Gauss-Hermite Quadrature - #1461
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@JacobHass8 : Yeah, we've done guarded Eigen includes in this library many times. I think it's acceptable for sure. |
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I added root finding after the Golub-Welsch algorithm runs to further refine the roots. It doesn't look like the parameters moved that much. If someone tries to use higher N it might help. I did a couple of spot checks against Mathematica and the current values match to 100 digits. |
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Before continuing with this PR I wanted to get some feedback on the approach I took. For Gauss-Hermite quadrature, I need the roots of the Hermite polynomials. For small N, I found it's common to use the Golub-Welsch algorithm which finds the roots via the eigenvalues of a matrix. To find the eigenvalues, I used the
Eigenlibrary guarded behind a__has_include. I figured this was okay since I generated and saved the same abscissa/weights as was in gauss.hpp. @NAThompson do you have any thoughts?If this is okay, I'll press on with writing some tests.