Computes Gauss-Hermite quadrature rule of requested order
using the Golub-Welsch algorithm. This is very fast and
numerically stable. It can handle quadrature of order
1000+.
Usage
rpf.GaussHermiteData(n)
Arguments
n
Order of Gauss-Hermite rule to compute (number
of nodes)
Value
A list containing the node positions (x) and the
quadrature weights (w) for the requested rule.
References
Golub, G. H. and Welsch, J. H. (1969). Calculation of
Gauss Quadrature Rules. Mathematics of Computation 23
(106): 221-230