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Gaussian quadrature has the Hermite mean-value remainder

Statement

Let (a,b,m,2m,μ) be moment data as in Positive-measure Gaussian quadrature moment data, let Qm be its Gaussian rule, and let f∈C2m([a,b],R). Then there is ξ∈(a,b) such that ∫[a,b]f(x) dμ(x)−Qm(f)=f(2m)(ξ)(2m)!R∫[a,b]pm(x)2 dμ(x), where pm(X)=∏i=1m(X−xi) is the monic node polynomial and (2m)!R:=∏j=12mj.

Facts & Assumptions

Given: Moment data of order 2m, its Gaussian rule, and a real function f∈C2m([a,b]).

[F1]

Positive-measure Gaussian quadrature moment data: μ is finite and positive, its support contains at least m+1 points, and moments through degree 2m are finite.

[F2]

The m-node Gaussian quadrature rule for a positive measure and Gaussian quadrature is exact through degree 2m−1 and has positive weights: Qm is the finite Gaussian rule, is exact through degree 2m−1, and its nodes are the roots of pm.

[F3]

Double-node Hermite interpolation has the stated pointwise remainder: for the nodes xi, the explicit polynomial H has degree at most 2m−1, matches f,f′ at the nodes, and for every non-node x the pointwise remainder is f(x)−H(x)=pm(x)2f(2m)(ξx)/(2m)!R for some ξx∈(a,b).

[F4]

The polynomial moment pairing is a real inner product: since r=2m, ∫pm2 dμ is finite and strictly positive.

[F7]

The Lebesgue integral is linear on L1(μ): integrable functions may be added and integrated linearly.

[F9]

Continuity of f:A→R at a point of A and on A: the ε-δ condition, its agreement with lim⁡x→cf(x)=f(c) at a limit point, and continuity at an isolated point and The Borel sigma-algebra of a topological space: a continuous function on [a,b] is Borel measurable, since preimages of relative open sets are relative open and those sets generate B([a,b]).

Proof

1.1F1F3F4F5F6F9F10algebra

The function f and the polynomial H from [F3] are continuous, hence Borel measurable by [F9]–[F10]. They are bounded on the compact interval by [F5]. Since μ([a,b])<∞ by [F1], monotonicity and homogeneity in [F6] give ∫∣f∣ dμ<∞ and ∫∣H∣ dμ<∞. Also pm2 is integrable by [F4]. Thus all integrals below are finite.

1.2F3F5F8algebra

Let A=min⁡[a,b]f(2m) and B=max⁡[a,b]f(2m), which exist by [F5]. The pointwise remainder [F3], and the zero error at nodes, imply for every x∈[a,b] that A(2m)!Rpm(x)2≤f(x)−H(x)≤B(2m)!Rpm(x)2. The multiplier pm(x)2 is nonnegative.

2.1F2F3step 1.1algebra

By [F3], H(xi)=f(xi) and deg⁡H≤2m−1. Exactness [F2] gives ∫H dμ=Qm(H)=Qm(f), so the quadrature error is ∫(f−H) dμ.

2.2F4F6F7F8step 1.2algebra

Integrating the nonnegative differences in step 1.2 and using [F6]–[F7] gives A(2m)!R∫pm2 dμ≤∫(f−H) dμ≤B(2m)!R∫pm2 dμ. By [F4], hm:=∫pm2 dμ>0. Define γ:=(2m)!R∫(f−H) dμ/hm; the displayed bounds give A≤γ≤B.

3.1F5step 2.2caseschoose

If A=B, f(2m) is constant and any point of (a,b) has value γ. If A<γ<B, choose points attaining A and B by [F5]. They are distinct; the intermediate value property on the segment between them gives a point strictly between the extrema where f(2m)=γ, and that point lies in (a,b).

3.2F1F3F6F8step 2.2casesalgebra

Suppose γ=A<B and f(2m) has no interior point with value A. Then f(2m)(t)>A for every t∈(a,b). For every non-node x, [F3] uses some ξx∈(a,b), and so d(x):=f(x)−H(x)−Apm(x)2/(2m)!R>0 because pm(x)≠0. At nodes, d=0. There is a support point y not among the m nodes by [F1]; continuity makes d≥c>0 on a relative open neighborhood U of y, and μ(U)>0. Thus [F6] gives ∫d dμ>0. But γ=A and step 2.2 imply ∫d dμ=0, a contradiction. Hence some interior point has derivative value γ.

3.3F1F3F6F8step 2.2casesalgebra

The case γ=B>A is analogous: if f(2m)(t)<B throughout (a,b), the nonnegative continuous function e(x):=Bpm(x)2/(2m)!R−(f(x)−H(x)) is strictly positive at every non-node, hence on a positive-measure neighborhood of a support point outside the nodes. This contradicts γ=B in step 2.2. Therefore there is an interior point with derivative value γ.

4.1step 2.1step 2.2step 3.1step 3.2step 3.3algebra∎

In every case there is ξ∈(a,b) with f(2m)(ξ)=γ. Substitute the definition of γ, use step 2.1, and rearrange to obtain the stated remainder formula.

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