Numerical Integration of Highly Oscillatory Functions with and without Stationary Points

Abstract

This paper proposes an original approach to calculating integrals of rapidly oscillating functions, based on Levin’s algorithm, which reduces the search for an anti-derivative function to solve an ODE with a complex coefficient. The direct solution of the differential equation is based on the method of integrating factors. The reduction in the original integration problem to a two-stage method for solving ODEs made it possible to overcome the instability that arises in the standard (in the form of solving a system of linear algebraic equations) approach to the solution. And due to the active use of Chebyshev interpolation when using the collocation method on Gauss–Lobatto grids, it is possible to achieve high speed and stability when taking into account a large number of collocation points. The presented spectral method of integrating factors is both flexible and reliable and allows for avoiding the ambiguities that arise when applying the classical method of collocation for the ODE solution (Levin) in the physical space. The new method can serve as a basis for solving ordinary differential equations of the first and second orders when creating high-efficiency software, which is demonstrated by solving several model problems.