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Computing Highly
Oscillatory Integrals

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Computing Highly
Oscillatory Integrals

Alfredo Deaño
Daan Huybrechs
Arieh Iserles

Society for Industrial and Applied Mathematics

Philadelphia

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Copyright © 2018 by the Society for Industrial and Applied Mathematics

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To our families

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Contents

Preface ix

1 Introduction 1
1
1.1 The 3 2 stages of mathematical research . . . . . . . . . . . . . . . . . 1
1.2 What’s wrong with standard quadrature? . . . . . . . . . . . . . . . . 1
1.3 An example: Filon quadrature . . . . . . . . . . . . . . . . . . . . . . . 3

2 Asymptotic theory of highly oscillatory integrals 5

2.1 Univariate asymptotic expansions . . . . . . . . . . . . . . . . . . . . . 5
2.2 How good is an asymptotic method? . . . . . . . . . . . . . . . . . . . 10
2.3 Unbounded intervals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.4 Multivariate asymptotic expansions . . . . . . . . . . . . . . . . . . . . 13
2.5 More general oscillators . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

3 Filon and Levin methods 29

3.1 Filon-type quadrature in an interval . . . . . . . . . . . . . . . . . . . 29
3.2 Multivariate Filon-type quadrature . . . . . . . . . . . . . . . . . . . . 38
3.3 Levin methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
3.4 Filon or Levin? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

4 Extended Filon method 59

4.1 Extended Filon method . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
4.2 Choosing internal nodes . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
4.3 Error analysis of FJ and FCC . . . . . . . . . . . . . . . . . . . . . . . . 67
4.4 Adaptive Filon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74

5 Numerical steepest descent 79

5.1 The asymptotic method of steepest descent . . . . . . . . . . . . . . . 79
5.2 The numerical method of steepest descent . . . . . . . . . . . . . . . 87
5.3 Implementation aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
5.4 Multivariate integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
5.5 More general oscillators . . . . . . . . . . . . . . . . . . . . . . . . . . . 106

6 Complex-valued Gaussian quadrature 109

6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
6.2 Complex-valued Gaussian quadrature for oscillatory integrals on
[−1, 1] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
6.3 Complex quadrature and uniform asymptotic expansions . . . . . 125
6.4 A discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133

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7 A highly oscillatory olympics 135

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7.1 Heat 1: No stationary points, eight function evaluations . . . . . . 135

7.2 Heat 2: A stationary point, 12 function evaluations . . . . . . . . . 141
7.3 What is the best method? . . . . . . . . . . . . . . . . . . . . . . . . . . 145

8 Variations on the highly oscillatory theme 149

8.1 Oscillatory integrals in theory and in practice . . . . . . . . . . . . . 149
8.2 A singular integral with multiple oscillators . . . . . . . . . . . . . . 151
8.3 Integral transforms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
8.4 Postscript . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162

A Orthogonal polynomials 163

A.1 Orthogonal polynomials on the real line . . . . . . . . . . . . . . . . 163
A.2 Orthogonal polynomials with complex weight function . . . . . . 169

Bibliography 171

Index 179
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Preface

Numerical computation of highly oscillatory integrals came of age in the last 15

years. All three of us have been actively involved in this “highly oscillatory journey,”
which, in our view, has now reached a level of relative completeness, rendering it suit-
able for a broad review.
The box of tricks in the computation of highly oscillatory integrals—indeed, in
the computation of a wider range of highly oscillatory phenomena, which includes,
for example, highly oscillatory integral and differential equations—is fairly unusual
to classically trained numerical analysts. This is because of its strong emphasis on
asymptotic analysis in the oscillation parameter as a means to introduce numerical
algorithms and, even more so, as a primary tool in understanding algorithms. The
underlying mathematics is not very complicated, but it has different flavor to most
texts in computational mathematics.
Theoretical interest, though, is neither the only nor the main motivation for this
monograph. Highly oscillatory integrals feature in numerous applications, from fluid
dynamics to mathematical physics, electronic engineering, acoustic and electromag-
netic scattering, and so on, and the practical need to evaluate them is ubiquitous, often
as part and parcel of a wider computational project. We thus hope that this monograph
will be useful as well as illuminating, presenting a range of practical, highly efficient,
and affordable algorithms.
We find the numerical analysis of highly oscillatory integrals a truly exciting chap-
ter of computational mathematics, replete in unexpected and often counterintuitive
ideas. Thus, we are so pleased to share it on these pages. While the theory has reached
a stable stage which in our view makes it suitable for a review, nothing in mathematical
research is truly final. We expect new ideas to come along (who knows, perhaps stim-
ulated by this book) and add to the excitement. In particular, our review of Gaussian
quadrature with a complex-valued measure in Chapter 6 represents work in a state of
active exploration and clearly incomplete. We await further developments in this area.
All three of us have contributed to the state of the art in highly oscillatory quadra-
ture, but we are far from alone: mathematical research is a collective enterprise. The
story of highly oscillatory quadrature is no exception to this rule, and we are de-
lighted to acclaim Andreas Asheim, Jing Gao, Arno Kuijlaars, Nele Lejon, David
Levin, Syvert Nørsett, Sheehan Olver, Stefan Vandewalle, Haiyong Wang, and
Shuhuang Xiang, whose work and insight have contributed so much to the state of
the art and feature widely in this volume. And, of course, we must mention Louis
Napoleon George Filon, whose ideas almost a century ago, serially forgotten or mis-
interpreted, fostered much of the modern theory and whose spirit (benignly, we hope)
hovers over this volume.
Writing this book was a laborious process because all three of us are active aca-
demics, busy with the many preoccupations and challenges of academic existence, and

ix
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we have had to fit writing this book around our numerous other duties and projects.
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This means that deadlines have been serially missed, and we are truly grateful to SIAM’s
Executive Editor, Elizabeth Greenspan, for her infinite understanding and sorely tested,
saintly patience.
Finally, we must pay tribute to our families for bearing with us during our work
on this book. By now they must be used to our being busy, but in the last year they
have had to get used to the three of us being very busy. They deserve our heartfelt
thanks.

Alfredo Deaño, University of Kent at Canterbury

Daan Huybrechs, University of Leuven
Arieh Iserles, University of Cambridge