LEGENDRE_RULE_FAST
Order N Computation of Legendre Quadrature Rule


LEGENDRE_RULE_FAST, a C++ program which implements a fast algorithm for the computation of the points and weights of the Gauss-Legendre quadrature rule.

The standard algorithm for computing the N points and weights of such a rule is by Golub and Welsch. It sets up and solves an eigenvalue problem, whose solution requires work of order N*N.

By contrast, the fast algorithm, by Glaser, Liu and Rokhlin, can compute the same information expending work of order N. For quadrature problems requiring high accuracy, where N might be 100 or more, the fast algorithm provides a significant improvement in speed.

The Gauss-Legendre quadrature rule is designed for the interval [-1,+1].

The Gauss-Legendre quadrature assumes that the integrand has the form:

        Integral ( -1 <= x <= +1 ) f(x) dx
      

The standard Gauss-Legendre quadrature rule is used as follows:

        Integral ( -1 <= x <= +1 ) f(x) dx
      
is to be approximated by
        Sum ( 1 <= i <= order ) w(i) * f(x(i)) 
      

This program allows the user to request that the rule be transformed from the standard interval [-1,+1] to the interval [a,b].

Usage:

legendre_rule_fast n a b
where

Licensing:

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

Languages:

LEGENDRE_RULE_FAST is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

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

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

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GEN_LAGUERRE_RULE, a C++ program which can compute and print a generalized Gauss-Laguerre quadrature rule.

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

JACOBI_RULE, a C++ program which can compute and print a Gauss-Jacobi quadrature rule.

LAGUERRE_RULE, a C++ program which can compute and print a Gauss-Laguerre quadrature rule.

LEGENDRE_RULE, is a C++ program which can compute and print a Gauss-Legendre quadrature rule.

legendre_rule_fast_test

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

PRODUCT_RULE, a C++ program which constructs a product rule from 1D factor rules.

QUADRATURE_RULES_LEGENDRE, a dataset directory which contains triples of files defining standard Gauss-Legendre quadrature rules.

QUADRULE, a C++ library which defines 1-dimensional quadrature rules.

SANDIA_RULES, a C++ library which produces 1D quadrature rules of Chebyshev, Clenshaw Curtis, Fejer 2, Gegenbauer, generalized Hermite, generalized Laguerre, Hermite, Jacobi, Laguerre, Legendre and Patterson types.

Reference:

  1. Andreas Glaser, Xiangtao Liu, Vladimir Rokhlin,
    A fast algorithm for the calculation of the roots of special functions,
    SIAM Journal on Scientific Computing,
    Volume 29, Number 4, pages 1420-1438, 2007.

Source Code:


Last revised on 24 March 2020.