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Integration and
Cubature Methods
A Geomathematically
Oriented Course
MONOGRAPHS AND RESEARCH NOTES IN MATHEMATICS
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MONOGRAPHS AND RESEARCH NOTES IN MATHEMATICS
Integration and
Cubature Methods
A Geomathematically
Oriented Course
Willi Freeden
Martin Gutting
CRC Press
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Preface xiii
Introduction xxi
0.1 Necessity of Quadrature . . . . . . . . . . . . . . . . . . . . . xxi
0.2 Historical Roots of the Book . . . . . . . . . . . . . . . . . . xxiii
0.3 Own Roots and Concept of the Book . . . . . . . . . . . . . xxix
I Preparatory 1D-Integration 1
1 Algebraic Polynomial Integration 3
vii
viii Contents
5 Trapezoidal Rules 63
Bibliography 469
Index 497
Preface
xiii
xiv Preface
earthquake modeling and prediction, ocean circulation, etc. Very often, when
multivariate lattice point based procedures are used in volume integration,
the resulting cubature expressions intrinsically show periodic structures (“pe-
riodization”). The connecting links between integrability and periodicity are
Euler and Poisson summation formulas. In fact, “multivariate counterparts
of Bernoulli polynomials”, i.e., Green’s functions corresponding to “periodic
boundary conditions” and elliptic differential operators enable us to express
key volume integrals in geosciences (such as Newton, Helmholtz, Mie, elas-
tic potentials) by lattice point conglomerates that discretely fill out the
integration domain in an equidistributed way. A serious problem in numer-
ical integration by lattice point summation is the appropriate treatment of
a “potato-shaped” boundary. Clearly, the overall objective of cubature is to
derive finite summation formulas as proper substitutes for integrals. The inte-
gral formulas are usually generated by the conversion of differential equations
into integral equations using Green’s functions as bridging tools. By aid of
Green’s functions, the Euler summation formulas allow comparison of the
weighted sum of functional values over a certain nodal point system with its
corresponding integral, plus a remainder term normally occurring in integral
form thereby containing derivatives in the integrand. In parallel, the Pois-
son summation formulas provide remainder terms free of derivatives. Error
terms are useful for many purposes, for example, sampling formulas, polyno-
mial and spline exact integration rules, low discrepancy formulas, and best
approximate integration formulas. In addition, singular kernels obtained from
Green’s functions by differentiation canonically lead to multiscale integration
rules providing data reduction, noise cancellation, signature decorrelation, etc.
All in all, the present textbook does not represent a survey compendium
over all facets of approximate integration in the vast literature. Instead, it
allows the reader to concentrate on special topics on georeflected integration
and cubature. The schedule basically is characterized by a subdivision into a
pair of topics, namely periodization and spheriodization. As preparatory ma-
terial, classical one-dimensional quadrature is recognized from the viewpoint
of Green’s function theory and resulting integral formulas possessing remain-
der term expressions. Our multivariate approach is intended to be selective,
although a broad area of applications can be specified. The content is re-
stricted to topics which are important in (geo-)mathematics such as spherical
integration, integration over regular surfaces (such as spheres, equipotential
surfaces, geological layers), lattice point cubature over regular regions (such
as ball, ellipsoid, geoid, Earth’s “potato-like” body). Most of the material
under explicit consideration for the sphere is based on our own research, in
particular in geophysics and (satellite) geodesy, where the observables are
of isotropic (scalar, vectorial, or tensorial) nature and integration rules have
to reflect scattered preassigned measurement locations. Moreover, Romberg
integration over regular regions is an innovative component in numerical in-
tegration with significant applications. Furthermore, Shannon-type sampling
Preface xv
xvii
List of Symbols
x, y, z . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . elements of R3
x · y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . scalar product of vectors in R3
x ⊗ y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . tensor product in R3
x ∧ y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vector product in R3
|x| . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Euclidean norm of x ∈ R3
εi , i = 1, 2, 3 . . . . . . . . . . . . . . . . . . . canonical orthonormal basis vectors in R3
A, B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . matrices (e.g. in RN ×N )
δi,j . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Kronecker symbol
⊕ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . orthogonal sum
bxc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . the largest integer ≤ x
dxe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . the smallest integer ≥ x
o, O . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Landau symbols
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . asymptotically equal
≈ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . approximately equal
Γ(s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Gamma function at s
ζ(s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Riemann zeta function at s
F, G . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . scalar-valued functions
f, g . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vector-valued functions
F |M . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . restriction of the function F to M
C(k) , Lp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . classes of scalar functions
c(k) , lp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . classes of vector functions
Pol0,...,m . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . polynomials of degree ≤ m
