Numerics of Special Functions, Nico M. Temme

Numerics of Special Functions
Nico M. Temme
Nico.Temme@cwi.nl
CWI, Amsterdam
Numerics of Special Functions, IMA, Special Functions in the Digital Age, July 2002 p.1/65
Contents
Literature
Contents
Literature
Some simple experiences
Contents
Literature
Numerical aspects
Contents
Literature
Numerical aspects
Numerical methods
Contents
Literature
Numerical aspects
Numerical methods
New approaches
Contents
Literature
Numerical aspects
Numerical methods
New approaches
Why is new software needed ?
Contents
Literature
Numerical aspects
Numerical methods
New approaches
What has to be done ?
Contents
Literature
Numerical aspects
Numerical methods
New approaches
Present project
Literature
W. Gautschi (1975): Computational methods in special
functions - A survey.
Y.L. Luke (1969): The special functions and their
approximations.
Y.L. Luke (1977): Algorithms for the computation of
special functions.
C.G. van der Laan & N.M. Temme (1984): Calculation
of special functions.
D.W. Lozier & F.W.J Olver (1994) (and updates):
Numerical evaluation of special functions.
Literature, Methods and Software

Baker (1992), Moshier (1989), Thompson (1997),
Zhang & Jin (1996), Numerical Recipes
Maple, Mathematica, Matlab, Macsyma
Collections of algorithms: NAG, IMSL, SLATEC, CERN
Published algorithms: ACM, CPC, Applied Statistics
Repositories: GAMS at NIST, Netlib

How to compute an integral ?
Another integral
Exponential integral: Ei(x) or Ei(z) ?
Take a special case
Scaling
Extra elementary functions
Example: Beta integral
Example: Confluent hypergeometric function

Consider
F () =
t +2i t2 +1
dt.
Maple 7, for = 10, gives

F (10) = .1837516481 + .5305342893i.

Consider
F () =
t +2i t2 +1
dt.
Maple 7, for = 10, gives

F (10) = .1837516481 + .5305342893i.
With Digits = 40, the answer is

F (10) = .1837516480532069664418890663053408790017+
+0.5305342892550606876095028928250448740020i.
Take another integral, which is almost the same:

Z
Z
t2 +2i t2 +1
t2 +2it
F () =
e
dt = G() =
e
dt.
Maple 7, for = 10, gives G(10) = .1387778781 1015 .

Z
Z
t2 +2i t2 +1
t2 +2it
F () =
e
dt = G() =
e
dt.
Maple 7, for = 10, gives G(10) = .1387778781 1015 .

With Digits = 40, the answer is G(10) = .16 1042 .

Z
Z
t2 +2i t2 +1
t2 +2it
F () =
e
dt = G() =
e
dt.
Maple 7, for = 10, gives G(10) = .1387778781 1015 .
With Digits = 40, the answer is G(10) = .16 1042 .

2
The correct answer is G() = e
and for = 10 we
have G(10) = 0.6593662989 1043 .
The message is: one should have some feeling about the
computed result.
Otherwise a completely incorrect answer can be accepted.
Mathematica is more reliable here, and says:
"NIntegrate failed to converge to prescribed accuracy after
7 recursive bisections in t near t = 2.9384615384615387".
By the way, ask Maple 7 to do the following integral

Z
2
t +2i t2
H() =
e
dt,
and the funny answer is, after some simplification,

2
H() = e [1 + signum(t) erf i],
where erf z is the error function.
Another integral
Consider
F (u) =
uit
dt
,
t1i
u > 0.
Numerical quadrature gives F (2) = 0.934349 0.70922i.

Mathematica 4.1 gives for u = 2 in terms of the Meijer
G-function:
!
1
0,
2 ; 2 2i .
F (2) = G2,1
2,3
0, 0, 12
Mathematica evaluates: F (2) = 0.547745 0.532287i.
Ask Mathematica to evaluate F (u):

F (u) = eiuu (0, iu u).
This gives F (2) = 0.16114 0.355355i.

So, we have three numerical results:
F1 = 0.934349 0.70922i,
F2 = 0.547745 0.532287i,
F3 = 0.16114 0.355355i.
Observe that F2 = (F1 + F3 )/2. F1 is correct.

Maple:
F (u) = eiuu Ei(1, iu u) = eiuu (0, iu u)],
same as Mathematica. This is a wrong answer.

