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A truncated Clenshaw-Curtis formula approximates integrals over a semi-infinite interval
Numerical Algorithms ( IF 2.1 ) Pub Date : 2020-03-11 , DOI: 10.1007/s11075-020-00905-w
Hiroshi Sugiura , Takemitsu Hasegawa

The Clenshaw-Curtis (C-C) rule is a quadrature formula for integrals on the finite interval [− 1,1] and known to be efficient for smooth integrands and suitable for constructing an automatic method owing to nice features, i.e., the C-C rule family is nested and the accuracy is easy to check. In this paper, for an integral on a semi-infinite interval \([0,\infty )\) with an integrand decaying exponentially as \(x\to \infty \), we propose a truncated formula of the C-C rule and present an automatic method to approximate the integral to the accuracy of double precision and its Matlab code. We reduce the interval \([0,\infty )\) to a finite interval [0,a], choosing a so that the ignored integral on \([a,\infty )\) is sufficiently small. To approximate the integral Ia on [0,a], we consider a wider interval [0,2a]. By a change of variables, we transform nodes of the C-C rule on [− 1,1] to those on [0,2a]. To approximate Ia, our formula uses the nodes belonging to [0,a]. Similarly, a truncated formula of the Gauss-Legendre (GLe) rule is available. For an analytic function f(z) on \([0,\infty )\), we give an error analysis for our method. Using numerical examples, we compare our formula with the truncated GLe, Gauss-Laguerre and double exponential formulae in performance. Numerical examples show that our formula, as well as the truncated GLe formula, is efficient, particularly, for semi-infinitely oscillatory integrals.



中文翻译:

截断的Clenshaw-Curtis公式近似半无限区间的积分

Clenshaw-Curtis(CC)规则是有限区间[− 1,1]上积分的一个正交公式,已知对光滑被积数有效,并且由于具有良好的功能而适合构造自动方法,即CC规则族嵌套,精度易于检查。在本文中,对于半无限区间\([0,\ infty)\)上的积分,并且被积数呈指数衰减为\(x \ to \ infty \)的情况,我们提出了CC规则的截断公式,并给出一种将积分近似为双精度精度的自动方法及其Matlab代码。我们将间隔\([0,\ infty)\)减小为有限的间隔[0,a ],选择a使得在\([a,\ infty)\)足够小。为了近似[0,a ]上的积分I a,我们考虑了更宽的区间[0,2 a ]。通过变量的变化,我们将CC规则在[− 1,1]上的节点转换为[0,2 a ]上的节点。为了近似I a,我们的公式使用属于[0,a ]的节点。类似地,高斯-勒格德(GLe)规则的截断公式可用。对于\([0,\ infty)\)上的解析函数fz ,我们对该方法进行了错误分析。使用数值示例,我们将公式与截短的GLe,Gauss-Laguerre和双指数公式的性能进行比较。数值例子表明,我们的公式以及截短的GLe公式都是有效的,特别是对于半无限振荡积分。

更新日期:2020-03-11
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