American Institute of Mathematical Sciences

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March  2014, 34(3): 883-901. doi: 10.3934/dcds.2014.34.883

A Gaussian quadrature rule for oscillatory integrals on a bounded interval

Andreas Asheim 1, , Alfredo Deaño 1, , Daan Huybrechs 1, and  Haiyong Wang 1,

1. 

Dept. Computer Science, University of Leuven, Belgium, BE-3001 Heverlee, Belgium, Belgium, Belgium, Belgium

Received  November 2012 Revised  April 2013 Published  August 2013

We investigate a Gaussian quadrature rule and the corresponding orthogonal polynomials for the oscillatory weight function $e^{i\omega x}$ on the interval $[-1,1]$. We show that such a rule attains high asymptotic order, in the sense that the quadrature error quickly decreases as a function of the frequency $\omega$. However, accuracy is maintained for all values of $\omega$ and in particular the rule elegantly reduces to the classical Gauss-Legendre rule as $\omega \to 0$. The construction of such rules is briefly discussed, and though not all orthogonal polynomials exist, it is demonstrated numerically that rules with an even number of points are well defined. We show that these rules are optimal both in terms of asymptotic order as well as in terms of polynomial order.
Keywords: Numerical quadrature, Gaussian quadrature, orthogonal polynomials., highly oscillatory quadrature.
Mathematics Subject Classification: Primary: 65D30, 33C47; Secondary: 65D32, 34E0.
Citation: Andreas Asheim, Alfredo Deaño, Daan Huybrechs, Haiyong Wang. A Gaussian quadrature rule for oscillatory integrals on a bounded interval. Discrete & Continuous Dynamical Systems, 2014, 34 (3) : 883-901. doi: 10.3934/dcds.2014.34.883
References:
[1]

A. Asheim and D. Huybrechs, Gaussian quadrature for oscillatory integral transforms, IMA J. Numer. Anal, (2013). doi: 10.1093/imanum/drs060.  Google Scholar

[2]

P. Bleher and A. Its, Asymptotics of the partition function of a random matrix model, in "Ann. Inst. Fourier," 55 (2005), 1943-2000. doi: 10.5802/aif.2147.  Google Scholar

[3]

L. Filon, On a quadrature formula for trigonometric integrals, Proc. Roy. Soc. Edinburgh, 49 (1928), 38-47. Google Scholar

[4]

W. Gautschi, "Orthogonal Polynomials: Computation and Approximation," Oxford University Press, 2004.  Google Scholar

[5]

D. Huybrechs and S. Olver, Superinterpolation in highly oscillatory quadrature, Found. Comput. Math, 12 (2012), 203-228. doi: 10.1007/s10208-011-9102-8.  Google Scholar

[6]

D. Huybrechs and S. Vandewalle, On the evaluation of highly oscillatory integrals by analytic continuation, SIAM J. Numer. Anal., 44 (2006), 1026-1048. doi: 10.1137/050636814.  Google Scholar

[7]

A. Iserles, Think globally, act locally: Solving highly-oscillatory ordinary differential equations, Appl. Numer. Math., 43 (2002), 145-160. doi: 10.1016/S0168-9274(02)00122-8.  Google Scholar

[8]

A. Iserles, On the numerical quadrature of highly-oscillating integrals I: Fourier transforms, IMA J. Numer. Anal., 24 (2004), 365-391. doi: 10.1093/imanum/24.3.365.  Google Scholar

[9]

A. Iserles and S. Nørsett, Efficient quadrature of highly oscillatory integrals using derivatives, Proc. R. Soc. A, 461 (2005), 1383-1399. doi: 10.1098/rspa.2004.1401.  Google Scholar

[10]

A. Iserles and S. P. Nørsett, On quadrature methods for highly oscillatory integrals and their implementation, BIT, 44 (2004), 755-772. doi: 10.1007/s10543-004-5243-3.  Google Scholar

[11]

A. Iserles and S. P. Nørsett, On the computation of highly oscillatory multivariate integrals with stationary points, BIT, 46 (2006), 549-566. doi: 10.1007/s10543-006-0071-2.  Google Scholar

[12]

A. Iserles and S. P. Nørsett, Quadrature methods for multivariate highly oscillatory integrals using derivatives, Math. Comp., 75 (2006), 1233-1258. doi: 10.1090/S0025-5718-06-01854-0.  Google Scholar

[13]

L. G. Ixaru and B. Paternoster, A Gauss quadrature rule for oscillatory integrands, Comput. Phys. Commun., 133 (2001), 177-188. doi: 10.1016/S0010-4655(00)00173-9.  Google Scholar

[14]

V. Ledoux and M. Van Daele, Interpolatory quadrature rules for oscillatory integrals, J. Sci. Comput., 53 (2012), 586-607. doi: 10.1007/s10915-012-9589-4.  Google Scholar

[15]

D. Levin, Fast integration of rapidly oscillatory functions, J. Comput. Appl. Math., 67 (1996), 95-101. doi: 10.1016/0377-0427(94)00118-9.  Google Scholar

