Generation of nested quadrature rules for generic weight functions via numerical optimization: Application to sparse grids

JOURNAL OF COMPUTATIONAL PHYSICS

卷:400

Article

Keshavarzzadeh, Vahid¹  Kirby, Robert M.^1,2  Narayan, Akil^1,3 

[1] Univ Utah, Sci Comp & Imaging Inst, Salt Lake City, UT 84112 USA

[2] Univ Utah, Sch Comp, Salt Lake City, UT 84112 USA

[3] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA

关键词: Nested quadrature;    Optimal quadrature;    Sparse grids;    Numerical integration;    Polynomial approximation;   

DOI  :  10.1016/j.jcp.2019.108979

来源: Elsevier

【 摘 要 】

We present a numerical framework for computing nested quadrature rules for various weight functions. The well-known Kronrod method extends the Gauss-Legendre quadrature by adding new optimal nodes to the existing Gauss nodes for integration of higher order polynomials. Our numerical method generalizes the Kronrod rule for any continuous probability density function on real line with finite moments. We develop a bi-level optimization scheme to solve moment-matching conditions for two levels of main and nested rule and use a penalty method to enforce the constraints on the limits of the nodes and weights. We demonstrate our nested quadrature rule for probability measures on finite/infinite and symmetric/asymmetric supports. We generate Gauss-Kronrod-Patterson rules by slightly modifying our algorithm and present results associated with Chebyshev polynomials which are not reported elsewhere. We finally show the application of our nested rules in construction of sparse grids where we validate the accuracy and efficiency of such nested quadrature-based sparse grids on parameterized boundary and initial value problems in multiple dimensions. (C) 2019 Elsevier Inc. All rights reserved.

【 授权许可】

Free