τ Z . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1D τ -dilated lattice (τ > 0)
(k)
Cτ Z (R), Lpτ Z (R) . . . . . . . . . . . . . . . . . . . classes of scalar, τ Z-periodic functions
PolZ0,...,m . . . . . . . . . . . . . . . . . . . . . . . . . . . . . periodic polynomials of degree ≤ m
Λ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . lattice in Rq
Λ−1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . inverse lattice to Λ
FΛ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . fundamental cell of the lattice Λ
kFΛ k . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . volume of the fundamental cell FΛ
(k)
CΛ , LpΛ . . . . . . . . . . . . . . . . . . . . . . . . . . . . classes of scalar, Λ-periodic functions
PolΛ Ξ . . . . . . . . . . . . . . . set of Λ-periodic polynomials (with index set Ξ ⊂ R )
q
2 3
S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .unit sphere in R around the origin
S2R (y) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . sphere in R3 with radius R around y
xix
xx List of Symbols
r, t, ϕ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . spherical coordinates in R3
ξ, η, ζ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . elements of S2
t ∈ O(3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .orthogonal transformation
Γ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . regular region on S2
∂Γ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . boundary curve of Γ on S2
Γ = Γ ∪ ∂Γ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . closure of Γ on S2
Γc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . open complement of Γ in S2
kΓk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . “volume” of a regular region Γ on S2
αΓ (ξ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . solid angle at ξ subtended by ∂Γ
Γρ (ξ) . . . . . . . . . . . . . . . . . . . . . . . spherical cap with radius ρ and center ξ ∈ S2
∇ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . gradient
L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . curl gradient
∇· . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . divergence
L· . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . curl divergence
∆ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Laplace operator
Spect∆ (τ Z) . . . . . . . . . . . . . . . . . . . . . eigenspectrum of ∆ (with respect to τ Z)
Spect∆ (Λ) . . . . . . . . . . . . . . . . . . . . . . . eigenspectrum of ∆ (with respect to Λ)
∇∗ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . surface gradient
L∗ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . surface curl gradient
∇∗ · . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . surface divergence
L∗ · . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . surface curl divergence
∆∗ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Beltrami operator on S2
dx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . volume element
dS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . surface element
dσ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . line element
G . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . regular region in R3
Σ = ∂G . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . boundary of G
kΣk = k∂Gk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . surface of ∂G
G = G ∪ ∂G . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . closure of G
αG (ξ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . solid angle at ξ subtended by ∂G
G c . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . open complement of G in R3
kGk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . volume of the regular region G in R3
BR (y) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ball in R3 with radius R around y
Bρ,R (y) . . . . . . . . . . . . . . . . . . . . . . . spherical shell with radii ρ and R around y
U
XN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ensemble of U ⊂ S2
U
P(XN ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . associated partition of U ⊂ S2
U U
Π(XN ) . . . . . . . . . . . . . set of all equidistributed partitions P(XN ) of U ⊂ S2
U U
σ(XN ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . partition size of the ensemble XN of U
#M . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . number of elements in the set M
Introduction
In the integration formula (0.1), {x0 , . . . , xn } is the point set of knots (or
nodes) usually chosen so as to lie in the interval [a, b] of integration, and the
numbers wk , k = 0, . . . , n, are weights accompanying these points.
Remark 0.1. Occasionally, values of the derivatives of the integrand appear
on the right hand side of (0.1).
A quadrature rule, i.e., a formula of the type
Z b n
X
IF = F (x) dx ≈ Ln F = wk F (xk ), x0 < x1 < . . . < xn , (0.2)
a k=0
xxi
xxii Introduction
dIF (x)
= IF0 (x) = F (x), x ∈ [a, b], (0.4)
dx
that cannot be calculated in explicit form, for example,
sin x
F (x) = , (0.5)
x
2
F (x) = e−x , (0.6)
p
F (x) = 1 − k 2 sin2 x, k ∈ (0, 1). (0.7)
(ii) The number of computations that must be carried out with the “exact”
formula is substantial. A standard example to be mentioned (see, e.g.,
H. Engels [1980]) is
2 √ √
1√ 1√
Z b
dt b + 2b + 1 2b
4
= 2 ln √ + 2 arctan , (0.8)
0 1+t 8 b2 − 2b + 1 4 1 − b2
[1979] and the references therein), geothermal research (see, e.g., M. Augustin
et al. [2012], B.L. Biondi [2006], W. Freeden, H. Nutz [2011b], I. Ostermann
[2011]), satellite technology (see, e.g., W. Freeden et al. [2002], W. Freeden,
H. Nutz [2011a], C. Gerhards [2011], R. Rummel et al. [1993]), astrophysics
(cf. A.J. Banday et al. [2001], C.L. Bennett et al. [1996], and the references
therein), to quote only a few for purposes of entry. Algorithms based on spher-
ical harmonic transforms have received considerable attention. Many realiza-
tions correspond to exact sampling theorems for a bandlimited signal. Clearly,
the fundamental property of any spherical sampling is the total number of
samples required to represent a bandlimited function exactly.
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