Lecture 19 - Numerical Integration

CVEN 302
July 16, 2001

Lectures Goals


Trapezoidal Rule
Simpsons Rule
1/3 Rule
3/8 Rule
Midpoint
Gaussian Quadrature
Basic Numerical Integration
Basic Numerical Integration
We want to find integration of functions of
various forms of the equation known as the
Newton Cotes integration formulas.
Basic Numerical Integration
Weighted sum of function values
) x ( f c ) x ( f c ) x ( f c
) x ( f c dx ) x ( f
n n 1 1 0 0
i
n
0 i
i
b
a
+ + + =
~
=

x
0
x
1
x
n
x
n-1

x
f(x)
0
2
4
6
8
10
12
3 5 7 9 11 13 15
Numerical Integration
Idea is to do integral in small parts, like the way you
first learned integration - a summation
Numerical methods just try to make it faster and
more accurate
Numerical Integration
Newton-Cotes Closed Formulae -- Use
both end points
Trapezoidal Rule : Linear
Simpsons 1/3-Rule : Quadratic
Simpsons 3/8-Rule : Cubic
Booles Rule : Fourth-order
Newton-Cotes Open Formulae -- Use only
interior points
midpoint rule

Trapezoid Rule
Straight-line approximation
| | ) x ( f ) x ( f
2
h
) x ( f c ) x ( f c ) x ( f c dx ) x ( f
1 0
1 1 0 0 i
1
0 i
i
b
a
+ =
+ = ~
=
x
0
x
1

x
f(x)
L(x)
Trapezoid Rule

Lagrange interpolation
0 1
0 1
0 1 1 0
0 1
( ) ( ) ( )
dx
a x , b x , , d ;
h
0
( ) (1 ) ( ) ( ) ( )
1
x x x x
L x f x f x
x x x x
x a
let h b a
b a
x a
L f a f b
x b

= +

= = = = =

= =

= +
`
= =

)
Trapezoid Rule
Integrate to obtain the rule
| |
1
0
1 1
0 0
1 1
2 2
0 0
( ) ( ) ( )
( ) (1 ) ( )
( ) ( ) ( ) ( ) ( )
2 2 2
b b
a a
f x dx L x dx h L d
f a h d f b h d
h
f a h f b h f a f b

~ =
= +
= + = +
} } }
} }
Example:Trapezoid Rule
Evaluate the integral
Exact solution



Trapezoidal Rule
926477 . 5216 ) 1 x 2 ( e
4
1
e
4
1
e
2
x
dx xe
1
0
x 2
4
0
x 2 x 2
4
0
x 2
= =
(

=
dx xe
4
0
x 2
}
| |
% 12 . 357
926 . 5216
66 . 23847 926 . 5216
66 . 23847 ) e 4 0 ( 2 ) 4 ( f ) 0 ( f
2
0 4
dx xe I
8
4
0
x 2
=

=
= + = +

~ =
}
c
Simpsons 1/3-Rule
Approximate the function by a parabola
| | ) x ( f ) x ( f 4 ) x ( f
3
h
) x ( f c ) x ( f c ) x ( f c ) x ( f c dx ) x ( f
2 1 0
2 2 1 1 0 0 i
2
0 i
i
b
a
+ + =
+ + = ~

}
=
x
0
x
1

x
f(x)
x
2
h h
L(x)
Simpsons 1/3-Rule

= =
= =
= =
=

=
+
= = =


+


+


=
1 x x
0 x x
1 x x
h
dx
d ,
h
x x
,
2
a b
h
2
b a
x , b x , a x let
) x ( f
) x x )( x x (
) x x )( x x (

) x ( f
) x x )( x x (
) x x )( x x (
) x ( f
) x x )( x x (
) x x )( x x (
) x ( L
2
1
0
1
1 2 0
2
1 2 0 2
1 0
1
2 1 0 1
2 0
0
2 0 1 0
2 1

