Generation of nested quadrature rules for generic weight functions via numerical optimization: application to sparse grids
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Publication:2222671
Abstract: We present a numerical framework for computing nested quadrature rules for various weight functions. The well-known Kronrod method extends the Gauss-Legendre quadrature by adding new optimal nodes to the existing Gauss nodes for integration of higher order polynomials. Our numerical method generalizes the Kronrod rule for any continuous probability density function on real line with finite moments. We develop a bi-level optimization scheme to solve moment-matching conditions for two levels of main and nested rule and use a penalty method to enforce the constraints on the limits of the nodes and weights. We demonstrate our nested quadrature rule for probability measures on finite/infinite and symmetric/asymmetric supports. We generate Gauss-Kronrod-Patterson rules by slightly modifying our algorithm and present results associated with Chebyshev polynomials which are not reported elsewhere. We finally show the application of our nested rules in construction of sparse grids where we validate the accuracy and efficiency of such nested quadrature-based sparse grids on parameterized boundary and initial value problems in multiple dimensions.
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(7)- Numerical integration in multiple dimensions with designed quadrature
- Generating nested quadrature rules with positive weights based on arbitrary sample sets
- A geometrical interpretation of the addition of nodes to an interpolatory quadrature rule while preserving positive weights
- A new multivariate quadrature rule for calculating statistical moments of stochastic response
- Algorithms for the construction of high-order Kronrod rule extensions with application to sparse-grid integration
- Efficient quadratures for high-dimensional Bayesian data assimilation
- Non-intrusive uncertainty quantification using reduced cubature rules
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