Practical error estimation in numerical integration

DOI10.1016/0377-0427(85)90036-6MaRDI QIDQ1074294zbMATH OpenOpenAlexFDO

Authors Dirk Laurie

Publication date 1985

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(85)90036-6

zbMATH Keywords

adaptive quadratureautomatic quadratureerror estimationKronrod-Gauss rulesnumerical experimentspractical convergence criteriaRomberg extrapolation

Mathematics Subject Classification ID

Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

Review text

There is no shortage of rules and algorithms for one-dimensional quadrature over a finite interval. It is relatively easy to construct automatic quadrature routines. What is very difficult is to determine which of several choices is best. This is mainly because a generally accepted precise definition of best in this context is lacking, and many proposals in this area contain large subjective components. Nevertheless, the question is discussed in the literature, and the present author has made several interesting suggestions and describes some numerical experiments. His suggestions are mainly about possible practical convergence criteria and, while this reviewer has reservations about some of these, I am generally in agreement that that all should be investigated. The author gives a very brief outline of his investigations which include Kronrod-Gauss rules and Romberg extrapolation. If I understand him correctly, he concludes that Gaussian rules, used with one of two appropriate convergence criteria, are best. One criterion uses divided differences to approximate the high derivatives in the Peano error bound. The other uses a nonlinear combination of two such criteria.

Recommendations

• A discussion of a new error estimate for adaptive quadrature
• scientific article; zbMATH DE number 1206062
• Error estimation in automatic quadrature routines
• Error Bounds for Gauss-Kronrod Quadrature Formulae
• On the use of Gauss quadrature in adaptive automatic integration schemes

Cites work

• scientific article; zbMATH DE number 3802727 (Why is no real title available?)
• scientific article; zbMATH DE number 3247704 (Why is no real title available?)
• scientific article; zbMATH DE number 3247736 (Why is no real title available?)
• scientific article; zbMATH DE number 3111466 (Why is no real title available?)
• Numerical Quadrature and Asymptotic Expansions
• On Some Gauss and Lobatto Based Integration Formulae
• Sharper error estimates in adaptive quadrature
• The Effect of Inadequate Convergence Criteria in Automatic Routines
• The Optimum Addition of Points to Quadrature Formulae
• When Not to Use an Automatic Quadrature Routine

Cited in

(13)

• A probabilistic theory for error estimation in automatic integration
• On the construction of multi-dimensional embedded cubature formulae
• A discussion of a new error estimate for adaptive quadrature
• An Optimal Strategy for Automatic Gaußian Integration
• scientific article; zbMATH DE number 1864502 (Why is no real title available?)
• scientific article; zbMATH DE number 1894902 (Why is no real title available?)
• Stopping functionals for Gaussian quadrature formulas
• Increasing reliability of Gauss-Kronrod quadrature by Eratosthenes' sieve method
• Error estimates for quadrature rules based on the Arnoldi process
• Analytical computation of five unresolved integrals in the linear theory of partially cavitating hydrofoils
• On the use of Gauss quadrature in adaptive automatic integration schemes
• On the subdivision strategy in adaptive quadrature algorithms
• A lower bound for the number of function evaluations in an error estimate for numerical integration

Describes a project that uses

Uses Software

• CADRE
• QUADPACK

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