) x ( f
2
) 1 (
) x ( f ) 1 ( ) x ( f
2
) 1 (
) ( L
2 1
2
0
+
+ +

Simpsons 1/3-Rule
1
1
2 3
2
1
1
3
1
1
1
2 3
0
1
1
2
1
0
2
1
1
1
0
1
1
b
a
)
2

(
2
h
) f(x
)
3

( )h f(x )
2

(
2
h
) f(x
)d 1 (
2
h
) f(x )d 1 ( )h f(x
)d 1 (
2
h
) f(x d ) ( L h f(x)dx

+ +
+ =
+ + +
= ~
} }
} } }

) f(x ) 4f(x ) f(x
3
h
f(x)dx
2 1 0
b
a
+ + =
Integrate the Lagrange interpolation
Simpsons 3/8-Rule
Approximate by a cubic polynomial
| | ) x ( f ) x ( f 3 ) x ( f 3 ) x ( f
8
h 3
) f(x c ) f(x c ) f(x c ) f(x c ) x ( f c dx ) x ( f
3 2 1 0
3 3 2 2 1 1 0 0 i
3
0 i
i
b
a
+ + + =
+ + + = ~

}
=
x
0
x
1

x
f(x)
x
2
h h
L(x)
x
3
h
Simpsons 3/8-Rule
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( L
3
2 3 1 3 0 3
2 1 0
2
3 2 1 2 0 2
3 1 0
1
3 1 2 1 0 1
3 2 0
0
3 0 2 0 1 0
3 2 1


+


+


+


=
| | ) x ( f ) x ( f 3 ) x ( f 3 ) x ( f
8
h 3
3
a - b
h ; L(x)dx f(x)dx
3 2 1 0
b
a
b
a
+ + + =
= ~
Example: Simpsons Rules
Evaluate the integral
Simpsons 1/3-Rule



Simpsons 3/8-Rule
dx xe
4
0
x 2
}
| |
4
2
0
4 8
(0) 4 (2) (4)
3
2
0 4(2 ) 4 8240.411
3
5216.926 8240.411
57.96%
5216.926
x
h
I xe dx f f f
e e
c
= ~ + +
( = + + =

= =
}
| |
4
2
0
3 4 8
(0) 3 ( ) 3 ( ) (4)
8 3 3
3(4/3)
0 3(19.18922) 3(552.33933) 11923.832 6819.209
8
5216.926 6819.209
30.71%
5216.926
x
h
I xe dx f f f f
c
(
= ~ + + +
(

= + + + =

= =
}
Midpoint Rule
Newton-Cotes Open Formula
) ( f
24
) a b (
)
2
b a
( f ) a b (
) x ( f ) a b ( dx ) x ( f
3
m
b
a
q
' '

+
+
=
~
a b
x
f(x)
x
m

Two-point Newton-Cotes
Open Formula
Approximate by a straight line
| | ) ( f
108
) a b (
) x ( f ) x ( f
2
a b
dx ) x ( f
3
2 1
b
a
q
' '

+ +

~
}
x
0
x
1

x
f(x)
x
2
h h x
3
h
Three-point Newton-Cotes Open
Formula
Approximate by a parabola
| |
) ( f
23040
) a b ( 7
) x ( f 2 ) x ( f ) x ( f 2
3
a b
dx ) x ( f
5
3 2 1
b
a
q
' ' ' '

+
+

~
}
x
0
x
1

x
f(x)
x
2
h h x
3
h h x
4

Better Numerical Integration
Composite integration
Composite Trapezoidal Rule
Composite Simpsons Rule
Richardson Extrapolation
Romberg integration
Apply trapezoid rule to multiple segments over
integration limits
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Two segments
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Four segments
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Many segments
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Three segments
Composite Trapezoid Rule
| | | | | |
| | ) x ( f ) x ( f 2 ) 2f(x ) f(x 2 ) f(x
2
h
) f(x ) f(x
2
h
) f(x ) f(x
2
h
) f(x ) f(x
2
h
f(x)dx f(x)dx f(x)dx f(x)dx
n 1 n i 1 0
n 1 n 2 1 1 0
x
x
x
x
x
x
b
a
n
1 n
2
1
1
0
+ + + + + + =
+ + + + + + =
+ + + =

