legendre_product


legendre_product, a MATLAB code which computes weighted integrals of products of Legendre polynomials.

LEGENDRE_LINEAR_PRODUCT() takes as input the maximum degree P and the (nonnegative integer) exponent E and computes

Tij = Integral ( -1 <= X <= +1 ) X^E * L(i)(X) * L(j)(X) dx
for I and J between 0 and P.

LEGENDRE_EXPONENTIAL_PRODUCT() takes as input the maximum degree P and the coefficient B and computes

Tij = Integral ( -1 <= X <= +1 ) exp(B*X) * L(i)(X) * L(j)(X) dx
for I and J between 0 and P.

When the polynomial chaos expansion is used to study stochastic differential equations, it is a common task to have to form and compute integrals of the sort considered here.

Note that, because of the orthonormality of the Legendre polynomials, LEGENDRE_LINEAR_PRODUCT will return the identity matrix when E=0, and LEGENDRE_EXPONENTIAL_PRODUCT will return the identity matrix when B=0.

What is more interesting is that, because of the recursion relationship

i*L(i+1)(X) = (2*i-1)*X * L(i)(X) -(i-1)*L(i-1)(X)
LEGENDRE_LINEAR_PRODUCT will return a symmetric tridiagonal matrix (with zero diagonal) when E=1.

Licensing:

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

Languages:

legendre_product is available in a MATLAB version.

Related Data and Programs:

hermite_polynomial, a MATLAB code which evaluates the physicist's Hermite polynomial, the probabilist's Hermite polynomial, the Hermite function, and related functions.

legendre_product_test

legendre_rule, a MATLAB code which computes a Gauss-Legendre quadrature rule.

polpak, a MATLAB code which evaluates a variety of mathematical functions.

quadrule, a MATLAB code which defines quadrature rules on a variety of intervals with different weight functions.

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. Daniel Zwillinger, editor,
    CRC Standard Mathematical Tables and Formulae,
    30th Edition,
    CRC Press, 1996,
    ISBN: 0-8493-2479-3,
    LC: QA47.M315.

Source Code:


Last modified on 13 February 2019.