[16]

J. L. López and N. M. Temme, Two-point Taylor expansions of analytic functions, Stud. Appl. Math., 109 (2002), 297-311. doi: 10.1111/1467-9590.00225.  Google Scholar

[17]

F. Olver, D. Lozier, R. Boisvert and C. Clark, "NIST Handbook of Mathematical Functions," Cambridge University Press, 2010.  Google Scholar

[18]

S. Olver, Moment-free numerical integration of highly oscillatory functions, IMA J. Numer. Anal., 26 (2006), 213-227. doi: 10.1093/imanum/dri040.  Google Scholar

[19]

S. Olver, Fast, numerically stable computation of oscillatory integrals with stationary points, BIT, 50 (2010), 149-171. doi: 10.1007/s10543-010-0251-y.  Google Scholar

show all references

References:
[1]

A. Asheim and D. Huybrechs, Gaussian quadrature for oscillatory integral transforms, IMA J. Numer. Anal, (2013). doi: 10.1093/imanum/drs060.  Google Scholar

[2]

P. Bleher and A. Its, Asymptotics of the partition function of a random matrix model, in "Ann. Inst. Fourier," 55 (2005), 1943-2000. doi: 10.5802/aif.2147.  Google Scholar

[3]

L. Filon, On a quadrature formula for trigonometric integrals, Proc. Roy. Soc. Edinburgh, 49 (1928), 38-47. Google Scholar

[4]

W. Gautschi, "Orthogonal Polynomials: Computation and Approximation," Oxford University Press, 2004.  Google Scholar

[5]

D. Huybrechs and S. Olver, Superinterpolation in highly oscillatory quadrature, Found. Comput. Math, 12 (2012), 203-228. doi: 10.1007/s10208-011-9102-8.  Google Scholar

[6]

D. Huybrechs and S. Vandewalle, On the evaluation of highly oscillatory integrals by analytic continuation, SIAM J. Numer. Anal., 44 (2006), 1026-1048. doi: 10.1137/050636814.  Google Scholar

[7]

A. Iserles, Think globally, act locally: Solving highly-oscillatory ordinary differential equations, Appl. Numer. Math., 43 (2002), 145-160. doi: 10.1016/S0168-9274(02)00122-8.  Google Scholar

[8]

A. Iserles, On the numerical quadrature of highly-oscillating integrals I: Fourier transforms, IMA J. Numer. Anal., 24 (2004), 365-391. doi: 10.1093/imanum/24.3.365.  Google Scholar

[9]

A. Iserles and S. Nørsett, Efficient quadrature of highly oscillatory integrals using derivatives, Proc. R. Soc. A, 461 (2005), 1383-1399. doi: 10.1098/rspa.2004.1401.  Google Scholar

[10]

A. Iserles and S. P. Nørsett, On quadrature methods for highly oscillatory integrals and their implementation, BIT, 44 (2004), 755-772. doi: 10.1007/s10543-004-5243-3.  Google Scholar

[11]

A. Iserles and S. P. Nørsett, On the computation of highly oscillatory multivariate integrals with stationary points, BIT, 46 (2006), 549-566. doi: 10.1007/s10543-006-0071-2.  Google Scholar

[12]

A. Iserles and S. P. Nørsett, Quadrature methods for multivariate highly oscillatory integrals using derivatives, Math. Comp., 75 (2006), 1233-1258. doi: 10.1090/S0025-5718-06-01854-0.  Google Scholar

[13]

L. G. Ixaru and B. Paternoster, A Gauss quadrature rule for oscillatory integrands, Comput. Phys. Commun., 133 (2001), 177-188. doi: 10.1016/S0010-4655(00)00173-9.  Google Scholar

[14]

V. Ledoux and M. Van Daele, Interpolatory quadrature rules for oscillatory integrals, J. Sci. Comput., 53 (2012), 586-607. doi: 10.1007/s10915-012-9589-4.  Google Scholar

[15]

D. Levin, Fast integration of rapidly oscillatory functions, J. Comput. Appl. Math., 67 (1996), 95-101. doi: 10.1016/0377-0427(94)00118-9.  Google Scholar

[16]

J. L. López and N. M. Temme, Two-point Taylor expansions of analytic functions, Stud. Appl. Math., 109 (2002), 297-311. doi: 10.1111/1467-9590.00225.  Google Scholar

[17]

F. Olver, D. Lozier, R. Boisvert and C. Clark, "NIST Handbook of Mathematical Functions," Cambridge University Press, 2010.  Google Scholar

[18]

S. Olver, Moment-free numerical integration of highly oscillatory functions, IMA J. Numer. Anal., 26 (2006), 213-227. doi: 10.1093/imanum/dri040.  Google Scholar

[19]

S. Olver, Fast, numerically stable computation of oscillatory integrals with stationary points, BIT, 50 (2010), 149-171. doi: 10.1007/s10543-010-0251-y.  Google Scholar

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