scipy.special.roots_hermite

scipy.special.roots_hermite(n, mu=False)

Gauss-Hermite (physicist’s) quadrature.

Compute the sample points and weights for Gauss-Hermite quadrature. The sample points are the roots of the nth degree Hermite polynomial, \(H_n(x)\). These sample points and weights correctly integrate polynomials of degree \(2n - 1\) or less over the interval \([-\infty, \infty]\) with weight function \(w(x) = e^{-x^2}\). See 22.2.14 in [AS] for details.

Parameters

nint

quadrature order

mubool, optional

If True, return the sum of the weights, optional.

Returns

xndarray

Sample points

wndarray

Weights

mufloat

Sum of the weights

See also

scipy.integrate.quadrature

scipy.integrate.fixed_quad

numpy.polynomial.hermite.hermgauss

roots_hermitenorm

Notes

For small n up to 150 a modified version of the Golub-Welsch algorithm is used. Nodes are computed from the eigenvalue problem and improved by one step of a Newton iteration. The weights are computed from the well-known analytical formula.

For n larger than 150 an optimal asymptotic algorithm is applied which computes nodes and weights in a numerically stable manner. The algorithm has linear runtime making computation for very large n (several thousand or more) feasible.

References

townsend.trogdon.olver-2014

Townsend, A. and Trogdon, T. and Olver, S. (2014) Fast computation of Gauss quadrature nodes and weights on the whole real line. arXiv:1410.5286.

townsend.trogdon.olver-2015

Townsend, A. and Trogdon, T. and Olver, S. (2015) Fast computation of Gauss quadrature nodes and weights on the whole real line. IMA Journal of Numerical Analysis DOI:10.1093/imanum/drv002.

AS

Milton Abramowitz and Irene A. Stegun, eds. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. New York: Dover, 1972.