Gauss-Hermite Quadrature

[JacobHass8]

I've been working on implementing sparse grid integration and came across Gauss-Hermite quadrature. It requires the zeros of Hermite polynomials, but these can be calculated easily using the Golub-Welsch algorithm. This is maybe 10 lines of code with Eigen.

Is there any interest in implementing this in Boost? I was thinking of implementing it to test my sparse grid implementation anyway.

[NAThompson]

This is a good idea and a nice feature to have. The reason why I stopped short of implementing this in the previous quadrature campaign was simply how many weight functions you can consider-it quite a huge task to do all of them.

That said, the $\exp(-x^2)$ is quite common and would be a very nice usecase.

You could also test out my polynomial roots class here to get the roots of the Hermite polynomials.

[JacobHass8]

That said, the exp ⁡ ( − x 2 ) is quite common and would be a very nice usecase.

That's what I was going to start with since it's easiest.

You could also test out my polynomial roots class here to get the roots of the Hermite polynomials.

I saw this and it was actually the reason I brought it up!

[NAThompson]

@JacobHass8 : Moved to the feature wishlist.