Error estimation in automatic quadrature routines

Authors:
Jarle Berntsen;Terje O. Espelid
Affiliations:
Univ. of Bergen, Bergen, Norway;Univ. of Bergen, Bergen, Norway
Venue:
ACM Transactions on Mathematical Software (TOMS)
Year:
1991

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Abstract

A new algorithm for estimating the error in quadrature approximations is presented. Based on the same integrand evaluations that we need for approximating the integral, one may, for many quadrature rules, compute a sequence of null rule approximations. These null rule approximations are then used to produce an estimate of the local error. The algorithm allows us to take advantage of the degree of precision of the basic quadrature rule. In the experiments we show that the algorithm works satisfactorily for a selection of different quadrature rules on all test families of integrals.