Nonlinear Optimization Procedure for Generalized Gaussian Quadratures

摘要

We present a new nonlinear optimization procedure for the computation of generalized Gaussian quadratures for a broad class of functions. While some of the components of this algorithm have been previously published, we present a simple and robust scheme for the determination of a sparse solution to an underdetermined nonlinear optimization problem which replaces the continuation scheme of the previously published works. The performance of the resulting procedure is illustrated with several numerical examples.