Quadrature

The word quadrature has (at least) three incompatible meanings. Integration by quadrature either means solving an integral analytically (i.e., symbolically in terms of known functions), or solving of an integral numerically (e.g., Gaussian quadrature, Newton-Cotes formulas). Ueberhuber (1997, p. 71) uses the word "quadrature" to mean numerical computation of a univariate integral, and "cubature" to mean numerical computation of a multiple integral.

The word quadrature is also used to mean squaring: the construction of a square using only compass and straightedge which has the same area as a given geometric figure. If quadrature is possible for a plane figure, it is said to be quadrable.

For a function  tabulated at given values  (so the abscissas cannot be chosen at will), write the function  as a sum of orthonormal functions  satisfying

(1)

as

(2)

and plug into the Lagrange interpolating polynomial of  through the  points (as is done in Gaussian quadrature)

			(3)
			(4)

where

(5)

giving

(6)

But we wish this to hold for all degrees of approximation, so

(7)

(8)

Setting  in (◇) gives

(9)

The zeroth order orthonormal function can always be taken as , so (9) becomes

			(10)
			(11)

where (◇) has been used in the last step. We therefore have the matrix equation

(12)

which can be inverted to solve for the s (Press et al. 1992).

REFERENCES:

Abramowitz, M. and Stegun, I. A. (Eds.). "Integration." §25.4 in Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, 9th printing. New York: Dover, pp. 885-897, 1972.

Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed. Cambridge, England: Cambridge University Press, pp. 365-366, 1992.

Ueberhuber, C. W. Numerical Computation 2: Methods, Software, and Analysis. Berlin:Springer-Verlag, p. 71, 1997.