he following is an extremely efficient integration
formula: | | (Gauss-Hermite Intergration) |
Note that one can do the change of function
to obtain more generic result.
The below values of
are taken from [Abramowitz], pages 890 and
924:  
What follows next is a fragment of theory of orthogonal polynomials that leads
to the formula ( Gauss-Hermite
Intergration). The proposition
( Gaussian quadrature rule) provides
the justification. There are several sections after
( Gaussian quadrature rule) included
for their importance for other applications within these Notes. The reference
is [Gautschi].
|