Next, Maple, after simplification, in terms of exponential
integrals:
F (2) = e2i2 Ei(1, 2i 2) + 2ie2i2 ,
giving F (2) = .9343493870 .7092195099i, which is the

correct answer.
Exponential integral:
Ei(x) or Ei(z) ?
The exponential integrals are defined by
E1 (z) =
z
et
dt,
t
|ph z| < ,
Ei(x) =
x
Ei(x) =
x
x et
et
dt =
dt,
t
t
et
dt = E1 (x),
t
x > 0,
x < 0.
Maple requires real x in Ei(x), as is in agreement with this definition.

Mathematica accepts complex z in Ei(z), although The Mathematica Book (4th Ed., p. 765)
defines Ei(z) only for z > 0 by using a principal value integral. This is confusing.
The same happens in Gradshteyn & Ryzhik (Sixth Ed.): Ei(x) is only defined as above;
there is no proper definition of the exponential integral for complex argument.
Take a special case

Parabolic cylinder functions are special cases of the 1 F1
functions, Kummer functions or Whittaker functions.
The Mathematica Book (4th Ed., p. 765) advises to use

U (a, z) = 2a/2 z 1/2 Wa/2,1/4 12 z 2 ,
but this is useless when z < 0.
Maple 7 uses the representations in terms of 1 F1 functions,
but this becomes very unstable when the parameters are
"large".
Scaling
The function (z) defined by
(z) = 2z z1/2 ez (z),

1
1
+
+ . . . , z ,
(z) 1 +
2
12z 288z
can be computed within machine precision for almost all
complex z . The precision in the gamma function itself
follows from the evaluation of the elementary function
2z z1/2 ez .
To avoid underflow and overflow, and to control accuracy, it

is very important to have scaled functions like (z)
available.
The same holds for Bessel functions, parabolic cylinder

functions, and so on.
f
The scaled Airy function Ai(z)
defined by
Ai(z) = e
32 z 3/2
f
Ai(z)
can be computed very accurate for complex z (not close to

zeros of Ai(z)).
2 3/2
The scaling factor e 3 z completely determines the

accuracy if z is large and complex.
Again, scaled functions are very useful to avoid underflow
and overflow, and to control accuracy.
Extra elementary functions

We have standard codes for
sin x,
ln x,
arctan x,
ex , . . .
but usually not for

sin x x
,
3
x
ln(1 + x)
,
x
arctan x x
,
3
x
ex 1
,...
x
for small values of x. It is not difficult to write efficient codes

(by using power series, for example). A standard package
for this type of elementary functions would be very useful.
Example: Beta integral

The Beta integral can be written in the form
r
q
p
(p)(q)
p + q (p) (q) p ln(1 p+q
)+q ln(1 p+q
)
.
= 2
e
(p + q)
pq (p + q)
When p + q is large, all quantities at the right-hand side can
be computed in good relative precision if codes for ln(1 + x)
(for small x) and (x) (for large x) are available.
Example: Confluent hypergeometric function

The standard solution of Kummers equation that is singular
at the origin can be written in the form

1 F1 (a; c; z)
1c 1 F1 (1 + a c; 2 c; z)
z
U (a, c, z) =
.
sin c (1 + a c)(c)
(a)(2 c)
For small z this can be used for computations.
However, for integer values of c, problems arise.
A careful analysis is needed to avoid numerical
cancellations.
We have
U (a, c, z) =
fk xk ,
k=0
where
(1 c)
1
=
,
f0 =
sin c (1 + a c)(c)
(1 + a c)
and

z c
a
f1 =
.
sin c (1 + c)(1 + a c) (a)(2 c)
For small values of c the coefficient f1 is difficult to compute.

An expansion in powers of c is not doable, because of all

higher derivatives of the gamma function.
The computation of f1 can be done if we have an algorithm
for

1
1
1
1 ( + )
1
, or
( ) ( + )
( )
for small values of ||, C.
The remaining fk can be obtained from recursions, if f1 is
available.
Numerical aspects
Fixed precision or variable precision
Insight in function behavior
Selecting analytical tools
Selecting numerical methods
Stability of the algorithms
Efficiency of the algorithms
Underflow, overflow, scaling
Testing
High quality software
Fixed precision or variable precision

Fixed precision: efficiency
Variable precision: greater challenge
Insight in function behavior

Numerically satisfactory pair of solutions
Singular points, turning points
Influence of additional parameters
Stable representations
Selecting analytical tools

Are power series available ?
Are asymptotic expansions available ?
Are these uniform with respect to parameters ?
Are new expansions needed ?
Are integrals well conditioned ?
Are connection formulas available ?
Selecting numerical methods

