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<html>
<head>
<title>
INT_EXACTNESS_HERMITE - Exactness of Gauss-Hermite Quadrature Rules
</title>
</head>
<body bgcolor="#EEEEEE" link="#CC0000" alink="#FF3300" vlink="#000055">
<h1 align = "center">
INT_EXACTNESS_HERMITE <br> Exactness of Gauss-Hermite Quadrature Rules
</h1>
<hr>
<p>
<b>INT_EXACTNESS_HERMITE</b>
is a FORTRAN90 program which
investigates the polynomial exactness of a Gauss-Hermite
quadrature rule for the infinite interval (-oo,+oo).
</p>
<p>
The Gauss Hermite quadrature assumes that the integrand we are
considering has a form like:
<pre>
Integral ( -oo < x < +oo ) w(x) * f(x) dx
</pre>
where the factor <b>w(x)</b> is regarded as a weight factor.
</p>
<p>
We consider three variations of the rule, depending on the
form of the weight factor w(x):
<ul>
<li>
<b>option</b> = 0, the unweighted rule:
<pre>
Integral ( -oo < x < +oo ) f(x) dx
</pre>
</li>
<li>
<b>option</b> = 1, the physicist weighted rule:
<pre>
Integral ( -oo < x < +oo ) exp(-x*x) f(x) dx
</pre>
<li>
<b>option</b> = 2, the probabilist weighted rule:
<pre>
Integral ( -oo < x < +oo ) exp(-x*x/2) f(x) dx
</pre>
</li>
</ul>
</p>
<p>
The corresponding Gauss-Hermite rule that uses <b>order</b> points
will approximate the integral by
<pre>
sum ( 1 <= i <= order ) w(i) * f(x(i))
</pre>
where, confusingly, <b>w(i)</b> is a vector of quadrature weights, which has no
connection with the <b>w(x)</b> weight function.
</p>
<p>
When using a Gauss-Hermite quadrature rule, it's important to know whether
the rule has been developed for the unweighted, physicist weighted or
probabilist weighted cases.
</p>
<p>
For an unweighted Gauss-Hermite rule, polynomial exactness may be defined
by assuming that <b>f(x)</b> has the form </b>f(x) = exp(-x*x) * x^n</b> for some
nonnegative integer exponent <b>n</b>. We say an unweighted Gauss-Hermite rule
is exact for polynomials up to degree DEGREE_MAX if the quadrature rule will
produce the correct value of the integrals of such integrands for all
exponents <b>n</b> from 0 to <b>DEGREE_MAX</b>.
</p>
<p>
For a physicist or probabilist weighted Gauss-Hermite rules, polynomial exactness
may be defined by assuming that <b>f(x)</b> has the form </b>f(x) = x^n</b> for some
nonnegative integer exponent <b>n</b>. We say the physicist or probabilist
weighted Gauss-Hermite rule is exact for polynomials up to degree DEGREE_MAX
if the quadrature rule will produce the correct value of the integrals of such
integrands for all exponents <b>n</b> from 0 to <b>DEGREE_MAX</b>.
</p>
<p>
To test the polynomial exactness of a Gauss-Hermite quadrature rule of
one of these three forms, the program starts at <b>n</b> = 0, and then
proceeds to <b>n</b> = 1, 2, and so on up to a maximum degree
<b>DEGREE_MAX</b> specified by the user. At each value of <b>n</b>,
the program generates the appropriate corresponding integrand function
(either <b>exp(-x*x)*x^n</b> or <b>x^n</b>), applies the
quadrature rule to it, and determines the quadrature error. The program
uses a scaling factor on each monomial so that the exact integral
should always be 1; therefore, each reported error can be compared
on a fixed scale.
</p>
<p>
The program is very flexible and interactive. The quadrature rule
is defined by three files, to be read at input, and the
maximum degree top be checked is specified by the user as well.
</p>
<p>
Note that the three files that define the quadrature rule
are assumed to have related names, of the form
<ul>
<li>
<i>prefix</i>_<b>x.txt</b>
</li>
<li>
<i>prefix</i>_<b>w.txt</b>
</li>
<li>
<i>prefix</i>_<b>r.txt</b>
</li>
</ul>
When running the program, the user only enters the common <i>prefix</i>
part of the file names, which is enough information for the program
to find all three files.
</p>
<p>
Note that when approximating these kinds of integrals, or even when
evaluating an exact formula for these integrals, numerical inaccuracies
can become overwhelming. The formula for the exact integral of
<b>x^n*exp(-x*x)</b> (which we use to test for polynomial exactness)
involves the double factorial function, which "blows up" almost as
fast as the ordinary factorial. Thus, even for formulas of order
16, where we would like to consider monomials up to degree 31, the
evaluation of the exact formula loses significant accuracy.
