Question on Gaussian Quadrature

Lucetios · September 2nd, 2005, 1:49 pm

I am trying to understand the theory behind the Gaussian Quadrature in Numerical RecipesI have a question regarding the equation (4.5.8):x1, x2,...,xN are all roots of the polynomial. How can the equation (4.5.8) be of any value? all P0,P1,...,P(N-1) should be 0. What am I missing?Thanks in advance

rhmari · September 5th, 2005, 6:14 am

Hi,do u know how can i generate 3 independant brownian motions(BM) using Excel??i know how to use it for 2 BM(i use the function =NORMSINV(RAND()) ) but not for more...i think we have to use Bow Mullet Algorithm,but i don't see howthanks for your help...

Antonio · September 6th, 2005, 5:18 pm

In equation 4.5.8, only the Pj(xi), for j>=i are equal to 0. The first line, for instance isn't equal to athe zero line. For the last line, only the last term (Pn-1(xn)) is different from zero.Hence you have a triangular matrix, if I'm not wrong.