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Certified Golub–Welsch intervals contain the Gaussian nodes and weights
Statement
Let admissible moment data with and finite moment
intervals satisfying the promise in
Certified Gaussian nodes and weights by Golub–Welsch be given. If that
algorithm returns certified with node intervals and weight intervals
, then the Gaussian nodes and weights satisfy
and for every . An inconclusive
return makes no claim.
Facts & Assumptions
Given: Admissible moment data, truthful moment enclosures through degree , and a certified algorithm return.
The uniform interval residual certifier is sound on success: on certified output, each supplied Hankel family has a unique solution and its coefficients lie in the reported error balls.
Outward-rounded operations are inclusion-isotone and enclose DAG evaluations: all finite outward interval expression DAGs contain the corresponding exact values.
The Gauss orthogonal polynomial has simple roots inside the interval and The Jacobi matrix spectrum is the set of Gauss nodes: the true Jacobi matrix is real symmetric and its increasingly ordered eigenvalues are exactly the Gaussian nodes in .
Certified Hermitian eigenvalue intervals from residual and Gram bounds and The residual and orthogonality certifier encloses the full ordered spectrum: success requires validated residual, Gram and norm bounds, and every increasingly ordered eigenvalue in the admitted Hermitian matrix family lies in its returned node interval.
Gaussian weights equal the total mass times a Jacobi eigenvector's first-coordinate square: for a unit eigenvector at , .
A residual and spectral gap bound a Gaussian weight error: a nonzero approximate eigenvector with norm lower bound , residual bound , and separation gap lower bound gives weight error at most .
Proof
Each coefficient solve in step 1 uses the full moment rectangle families, which contain the actual Hankel matrix and right-hand side by the moment promise. By [F1], successful uniform residual certification encloses the unique actual coefficient vector. The true Hankel matrices are positive definite by the support hypothesis and The polynomial moment pairing is a real inner product; thus these solutions are the coefficients of the monic orthogonal polynomials. By [F2], the arithmetic in step 2 encloses every true and hence the true Jacobi matrix.
If , the true Jacobi matrix is the one-by-one matrix . By [F3] its sole eigenvalue is the sole Gaussian node , so . Its unit eigenvector is , and [F5] gives . The outward interval and moment interval in step 3 of the algorithm contain these exact values by [F2].
Assume . By [F3], the eigenvalues of the true Jacobi matrix are precisely the Gaussian nodes. The matrix family in step 5 contains this matrix by step 1.1, and successful near-orthonormal certification gives by [F4].
For column of , the accepted checks in step 5 and [F4] certify and . Therefore , so the positive lower endpoint of the outward enclosure of is a lower bound on its norm. The disjoint ordered intervals in step 5 make in step 6 a positive lower bound for the distance from to every other true node.
Apply [F6] to and the bounds of step 3.1. The interval contains and is at least the resulting error bound, because . Thus the exact Gaussian weight belongs to by [F5].
The case is step 2.1; for , steps 2.2 and 4.1 give every node and weight enclosure. These cases exhaust , proving the claim.
Depends on
- Certified Gaussian nodes and weights by Golub–Welsch
- Positive-measure Gaussian quadrature moment data
- Monic orthogonal polynomials exist uniquely through the quadrature order
- Monic orthogonal polynomials satisfy a three-term recurrence
- The Jacobi matrix spectrum is the set of Gauss nodes
- Gaussian weights equal the total mass times a Jacobi eigenvector's first-coordinate square
- A residual and spectral gap bound a Gaussian weight error
- The polynomial moment pairing is a real inner product
- Certified Hermitian eigenvalue intervals from residual and Gram bounds
- The Gauss orthogonal polynomial has simple roots inside the interval
- Outward-rounded operations are inclusion-isotone and enclose DAG evaluations
- The uniform interval residual certifier is sound on success
- The residual and orthogonality certifier encloses the full ordered spectrum
Used by
Nothing in the library uses this result yet.
Cited to discharge well-definedness by Certified Gaussian nodes and weights by Golub–Welsch.
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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)