TOMS655, a C library which computes weights for interpolatory quadrature schemes, by Sylvan Elhay and Jaroslav Kautsky.
The typical use of this library is for the user to specify a quadrature interval, a weight function, and a sequence of abscissas (which may be repeated), and to request the corresponding weight vector so that an interpolatory quadrature rule is produced.
Note that when an abscissa is repeated, this indicates that, at this point, not only the function value but one or more derivatives are to be used in the quadrature formula.
The library is also suitable for the simpler task of computing both the abscissas and weights for a variety of classical Gaussian quadrature rules, including
|Chebyshev Type 1||(a,b)||((b-x)*(x-a))^(-0.5)|
|Laguerre and Generalized Laguerre||(a,+oo)||(x-a)^alpha*exp(-b*(x-a))|
|Hermite and Generalized Hermite||(-oo,+oo)|||x-a|^alpha*exp(-b*(x-a)^2)|
The text of many ACM TOMS algorithms is available online through ACM: http://calgo.acm.org/ or NETLIB: http://www.netlib.org/toms/index.html.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
TOMS655 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
HERMITE_RULE, a C program which computes a Gauss-Hermite quadrature rule.
LAGUERRE_RULE, a C program which can compute and print a Gauss-Laguerre quadrature rule.
LEGENDRE_RULE, a C program which computes a Gauss-Legendre quadrature rule.
QUADMOM, a C library which computes a Gaussian quadrature rule for a weight function rho(x) based on the Golub-Welsch procedure that only requires knowledge of the moments of rho(x).
QUADRULE, a C library which contains information about quadrature rules, both as tabulated values, and as computational procedures.