Gauss Hermite quadrature rule

Version 1.3.0.0 (3.94 KB) by David Holdaway
generates zeros of a Hermite polynomial of degree n to tolerance "tol" and their associated weights.
4.0
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741 Downloads
Updated 14 Mar 2012

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Uses recursion relation to generate the Hermite function and finds zeros via change of sign and linear interpolation. If a tolerance is specified, the routine will call itself recursively with a finer grid until convergence is reached, or a maximum number of loops are performed (default 5).

Cite As

David Holdaway (2026). Gauss Hermite quadrature rule (https://www.mathworks.com/matlabcentral/fileexchange/35594-gauss-hermite-quadrature-rule), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
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Version Published Release Notes
1.3.0.0

fixed a bug where the script would crash from nmax odd
1.2.0.0

fixed ordering of convergence if statements
1.1.0.0

Stopped using Newtons method, convergence was buggy. New method appears to work fine.
Also added an alternative convergence condition of the maximum absolute uncertainty in zero position.
1.0.0.0