Computation of Gauss-Kronrod quadrature rules (Q4955860)

This paper deals with the computation of the nodes \(\widetilde x_k\) and weights \(\widetilde w_k\) of the Gauss-Kronrod quadrature rule, exact for all polynomials of degree \(3n+ 1\). This paper describes a new algorithm for the computation of Gauss-Kronrod quadrature rules and compares it to another algorithm recently proposed by \textit{D. P. Laurie} [Math. Comput. 66, No. 219, 1133-1145 (1997; Zbl 0870.65018)]. Both algorithms are based on properties of certain symmetric tridiagonal matrices associated with Gauss-Kronrod rules. But, the new algorithm does not require the entries of such matrices, and thereby avoids computations that can be sensitive to perturbations. The authors also discuss how the algorithm can be applied to compute Kronrod extensions of generalized Gauss quadrature rules. Further, they emphasize how the structure of the algorithm makes efficient implementation on parallel computers possible. Interesting numerical examples, related to the computation of Gauss-Kronrod and Gauss-Kronrod-Radau quadrature rules associated with Jacoby weight \((1+ x)^\alpha(1+ x)^\beta\), illustrate the performance of the algorithm.