Numerical integration as a finite matrix approximation to multiplication operator

Linear operator approximation theory (47A58) Applications of operator theory in numerical analysis (47N40) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32) Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: In this article, numerical integration is formulated as evaluation of a matrix function of a matrix that is obtained as a projection of the multiplication operator on a finite-dimensional basis. The idea is to approximate the continuous spectral representation of a multiplication operator on a Hilbert space with a discrete spectral representation of a Hermitian matrix. The Gaussian quadrature is shown to be a special case of the new method. The placement of the nodes of numerical integration and convergence of the new method are studied.

Review text

Gaussian quadrature for the integral \(\int_\Omega f(x)w(x)dx\) is captured by the Golub-Meurant formula as the top left element in the matrix \(f(J_n)\) where \(J_n\) is the Jacobi matrix for the underlying orthonormal polynomial sequence. This matrix is the truncated form of the matrix representation of the multiplication operator \(M(x):f(x)\mapsto xf(x)\), with respect to the orthogonal polynomial basis. In this paper the idea is extended considerably in three essential ways. (1) One may replace \(M(x)\) by \(M(g(x)): f(x)\mapsto g(x)f(x)\) for a bounded \(g\) in a separable Hilbert space. (2) The polynomial basis can be replaced by any, not necessary orthogonal, basis. (3) \(\Omega\) can be a subset of \(\mathbb{R}^d\). The result will always be a scalar integration problem for \(f(x)\). The interpretation that can be given to the entries of the matrix \(f(M(g))\) is explored. Convergence and other properties are discussed. The paper is very readable with one-liner proofs referring to known literature. The possibilities are illustrated with some numerical examples that need symbolic computation when the condition is bad.

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