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Gauss quadrature

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11: 35.10 Methods of Computation
Other methods include numerical quadrature applied to double and multiple integral representations. See Yan (1992) for the F 1 1 and F 1 2 functions of matrix argument in the case m = 2 , and Bingham et al. (1992) for Monte Carlo simulation on 𝐎 ( m ) applied to a generalization of the integral (35.5.8). …
12: 6.18 Methods of Computation
Quadrature of the integral representations is another effective method. For example, the Gauss–Laguerre formula (§3.5(v)) can be applied to (6.2.2); see Todd (1954) and Tseng and Lee (1998). For an application of the Gauss–Legendre formula (§3.5(v)) see Tooper and Mark (1968). … Power series, asymptotic expansions, and quadrature can also be used to compute the functions f ( z ) and g ( z ) . …
13: 18.38 Mathematical Applications
Quadrature
Classical OP’s play a fundamental role in Gaussian quadrature. If the nodes in a quadrature formula with a positive weight function are chosen to be the zeros of the n th degree OP with the same weight function, and the interval of orthogonality is the same as the integration range, then the weights in the quadrature formula can be chosen in such a way that the formula is exact for all polynomials of degree not exceeding 2 n 1 . …
Quadrature “Extended” to Pseudo-Spectral (DVR) Representations of Operators in One and Many Dimensions
The basic ideas of Gaussian quadrature, and their extensions to non-classical weight functions, and the computation of the corresponding quadrature abscissas and weights, have led to discrete variable representations, or DVRs, of Sturm–Liouville and other differential operators. …
14: 19.36 Methods of Computation
The step from n to n + 1 is an ascending Landen transformation if θ = 1 (leading ultimately to a hyperbolic case of R C ) or a descending Gauss transformation if θ = 1 (leading to a circular case of R C ). … Descending Gauss transformations of Π ( ϕ , α 2 , k ) (see (19.8.20)) are used in Fettis (1965) to compute a large table (see §19.37(iii)). … The function el2 ( x , k c , a , b ) is computed by descending Landen transformations if x is real, or by descending Gauss transformations if x is complex (Bulirsch (1965b)). … Numerical quadrature is slower than most methods for the standard integrals but can be useful for elliptic integrals that have complicated representations in terms of standard integrals. …
15: Bibliography R
  • W. P. Reinhardt (2018) Universality properties of Gaussian quadrature, the derivative rule, and a novel approach to Stieltjes inversion.
  • R. Roy (2017) Elliptic and modular functions from Gauss to Dedekind to Hecke. Cambridge University Press, Cambridge.
  • J. Rys, M. Dupuis, and H. F. King (1983) Computation of electron repulsion integrals using the Rys quadrature method. J. Comput. Chem. 4 (2), pp. 154–175.