gen_hermite_rule, an Octave code which generates a specific generalized Gauss-Hermite quadrature rule, based on user input.
The rule is written to three files for easy use as input to other programs.
The generalized Gauss Hermite quadrature rule is used as follows:
Integral ( -oo < x < +oo ) |x-a|^alpha * exp( - b * ( x - a)^2 ) f(x) dx
is to be approximated by
Sum ( 1 <= i <= order ) w(i) * f(x(i))
gen_hermite_rule ( order, alpha, a, b, 'filename' )where
The computer code and data files described and made available on this web page are distributed under the MIT license
gen_hermite_rule is available in a C++ version and a Fortran90 version and a MATLAB version and an Octave version.
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