja ) dα(λ)

(2N + 1)! a j=1

2

b N

f (2N+1) (ηL )

Z Y

I [f ] − LGR [f ] = (λ − b) (λ − tjb ) dα(λ)

(2N + 1)! a j=1

The Gauss–Lobatto rule

We would like to have

pN (a) pN−1 (a) ωN+1 a pN (a)

=

pN (b) pN−1 (b) γN b pN (b)

Let

pl−1 (a) pl−1 (b)

δl = − , µl = − , l = 1, . . . , N

γN pN (a) γN pN (b)

then

(JN − aI )δ = e N , (JN − bI )µ = e N

1 −δN ωN+1 a

=

1 −µN γN2 b

µN

I we compute ωN+1 and γN

γN e N

JN

ĴN+1 =

γN (e N )T ωN+1

Theorem

Suppose f is such that f (2n) (ξ) > 0, ∀n, ∀ξ, a < ξ < b and let

N

X

UGL [f ] = wjGL f (tjGL ) + v1GL f (a) + v2GL f (b)

j=1

tjGL , wjGL , v1GL and v2GL being the nodes and weights computed

with a and b as prescribed nodes. The Gauss–Lobatto rule is exact

for polynomials of degree less than or equal to 2N + 1 and

I [f ] ≤ UGL [f ]

2

b N

f (2N+2) (η)

Z Y

I [f ]−UGL [f ] = (λ−a)(λ−b) (λ − tjGL ) dα(λ)

(2N + 2)! a j=1

Computation of the Gauss rules

The weights wi are given by the squares of the first components of

the eigenvectors wi = (z1i )2 = ((e 1 )T z i )2

Theorem

N

X

wl f (tl ) = (e 1 )T f (JN )e 1

l=1

Proof.

N

X N

X

wl f (tl ) = (e 1 )T z l f (tl )(z l )T e 1

l=1 l=1

N

!

X

1 T l l T

= (e ) z f (tl )(z ) e1

l=1

= (e ) ZN f (ΘN )ZNT e 1

1 T

= (e 1 )T f (JN )e 1

The anti–Gauss rule

A usual way of obtaining an estimate of I [f ] − LN

G [f ] is to use

another quadrature rule Q[f ] of degree greater than 2N − 1 and to

estimate the error as Q[f ] − LN

G [f ]

Laurie proposed to construct a quadrature rule with N + 1 nodes

called an anti–Gauss rule

N+1

X

H N+1 [f ] = $j f (ϑj ),

j=1

such that

I [p] − H N+1 [p] = −(I [p] − LN

G [p])

rule can be estimated as

1 N+1

(H [f ] − LN

G [f ])

2

H N+1 [p] = 2I [p] − LN

G [p]

rule with N + 1 nodes for the functional I(·) = 2I [·] − LN

G [·]

We have

I [pq] = I(pq)

for p a polynomial of degree N − 1 and q a polynomial of degree

N and

2 2

I(p̃N ) = 2I (p̃N )

where p̃j are the orthogonal polynomials associated to I

Using the Stieltjes formulas for the coefficients we obtain the

Jacobi matrix

ω1 γ1

γ1 ω2 γ2

.. .. ..

. . .

J̃N+1 =

γN−2 ωN−1 γN−1 √

γN−1 √ωN 2γN

2γN ωN+1

interval

However, the first and the last nodes can eventually be outside of

the integration interval

Actually, in some cases, the matrix J̃N+1 can be indefinite even if

JN is positive definite

One can construct a quadrature rule S N+1 [f ] such that

G [p])

and less than or equal to 1

ω1 γ1

γ1 ω2 γ2

.. .. ..

J̃N+1 =

. . .

γN−2 ωN−1 γN−1

√

γN−1 ωN γN 1 + γ

√

γN 1 + γ ωN+1

1

(S N+1 [f ] − LN

G [f ])

1+γ

Nonsymmetric Gauss quadrature rules

l

X

α(λ) = αk δk , λl ≤ λ < λl+1 , l = 1, . . . , N − 1

k=1

where αk 6= δk and αk δk ≥ 0

We assume that there exists two sequences of mutually orthogonal

(sometimes called bi–orthogonal) polynomials p and q such that

βj qj (λ) = (λ − ωj )qj−1 (λ) − γj−1 qj−2 (λ), q−1 (λ) ≡ 0, q0 (λ) ≡ 1

with hpi , qj i = 0, i 6= j

Let

P(λ)T = [p0 (λ) p1 (λ) · · · pN−1 (λ)]

Q(λ)T = [q0 (λ) q1 (λ) · · · qN−1 (λ)]

and

ω1 γ1

β1 ω2 γ2

JN =

.. .. ..

