Numerical Methods with C++ Part 2: Gauss-Legendre Integration

Welcome back to a new post at In this post, I would like to discuss the Gauss integration algorithm, more precisely the Gauss-Legendre integration algorithm. The Gauss-Legendre integration is the most known form of the Gauss integrations. Others are

  • Gauss-Tschebyschow
  • Gauss-Hermite
  • Gauss-Laguerre
  • Gauss-Lobatto
  • Gauss-Kronrod

The idea of the Gauss integration algorithm is to approximate, similar to the Simpson Rule, the function f(x) by

f(x)=w(x) \cdot \phi (x)

While w(x) is a weighting function, \phi(x)  is a polynomial function (Legendre-Polynomials) with defined nodes x_i  which can be exactly integrated. A general form for a range of a-b looks like the following.

\int_{a}^{b} f(x) \mathrm{d} x \approx \frac{b-a}{2} \sum_{i=1}^{n} f\left(\frac{b-a}{2} x_{i}+\frac{a+b}{2}\right) w_{i}

The Legendre-Polynomials are defined by the general formula and its derivative


P_{n}^{\prime}(x)=\frac{n}{x^{2}-1}\left(x P_{n}(x)-P_{n-1}(x)\right)

The following image is showing the 3rd until the 7th Legendre Polynomials, the 1st and 2nd polynomials are just 1 and x and therefore not necessary to show.

First 5 Legendre Polynomials

Let’s have a closer look at the source code:

class LegendrePolynomial {
LegendrePolynomial(double lowerBound, double upperBound, size_t numberOfIterations)
: mLowerBound(lowerBound), mUpperBound(upperBound), mNumberOfIterations(numberOfIterations), mWeight(numberOfIterations+1), mRoot(numberOfIterations+1) {
const std::vector<double> & getWeight() const {
return mWeight;
const std::vector<double> & getRoot() const {
return mRoot;
const static double EPSILON;
struct Result {
double value;
double derivative;
Result() : value(0), derivative(0) {}
Result(double val, double deriv) : value(val), derivative(deriv) {}
void calculateWeightAndRoot() {
for(int step = 0; step <= mNumberOfIterations; step++) {
double root = cos(M_PI * (step-0.25)/(mNumberOfIterations+0.5));
Result result = calculatePolynomialValueAndDerivative(root);
double newtonRaphsonRatio;
do {
newtonRaphsonRatio = result.value/result.derivative;
root -= newtonRaphsonRatio;
result = calculatePolynomialValueAndDerivative(root);
} while (fabs(newtonRaphsonRatio) > EPSILON);
mRoot[step] = root;
mWeight[step] = 2.0/((1-root*root)*result.derivative*result.derivative);
Result calculatePolynomialValueAndDerivative(double x) {
Result result(x, 0);
double value_minus_1 = 1;
const double f = 1/(x*x-1);
for(int step = 2; step <= mNumberOfIterations; step++) {
const double value = ((2*step-1)*x*result.value-(step-1)*value_minus_1)/step;
result.derivative = step*f*(x*value – result.value);
value_minus_1 = result.value;
result.value = value;
return result;
const double mLowerBound;
const double mUpperBound;
const int mNumberOfIterations;
std::vector<double> mWeight;
std::vector<double> mRoot;
const double LegendrePolynomial::EPSILON = 1e-15;
double gaussLegendreIntegral(double a, double b, int n, const std::function<double (double)> &f) {
const LegendrePolynomial legendrePolynomial(a, b, n);
const std::vector<double> & weight = legendrePolynomial.getWeight();
const std::vector<double> & root = legendrePolynomial.getRoot();
const double width = 0.5*(b-a);
const double mean = 0.5*(a+b);
double gaussLegendre = 0;
for(int step = 1; step <= n; step++) {
gaussLegendre += weight[step]*f(width * root[step] + mean);
return gaussLegendre * width;

The integral is done by the gaussLegendreIntegral (line 69) function which is initializing the LegendrePolynomial class and afterward solving the integral (line 77 – 80). Something very interesting to note: We need to calculate the Legendre-Polynomials only once and can use them for any function of order n in the range a-b. The Gauss-Legendre integration is therefore extremely fast for all subsequent integrations.

The method calculatePolynomialValueAndDerivative is calculating the value (line 50) at a certain node x_i  and its derivative (line 51). Both results are used at method calculateWeightAndRoot to calculate the the node x_i  by the Newton-Raphson method (line 33 – 37).


The weight w(x)  will be calculated (line 40) by


As we can see in the screen capture below, the resulting approximation of

I=\int_0^{\pi/2} \frac{5}{e^\pi-2}\exp(2x)\cos(x)dx=1.0

is very accurate. We end up with an error of only -3.8151e^{-6}  . Gauss-Legendre integration works very good for integrating smooth functions and result in higher accuracy with the same number of nodes compared to Newton-Cotes Integration. A drawback of Gauss-Legendre integration might be the performance in case of dynamic integration where the number of nodes are changing.

Screen capture of program execution

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