Möbius-Transformed Trapezoidal Rule

Abstract: We study numerical integration by combining the trapezoidal rule with a M\"obius transformation that maps the unit circle onto the real line. We prove that the resulting transformed trapezoidal rule attains the optimal rate of convergence if the integrand function lives in a weighted Sobolev space with a weight that is only assumed to be a positive Schwartz function decaying monotonically to zero close to infinity. Our algorithm only requires the ability to evaluate the weight at the selected nodes, and it does not require sampling from a probability measure defined by the weight nor information on its derivatives. In particular, we show that the M\"obius transformation, as a change of variables between the real line and the unit circle, sends a function in the weighted Sobolev space to a periodic Sobolev space with the same smoothness. Since there are various results available for integrating and approximating periodic functions, we also describe several extensions of the M\"obius-transformed trapezoidal rule, including function approximation via trigonometric interpolation, integration with randomized algorithms, and multivariate integration.