legendre_rule_fast

legendre_rule_fast, a MATLAB code 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
      

        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 )

• n is the order (number of points);
• a is the left endpoint (often -1.0 or 0.0);
• b is the right endpoint (usually 1.0).

Licensing:

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

Languages:

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

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chebyshev2_rule, a MATLAB code which can compute and print a gauss-chebyshev type 2 quadrature rule.

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jacobi_rule, a MATLAB code which can compute and print a gauss-jacobi quadrature rule.

laguerre_rule, a MATLAB code which can compute and print a gauss-laguerre quadrature rule.

legendre_rule, a MATLAB code which can compute and print a gauss-legendre quadrature rule.

legendre_rule_fast_test

patterson_rule, a MATLAB code which computes a gauss-patterson quadrature rule.

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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:

• legendre_rule_fast.m, the source code.