QUADRATURE_RULES_HERMITE_PROBABILIST
Gauss-Hermite Quadrature Rules, Probabilist Weight

QUADRATURE_RULES_HERMITE_PROBABILIST is a dataset directory which contains examples of quadrature rules of Gauss-Hermite type using the probabilist weight.

Gauss-Hermite quadrature rules are designed to approximate integrals on the infinite interval (-oo,+oo).

The Gauss Hermite quadrature assumes that the integrand we are considering has a form like:

        Integral ( -oo < x < +oo ) f(x) * rho(x) dx
      

There are variations of the rule, depending on the form of the weight factor rho(x):

• option = 0, the unweighted rule:

              rho(x) = 1
            

• option = 1, the physicist weighted rule:

              rho = exp(-x*x)
            

• option = 2, the probabilist weighted rule:

              rho = exp(-x*x/2)
            

• option = 3, the physicist normalized weighted rule:

              rho = exp(-x*x) / sqrt ( pi )
            

• option = 4, the probabilist normalized weighted rule:

              rho = exp(-x*x/2) / sqrt ( 2 pi )
            

The corresponding Gauss-Hermite rule that uses order points will approximate the integral by

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

For this directory, a quadrature rule is stored as three files, containing the weights, the points, and a file containing two points defining the endpoints of the region. Since the Hermite rules are defined on an infinite region, we set the endpoints to a very large negative and positive values respectively, and hope the program will understand what we mean.

If a Gauss-Hermite rule of order n is computed and evaluated with no numerical error, then it should produce the exact integral of any (weighted) polynomial of degree 2*n-1 or less.

As a simple check, for the unnormalized probabilist rule, the weights should add to sqrt(2*pi) = 2.5066282746310005024, while for the normalized probabilist rule, the weights should add to 1.

Example:

We consider a probabilist unnormalized weighted Gauss-Hermite quadrature rule of order 3.

Here is the text of the "W" file storing the weights of such a rule:

  0.4177713791051669    
   1.671085516420666    
  0.4177713791051672      
       

Here is the text of the "X" file storing the abscissas of such a rule:

 
  -1.732050807568878    
 -0.1394816914999491E-15
   1.732050807568878    
      

Here is the text of the "R" file storing the lower and upper limits of the region. These are formally -oo and +oo, but here we simply give them as large values.

 -0.1000000000000000E+31
  0.1000000000000000E+31
      

Licensing:

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

Related Data and Programs:

HERMITE_POLYNOMIAL, a C++ library which evaluates the physicist's Hermite polynomial, the probabilist's Hermite polynomial, the Hermite function, and related functions.

HERMITE_RULE, a C++ program which can compute and print a Gauss-Hermite quadrature rule.

INT_EXACTNESS_HERMITE, a C++ program which tests the polynomial exactness of Gauss-Hermite quadrature rules.

QUADRATURE_RULES_GEN_HERMITE, a dataset directory which contains quadrature rules for integration on an infinite interval, using a generalized Gauss-Hermite rule.

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_UNWEIGHTED, a dataset directory which contains Gauss-Hermite quadrature rules, for integration on the interval (-oo,+oo), with weight function 1.

SPARSE_GRID_HERMITE, a dataset directory which contains M-dimensional Smolyak sparse grids based on the 1D Gauss-Hermite rule;

TEST_INT_HERMITE, a C++ library which defines test integrands for integration over (-oo,+oo).

Sample Files:

Gauss-Hermite Quadrature Rule, Probabilist Unnormalized Weight, Order 1:

• hermite_probabilist_001_x.txt, the abscissas.
• hermite_probabilist_001_w.txt, the weights.
• hermite_probabilist_001_r.txt, the range.

Gauss-Hermite Quadrature Rule, Probabilist Unnormalized Weight, Order 3:

• hermite_probabilist_003_x.txt, the abscissas.
• hermite_probabilist_003_w.txt, the weights.
• hermite_probabilist_003_r.txt, the range.

Gauss-Hermite Quadrature Rule, Probabilist Unnormalized Weight, Order 7:

• hermite_probabilist_007_x.txt, the abscissas.
• hermite_probabilist_007_w.txt, the weights.
• hermite_probabilist_007_r.txt, the range.

Gauss-Hermite Quadrature Rule, Probabilist Normalized Weight, Order 10:

• hermite_probabilist_010_x.txt, the abscissas.
• hermite_probabilist_010_w.txt, the weights.
• hermite_probabilist_010_r.txt, the range.

Gauss-Hermite Quadrature Rule, Probabilist Unnormalized Weight, Order 15:

• hermite_probabilist_015_x.txt, the abscissas.
• hermite_probabilist_015_w.txt, the weights.
• hermite_probabilist_015_r.txt, the range.

Gauss-Hermite Quadrature Rule, Probabilist Unnormalized Weight, Order 31:

• hermite_probabilist_031_x.txt, the abscissas.
• hermite_probabilist_031_w.txt, the weights.
• hermite_probabilist_031_r.txt, the range.

Gauss-Hermite Quadrature Rule, Probabilist Unnormalized Weight, Order 63:

• hermite_probabilist_063_x.txt, the abscissas.
• hermite_probabilist_063_w.txt, the weights.
• hermite_probabilist_063_r.txt, the range.

Gauss-Hermite Quadrature Rule, Probabilist Unnormalized Weight, Order 127:

• hermite_probabilist_127_x.txt, the abscissas.
• hermite_probabilist_127_w.txt, the weights.
• hermite_probabilist_127_r.txt, the range.

You can go up one level to the DATASETS page.