Past exam of the mathematics course of the University of Cambridge / 2009 / ii / Paper 1 / 2F (Topics in Analysis)

Define the Lagrange interpolation polynomialsDistinct interpolation nodes ensure every denominator is nonzero and $L_j(x_i)={\delta }_{ij}$. For a polynomial of degree at most $n-1$, the difference $P(x)-{\sum }_{j}P(x_j)L_j(x)$ has degree at most $n-1$ and vanishes at $n$ distinct points, so it is zero. Integrating this Lagrange interpolation identity proves the required exact quadrature formula. This also covers $n=1$, when the empty product is one and its weight is two.

Use Gaussian quadrature: choose the $n$ nodes as the roots of the degree-$n$ Legendre polynomial, which are distinct and inside $(-1,1)$. Retain the integrated Lagrange interpolation weights. With the standard normalization $P_n(1)=1$, they can be writtenThe orthogonality of the Legendre polynomial against all lower-degree polynomials makes this quadrature exact up to degree $2n-1$, twice the arbitrary-node degree apart from the endpoint count. This is the Gauss–Legendre choice of Gaussian quadrature nodes and weights.