Recent Developments in Variable Transformations for Numerical Integration

Analysis Seminar
Monday, September 15, 2008 - 2:00pm for 1 hour (actually 50 minutes)
Skiles 255
Avram Sidi – Technion, Israel Institute of Technology, Haifa
Jeff Geronimo
Variable transformations are used to enhance the normally poor performance of trapezoidal rule approximations of finite-range integrals I[f]=\int^1_0f(x)dx. Letting x=\psi(t), where \psi(t) is an increasing function for 0 < t < 1 and \psi(0)=0 and \psi(1)=1, the trapezoidal rule is applied to the transformed integral I[f]=\int^1_0f(\psi(t))\psi'(t)dt. By choosing \psi(t) appropriately, approximations of very high accuracy can be obtained for I[f] via this approach. In this talk, we survey the various transformations that exist in the literature. In view of recent generalizations of the classical Euler-Maclaurin expansion, we show how some of these transformations can be tuned to optimize the numerical results. If time permits, we will also discuss some recent asymptotic expansions for Gauss-Legendre integration rules in the presence of endpoint singularities and show how their performance can be optimized by tuning variable transformations. The variable transformation approach presents a very flexible device that enables one to write his/her own high-accuracy numerical integration code in a simple way without the need to look up tables of abscissas and weights for special Gaussian integration formulas.