Power series: convergent, asymptotic
Recursions, linear difference equations
Chebyshev expansions
Continued fractions
Quadrature: Gauss, trapezoidal
Uniform asymptotic expansions
Differential equations
Rational approximations, Pad, Chebyshev sense
Convergence acceleration
Stability of the algorithms

Rigorous error analysis ?
Connection formulas
An important source of errors: elementary functions
with large complex arguments
Efficiency of the algorithms

One universal algorithm ?
Power series if possible ?
Underflow, overflow, scaling

Avoid underflow or overflow by scaling
Discontinuous scaling factors may occur
Testing scaled functions: no guarantee
Testing
Wronskian relations
Contiguous relations
Other functional identities
Testing by using overlapping domains
Testing with multiple-precision algorithms
Comparison against a standard
Lozier (1996) Test service and reference software
High quality software

Refereed articles
Refereed software
Concern: maintenance
Numerical methods
Continued fractions
Quadrature, Gauss, trapezoidal
Rational approximations, Pad, Chebyshev sense

Estimating remainders
"Convergence" of asymptotic expansions
Domains: Where to use the series ?
Meaning of asymptotic expansions

Consider the expansion of the Kummer function:
#
"R1

ez z ac X (c a)n (1 a)n
1 F1 (a; c; z)
R
=
+
O
|z|
+
n
(c)
(a)
n! z
n=0
z a
(c a)
"S1
X (1)n (a)n (1 + a c)n
n=0
n! z n

+ O |z|S
#

eia ,
This expansion is valid for large complex z in certain

sectors, but also for positive z .

#
"R1

1 F1 (a; c; z)
R
=
+
O
|z|
+
n
(c)
(a)
n! z
n=0
z a
(c a)
"S1
X (1)n (a)n (1 + a c)n
n=0
n! z n

+ O |z|S
#

eia

Observe that eia is a complex quantity.

#
"R1

1 F1 (a; c; z)
R
=
+
O
|z|
+
n
(c)
(a)
n! z
n=0
z a
(c a)
"S1
X (1)n (a)n (1 + a c)n
n=0
n! z n

+ O |z|S
#

eia

Observe that eia is a complex quantity.
If z > 0, a and c are real: Does this formula give a complex
approximation of a real function ?

First and second order difference equations
Stability analysis
Backward recursion
Nonlinear recursions: Gauss, Landen, AGM
Clenshaw, Luke: one variable, tabled coefficients
Luke: hypergeometric functions
(z)a U (a, c, z) =
Cn (z)Tn (1/),
n=0
where Tn is the shifted Chebyshev polynomial, 1 ,

z 6= 0, |ph z| < 3/2.
The coefficients Cn (z) are known as Meijers G function,
and Cn (z) satisfy a third order linear difference equation
If |ph z| < the Cn (z) can be computed by using a
backward recursion scheme.
Continued fractions
Upper and lower approximations
Transformations
Stopping criterion
Anomalous convergence (Gautschi (1977))
Quadrature, Gauss, trapezoidal

Gauss quadrature: for fixed precision
Trapezoidal rule: more flexible
Select suitable contours: avoid strong oscillations
G() =
t +2it
dt = e
s2
ds.

Computation of coefficients
Domains: Where to use the expansions ?
Main approximants: higher transcendentals
For example, the Airy-type expansion for the J Bessel
function: as
"
#
0
Ai( 2/3 ) X As () Ai ( 2/3 ) X Bs ()
J (z) ()
+
,
2s
2s
1/3
5/3
s=0
s=0
() =
4
1 z2
1/4
2 3/2
1 + 1 z2 p
= ln
1 z2.
z
Stability
Direction of integration
Parallel integration (Lozier & Olver (1993))
Higher order linear equations
Lanczos method (Coleman, Rappoport)
Chebyshev sense
Rational approximations, Pade,
Cody and co-workers: one variable rational
approximations
Pad: applicable when coefficients can be obtained
easily
Luke: tabled coefficients
Summing slowly convergent series
Summing divergent asymptotic series
Brezinski, Weniger
Special examples show impressive results
New approaches
Elementary functions: rigorous bounds
Multiple-precision computations
Unrestricted algorithms, error analysis
Methods for computing symmetric integrals
New packages for special functions
Elementary functions: rigorous bounds

Cody & Waite (1980)
Table-lookup algorithms ((Tang (1991), Rump (2001))
Zimmerman (France): The MPFR library
(www.mpfr.org)
Cuyt & Verdonk (Belgium): continued fraction approach
Multiple-precision computations
Brent (1978): Fortran
Several packages in C, C++
Maple, Mathematica, ...
Methods for computing symmetric integrals

