Gaussian Quadrature Rule using ε-Quasiorthogonality
Pierre-David Létourneau,
Eric Darve
Abstract:We introduce a new type of quadrature, known as approximate Gaussian quadrature (AGQ) rules using -quasiorthogonality, for the approximation of integrals of the form f (x) dα(x). The measure α(•) can be arbitrary as long as it possesses finite moments µn for sufficiently large n. The weights and nodes associated with the quadrature can be computed in low complexity and their count is inferior to that required by classical quadratures at fixed accuracy on some families of integrands. Furthermore, we show how AG… Show more
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