Suppose you have a function $f$ on an interval:

x = chebfun('x');
f = @(x) x.*sin(2*exp(2*sin(2*exp(2*x))));
fc = chebfun(f);
LW = 'linewidth'; FS = 'fontsize'; MS = 'markersize';
figure, plot(fc,LW,1.2)
title('Function f',FS,16) In Chebfun you would normally compute the integral like this:

format long
Ichebfun = sum(fc)
Ichebfun =
0.336732834781728


Chebfun's method is Clenshaw-Curtis quadrature, i.e., the integration of the polynomial representing $f$ by interpolation or piecewise interpolation in Chebyshev points. Here is the number of quadrature points:

Npts = length(fc)
Npts =
659


If we wanted, we could also perform the integration by explicitly extracting the Clenshaw-Curtis nodes and weights, like this:

[s,w] = chebpts(Npts);
Iclenshawcurtis = w*f(s)
Iclenshawcurtis =
0.336732834781727


Or we could try Gauss quadrature with the same number of points and weights.

[s,w] = legpts(Npts);
Igauss = w*f(s)
Igauss =
0.336732834781727


Though this value of Npts is in the hundreds, Chebfun can handle values in the millions without difficulty. This is achieved by the algorithm of Hale and Townsend . See the Example quad/GaussQuad.

Let's take a look at the accuracy as a function of Npts. Gauss quadrature converges geometrically, since $f$ is analytic (, Theorem 19.3).

figure, tic, err = [];
NN = 10:10:500;
for Npts = NN
[s,w] = legpts(Npts);
Igauss = w*f(s);
err = [err abs(Igauss-Ichebfun)];
end
semilogy(NN,err,'.-',LW,1,MS,16), grid on
ylim([1e-18 1])
xlabel('Npts',FS,12), ylabel('Error',FS,12)
title('Gauss quadrature convergence',FS,16), toc
Elapsed time is 0.165843 seconds. Let's add another curve to the plot for Clenshaw-Curtis:

hold on, tic, err = [];
for Npts = NN
[s,w] = chebpts(Npts);
Iclenshawcurtis = w*f(s);
err = [err abs(Iclenshawcurtis-Ichebfun)];
end
semilogy(NN,err,'.-r',LW,1,MS,16)
title('Gauss and Clenshaw-Curtis',FS,16)
legend('Gauss','Clenshaw-Curtis','location','southwest'), toc
Elapsed time is 0.909083 seconds. Clenshaw-Curtis quadrature also converges geometrically for analytic functions (, Theorem 19.3). In some circumstances Gauss converges up to twice as fast as C-C, with respect to Npts, but as this example suggests, the two formulas are often closer than that. The computer time is often faster with C-C. For details of the comparison, see , , and Chapter 19 of .

1. N. Hale and A. Townsend, Fast and accurate computation of Gauss-Legendre and Gauss-Jacobi quadrature nodes and weights, SIAM Journal on Scientific Computing, 35 (2013), A652-A672.

2. L. N. Trefethen, Is Gauss quadrature better than Clenshaw-Curtis?, SIAM Review 50 (2008), 67-87.

3. L. N. Trefethen, Approximation Theory and Approximation Practice, SIAM, 2013.

4. J. A. C. Weideman and L. N. Trefethen, The kink phenomenon in Fejer and Clenshaw-Curtis quadrature, Numerische Mathematik, 107 (2007), 707-727.