Main application: elliptic integrals.
Carlsons method: To iterate the duplication theorem and
then sum a five degree power series.
The symmetric integrals are of the form:
Z
1
RF (x, y, z) =
[(t + x)(t + y)(t + z)]1/2 dt,
2 0
Z
3
RJ (x, y, z) =
[(t + x)(t + y)(t + z)]1/2 (t + p)1 dt,
2 0
The algorithms are very efficient and reliable.
New packages for special functions

Gautschi (1994): ORTHOPOL, also for Gauss-type
quadrature rules
Koepf (1999): orthogonal polynomials, hypergeometric
functions (numerics and symbolic)
Zeilberger (1990, ...) (and others): hypergeometric
identities

Are other software efforts still needed with the libraries of
Mathematica and Maple available ?
A few remarks:
Refereed software
Repositories of free software
Fast algorithms in Fortran77, Fortran90, C, C++

Reliable software for large parameter cases
Appropriate scaling to avoid underflow and overflow
Complex variables
The land beyond Bessel
Integrals of special functions
q special functions ?
Present project
(In collaboration with Amparo Gil and Javier Segura,
Madrid).
Airy functions
Scorer functions
Kia (x), <Iia (x), x > 0, a IR
Parabolic cylinder functions for real arguments

Main tool: quadrature of integrals on complex contours,
with saddle point analysis
Quadrature of integrals
A simple example is:
Z
Z
t2 +2it
2
G() =
e
dt = e
s2
ds.
This makes sense, because

The new integral is real, without oscillations
The dominant term
is in front of the new integral
The function Kia(x)

An integral representation:
Z
Kia (x) =
ex cosh w+iaw dw.
Consider the case 0 a < x for which values Kia (x) > 0,
although strong oscillations occur in the integral when a, x
are both large.
Deform the contour such that no oscillations occur.
Write w = u + iv ; we have
x cosh w + iaw = x cosh u cos v av + i(x sinh u sin v + au).
Take the imaginary part equal to zero.

/2
v0
This happens when, see the figure,

a u
v = arcsin
.
x sinh u
The contour runs through the saddle point at

a
v0 = arcsin
.
x
Integrate along this contour. Then, for 0 a < x,

Z
Z
Kia (x) =
e(u) f (u) du = e(0)
e[(u)(0)] du
where
(u) = x cosh u cos v + av,
and f (u) =
dw
du
dv
= 1 + i du
.
(0) =
x2 a2 + a arcsin(a/x),
The function (u) is positive. The factor e(0) gives the

dominant term in the asymptotic behaviour.
Trapezoidal rule
b
a
n1
1
f (t) dt = h[f (a) + f (b)] + h
f (h j) + Rn ,
2
j=1
h=
ba
.
n
Compared with Gauss quadrature: very flexible;

precomputed zeros and weights are not needed.
Trapezoidal rule
b
a
n1
1
f (t) dt = h[f (a) + f (b)] + h
f (h j) + Rn ,
2
j=1
h=
ba
.
n

Error term, for some (a, b):
n h3 00
Rn =
f ().
12
Trapezoidal rule
b
a
n1
1
f (t) dt = h[f (a) + f (b)] + h
f (h j) + Rn ,
2
j=1
h=
ba
.
n

Error term, for some (a, b):
n h3 00
Rn =
f ().
12
Adaptive algorithm: use previous function values

(h h/2).
Example: fast convergence

Take as an example the Bessel function (h = /n, x = 5)
J0 (x) =
cos(x sin t) dt = h + h
n1
X
cos [x sin(h j)] + Rn ,
j=1
Rn
.12 100
.48 106
16
.11 1021
32
.13 1062
64
.13 10163
128
.53 10404
Much better than the estimate of Rn . Explanation:

periodicity and smoothness.
The remainder: smooth and periodic

In fact we have
Theorem
If f (t) is periodic and has a continuous k th derivative, and if

the integral is taken over a period, then
constant
|Rn |
.
k
n
Bessel function: we can take any k .

See Luke (1969) (Vol. II, p. 218). Krumhaar (1965) derives:
|Rn | 2ex/2
(x/2)2n
,
(2n)!
which is quite realistic for the value of x we chose.

The trapezoidal rule on IR

For integrals over IR the trapezoidal rule may again be very
efficient and accurate.
Consider
Z
f (t) dt = h
f (hj + d) + Rd (h)
j=
where h > 0 and 0 d < h.

