KRONROD
Gauss-Kronrod Quadrature Rules


KRONROD, a FORTRAN90 code which computes both a Gauss quadrature rule of order N, and the Gauss-Kronrod rule of order 2*N+1.

A pair of Gauss and Gauss-Kronrod quadrature rules are typically used to provide an error estimate for an integral. The integral is estimated using the Gauss rule, and then the Gauss-Kronrod rule provides a higher precision estimate. The difference between the two estimates is taken as an approximation to the level of error.

The advantage of using a Gauss and Gauss-Kronrod pair is that the second rule, which uses 2*N+1 points, actually includes the N points in the previous Gauss rule. This means that the function values from that computation can be reused. This efficiency comes at the cost of a mild reduction in the degree of polynomial precision of the Gauss-Kronrod rule.

Licensing:

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

Languages:

KRONROD is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

Related Data and Programs:

kronrod_test

PATTERSON_RULE, a FORTRAN90 code which returns the points and weights of a 1D Gauss-Patterson quadrature rule of order 1, 3, 7, 15, 31, 63, 127, 255 or 511.

PATTERSON_RULE_COMPUTE, a FORTRAN90 code which computes the points and weights of a 1D Gauss-Patterson quadrature rule of order 1, 3, 7, 15, 31, 63, 127, 255 or 511.

QUADPACK, a FORTRAN90 code which contains a variety of routines for numerical estimation of integrals in 1D.

QUADRATURE_RULES_PATTERSON, a dataset directory which contains Gauss-Patterson quadrature rules for the interval [-1,+1].

QUADRULE, a FORTRAN90 code which defines quadrature rules for 1D domains.

TEST_INT, a FORTRAN90 code which contains a number of functions that may be used as test integrands for quadrature rules in 1D.

TOMS672, a FORTRAN90 code which generates an interpolatory quadrature rule of highest possible order, given a set of preassigned abscissas; this library is commonly called EXTEND; this is ACM TOMS algorithm 672.

Reference:

  1. Robert Piessens, Maria Branders,
    A Note on the Optimal Addition of Abscissas to Quadrature Formulas of Gauss and Lobatto,
    Mathematics of Computation,
    Volume 28, Number 125, January 1974, pages 135-139.

Source Code:


Last revised on 22 July 2020.