A Simple “Filon-trapezoidal” rule
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which retains uniform accuracy even when co is so large that many oscillations of the integrand occur within a given element bt of the range of integration. The original Filon formula [1] was derived on the assumption that f(t), rather than the complete integrand, may be approximated stepwise by parabolas, so that it may be called a 'Filon-Simpson' rule. More sophisticated 'Filon' rules have appeared (e.g. [2], and the references quoted in [2]), but in fact with fast computers it is more useful to go in the other direction, towards the least sophisticated integration formula of all. The ordinary trapezoidal rule gives as an approximation
[1] L. Filon. III.—On a Quadrature Formula for Trigonometric Integrals. , 1930 .
[2] J. W. Tukey,et al. The Measurement of Power Spectra from the Point of View of Communications Engineering , 1958 .
[3] A. I. van de Vooren,et al. Numerical calculation of integrals with strongly oscillating integrand , 1966 .