We use this for functions analytic in the strip:
Ga = {z = x + iy
x IR, a < y < a}.
A class of analytic functions

Let Ha denote the linear space of functions f : Ga C,
which are bounded in Ga and for which
lim f (x + iy) = 0
(uniformly in |y| a) and

Ma (f ) =
lim
ba
|f (x ia)| dx =
|f (x ib)| dx < .
The error is exponentially small

Theorem
Let f Ha for some a > 0, and f even. Then

ea/h
Ma (f ),
|Rd (h)|
sinh(a/h)
for any y with 0 < y < a.

Proof
The proof is based on residue calculus.

See [13] (Vol. II, p. 217).
Example: modified Bessel function

Consider the modified Bessel function
Z
1
K0 (x) =
ex cosh t dt.
2
We have, with d = 0,
1
e K0 (x) = h + h
2
x
ex(cosh(hj)1) + R0 (h).
j=1
For x = 5 and several values of h we obtain (j0 denotes the

number of terms used in the series)
h
1
1/2
1/4
1/8
1/16
1/32
1/64
j0
2
5
12
29
67
156
355
R0 (h)
.18 101
.24 106
.65 1015
.44 1032
.19 1066
.55 10136
.17 10272
Fast convergent; easy to program

We see in this example that, halving the value of h gives
a doubling of the number of significant digits.
Roughly speaking, a doubling of the number of terms
needed in the series.
When programming this method, observe that when
halving h, previous function values can be used.
Details on error bounds for the remainder in this
example follow from Luke (1969).
Concluding remarks
There is a need for refereed software in the open
literature; further activities are needed.
Concluding remarks
Maple and Mathematica are doing a great job, in
particular in connection with multiple-precision
numerics for special functions.
Concluding remarks
Sometimes the approaches in M&M are too general;
the user should be alert when using these packages.
Concluding remarks
Sometimes the approaches in M&M are too general;
the user should be alert when using these packages.
For large variables and complex variables, quadrature
methods for contour integrals are useful tools; ideas
from asymptotic analysis are very fruitful here.
Thanks to ...
Thanks to
Frdric Goualard,
who developed
prosper
Thanks to ...
Thanks to
Frdric Goualard,
who developed
prosper
A new LATEXclass to produce high quality slides

See also SIAM News, December 2001 and
http://prosper.sourceforge.net

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Numerics of Special Functions

Literature, Methods and Software

Some simple experiences

How to compute an integral ?

Maple 7, for = 10, gives

How to compute an integral ?

Maple 7, for = 10, gives

With Digits = 40, the answer is

Take another integral, which is almost the same:

Maple 7, for = 10, gives G(10) = .1387778781 1015 .

Take another integral, which is almost the same:

Maple 7, for = 10, gives G(10) = .1387778781 1015 .

Take another integral, which is almost the same:

Maple 7, for = 10, gives G(10) = .1387778781 1015 .

With Digits = 40, the answer is G(10) = .16 1042 .

By the way, ask Maple 7 to do the following integral

and the funny answer is, after some simplification,

where erf z is the error function.

Numerical quadrature gives F (2) = 0.934349 0.70922i.

Ask Mathematica to evaluate F (u):

This gives F (2) = 0.16114 0.355355i.

Observe that F2 = (F1 + F3 )/2. F1 is correct.

same as Mathematica. This is a wrong answer.

giving F (2) = .9343493870 .7092195099i, which is the

The exponential integrals are defined by

Maple requires real x in Ei(x), as is in agreement with this definition.

Take a special case

(z) = 2z z1/2 ez (z),

To avoid underflow and overflow, and to control accuracy, it

The same holds for Bessel functions, parabolic cylinder

can be computed very accurate for complex z (not close to

The scaling factor e 3 z completely determines the

Extra elementary functions

but usually not for

for small values of x. It is not difficult to write efficient codes

Example: Beta integral

Example: Confluent hypergeometric function

For small values of c the coefficient f1 is difficult to compute.

An expansion in powers of c is not doable, because of all

Fixed precision or variable precision

Insight in function behavior

Selecting analytical tools

Selecting numerical methods

Stability of the algorithms

Efficiency of the algorithms

Underflow, overflow, scaling

High quality software

Power series: convergent, asymptotic

Meaning of asymptotic expansions

This expansion is valid for large complex z in certain

Meaning of asymptotic expansions

This expansion is valid for large complex z in certain

Meaning of asymptotic expansions

This expansion is valid for large complex z in certain

Recursions, linear difference equations

where Tn is the shifted Chebyshev polynomial, 1 ,

Quadrature, Gauss, trapezoidal

Uniform asymptotic expansions

Elementary functions: rigorous bounds

Methods for computing symmetric integrals

New packages for special functions

Why is new software needed ?

What has to be done ?

Parabolic cylinder functions for real arguments