. . .

βN−2 ωN−1 γN−1

βN−1 ωN

In matrix form

λQ(λ) = JNT Q(λ) + βN qN (λ)e N

Proposition

βj · · · β1

pj (λ) = qj (λ)

γj · · · γ1

roots which are also the common real eigenvalues of JN and JNT

We define the quadrature rule as

Z b N

X

f (λ) dα(λ) = f (θj )sj tj + R[f ]

a j=1

eigenvector uj of JN corresponding to θj and tj is the first

component of the eigenvector vj of JNT corresponding to the same

eigenvalue, normalized such that vjT uj = 1

Theorem

Assume that γj βj 6= 0, then the nonsymmetric Gauss quadrature

rule is exact for polynomials of degree less than or equal to 2N − 1

The remainder is characterized as

f (2N) (η) b

Z

R[f ] = pN (λ)2 dα(λ)

(2N)! a

nonsymmetric case is almost identical to the symmetric case

The block Gauss quadrature rules

Rb

The integral a f (λ)dα(λ) is now a 2 × 2 symmetric matrix. The

most general quadrature formula is of the form

Z b N

X

f (λ)dα(λ) = Wj f (Tj )Wj + R[f ]

a j=1

reduced to

X2N

f (tj )u j (u j )T

j=1

There exist orthogonal matrix polynomials related to α such that

j−1

This can be written as

λ[p0 (λ), . . . , pN−1 (λ)] = [p0 (λ), . . . , pN−1 (λ)]JN +[0, . . . , 0, pN (λ)ΓN ]

where

Ω1 ΓT

1

Γ1 Ω2 ΓT

2

JN =

.. .. ..

. . .

T

ΓN−2 ΩN−1 ΓN−1

ΓN−1 ΩN

is a symmetric block tridiagonal matrix of order 2N

The nodes tj are the zeros of the determinant of the matrix

orthogonal polynomials that is the eigenvalues of JN and ui is the

vector consisting of the two first components of the corresponding

eigenvector

However, the eigenvalues may have a multiplicity larger than 1

Let θi , i = 1, . . . , l be the set of distinct eigenvalues and ni their

multiplicities. The quadrature rule is then

l ni

(w j )(w j )T f (θi )

X X

i i

i=1 j=1

than or equal to 2N − 1 but the proof is rather involved

The block Gauss–Radau rule

N =0

N

But

−p0 (a)T pN (a)−T

0

(JN − aI ) .

. ..

= .

.

T

−pN−1 (a) pN (a) −T ΓTN

I We first solve

δ0 (a) 0

.

.. .

(JN − aI ) = ..

δN−1 (a) ΓT

N

I We compute

ΩN+1 = aI2 + δN−1 (a)T ΓT

N

The block Gauss–Lobatto rule

The generalization of the Gauss–Lobatto construction to the block

case is a little more difficult

We would like to have a and b as double eigenvalues of the matrix

JN+1

It gives

−1

I2 pN (a)pN−1 (a) ΩN+1 aI2

−1 =

I2 pN (b)pN−1 (b) ΓT

N bI2

(JN − λI )δ(λ) = (0 . . . 0 I2 )T

Then, as before

N

Solving the 4 × 4 linear system we obtain

−1

ΓT

N ΓN = (b − a)(δN−1 (a) − δN−1 (b))

side matrix which is positive definite because δN−1 (a) is a diagonal

block of the inverse of (JN − aI )−1 which is positive definite and

−δN−1 (b) is the negative of a diagonal block of (JN − bI )−1 which

is negative definite

From ΓN , we compute

N

Computation of the block Gauss rules

Theorem

2N

X

f (ti )ui uiT = e T f (JN )e

i=1

where e T = (I2 0 . . . 0)

P.J. Davis and P. Rabinowitz, Methods of numerical

integration, Second Edition, Academic Press, (1984)

W. Gautschi, Orthogonal polynomials: computation and

approximation, Oxford University Press, (2004)

G.H. Golub and G. Meurant, Matrices, moments and

quadrature, in Numerical Analysis 1993, D.F. Griffiths and

G.A. Watson eds., Pitman Research Notes in Mathematics,

v 303, (1994), pp 105–156

G.H. Golub and J.H. Welsch, Calculation of Gauss

quadrature rules, Math. Comp., v 23, (1969), pp 221–230

D.P. Laurie, Anti–Gaussian quadrature formulas,

Math. Comp., v 65 n 214, (1996), pp 739–747

J. Stoer and R. Bulirsch, Introduction to numerical

analysis, second edition, Springer Verlag, (1983)