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Fast Gauss-Legendre Quadrature Rules

Computes Gauss-Legendre quadrature nodes and weights

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Description

This software computes Gauss-Legendre quadrature nodes and weights using the formulas developed in "Iteration-Free Computation of Gauss-Legendre Quadrature Nodes and Weights", I. Bogaert, published in the SIAM Journal of Scientific Computing (Permalink: http://dx.doi.org/10.1137/140954969).

The key features are:
- Speed: due to the simplified formulas and the O(1) complexity computation of individual Gauss-Legendre
quadrature nodes and weights. The latter also makes this software perfectly compatible with parallel computing paradigms.
- Accuracy: the error on the nodes and weights is smaller than a few ulps (see the paper for details).

Fast Gauss-Legendre Quadrature Rules Web Site

Categories

Mathematics

License

BSD License

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Additional Project Details

Languages

English

Intended Audience

Financial and Insurance Industry, Science/Research, Education, Developers, Engineering

Programming Language

C++

Registered

2014-03-13

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