</p>
<p>
For information on the form of these files, see the
<b>QUADRATURE_RULES_HERMITE</b> directory listed below.
</p>
<p>
The exactness results are written to an output file with the
corresponding name:
<ul>
<li>
<i>prefix</i>_<b>exact.txt</b>
</li>
</ul>
</p>
<h3 align = "center">
Usage:
</h3>
<p>
<blockquote>
<b>int_exactness_hermite</b> <i>prefix</i> <i>degree_max</i> <i>option</i>
</blockquote>
where
<ul>
<li>
<i>prefix</i> is the common prefix for the files containing the abscissa, weight
and region information of the quadrature rule;
</li>
<li>
<i>degree_max</i> is the maximum monomial degree to check. This would normally be
a relatively small nonnegative number, such as 5, 10 or 15.
</li>
<li>
<i>option</i>:<br>
0 indicates the unweighted rule for integrating f(x),<br>
1 indicates the physicist weighted rule for integrating exp(-x*x)*f(x),<br>
2 indicates the probabilist weighted rule for integrating exp(-x*x/2)*f(x).
</li>
</ul>
</p>
<p>
If the arguments are not supplied on the command line, the
program will prompt for them.
</p>
<h3 align = "center">
Licensing:
</h3>
<p>
The computer code and data files described and made available on this web page
are distributed under
<a href = "../../txt/gnu_lgpl.txt">the GNU LGPL license.</a>
</p>
<h3 align = "center">
Languages:
</h3>
<p>
<b>INT_EXACTNESS_HERMITE</b> is available in
<a href = "../../cpp_src/int_exactness_hermite/int_exactness_hermite.html">a C++ version</a> and
<a href = "../../f_src/int_exactness_hermite/int_exactness_hermite.html">a FORTRAN90 version</a> and
<a href = "../../m_src/int_exactness_hermite/int_exactness_hermite.html">a MATLAB version.</a>
</p>
<h3 align = "center">
Related Data and Programs:
</h3>
<p>
<a href = "../../f_src/hermite_rule/hermite_rule.html">
HERMITE_RULE</a>,
a FORTRAN90 program which
generates a Gauss-Hermite quadrature
rule on request.
</p>
<p>
<a href = "../../f_src/int_exactness/int_exactness.html">
INT_EXACTNESS</a>,
a FORTRAN90 program which
tests the polynomial exactness of a quadrature rule for a finite interval.
</p>
<p>
<a href = "../../f_src/int_exactness_chebyshev1/int_exactness_chebyshev1.html">
INT_EXACTNESS_CHEBYSHEV1</a>,
a FORTRAN90 program which
tests the polynomial exactness of Gauss-Chebyshev type 1 quadrature rules.
</p>
<p>
<a href = "../../f_src/int_exactness_chebyshev2/int_exactness_chebyshev2.html">
INT_EXACTNESS_CHEBYSHEV2</a>,
a FORTRAN90 program which
tests the polynomial exactness of Gauss-Chebyshev type 2 quadrature rules.
</p>
<p>
<a href = "../../f_src/int_exactness_gegenbauer/int_exactness_gegenbauer.html">
INT_EXACTNESS_GEGENBAUER</a>,
a FORTRAN90 program which
tests the polynomial exactness of Gauss-Gegenbauer quadrature rules.
</p>
<p>
<a href = "../../f_src/int_exactness_gen_hermite/int_exactness_gen_hermite.html">
INT_EXACTNESS_GEN_HERMITE</a>,
a FORTRAN90 program which
tests the polynomial exactness of generalized Gauss-Hermite quadrature rules.
</p>
<p>
<a href = "../../f_src/int_exactness_gen_laguerre/int_exactness_gen_laguerre.html">
INT_EXACTNESS_GEN_LAGUERRE</a>,
a FORTRAN90 program which
tests the polynomial exactness of generalized Gauss-Laguerre quadrature rules.
</p>
<p>
<a href = "../../f_src/int_exactness_jacobi/int_exactness_jacobi.html">
INT_EXACTNESS_JACOBI</a>,
a FORTRAN90 program which
tests the polynomial exactness of Gauss-Jacobi quadrature rules.
</p>
<p>
<a href = "../../f_src/int_exactness_laguerre/int_exactness_laguerre.html">
INT_EXACTNESS_LAGUERRE</a>,
a FORTRAN90 program which
tests the polynomial exactness of Gauss-Laguerre quadrature rules.
