Orthogonal polynomials and quadrature (Q1572615)

This paper is a yery good survey of the interrelations between orthogonal polynomials and numerical quadrature rules. The first part (section 2) is devoted to review and discuss the concepts of orthogonality on the real line that arise in connection with classical Gaussian quadrature rule, the Gauss-Radau and Gauss-Lobatto rules, and the Gauss-Kronrod quadrature rule. This last rule gives rise to orthogonality with respect to a sign-variable weight. The Section 3 deals with the computation of the above mentioned quadrature rules via eigenvalues and eigenvectors of a symmetric tridiagonal matrix. The classical results of Golub and Welsch for Gauss, Gauss-Radau and Gauss-Lobatto rules are summarized. More detailed is the description of eigenvalue/eigenvector characterization, discovered by \textit{D. P. Laurie} [Math. Comput. 66, No. 219, 1133-1145 (1997; Zbl 0870.65018)], of the Gauss-Kronrod formula. The related Laurie's algorithm is discussed together with another similar algorithm recently proposed by \textit{D. Calvetti}, \textit{G. H. Golub}, \textit{W. R. Gragg}, \textit{L. Reichel} [Math. Comput. 69, No. 231, 1035-1052 (2000)]. Quadratures with multiple nodes and in particular the computation of Gauss-Turán rules are considered in the last two sections of this interesting paper.