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Gauss Quadrature Method

Gaussian quadratures select both the weights and locations of quadrature points so that higher order polynomials can be integrated exactly, achieving higher accuracy than Newton-Cotes formulae. This requires functional values to be evaluated at non-uniformly distributed points. For a given interval like [-1,1], increasing the number of points used in the quadrature formula increases the degree of polynomials that can be integrated exactly, reducing the integration error. The points and weights are found by requiring exact integration of successive powers of x.
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0% found this document useful (0 votes)
301 views12 pages

Gauss Quadrature Method

Gaussian quadratures select both the weights and locations of quadrature points so that higher order polynomials can be integrated exactly, achieving higher accuracy than Newton-Cotes formulae. This requires functional values to be evaluated at non-uniformly distributed points. For a given interval like [-1,1], increasing the number of points used in the quadrature formula increases the degree of polynomials that can be integrated exactly, reducing the integration error. The points and weights are found by requiring exact integration of successive powers of x.
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Gaussian Quadratures

• Newton-Cotes Formulae
– use evenly-spaced functional values
– Did not use the flexibility we have to select the quadrature points
• In fact a quadrature point has several degrees of freedom.
Q(f)=∑i=1m ci f(xi)
A formula with m function evaluations requires specification of
2m numbers ci and xi
• Gaussian Quadratures
– select both these weights and locations so that a higher order
polynomial can be integrated (alternatively the error is proportional
to a higher derivatives)
• Price: functional values must now be evaluated at non-
uniformly distributed points to achieve higher accuracy
• Weights are no longer simple numbers
• Usually derived for an interval such as [-1,1]
• Other intervals [a,b] determined by mapping to [-1,1]
Gaussian Quadrature on [-1, 1]
1 n

∫ f ( x )dx ≈ ∑ c i f ( x i ) = c 1 f ( x 1 ) + c 2 f ( x 2 ) + L + c n f ( x n )
−1
i =1

• Two function evaluations:


– Choose (c1, c2, x1, x2) such that the method yields “exact
integral” for f(x) = x0, x1, x2, x3

1
n=2: ∫−1
f(x)dx
= c 1 f(x 1 ) + c 2 f(x 2 )

-1 x1 x2 1
Finding quadrature nodes and weights
• One way is through the theory of orthogonal
polynomials.
• Here we will do it via brute force
• Set up equations by requiring that the 2m points
guarantee that a polynomial of degree 2m-1 is integrated
exactly.
• In general process is non-linear
– (involves a polynomial function involving the unknown point
and its product with unknown weight)
– Can be solved by using a multidimensional nonlinear solver
– Alternatively can sometimes be done step by step
Gaussian Quadrature on [-1, 1]
1
n=2: ∫
−1
f(x)dx = c 1 f(x 1 ) + c 2 f(x 2 )
Exact integral for f = x0, x1, x2, x3
– Four equations for four unknowns
⎧f 1
= 1 ⇒ ∫ 1dx = 2 = c 1 + c 2 ⎧c 1 = 1
⎪ −1
⎪c = 1
⎪ 1
⎪ 2
⎪f = x ⇒ ∫ xdx = 0 = c 1 x 1 + c 2 x 2 −1
−1 ⎪
⎨ 1 2 ⇒ ⎨ x1 =
⎪f = x ⇒ ∫ x dx = = c 1 x 12 + c 2 x 22
2 2
⎪ 3
⎪ −1 3 ⎪ 1
⎪f 1
= x ⇒ ∫ x 3 dx = 0 = c 1 x 13 + c 2 x 23
3 ⎪ x2 = 3
⎩ −1

1 1 1
I = ∫ f ( x )dx = f ( − )+ f ( )
−1
3 3
Error
• If we approximate a function with a Gaussian quadrature
formula we cause an error proportional to 2n th
derivative
Gaussian Quadrature on [-1, 1]
1
n=3: ∫−1
f ( x )dx = c 1 f ( x 1 ) + c 2 f ( x 2 ) + c 3 f ( x 3 )

-1 x1 x2 x3 1
• Choose (c1, c2, c3, x1, x2, x3) such that the method
yields “exact integral” for f(x) = x0, x1, x2, x3,x4, x5
Gaussian Quadrature on [-1, 1]
1
f = 1 ⇒ ∫ xdx = 2 = c1 + c2 + c3
−1
1
f = x ⇒ ∫ xdx = 0 = c1 x1 + c2 x2 + c3 x3
−1 ⎧c1 = 5 / 9
1 ⎪c = 8 / 9
2 ⎪ 2
f = x ⇒ ∫ x dx = = c1 x12 + c2 x22 + c3 x32
2 2

−1
3 ⎪⎪c3 = 5 / 9
⇒⎨
⎪ x1 = − 3 / 5
1
f = x 3 ⇒ ∫ x 3dx = 0 = c1 x13 + c2 x23 + c3 x33
−1
⎪ x2 = 0
1

2 ⎪⎩ x3 = 3 / 5
f = x ⇒ ∫ x dx = = c1 x14 + c2 x24 + c3 x34
4 4

−1
5
1
f = x 5 ⇒ ∫ x 5 dx = 0 = c1 x15 + c2 x25 + c3 x35
−1
Gaussian Quadrature on [-1, 1]

Exact integral for f = x0, x1, x2, x3, x4, x5

1 5 3 8 5 3
I=∫ f ( x )dx = f ( − )+ f (0 )+ f ( )
−1 9 5 9 9 5
Gaussian Quadrature on [a, b]
Coordinate transformation from [a,b] to [-1,1]

b−a b+a
t= x+
2 2
⎧ x = −1 ⇒ t = a

⎩x = 1 ⇒ t = b

a t1 t2 b
b 1 b−a b+a b−a 1
∫a
f ( t )dt = ∫
−1
f(
2
x+
2
)(
2
)dx = ∫ g ( x )dx
−1
Example: Gaussian Quadrature
4
Evaluate I = ∫ te dt = 5216.926477
2t
0
Coordinate transformation
b−a b+a
t= x+ = 2 x + 2; dt = 2dx
2 2
4 1 1
I = ∫ te dt = ∫ (4 x + 4)e
2t 4 x+4
dx = ∫ f ( x)dx
0 −1 −1

Two-point formula

4 4
1 −1 1 4 4− 4 4+
I = ∫ f ( x )dx = f ( )+ f ( )= (4 − )e 3
+(4 + )e 3
−1
3 3 3 3
= 9.167657324 + 3468.376279 = 3477.543936 ( ε = 33.34%)
Example: Gaussian Quadrature
Three-point formula
1 5 8 5
I = ∫ f ( x )dx = f ( − 0.6 ) + f ( 0 ) + f ( 0.6 )
−1 9 9 9
5 4 − 0 .6 8 5
= ( 4 − 4 0.6 )e + ( 4 )e + ( 4 + 4 0.6 )e 4 + 0.6
4

9 9 9
5 8 5
= ( 2.221191545 ) + ( 218.3926001 ) + ( 8589.142689 )
9 9 9
= 4967.106689 ( ε = 4.79%)
Four-point formula

I = ∫ f ( x )dx = 0.34785[ f ( −0.861136 ) + f ( 0.861136 )]


1

−1
+ 0.652145 [ f ( −0.339981 ) + f ( 0.339981 )]
= 5197.54375 ( ε = 0.37%)
Other rules
• Gauss-Lobatto:
– requiring end points be included in the formula
• Gauss-Radau
– Require one end point be in the formula

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