Is Gauss quadrature better than Clenshaw-Curtis?

Abstract

We consider the question of whether Gauss quadrature, which is very famous, is more powerful than the much simpler Clenshaw-Curtis quadrature, which is less well-known. Seven-line MATLAB codes are presented that implement both methods, and experiments show that the supposed factor-of-2 advantage of Gauss quadrature is rarely realized. Theorems are given to explain this effect. First, following Elliott and O'Hara and Smith in the 1960s, the phenomenon is explained as a consequence of aliasing of coefficients in Chebyshev expansions. Then another explanation is offered based on the interpretation of a quadrature formula as a rational approximation of in the complex plane. Gauss quadrature corresponds to Pade approximation at . Clenshaw-Curtis quadrature corresponds to an approximation whose order of accuracy at is only half as high, but which is nevertheless equally accurate near .