A new factorization of the Hermite transform matrix into diagonal and orthogonal parts, obtained from the Jacobi matrix eigendecomposition, produces a stable and efficient algorithm for Hermite function expansions.
A fast Hermite transform.Theor
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Stable Hermite transforms via the Golub-Welsch algorithm
A new factorization of the Hermite transform matrix into diagonal and orthogonal parts, obtained from the Jacobi matrix eigendecomposition, produces a stable and efficient algorithm for Hermite function expansions.