Gauss–Hermite quadrature

Weights versus x_i for four choices of n

In numerical analysis, Gauss–Hermite quadrature is a form of Gaussian quadrature for approximating the value of integrals of the following kind:

$\underset{-\mathrm{\infty }}{\overset{+\mathrm{\infty }}{\int }}{e}^{-x^2}f(x)dx.$

In this case

$\underset{-\mathrm{\infty }}{\overset{+\mathrm{\infty }}{\int }}{e}^{-x^2}f(x)dx\approx \sum _{i=1}^n{w}_{i}f(x_i)$

where n is the number of sample points used. The x_i are the roots of the physicists' version of the Hermite polynomial H_n(x) (i = 1,2,...,n), and the associated weights w_i are given by

$w_i=\frac{2^{n-1}n!\sqrt{\pi }}{n^2[H_{n-1}(x_i){]}^2}.$

Example with change of variable

Consider a function h(y), where the variable y is Normally distributed: $y\sim \mathcal{𝒩}(\mu ,{\sigma }^2)$. The expectation of h corresponds to the following integral:

$E[h(y)]=\underset{-\mathrm{\infty }}{\overset{+\mathrm{\infty }}{\int }}\frac{1}{\sigma \sqrt{2\pi }}\exp (-\frac{(y-\mu {)}^2}{2{\sigma }^2})h(y)dy$

As this doesn't exactly correspond to the Hermite polynomial, we need to change variables:

$x=\frac{y-\mu }{\sqrt{2}\sigma }\iff y=\sqrt{2}\sigma x+\mu$

Coupled with the integration by substitution, we obtain:

$E[h(y)]=\underset{-\mathrm{\infty }}{\overset{+\mathrm{\infty }}{\int }}\frac{1}{\sqrt{\pi }}\exp (-x^2)h(\sqrt{2}\sigma x+\mu )dx$

leading to:

$E[h(y)]\approx \frac{1}{\sqrt{\pi }}\sum _{i=1}^n{w}_{i}h(\sqrt{2}\sigma x_i+\mu )$

References

• Olver, Frank W. J.; Lozier, Daniel M.; Boisvert, Ronald F.; Clark, Charles W., eds. (2010), "Quadrature: Gauss–Hermite Formula", NIST Handbook of Mathematical Functions, Cambridge University Press, ISBN 978-0-521-19225-5, MR 2723248
• Shao, T. S.; Chen, T. C.; Frank, R. M. (1964). "Tables of zeros and Gaussian weights of certain associated Laguerre polynomials and the related generalized Hermite polynomials". Math. Comp. 18 (88): 598–616. doi:10.1090/S0025-5718-1964-0166397-1. MR 0166397.
• Steen, N. M.; Byrne, G. D.; Gelbard, E. M. (1969). "Gaussian quadratures for the integrals ${\int }_0^{\mathrm{\infty }}{e}^{-x^2}f(x)dx$ and ${\int }_0^b{e}^{-x^2}f(x)dx$". Math. Comp. 23 (107): 661–671. doi:10.1090/S0025-5718-1969-0247744-3. MR 0247744.
• Shizgal, B. (1981). "A Gaussian quadrature procedure for use in the solution of the Boltzmann equation and related problems". J. Comput. Phys. 41: 309–328. doi:10.1016/0021-9991(81)90099-1.

External links

• For tables of Gauss-Hermite abscissae and weights up to order n = 32 see http://www.efunda.com/math/num_integration/findgausshermite.cfm.
• Generalized Gauss–Hermite quadrature, free software in C++, Fortran, and Matlab