Report Number: CS-TR-67-81
Institution: Stanford University, Department of Computer Science
Title: Calculation of Gauss quadrature rules
Author: Golub, Gene H.
Author: Welsch, John H.
Date: November 1967
Abstract: Most numerical integration techniques consist of approximating the integrand by a polynomial in a region or regions and then integrating the polynomial exactly. Often a complicated integrand can be factored into a non-negative 'weight' function and another function better approximated by a polynomial, thus $\int_{a}^{b} g(t)dt = \int_{a}^{b} \omega (t)f(t)dt \approx \sum_{i=1}^{N} w_i f(t_i)$. Hopefully, the quadrature rule ${\{w_j, t_j\}}_{j=1}^{N}$ corresponding to the weight function $\omega$(t) is available in tabulated form, but more likely it is not. We present here two algorithms for generating the Gaussian quadrature rule defined by the weight function when: a) the three term recurrence relation is known for the orthogonal polynomials generated by $\omega$(t), and b) the moments of the weight function are known or can be calculated.
http://i.stanford.edu/pub/cstr/reports/cs/tr/67/81/CS-TR-67-81.pdf