LAGUERRE_EXACTNESS
Exactness of Gauss-Laguerre Quadrature Rules


LAGUERRE_EXACTNESS is a C++ program which investigates the polynomial exactness of a Gauss-Laguerre quadrature rule for the semi-infinite interval [0,+oo) or [A,+oo).

Standard Gauss-Laguerre quadrature assumes that the integrand we are considering has a form like:

        Integral ( A <= x < +oo ) exp(-x) f(x) dx
      
where the factor exp(-x) is regarded as a weight factor.

A standard Gauss-Laguerre quadrature rule is a set of n positive weights w and abscissas x so that

        Integral ( A <= x < +oo ) exp(-x) f(x) dx
      
may be approximated by
        Sum ( 1 <= I <= N ) w(i) * f(x(i))
      

It is often convenient to consider approximating integrals in which the weighting factor exp(-x) is implicit. In that case, we are looking at approximating

        Integral ( A <= x < +oo ) f(x) dx
      
and it is easy to modify a standard Gauss-Laguerre quadrature rule to handle this case directly.

A modified Gauss-Laguerre quadrature rule is a set of n positive weights w and abscissas x so that

        Integral ( A <= x < +oo ) f(x) dx
      
may be approximated by
        Sum ( 1 <= I <= N ) w(i) * f(x(i))
      

When using a Gauss-Laguerre quadrature rule, it's important to know whether the rule has been developed for the standard or modified cases. Basically, the only change is that the weights of the modified rule have been multiplied by an exponential factor evaluated at the corresponding abscissa.

For a standard Gauss-Laguerre rule, polynomial exactness is defined in terms of the function f(x). That is, we say the rule is exact for polynomials up to degree DEGREE_MAX if, for any polynomial f(x) of that degree or less, the quadrature rule will produce the exact value of

        Integral ( 0 <= x < +oo ) exp(-x) f(x) dx
      

For a modified Gauss-Laguerre rule, polynomial exactness is defined in terms of the function f(x) divided by the implicit weight function. That is, we say a modified Gauss-Laguerre rule is exact for polynomials up to degree DEGREE_MAX if, for any integrand f(x) with the property that exp(+x) * f(x) is a polynomial of degree no more than DEGREE_MAX, the quadrature rule will product the exact value of:

        Integral ( 0 <= x < +oo ) f(x) dx
      

The program starts at DEGREE = 0, and then proceeds to DEGREE = 1, 2, and so on up to a maximum degree DEGREE_MAX specified by the user. At each value of DEGREE, the program generates the corresponding monomial term, applies the quadrature rule to it, and determines the quadrature error. The program uses a scaling factor on each monomial so that the exact integral should always be 1; therefore, each reported error can be compared on a fixed scale.

If the program understands that the rule being considered is a modified rule, then the monomials are multiplied by exp(-x) when performing the exactness test.

Since

        Integral ( 0 <= x < +oo ) exp(-x) xn dx = n!
      
our test monomial functions, in order to integrate to 1, will be normalized to:
        Integral ( 0 <= x < +oo ) exp(-x) xn / n! dx
      
It should be clear that accuracy will be rapidly lost as n increases.

The program is very flexible and interactive. The quadrature rule is defined by three files, to be read at input, and the maximum degree top be checked is specified by the user as well.

Note that the three files that define the quadrature rule are assumed to have related names, of the form

When running the program, the user only enters the common prefix part of the file names, which is enough information for the program to find all three files.

The exactness results are written to an output file with the corresponding name:

Usage:

laguerre_exactness prefix degree_max option
where

If the arguments are not supplied on the command line, the program will prompt for them.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

LAGUERRE_EXACTNESS is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

EXACTNESS, a C library which investigates the exactness of quadrature rules that estimate the integral of a function with a density, such as 1, exp(-x) or exp(-x^2), over an interval such as [-1,+1], [0,+oo) or (-oo,+oo).

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).

LAGUERRE_POLYNOMIAL, a C program which which evaluates the Laguerre polynomial, the generalized Laguerre polynomials, and the Laguerre function.

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).

LAGUERRE_TEST_INT, a C library which defines test integrands for integration over [A,+oo).

LEGENDRE_EXACTNESS, a C program which tests the monomial exactness of quadrature rules for the Legendre problem of integrating a function with density 1 over the interval [-1,+1].

QUADRATURE_RULES_LAGUERRE a dataset directory which contains sets of files that define Gauss-Laguerre quadrature rules.

QUADRULE, a C library which defines quadrature rules on a variety of intervals with different weight functions.

Reference:

  1. Philip Davis, Philip Rabinowitz,
    Methods of Numerical Integration,
    Second Edition,
    Dover, 2007,
    ISBN: 0486453391,
    LC: QA299.3.D28.

Source Code:

List of Routines:

You can go up one level to the C source codes.


Last revised on 14 May 2014.