The Kink Phenomenon in Fejér and Clenshaw-Curtis Quadrature

The Fejér and Clenshaw-Curtis rules for numerical integration exhibit a curious phenomenon when applied to certain analytic functions. When N, (the number of points in the integration rule) increases, the error does not decay to zero evenly but does so in two distinct stages. For N less than a critical value, the error behaves like $O(\varrho^{-2N})$, where $\varrho$ is a constant greater than 1. For these values of N the accuracy of both the Fejér and Clenshaw-Curtis rules is almost indistinguishable from that of the more celebrated Gauss-Legendre quadrature rule. For larger N, however, the error decreases at the rate $O(\varrho^{-N})$, i.e., only half as fast as before. Convergence curves typically display a kink where the convergence rate cuts in half. In this paper we derive explicit as well as asymptotic error formulas that provide a complete description of this phenomenon.\ud \ud This work was supported by the Royal Society of the UK and the National Research Foundation of South Africa under the South Africa-UK Science Network Scheme. The first author also acknowledges grant FA2005032300018 of the NRF

The exponentially convergent trapezoidal rule

It is well known that the trapezoidal rule converges geometrically when applied to analytic functions on periodic intervals or the real line. The mathematics and history of this phenomenon are reviewed and it is shown that far from being a curiosity, it is linked with computational methods all across scientific computing, including algorithms related to inverse Laplace transforms, special functions, complex analysis, rational approximation, integral equations, and the computation of functions and eigenvalues of matrices and operators

Parabolic and Hyperbolic Contours for Computing the Bromwich Integral

Some of the most effective methods for the numerical inversion of the Laplace transform are based on the approximation of the Bromwich contour integral. The accuracy of these methods often hinges on a good choice of contour, and several such contours have been proposed in the literature. Here we analyze two recently proposed contours, namely a parabola and a hyperbola. Using a representative model problem, we determine estimates for the optimal parameters that define these contours. An application to a fractional diffusion equation is presented.\ud \ud JACW was supported by the National Research Foundation in South Africa under grant FA200503230001

Talbot quadratures and rational approximations

Many computational problems can be solved with the aid of contour integrals containing $e^z$ in the the integrand: examples include inverse Laplace transforms, special functions, functions of matrices and operators, parabolic PDEs, and reaction-diffusion equations. One approach to the numerical quadrature of such integrals is to apply the trapezoid rule on a Hankel contour defined by a suitable change of variables. Optimal parameters for three classes of such contours have recently been derived: (a) parabolas, (b) hyperbolas, and (c) cotangent contours, following Talbot in 1979. The convergence rates for these optimized quadrature formulas are very fast: roughly $O(3^{-N})$, where $N$ is the number of sample points or function evaluations. On the other hand, convergence at a rate apparently about twice as fast, $O(9.28903^{-N})$, can be achieved by using a different approach: best supremum-norm rational approximants to $e^z$ for $z\in (-\infty,0]$, following Cody, Meinardus and Varga in 1969. (All these rates are doubled in the case of self-adjoint operators or real integrands.) It is shown that the quadrature formulas can be interpreted as rational approximations and the rational approximations as quadrature formulas, and the strengths and weaknesses of the different approaches are discussed in the light of these connections. A MATLAB function is provided for computing Cody--Meinardus--Varga approximants by the method of Carathèodory-Fejèr approximation