HERMITE_RULE is a C program which generates a specific Gauss-Hermite quadrature rule, based on user input.
The rule is written to three files for easy use as input to other programs.
The Gauss-Hermite quadrature rule is used as follows:
c * Integral ( -oo < x < +oo ) f(x) exp ( - b * ( x - a )^2 ) dxis to be approximated by
Sum ( 1 <= i <= order ) w(i) * f(x(i))Generally, a Gauss-Hermite quadrature rule of n points will produce the exact integral when f(x) is a polynomial of degree 2n-1 or less.
The value of C in front of the integral depends on the user's choice of the SCALE parameter:
hermite_rule order a b scale filenamewhere
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
HERMITE_RULE is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.
CCN_RULE, a C program which defines one of a set of nested Clenshaw Curtis quadrature rules.
CLENSHAW_CURTIS_RULE, a C program which defines a Clenshaw Curtis quadrature rule.
HERMITE_EXACTNESS, a C program which tests the polynomial exactness of Gauss-Hermite quadrature rules for estimating the integral of a function with density exp(-x^2) over the interval (-oo,+oo).
HERMITE_TEST_INT, a C library which defines test integrands for Hermite integrals with interval (-oo,+oo) and density exp(-x^2).
LAGUERRE_RULE, a C program which can compute and print a Gauss-Laguerre quadrature rule for estimating the integral of a function with density exp(-x) over the interval [0,+oo).
LEGENDRE_RULE, a C program which computes a Gauss-Legendre quadrature rule.
LINE_FELIPPA_RULE, a C library which returns the points and weights of a Felippa quadrature rule over the interior of a line segment in 1D.
LINE_NCO_RULE, a C library which computes a Newton Cotes Open (NCO) quadrature rule, using equally spaced points, over the interior of a line segment in 1D.
QUADRATURE_RULES_HERMITE_PHYSICIST, a dataset directory which contains Gauss-Hermite quadrature rules, for integration on the interval (-oo,+oo), with weight function exp(-x^2).
QUADRATURE_RULES_HERMITE_PROBABILIST, a dataset directory which contains Gauss-Hermite quadrature rules, for integration on the interval (-oo,+oo), with weight function exp(-x^2/2).
QUADRATURE_RULES_HERMITE_UNWEIGHTED, a dataset directory which contains Gauss-Hermite quadrature rules, for integration on the interval (-oo,+oo), with weight function 1.
TRUNCATED_NORMAL_RULE, a C program which computes a quadrature rule for a normal probability density function (PDF), also called a Gaussian distribution, that has been truncated to [A,+oo), (-oo,B] or [A,B].
HERM_O4 is a Hermite rule of order 4, created by the command
hermite_rule 4 0.0 1.0 0, herm_o4
You can go up one level to the C source codes.