</p>
<p>
<a href = "../../f_src/int_exactness_legendre/int_exactness_legendre.html">
INT_EXACTNESS_LEGENDRE</a>,
a FORTRAN90 program which
tests the polynomial exactness of Gauss-Legendre quadrature rules.
</p>
<p>
<a href = "../../datasets/quadrature_rules/quadrature_rules.html">
QUADRATURE_RULES</a>,
a dataset directory which
contains sets of files that define quadrature
rules over various 1D intervals or multidimensional hypercubes.
</p>
<p>
<a href = "../../datasets/quadrature_rules_hermite_physicist/quadrature_rules_hermite_physicist.html">
QUADRATURE_RULES_HERMITE_PHYSICIST</a>,
a dataset directory which
contains Gauss-Hermite quadrature rules, for integration
on the interval (-oo,+oo), with weight function exp(-x^2).
</p>
<p>
<a href = "../../datasets/quadrature_rules_hermite_probabilist/quadrature_rules_hermite_probabilist.html">
QUADRATURE_RULES_HERMITE_PROBABILIST</a>,
a dataset directory which
contains Gauss-Hermite quadrature rules, for integration
on the interval (-oo,+oo), with weight function exp(-x^2/2).
</p>
<p>
<a href = "../../datasets/quadrature_rules_hermite_unweighted/quadrature_rules_hermite_unweighted.html">
QUADRATURE_RULES_HERMITE_UNWEIGHTED</a>,
a dataset directory which
contains Gauss-Hermite quadrature rules, for integration
on the interval (-oo,+oo), with weight function 1.
</p>
<p>
<a href = "../../f_src/r16_hermite_rule/r16_hermite_rule.html">
R16_HERMITE_RULE</a>,
a FORTRAN90 program which
can compute and print a Gauss-Hermite quadrature rule, using
"quadruple precision real" arithmetic.
</p>
<p>
<a href = "../../f_src/test_int_hermite/test_int_hermite.html">
TEST_INT_HERMITE</a>,
a FORTRAN90 library which
defines integrand functions that can be approximately integrated by a Gauss-Hermite rule.
</p>
<h3 align = "center">
Reference:
</h3>
<p>
<ol>
<li>
Philip Davis, Philip Rabinowitz,<br>
Methods of Numerical Integration,<br>
Second Edition,<br>
Dover, 2007,<br>
ISBN: 0486453391,<br>
LC: QA299.3.D28.
</li>
</ol>
</p>
<h3 align = "center">
Source Code:
</h3>
<p>
<ul>
<li>
<a href = "int_exactness_hermite.f90">int_exactness_hermite.f90</a>, the source code.
</li>
<li>
<a href = "int_exactness_hermite.sh">int_exactness_hermite.sh</a>,
commands to compile the source code.
</li>
</ul>
</p>
<h3 align = "center">
List of Routines:
</h3>
<p>
<ul>
<li>
<b>MAIN</b> is the main program for INT_EXACTNESS_HERMITE.
</li>
<li>
<b>CH_CAP</b> capitalizes a single character.
</li>
<li>
<b>CH_EQI</b> is a case insensitive comparison of two characters for equality.
</li>
<li>
<b>CH_TO_DIGIT</b> returns the integer value of a base 10 digit.
</li>
<li>
<b>FILE_COLUMN_COUNT</b> counts the number of columns in the first line of a file.
</li>
<li>
<b>FILE_ROW_COUNT</b> counts the number of row records in a file.
</li>
<li>
<b>GET_UNIT</b> returns a free FORTRAN unit number.
</li>
<li>
<b>HERMITE_INTEGRAL</b> evaluates a monomial Hermite integral.
</li>
<li>
<b>MONOMIAL_QUADRATURE_HERMITE</b> applies a quadrature rule to a monomial.
</li>
<li>
<b>R8_FACTORIAL2</b> computes the double factorial function N!!
</li>
<li>
<b>R8MAT_DATA_READ</b> reads data from an R8MAT file.
</li>
<li>
<b>R8MAT_HEADER_READ</b> reads the header from an R8MAT file.
</li>
<li>
<b>S_TO_I4</b> reads an I4 from a string.
</li>
<li>
<b>S_TO_R8</b> reads an R8 from a string.
</li>
<li>
<b>S_TO_R8VEC</b> reads an R8VEC from a string.
</li>
<li>
<b>S_WORD_COUNT</b> counts the number of "words" in a string.
</li>
<li>
<b>TIMESTAMP</b> prints the current YMDHMS date as a time stamp.
</li>
</ul>
</p>
<p>
You can go up one level to <a href = "../f_src.html">
the FORTRAN90 source codes</a>.
</p>
<hr>
<i>
Last revised on 20 May 2009.
</i>
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