} } } }

x
0
x
1

x
f(x)
x
2
h h x
3
h h x
4

n
a b
h

=
Composite Trapezoid Rule
Evaluate the integral
dx xe I
4
0
x 2
}
=
| |
| |
|
|
|
|
|
|
% 66 . 2 95 . 5355
) 4 ( f ) 75 . 3 ( f 2 ) 5 . 3 ( f 2
) 5 . 0 ( f 2 ) 25 . 0 ( f 2 ) 0 ( f
2
h
I 25 . 0 h , 16 n
% 50 . 10 76 . 5764 ) 4 ( f ) 5 . 3 ( f 2
) 3 ( f 2 ) 5 . 2 ( f 2 ) 2 ( f 2 ) 5 . 1 ( f 2
) 1 ( f 2 ) 5 . 0 ( f 2 ) 0 ( f
2
h
I 5 . 0 h , 8 n
% 71 . 39 79 . 7288 ) 4 ( f ) 3 ( f 2
) 2 ( f 2 ) 1 ( f 2 ) 0 ( f
2
h
I 1 h , 4 n
% 75 . 132 23 . 12142 ) 4 ( f ) 2 ( f 2 ) 0 ( f
2
h
I 2 h , 2 n
% 12 . 357 66 . 23847 ) 4 ( f ) 0 ( f
2
h
I 4 h , 1 n
= =
+ + +
+ + + = = =
= = + +
+ + + +
+ + = = =
= = + +
+ + = = =
= = + + = = =
= = + = = =
c
c
c
c
c

Composite Trapezoid
Example
}
+
2
1
1
1
dx
x
x f(x)
1.00 0.5000
1.25 0.4444
1.50 0.4000
1.75 0.3636
2.00 0.3333
Composite Trapezoid Rule with
Unequal Segments
Evaluate the integral
h
1
= 2, h
2
= 1, h
3
= 0.5, h
4
= 0.5
dx xe I
4
0
x 2
}
=
| | | |
| | | |
| | | | | |
| | % 45 . 14 58 . 5971 4 5 . 3
2
0.5

5 . 3 3e
2
0.5
3 2
2
1
2 0
2
2

) 4 ( ) 5 . 3 (
2
) 5 . 3 ( ) 3 (
2

) 3 ( ) 2 (
2
) 2 ( ) 0 (
2

) ( ) ( ) ( ) (
8 7
7 6 6 4 4
4 3
2 1
4
5 . 3
5 . 3
3
3
2
2
0
= = + +
+ + + + + =
+ + + +
+ + + =
+ + + =
} } } }
c e e
e e e e
f f
h
f f
h
f f
h
f f
h
dx x f dx x f dx x f dx x f I
Composite Simpsons Rule
x
0
x
2

x
f(x)
x
4
h h x
n-2
h x
n

n
a b
h

=
...
Piecewise Quadratic approximations
h x
3
x
1
x
n-1

| | | |
| |
|
| ) x ( f ) x ( f 4 ) x ( f 2
) 4f(x ) x ( f 2 ) f(x 4
) 2f(x ) f(x 4 ) 2f(x ) f(x 4 ) f(x
3
h
) f(x ) 4f(x ) f(x
3
h
) f(x ) f(x 4 ) f(x
3
h
) f(x ) f(x 4 ) f(x
3
h
f(x)dx f(x)dx f(x)dx f(x)dx
n 1 n 2 n
1 2i i 2 1 - 2i
4 3 2 1 0
n 1 n 2 n
4 3 2 2 1 0
x
x
x
x
x
x
b
a
n
2 n
4
2
2
0
+ + +
+ + + +
+ + + + + =
+ + + +
+ + + + + =
+ + + =

