On sensitivity of Gauss-Christoffel quadrature

In numerical computations the question how much does a function change under perturbations of its arguments is of central importance. In this work, we investigate sensitivity of Gauss-Christoffel quadrature with respect to small perturbations of the distribution function. In numerical quadrature, a definite integral is approximated by a finite sum of functional values evaluated at given quadrature nodes and multiplied by given weights. Consider a sufficiently smooth integrated function uncorrelated with the perturbation of the distribution function. Then it seems natural that given the same number of function evaluations, the difference between the quadrature approximations is of the same order as the difference between the (original and perturbed) approximated integrals. That is perhaps one of the reasons why, to our knowledge, the sensitivity question has not been formulated and addressed in the literature, though several other sensitivity problems, motivated, in particular, by computation of the quadrature nodes and weights The work of the first author was supported by the National Science Foundation under Grants CCR-0204084 and CCF-0514213. The work of the other two authors was supported by the Program Information Society under project 1ET400300415 and by the Institutional Research Plan AV0Z100300504. Dianne P. O’Leary Dept. of Computer Science and Institute for Advanced Computer Studies, University of Maryland, College Park, MD 20742 E-mail: [email protected] Zdeněk Strakoš Institute of Computer Science, Academy of Sciences of the Czech Republic, and Faculty of Mathematics and Physics, Charles University, Prague E-mail: [email protected] Petr Tichý Institute of Computer Science, Academy of Sciences of the Czech Republic, Prague, in the years 2003-2006 on leave at the Institute of Mathematics, TU Berlin, Germany E-mail: [email protected] 2 Dianne P. O’Leary et al. from moments, have been thoroughly studied by many authors. We survey existing particular results and show that even a small perturbation of a distribution function can cause large differences in Gauss-Christoffel quadrature estimates. We then discuss conditions under which the Gauss-Christoffel quadrature is insensitive under perturbation of the distribution function, present illustrative examples, and relate our observations to known conjectures on some sensitivity problems.