Multidimensional Hermite-Gaussian quadrature formulae and their application to nonlinear estimation
A simplified technique is proposed for calculating multidimensional Hermite-Gaussian quadratures that involves taking the square root of a matrix by the Cholesky algorithm rather than computation of the eigenvectors of the matrix. Ways of reducing the dimension, number, and order of the quadratures are set forth. If the function f(x) under the integral sign is not well approximated by a low-order algebraic expression, the order of the quadrature may be reduced by factoring f(x) into an expression that is nearly algebraic and one that is Gaussian.