GAUSS-LEGENDRE QUADRATURE METHOD OF APPROXIMATION

Given a function f (x) which is continuous on the interval [a, b] , by use of Gauss-Legendre
b
Quadrature rule, the integral  f ( x)dx
a
can be numerically approximated.

Procedure
a) Change the variable by using the transformation formula
ab ba ba
x  t  dx  dt
2 2 2

b) Change the limits from the interval [a, b] to [1, 1]

c) Use the either Gauss Legendre n-point rule to approximate the integral.
Where n  2, 3, 4..... . For instance, lets consider 2nd and 3rd point rule and transform
b

 f ( x)dx
a
.

1. Gauss quadrature 2-point rule

ab b2 ba
b 1


a
f ( x)dx   f 
1
2
 t
2  2
dt

 1   1 
1
  g (t )dt  g     g  
1  3  3
ba ab ba 
Where, g (t )  f  t
2  2 2 

2. Gauss quadrature 3-point rule

ab b2 ba
b 1

a f ( x ) dx  1 f  2  2 t  2 dt
1
  g(t )dt 
  
5 g  3 5  8 g (0)  5 g 3 5 
1
9
ba ab ba 
Where, g (t )  f  t
2  2 2 

Worked examples
Example 1.
a) Use the 2-point Gauss-Legendre Rule to approximate
4
I   xe 2 x dx  5216.926477
0

1
Solution. ……………………………………………………
Coordinate transformation
ba ba
a  0, b  4  x  t  2t  2  x  2t  2  dx  2dt ……(2)
2 2
Substituting (2) in (1) gives the transformed integral as
4 1
I   xe 2 x dx   (4t  4)e 4t  4 dt.............................................(3)
0 1

Using 2-point Gaussian Quadrature formula on (3) for approximation yields

 1   1 
1
I   g (t )dt  g     g  
1  3   3 
where, g (t )  (4t  4)e 4t  4
4 4
 4  4 3  4  4
 I   4  e   4  e 3

 3  3
 9.16765732373  3468.37627894
 3477.5439361
 3477.5439361 
Error  1    100%  33.34%
 5216.926477 

b) Use 3-point Gaussian Quadrature approximation method to evaluate the integral.

2
 1
I   g (t )dt 
  
5 g  3 5  8 g (0)  5 g 3 5 
1
9
1
I   g (t )dt 
  
5 g  3 5  8 g (0)  5 g 3 5 
1
9
1
I   g (t )dt 
  
5 g  0.6  8 g (0)  5 g 0.6 
1
9

I
5
9
  8
9
 
5
9

4  4 0.6 e 4 4 0.6   4e 4  4  4 0.6 e 4 4  0.6 

I  1.23399530  194.126755673  4771.7459382

 4967.106689173

 249.819787827 
Error     100%  4.79%
 5216.926477 

Remarks: The 3-point approximation is more accurate than the 2-point one

Example 3. Use the three-point Gauss-Legendre Rule to approximate

5
dx
I 
1
x

Solution………………………………………………………………………………………..
Using

ab ba ba

b 1

a
f ( x)dt   f 
1
2
 t
2  2
dt

1
f(x)  , a  1 and b  5 ,
x

3
 ba
b 1
dx 1
a x  1  a  b b  a  2 dt
  t
 2 2 
ba
1
  a  b  bt  at  dt
1

5 1
1
  6  5t  t 
1
dx

1
4
  6  4t
1
dt

1
2
 dt (2)
1
3  2t

Hence, evaluate the transformed integral using the Gauss-Legendre approximation 3-point rule
1
2
I  3  2t
1
dt (3)

Recall.
1
 
5 f  3 5  8 f (0)  5 f  35 
 g (t )dt 
1
9

2
where, g (t ) 
3  2t
Hence,

 2  2  2 
5   8   5 
1 3 2 3 5  3 3 2 3 5 
2    
1 3  2t dt  9
 2  16  2 
5    5 
  1.45081  3  4.54919 
9
6.8927  5.3333  2.9819

9
15.2079

9
 1.6898
Error.

4
Exact;

2 ln(3  2t ) t  1
1
2
I  3  2t
1
dt 
2 t  1
 ln 5  ln 1  ln 5  1.6094

𝐸𝑟𝑟𝑜𝑟 = 1.6094 − 1.6898 = −0.0804

Example 4. Use Gauss-Legendre quadrature 2-point and 3-point formulae to approximate

I   x 4  1dx
4

a) 2

Ans. 200.4014

I   2 x 2  3x dx
3
b)
2
1
3
c) I   1  t  dt  4.6666667
2

(Exercise: Repeat the above integrals for 2- point rule)