A Gaussian quadrature rule for oscillatory integrals on a bounded interval
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Abstract: We investigate a Gaussian quadrature rule and the corresponding orthogonal polynomials for the oscillatory weight function on the interval . We show that such a rule attains high asymptotic order, in the sense that the quadrature error quickly decreases as a function of the frequency . However, accuracy is maintained for all values of and in particular the rule elegantly reduces to the classical Gauss-Legendre rule as . The construction of such rules is briefly discussed, and though not all orthogonal polynomials exist, it is demonstrated numerically that rules with an even number of points are always well defined. We show that these rules are optimal both in terms of asymptotic order as well as in terms of polynomial order.
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Cited in
(24)- Numerical evaluation of oscillatory integrals via automated steepest descent contour deformation
- A product integration rule on equispaced nodes for highly oscillating integrals
- Gaussian quadratures for oscillatory integrands
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