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Gaussian integration : ウィキペディア英語版
Gaussian quadrature

In numerical analysis, a quadrature rule is an approximation of the definite integral of a function, usually stated as a weighted sum of function values at specified points within the domain of integration.
(See numerical integration for more on quadrature rules.) An ''n''-point Gaussian quadrature rule, named after Carl Friedrich Gauss, is a quadrature rule constructed to yield an exact result for polynomials of degree or less by a suitable choice of the points and weights for . The domain of integration for such a rule is conventionally taken as (1 ), so the rule is stated as
:\int_^1 f(x)\,dx = \sum_^n w_i f(x_i).
Gaussian quadrature as above will only produce accurate results if the function ''f''(''x'') is well approximated by a polynomial function within the range . The method is not, for example, suitable for functions with singularities. However, if the integrated function can be written as f(x) = \omega(x) g(x)\,, where is approximately polynomial and is known, then alternative weights w_i' and points x_i' that depend on the weighting function may give better results, where
:\int_^1 f(x)\,dx = \int_^1 \omega(x) g(x)\,dx \approx \sum_^n w_i' g(x_i').
Common weighting functions include \omega(x)=1/\sqrt\, (Chebyshev–Gauss) and \omega(x)=e^ (Gauss–Hermite).
It can be shown (see Press, et al., or Stoer and Bulirsch) that the evaluation points are just the roots of a polynomial belonging to a class of orthogonal polynomials.
== Gauss–Legendre quadrature ==
For the simplest integration problem stated above, i.e. with \omega(x)=1, the associated polynomials are Legendre polynomials, ''P''''n''(''x''), and the method is usually known as Gauss–Legendre quadrature. With the -th polynomial normalized to give ''P''''n''(1) = 1, the -th Gauss node, , is the -th root of ; its weight is given by
: w_i = \frac.
Some low-order rules for solving the integration problem are listed below.
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| rowspan="2" | 3 || 0 || \tfrac
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| \pm\sqrt} || \tfrac
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| rowspan="2" | 4 || \pm\sqrt - \tfrac\sqrt}} || \tfrac
|- align="center"
| \pm\sqrt + \tfrac\sqrt}} || \tfrac
|- align="center"
| rowspan="3" | 5 || 0 || \tfrac
|- align="center"
| \pm\tfrac13\sqrt}} || \tfrac
|- align="center"
| \pm\tfrac13\sqrt}} || \tfrac
|}
== Change of interval ==
An integral over must be changed into an integral over before applying the Gaussian quadrature rule. This change of interval can be done in the following way:
:\int_a^b f(x)\,dx = \frac \int_^1 f\left(\fracx + \frac\right)\,dx.
Applying the Gaussian quadrature rule then results in the following approximation:
:\int_a^b f(x)\,dx = \frac \sum_^n w_i f\left(\fracx_i + \frac\right).

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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