gen_hermite_rule

gen_hermite_rule, a C++ code which generates a specific generalized Gauss-Hermite quadrature rule, based on user input.

The rule is written to three files for easy use as input to other programs.

The generalized Gauss Hermite quadrature rule is used as follows:

        Integral ( -oo < x < +oo ) |x-a|^alpha * exp( - b * ( x - a)^2 ) f(x) dx
      

        Sum ( 1 <= i <= order ) w(i) * f(x(i))
      

Usage:

gen_hermite_rule order alpha a b filename

• order is the number of points in the quadrature rule.
• alpha is the parameter for the generalized Gauss-Hermite quadrature rule. The value of alpha may be any real value greater than -1.0. Specifying alpha=0.0 results in the basic (non-generalized) rule.
• a is the center point (default 0);
• b is the scale factor (default 1);
• filename specifies the names of the output files: filename_w.txt, filename_x.txt, and filename_r.txt, containing the weights, abscissas, and interval limits.

Licensing:

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

Languages:

gen_hermite_rule is available in a C++ version and a FORTRAN90 version and a MATLAB version

Related Data and Programs:

CCN_RULE, a C++ code which defines a nested Clenshaw Curtis quadrature rule.

CHEBYSHEV1_RULE, a C++ code which can compute and print a Gauss-Chebyshev type 1 quadrature rule.

CHEBYSHEV2_RULE, a C++ code which can compute and print a Gauss-Chebyshev type 2 quadrature rule.

CLENSHAW_CURTIS_RULE, a C++ code which defines a Clenshaw Curtis quadrature rule.

GEGENBAUER_RULE, a C++ code which can compute and print a Gauss-Gegenbauer quadrature rule.

gen_hermite_rule_test

GEN_LAGUERRE_RULE, a C++ code which computes a generalized Gauss-Laguerre quadrature rule.

HERMITE_RULE, a C++ code which computes a generalized Gauss-Hermite quadrature rule.

JACOBI_RULE, a C++ code which computes a generalized Gauss-Jacobi quadrature rule.

LAGUERRE_RULE, a C++ code which computes a Gauss-Laguerre quadrature rule.

LATTICE_RULE, a C++ code which approximates M-dimensional integrals using lattice rules.

LEGENDRE_RULE, a C++ code which computes a Gauss-Legendre quadrature rule.

LINE_FELIPPA_RULE, a C++ code which returns the points and weights of a Felippa quadrature rule over the interior of a line segment in 1D.

PATTERSON_RULE, a C++ code which computes a Gauss-Patterson quadrature rule.

QUADRATURE_RULES_GEN_HERMITE, a dataset directory which contains triples of files defining generalized Gauss-Hermite quadrature rules.

QUADRULE, a C++ code which contains 1-dimensional quadrature rules.

TRUNCATED_NORMAL_RULE, a C++ code 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].

Reference:

1. Milton Abramowitz, Irene Stegun,
   Handbook of Mathematical Functions,
   National Bureau of Standards, 1964,
   ISBN: 0-486-61272-4,
   LC: QA47.A34.
2. Philip Davis, Philip Rabinowitz,
   Methods of Numerical Integration,
   Second Edition,
   Dover, 2007,
   ISBN: 0486453391,
   LC: QA299.3.D28.
3. Sylvan Elhay, Jaroslav Kautsky,
   Algorithm 655: IQPACK, FORTRAN Subroutines for the Weights of Interpolatory Quadrature,
   ACM Transactions on Mathematical Software,
   Volume 13, Number 4, December 1987, pages 399-415.
4. Jaroslav Kautsky, Sylvan Elhay,
   Calculation of the Weights of Interpolatory Quadratures,
   Numerische Mathematik,
   Volume 40, 1982, pages 407-422.
5. Roger Martin, James Wilkinson,
   The Implicit QL Algorithm,
   Numerische Mathematik,
   Volume 12, Number 5, December 1968, pages 377-383.
6. Arthur Stroud, Don Secrest,
   Gaussian Quadrature Formulas,
   Prentice Hall, 1966,
   LC: QA299.4G3S7.

Source Code:

• gen_hermite_rule.cpp, the source code.
• gen_hermite_rule.sh, compiles the source code.