On Sensitivity of Gauss-Christoffel Quadrature

• ID: 2267, RIV: 10030468
• ISSN: 0029-599X, ISBN: not specified
• source: Numerische Mathematik
• keywords: Sensitivity; Gauss-Christoffel; Quadrature
• authors: Zdeněk Strakoš
• authors from KNM: Strakoš Zdeněk

Abstract

In numerical computations the question how much does a function change under perturbations of its arguments is of central importance. In this work, we investigate sensitivity of Gauss-Christoffel quadrature with respect to small perturbations of the distribution function. To our knowledge, this sensitivity question has not been formulated and addressed in the literature, though several other sensitivity problems, motivated, in particular, by computation of the quadrature nodes and weights from moments, have been thoroughly studied by many authors. We survey existing particular results and show that even a small perturbation of a distribution function can cause large differences in Gauss-Christoffel quadrature estimates. We then discuss conditions under which the Gauss-Christoffel quadrature is insensitive under perturbation of the distribution function, present illustrative examples, and relate our observations to known conjectures on some sensitivity problems.