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Computation of Gauss Jacobi Gauss Radau Jacobi and Gauss Lobatto Jacobi Quadrature Formulae Using Golub Welsch Method PDF
Computation of Gauss Jacobi Gauss Radau Jacobi and Gauss Lobatto Jacobi Quadrature Formulae Using Golub Welsch Method PDF
Computation of Gauss Jacobi Gauss Radau Jacobi and Gauss Lobatto Jacobi Quadrature Formulae Using Golub Welsch Method PDF
1. Introduction
Given a real function f defined on an interval (closed or open) and a weighting
function w, define the quadrature formulae of Gauss type,[4] by
Zb n1
X
(1.1) w(x)f (x)dx = Ai f (xi ) + Rn [f ]
a i=0
where
w(x) 0, x (a, b) (nonnegative),
exist moments
Zb
k = xi w(x)dx, k = 0, 1, . . . , 0 > 0.
a
Z1 n1
[2] [2] [2]
X
(1.5) w(,) (x) f (x) dx = Ai f (xi ) + B1 f (1) + Rn+1 [f ] ;
1 i=0
where R[f ] is the remainder, Ai are coefficients of free nodes, Bj are coefficients of
fixed nodes, xi are free nodes and yj .
Remark 1. [4] If we consider the quadrature formula from Definition 1 then max-
imum degree of exactness is 2n + k 1.
Remark 2. [4, 3] Regarding Definition 1, in order to have a maximum degree of
exactness all free nodes are roots of Jacobi orthogonal polynomials of n degree,
which have expression in the form
n
(1) dn h n i
(1.7) Jn(1 , 1 ) (x) = n w(1 , 1 ) (x) n w(1 , 1 ) (x) 1 x2 ,
2 n! dx
(, ) , k = 0
( + 1, ) , k = 1, y1 = 1
(1.8) (1 , 1 ) := .
(, + 1) , k = 1, y1 = 1
( + 1, + 1) , k = 2, y1 = 1, y2 = 1
Exist also quadrature formulae of Gauss type more generally with multiple fixed
nodes (k > 2) studied by D.D. Stancu, [4], but we will not insist on them.
Remark 3. [4, 3] Regarding (1.7) we have also the following recurrence formula:
( , 1 )
J11 (x) := 0,
( , )
J0 1 1 (x) := 1,
( , 1 ) ( , 1 )
(1.9) 1
Jn+1 (x) = (x an ) Jn(1 , 1 ) (x) bn Jn1
1
(x), n 1,
where
R1
( , )
2 R1 (1 , 1 )
2
x Jn 1 1 (x) w(1 , 1 ) (x) dx Jn (x) w(1 , 1 ) (x) dx
1 1
an = , bn =
R1
( , )
2 R1
(1 , 1 )
2
Jn 1 1 (x) w(1 , 1 ) (x) dx Jn1 (x) w(1 , 1 ) (x) dx
1 1
This result holds also for all orthogonal polynomial with a given weighting function.
3
where Ci are coefficients from a Gauss-Jacobi quadrature formula like (1.3) (without
fixed nodes) with w(1 , 1 ) as weighting function where (1 , 1 ) are given in (1.8).
Theorem 1. (Golub-Welsch, [2, 1]) Having all an ,bn coefficients from orthogonal
polynomial recurrence formula like (1.9) and consider the following threediagonal
matrix:
a0 a1 0 0 ... 0 0
b1 a1 b2 0 ... 0 0
0 b2 a2 b3 . . . 0 0
T =
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
p
0 0 0 0 . . . n1 bn1
p
0 0 0 0 ... bn1 an1
then all xi nodes and Ai coefficients from a quadrature formula of Gauss type (see
(1.1)) are obtained as follow:
(i) xi are eigen values of T ;
2
(ii) Ai = 0 v1,i , where vi are normalized eigen vectors of T of xi .
In order to use Theorem 1 for computing the quadrature nodes and coefficients
we should have 0 , ai and bi already computed..
4 FLORIAN LEONARD GOZMAN
Remark 7. [4] In the case of Jacobi orthogonal polynomials we can calculate ex-
plicitly ai and bi recurrence coefficients by using the following formulae:
a0 = ,
++2
2 2
(1.12) an = n > 1,
(2n + + ) (2n + + + 2)
4 (1 + ) (1 + )
b1 = 2,
(3 + + ) (2 + + )
4n (n + + ) (n + ) (n + )
(1.13) bn = 2 n > 1.
(2n + + + 1) (2n + + ) (2n + + 1)
Remark 8. [4] The moment of order zero 0 , which appears in Gauss-Jacobi quad-
rature formulae, can be calculated as follow:
Z1
( + 1) ( + 1)
(1.14) 0 = w(,) (x)dx = 2++1 .
( + + 2)
1
5
R1
w(+nk,+k) (x) dx
k 1
(1)
( + n + 1 k) ( + k + 2)
n n
(1) ( + n + 1) ( + n + 2) X n k
= (1)
2n n! k
k=0
In order to calculate the combination sum from the last expression we are using
Newton binomial decomposition and then we integrate the sum on (0, 1) as follow:
n Z1 X
n
X n k 1 n k
(1) = (1) x+k dx
k +k+1 k
k=0 0 k=0
Z1
n
= x (1 x) dx
0
= B ( + 1, n + 1)
( + 1) n!
(2.4) = .
( + n + 2)
Z1
n ( + 1) ( + n + 1)
(2.5) w(,) Jn(,+1) (x) dx = (1) 2++1 .
( + + n + 2)
1
n ( + n + 2)
(2.6) Jn(,+1) (1) = (1) .
( + 2) n!
From (1.11), (2.5) and (2.6) we obtain the final expression of the coefficient of fixed
node y1 = 1 from Gauss-Radau-Jacobi quadrature formula i.e.
[1] n! ( + 1) ( + 2) ( + n + 1)
B1 = B1 = 2++1 .
( + n + 2) ( + + n + 2)
[1] n! ( + 1) ( + 2) ( + n + 1)
(2.7) B1 = 2++1 ,
( + n + 2) ( + + n + 2)
[2] n! ( + 1) ( + 2) ( + n + 1)
(2.8) B1 = 2++1 ;
( + n + 2) ( + + n + 2)
n! ( + 1) ( + 2) ( + n + 2)
(2.9) B1 = 2++1 ,
( + n + 2) ( + + n + 3)
n! ( + 1) ( + 2) ( + n + 2)
(2.10) B2 = 2++1 .
( + n + 2) ( + + n + 3)
7
References
[1] Gautschi, W., Numerical Analysis. An Introduction, Birkhauser, Boston Basel Berlin,
1997.
[2] Golub, G. H. and Welsch, J. H., Calculation of Gauss quadrature rules, Math. Comput., 1969.
[3] Stancu, D. D., Coman, Gh., Agratini, O., Trambitas, R., Numerical analysis and approxi-
mation teory (in romanian), vol. I, BabesBolyai Univerisity, Cluj University Press, Cluj
Napoca, 2001.
[4] Stancu, D. D., Coman, Gh., Blaga, P., Numerical analysis and approximation teory (in ro-
manian), vol. II, BabesBolyai University, Cluj University Press, ClujNapoca, 2002.
Cluj-Napoca, Romania
E-mail address: fgozman@math.ubbcluj.ro
URL: http://www.ubbcluj.ro