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Gaussian quadrature has the Hermite mean-value remainder
Statement
Let be moment data as in Positive-measure Gaussian quadrature moment data, let be its Gaussian rule, and let . Then there is such that where is the monic node polynomial and .
Facts & Assumptions
Given: Moment data of order , its Gaussian rule, and a real function .
Positive-measure Gaussian quadrature moment data: is finite and positive, its support contains at least points, and moments through degree are finite.
The m-node Gaussian quadrature rule for a positive measure and Gaussian quadrature is exact through degree 2m−1 and has positive weights: is the finite Gaussian rule, is exact through degree , and its nodes are the roots of .
Double-node Hermite interpolation has the stated pointwise remainder: for the nodes , the explicit polynomial has degree at most , matches at the nodes, and for every non-node the pointwise remainder is for some .
The polynomial moment pairing is a real inner product: since , is finite and strictly positive.
Extreme value theorem: a continuous real function on a nonempty compact subset of attains a greatest and a least value and The image of an interval under a continuous real function is order-convex, hence an interval, and the image of a closed bounded interval is a closed bounded interval: a continuous real function on has a minimum and maximum and takes every value between them.
Monotonicity and nonnegative homogeneity of the nonnegative integral, The nonnegative integral agrees with the simple integral on simple functions, and The integral of a nonnegative simple function: nonnegative integrals are monotone and homogeneous, and .
The Lebesgue integral is linear on : integrable functions may be added and integrated linearly.
Continuity of at a point of and on : the - condition, its agreement with at a limit point, and continuity at an isolated point and The Borel sigma-algebra of a topological space: a continuous function on is Borel measurable, since preimages of relative open sets are relative open and those sets generate .
Sums, scalar multiples, products, absolute values, maxima, minima and quotients with nonvanishing denominator of continuous functions are continuous, as are constants, the identity and every polynomial function: absolute values, polynomial functions, sums and products of the continuous functions used below are continuous.
Proof
The function and the polynomial from [F3] are continuous, hence Borel measurable by [F9]–[F10]. They are bounded on the compact interval by [F5]. Since by [F1], monotonicity and homogeneity in [F6] give and . Also is integrable by [F4]. Thus all integrals below are finite.
Let and , which exist by [F5]. The pointwise remainder [F3], and the zero error at nodes, imply for every that The multiplier is nonnegative.
By [F3], and . Exactness [F2] gives , so the quadrature error is .
Integrating the nonnegative differences in step 1.2 and using [F6]–[F7] gives By [F4], . Define ; the displayed bounds give .
If , is constant and any point of has value . If , choose points attaining and by [F5]. They are distinct; the intermediate value property on the segment between them gives a point strictly between the extrema where , and that point lies in .
Suppose and has no interior point with value . Then for every . For every non-node , [F3] uses some , and so because . At nodes, . There is a support point not among the nodes by [F1]; continuity makes on a relative open neighborhood of , and . Thus [F6] gives . But and step 2.2 imply , a contradiction. Hence some interior point has derivative value .
The case is analogous: if throughout , the nonnegative continuous function is strictly positive at every non-node, hence on a positive-measure neighborhood of a support point outside the nodes. This contradicts in step 2.2. Therefore there is an interior point with derivative value .
In every case there is with . Substitute the definition of , use step 2.1, and rearrange to obtain the stated remainder formula.
Depends on
- Positive-measure Gaussian quadrature moment data
- The m-node Gaussian quadrature rule for a positive measure
- Gaussian quadrature is exact through degree 2m−1 and has positive weights
- Double-node Hermite interpolation has the stated pointwise remainder
- The polynomial moment pairing
- The polynomial moment pairing is a real inner product
- Extreme value theorem: a continuous real function on a nonempty compact subset of $\mathbb{R}$ attains a greatest and a least value
- The image of an interval under a continuous real function is order-convex, hence an interval, and the image of a closed bounded interval is a closed bounded interval
- The nonnegative Lebesgue integral
- Monotonicity and nonnegative homogeneity of the nonnegative integral
- The nonnegative integral agrees with the simple integral on simple functions
- The integral of a nonnegative simple function
- The Lebesgue integral is linear on $L^1(\mu)$
- Sums, scalar multiples, products, absolute values, maxima, minima and quotients with nonvanishing denominator of continuous functions are continuous, as are constants, the identity and every polynomial function
- The factorial $n!$ and the falling factorial $n^{\underline{k}}$, defined by recursion in $\mathbb{N}$
- Laws of finite sums and products in $\mathbb{N}$, and $\iota\big(\sum_{k<n} a_k\big) = \sum_{k<n} \iota(a_k)$
- The Borel sigma-algebra of a topological space
- Continuity of $f : A \to \mathbb{R}$ at a point of $A$ and on $A$: the $\varepsilon$-$\delta$ condition, its agreement with $\lim_{x \to c} f(x) = f(c)$ at a limit point, and continuity at an isolated point
- The reals form a totally ordered field
Used by
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Sources
- John A. Gubner, Gaussian Quadrature and the Eigenvalue Problem, §§2–5, 2020 (standard reference, not scraped)
- MATH 373 Lecture Notes, Lecture 14: Gaussian Quadrature, §§10.2–10.5 (standard reference, not scraped)
- Walter Gautschi, The Interplay Between Classical Analysis and (Numerical) Linear Algebra, §2.1 (standard reference, not scraped)