GEN_HERMITE_RULE
Generalized Gauss-Hermite Quadrature Rules


GEN_HERMITE_RULE is a C++ program 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
      
is to be approximated by
        Sum ( 1 <= i <= order ) w(i) * f(x(i))
      

Usage:

gen_hermite_rule order alpha a b filename
where

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL 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++ program which defines a nested Clenshaw Curtis quadrature rule.

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

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

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

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

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

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

INT_EXACTNESS_GEN_HERMITE, a C++ program which checks the polynomial exactness of a generalized Gauss-Hermite quadrature rule.

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

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

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

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

PATTERSON_RULE, a C++ program 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 FORTRAN90 library which contains 1-dimensional quadrature rules.

TANH_SINH_RULE, a C++ program which computes and writes out a tanh-sinh quadrature rule of given order.

TEST_INT_HERMITE, a C++ library which defines test integrands that can be approximated using a Gauss-Hermite rule.

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].

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:

Examples and Tests:

List of Routines:

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


Last revised on 23 February 2010.