Talbot quadratures and rational approximations

Many computational problems can be solved with the aid of contour integrals containing ez in the integrand: examples include inverse Laplace transforms, special functions, functions of matrices and operators, parabolic PDEs, and reaction-diffusion equations. One approach to the numerical quadrature of such integrals is to apply the trapezoid rule on a Hankel contour defined by a suitable change of variables. Optimal parameters for three classes of such contours have recently been derived: (a) parabolas, (b) hyperbolas, and (c) cotangent contours, following Talbot in 1979. The convergence rates for these optimized quadrature formulas are very fast: roughly O(3-N), where N is the number of sample points or function evaluations. On the other hand, convergence at a rate apparently about twice as fast, O(9.28903-N), can be achieved by using a different approach: best supremum-norm rational approximants to ez for z∈(–∞,0], following Cody, Meinardus and Varga in 1969. (All these rates are doubled in the case of self-adjoint operators or real integrands.) It is shown that the quadrature formulas can be interpreted as rational approximations and the rational approximations as quadrature formulas, and the strengths and weaknesses of the different approaches are discussed in the light of these connections. A MATLAB function is provided for computing Cody–Meinardus–Varga approximants by the method of Carathéodory–Fejér approximation.

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