On the evaluation of prolate spheroidal wave functions and associated quadrature rules

TL;DR

This paper introduces efficient numerical algorithms for evaluating prolate spheroidal wave functions (PSWFs) and constructing quadrature rules, enabling fast, accurate computations for bandlimited functions, especially for large band limits.

Contribution

The paper presents new, simple, and efficient algorithms for evaluating PSWFs and their eigenvalues, and for creating quadrature rules, improving computational speed for large band limits.

Findings

Evaluation of the nth eigenvalue requires O(n + c log c) operations

Quadrature rule construction requires O(c) operations

Algorithms achieve results to machine precision

Abstract

As demonstrated by Slepian et. al. in a sequence of classical papers, prolate spheroidal wave functions (PSWFs) provide a natural and efficient tool for computing with bandlimited functions defined on an interval. Recently, PSWFs have been becoming increasingly popular in various areas in which such functions occur - this includes physics (e.g. wave phenomena, fluid dynamics), engineering (signal processing, filter design), etc. To use PSWFs as a computational tool, one needs fast and accurate numerical algorithms for the evaluation of PSWFs and related quantities, as well as for the construction of corresponding quadrature rules, interpolation formulas, etc. During the last 15 years, substantial progress has been made in the design of such algorithms. However, many of the existing algorithms tend to be relatively slow when $c$ is large (e.g. c>10^4). In this paper, we describe several numerical algorithms for the evaluation of PSWFs and related quantities, and design a class of PSWF-based quadratures for the integration of bandlimited functions. While the analysis is somewhat involved and will be published separately, the resulting numerical algorithms are quite simple and efficient in practice. For example, the evaluation of the $n$th eigenvalue of the prolate integral operator requires $O(n+c \cdot \log c)$ operations; the construction of accurate quadrature rules for the integration (and associated interpolation) of bandlimited functions with band limit $c$ requires $O(c)$ operations. All algorithms described in this paper produce results essentially to machine precision. Our results are illustrated via several numerical experiments.