Gaussian Quadrature Formulae for Arbitrary Positive Measures · 17 May, 12:03 PM by Andrew Fernandes
Abstract
We present computational methods and subroutines to compute Gaussian quadrature integration formulas for arbitrary positive measures. For expensive integrands that can be factored into well-known forms, Gaussian quadrature schemes allow for efficient evaluation of high-accuracy and -precision numerical integrals, especially compared to general ad hoc schemes. In addition, for certain well-known density measures (the normal, gamma, log-normal, Student’s t, inverse-gamma, beta, and Fisher’s F) we present exact formulae for computing the respective quadrature scheme.
Availability
Source code is freely available online as a C-linkable ISO C++ library under a BSD-style license from fernandes.org. The library may be built using single, double, or extended precision arithmetic.
Publication
Please cite:
Fernandes, A. D. and Atchley, W. R. (2006) Gaussian Quadrature Formulae for Arbitrary Positive Measures Evolutionary Bioinformatics Online 2: 261–269. [PDF]
Download
- Version 1.1 (30 August 2006)
- GaussQR-1.1.zip [1.02MB]
- Types renamed to be more c++ friendly
- Includes universal Mac binaries (xCode 2.4)
- Version 1.0 (11 November 2005)
- GaussQR-1.0.zip [45.77KB]
- Initial release
FFTPACK Translated to Pure ISO C/C++ Updating Adobe CS2 on a Mac