Calculate the weights and nodes used in integrating a function by Gauss-Legendre quadrature.

Usage

call PreGLQ (lower, upper, n, zero, w, exitstatus)

Parameters

lower : input, real*8
The lower bound of the integration.
upper : input, real*8
The upper bound of the integration.
n : input, integer
The number of integration points to use. This will integrate exactly a polynomial of degree 2n-1.
zero : output, real*8, dimension (n)
The zeros used in the Gauss-Legendre quadrature.
w : output, real*8, dimension (n)
The weights used in the Gauss-Legendre quadrature.
exitstatus : output, optional, integer
If present, instead of executing a STOP when an error is encountered, the variable exitstatus will be returned describing the error. 0 = No errors; 1 = Improper dimensions of input array; 2 = Improper bounds for input variable; 3 = Error allocating memory; 4 = File IO error.

Description

PreGLQ will calculate the weights and zeros used to integrate a function using Gauss-Legendre quadrature. For n quadrature points, the integration will be exact if the function is a polynomial of degree 2n-1, or less. The quadrature nodes correspond to the zeros of the Legendre polynomial of degree n. The number of quadrature points required to integrate a polynomial of degree L is ceiling((L+1)/2).

To integrate a function between the bounds lower and upper it is only necessary to calculate the sum of the function evaluated at the nodes zero multiplied by the weights.

This is a slightly modified version of the algorithm that was published in NUMERICAL RECIPES.

References

Press, W.H., S.A. Teukolsky, W.T. Vetterling, and B.P. Flannery, Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed., Cambridge Univ. Press, Cambridge, UK, 1992.

See also

shglq

Tags: fortran
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