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This exact rule is known as the Gauss–Legendre quadrature rule. The quadrature rule will only be an accurate approximation to the integral above if f (x) is well-approximated by a polynomial of degree 2n − 1 or less on [−1, 1]. The Gauss–Legendre quadrature rule is not typically used for integrable functions with endpoint singularities ...
It is assumed that the value of a function f defined on [,] is known at + equally spaced points: < < <.There are two classes of Newton–Cotes quadrature: they are called "closed" when = and =, i.e. they use the function values at the interval endpoints, and "open" when > and <, i.e. they do not use the function values at the endpoints.
Carl Friedrich Gauss was the first to derive the Gauss–Legendre quadrature rule, doing so by a calculation with continued fractions in 1814. [4] He calculated the nodes and weights to 16 digits up to order n=7 by hand. Carl Gustav Jacob Jacobi discovered the connection between the quadrature rule and the orthogonal family of Legendre polynomials.
Gauss–Kronrod formulas are extensions of the Gauss quadrature formulas generated by adding + points to an -point rule in such a way that the resulting rule is exact for polynomials of degree less than or equal to + (Laurie (1997, p. 1133); the corresponding Gauss rule is of order ).
In mathematics numerical analysis, the Nyström method [1] or quadrature method seeks the numerical solution of an integral equation by replacing the integral with a representative weighted sum. The continuous problem is broken into n {\displaystyle n} discrete intervals; quadrature or numerical integration determines the weights and locations ...
In numerical analysis Chebyshev–Gauss quadrature is an extension of Gaussian quadrature method for approximating the value of integrals of the following kind:
1 Example with change of variable. 2 References. ... Gauss–Hermite quadrature is a form of Gaussian quadrature for approximating the value of integrals of the ...
One approach consists of using point sets from other quadrature rules. For example, taking independent and identically distributed realisations from recovers a Bayesian approach to Monte Carlo, [3] whereas using certain deterministic point sets such as low-discrepancy sequences or lattices recovers a Bayesian alternative to quasi-Monte Carlo.