and weights
Gauss Legendre
Gauss Legendre is the quadrature rule which tries to approximate integrals of type
GaussLegendre Integration
If the integrand f (t) is a polynomial of degree 3(= 2N 1), then its integration
can exactly be obtained from just 2(N) points by using the following formula
I [t1, t2] = w1f (t1) + w2f (t2)
Then, lets find the weights w1, w2 and the grid points t1, t2 such that the approximating formula
equals the integration for f (t) = 1(of degree 0), t(of degree 1), t2(of degree 2), and t3(of degree 3).
In order to do so, we should solve the following system of equations:
Multiplying second equation by t2 and subtracting the result from fourth equation yields
We can expect this approximating formula to give us the exact value of the integral when the
integrand f (t) is a polynomial of degree 3. Now, you are concerned about how to generalize this
two-point GaussLegendre integration formula to an N-point case, since a system of nonlinear
equation like can be very difficult to solve as the dimension increases. But, dont worry about it.
The N grid points (tis) of GaussLegendre integration formula
giving us the exact integral of an integrand polynomial of degree (2N 1) can be obtained as
the zeros of the Nth-degree Legendre polynomial.
Given the N grid point tis, we can get the corresponding weight wN,i s of the N-point Gauss
Legendre integration formula by solving the system of linear equations
Even though we are happy with the N-point GaussLegendre integration formula giving the
exact integral of polynomials of degree (2N 1), we do not feel comfortable with the fixed
integration interval [1, +1]. But, we can be relieved from the stress because any arbitrary finite
interval [a, b] can be transformed into [1, +1] by the variable substitution known as the Gauss
Legendre translation
Then, we can write the N-point GaussLegendre integration formula for the integration interval
[a, b] as
(Note: Gauss Legendre Quadrature gives exact results only for finite polynomial series).