Juha Sarmavuori

Juha Sarmavuori, Simo Särkkä

In this article, numerical integration is formulated as evaluation of a matrix function of a matrix that is obtained as a projection of the multiplication operator on a finite-dimensional basis. The idea is to approximate the continuous spectral representation of a multiplication operator on a Hilbert space with a discrete spectral representation of a Hermitian matrix. The Gaussian quadrature is shown to be a special case of the new method. The placement of the nodes of numerical integration and convergence of the new method are studied.