In [6], a far-reaching generalization of the classical Gaussian quadrature rules is introduced, replacing the polynomials with a wide class of functions. While the rules of [6] possess most of the desirable properties of the classical Gaussian integration formulae (positivity of the weights, etc.), it is not clear from [6] how such quadrature rules can be obtained numerically. In this paper, we present a numerical scheme for the generation of such generalized Gaussian quadratures. The algorithm is applicable to a variety of functions, including smooth functions as well as functions with endpoint singularities.
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