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arXiv · 2007.15057

Tanh-sinh quadrature for single and multiple integration using floating-point arithmetic

Joren Vanherck·Bart Sorée·Wim Magnus
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Abstract

The problem of estimating single- and multi-dimensional integrals, with or without end-point singularities, is prevalent in all fields of scientific research, and in particular in physics. Although tanh-sinh quadrature is known to handle most of these cases excellently, its use is not widely spread among physicists. Moreover, while most calculations are limited by the use of finite-precision floating-point arithmetic, similar considerations for tanh-sinh quadrature are mostly lacking in literature, where infinite-precision floating-point numbers are often assumed. Also little information is available on the application of tanh-sinh quadrature to multiple integration. We have investigated the risks and limitations associated with limited-precision floating-point numbers when using tanh-sinh quadrature for both single and multiple integration, while obtaining excellent convergence rates. In addition, this paper provides recommendations for a straightforward implementation using limited-precision floating-point numbers and for avoiding numerical instabilities.

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Joren Vanherck, Bart Sorée, Wim Magnus. 2020-07-28. Tanh-sinh quadrature for single and multiple integration using floating-point arithmetic. https://arxiv.org/abs/2007.15057

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