Fast computation of Gauss quadrature nodes and weights on the whole real line

20 Oct 2014 Alex Townsend Thomas Trogdon Sheehan Olver

A fast and accurate algorithm for the computation of Gauss-Hermite and generalized Gauss-Hermite quadrature nodes and weights is presented. The algorithm is based on Newton's method with carefully selected initial guesses for the nodes and a fast evaluation scheme for the associated orthogonal polynomial... (read more)

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  • NUMERICAL ANALYSIS