Filon--Clenshaw--Curtis Rules for Highly Oscillatory Integrals with Algebraic Singularities and Stationary Points

Abstract

In this paper we propose and analyze composite Filon--Clenshaw--Curtis quadrature rules for integrals of the form $I_{k}^{[a,b]}(f,g) := \int_a^b f(x) \exp(\mathrm{i}kg(x)) \mathrm{d} x $, where $k \geq 0$, $f$ may have integrable singularities, and $g$ may have stationary points. Our composite rule is defined on a mesh with $M$ subintervals and requires $MN+1$ evaluations of $f$. It satisfies an error estimate of the form $C_N k^{-r} M^{-N-1 + r}$, where $r$ is determined by the strength of any singularity in $f$ and the order of any stationary points in $g$ and $C_N$ is a constant which is independent of $k$ and $M$ but depends on $N$. The regularity requirements on $f$ and $g$ are explicit in the error estimates. For fixed $k$, the rate of convergence of the rule as $M \rightarrow \infty$ is the same as would be obtained if $f$ was smooth. Moreover, the quadrature error decays at least as fast as $k \rightarrow \infty$ as does the original integral $I_{k}^{[a,b]}(f,g)$. For the case of nonlinear oscillators $g$, the algorithm requires the evaluation of $g^{-1}$ at nonstationary points. Numerical results demonstrate the sharpness of the theory. An application to the implementation of boundary integral methods for the high-frequency Helmholtz equation is given.