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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.
[1] [2] Nevertheless, for some figures a quadrature can be performed. The quadratures of the surface of a sphere and a parabola segment discovered by Archimedes became the highest achievement of analysis in antiquity. The area of the surface of a sphere is equal to four times the area of the circle formed by a great circle of this sphere.
That is why the process was named "quadrature". For example, a quadrature of the circle, Lune of Hippocrates, The Quadrature of the Parabola. This construction must be performed only by means of compass and straightedge. The ancient Babylonians used the trapezoidal rule to integrate the motion of Jupiter along the ecliptic. [3]
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 numerical analysis Chebyshev–Gauss quadrature is an extension of Gaussian quadrature method for approximating the value of integrals of the following kind:
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.
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.