+

} } } }

Composite Simpsons Rule

Multiple applications of Simpsons rule
Composite Simpsons Rule
Evaluate the integral
n = 2, h = 2



n = 4, h = 1
dx xe I
4
0
x 2
}
=
| |
% 70 . 8 975 . 5670
e 4 ) e 3 ( 4 ) e 2 ( 2 ) e ( 4 0
3
1
) 4 ( f ) 3 ( f 4 ) 2 ( f 2 ) 1 ( f 4 ) 0 ( f
3
h
I
8 6 4 2
= =
+ + + + =
+ + + + =
c
| |
| | % 96 . 57 411 . 8240 e 4 ) e 2 ( 4 0
3
2
) 4 ( f ) 2 ( f 4 ) 0 ( f
3
h
I
8 4
= = + + =
+ + =
c
Composite Simpsons
Example
}
+
2
1
1
1
dx
x
x f(x)
1.00 0.5000
1.25 0.4444
1.50 0.4000
1.75 0.3636
2.00 0.3333
Composite Simpsons Rule with
Unequal Segments
Evaluate the integral
h
1
= 1.5, h
2
= 0.5
dx xe I
4
0
x 2
}
=
| |
| |
| | | |
% 76 . 3 23 . 5413
4 ) 5 . 3 ( 4 3
3
5 . 0
3 ) 5 . 1 ( 4 0
3
5 . 1
) 4 ( 2 ) 5 . 3 ( 4 ) 3 (
3
) 3 ( 2 ) 5 . 1 ( 4 ) 0 (
3
) ( ) (
8 7 6 6 3
2
1
4
3
3
0
= =
+ + + + + =
+ + +
+ + =
+ =
} }
c
e e e e e
f f f
h
f f f
h
dx x f dx x f I
Richardson Extrapolation
Use trapezoidal rule as an example
subintervals: n = 2
j
= 1, 2, 4, 8, 16, .
| |
j 2
1 j
j n 1 n 1 0
b
a
h c ) x ( f ) x ( f 2 ) f(x 2 ) f(x
2
h
f(x)dx

}

=

+ + + + + =
| |
| |
| |
| |
| | ) ( ) ( ) ( ) (
) ( ) ( ) ( ) (
) ( ) ( ) ( ) ( ) (
) ( ) ( ) (
) ( ) (
b f x f 2 x f 2 a f
2
h
I 2 j
b f x f 2 x f 2 a f
16
h
I 8 3
b f x f 2 x f 2 x f 2 a f
8
h
I 4 2
b f x f 2 a f
4
h
I 2 1
b f a f
2
h
I 1 0
Formula n j
1 n 1
j
j
j
7 1 3
3 2 1 2
1 1
0
+ + + + =
+ + + + =
+ + + + =
+ + =
+ =

Richardson Extrapolation
For trapezoidal rule






k
th
level of extrapolation
(

+ + =
+ =
+ + = +
(

+ + + =
+ + =
+ + = =
}
) h ( B )
2
h
( B 16
15
1
) h ( C
)
2
h
( b )
2
h
( B A
h b ) h ( B A
h b ) h ( B h
4
c
) h ( A )
2
h
( A 4
3
1
A
)
2
h
( c )
2
h
( c )
2
h
( A A
h c h c ) h ( A A
h c ) h ( A dx ) x ( f A
4
2
4
2
4
2
4 2
4
2
2
1
4
2
2
1
2
1
b
a

1 4
) h ( C h/2) ( C 4
) h ( D
k
k

=
255
I I 256
63
I I 64
15
I I 16
3
I I 4
I 16 h
I I 8 h
I I I 4 h
I I I I 2 h
I I I I I h
h O h O h O h O h O
4 k 3 k 2 k 1 k 0 k
s Boole s Simpson Trapezoid
3 j 3 1 j 2 j 2 1 j 1 j 1 1 j 0 j 0 1 j
0 4
1 3 0 3
2 2 1 2 0 2
3 1 2 1 1 1 0 1
4 0 3 0 2 0 1 0 0 0
10 8 6 4 2
, , , , , , , ,
,
, ,
, , ,
, , , ,
, , , , ,
/
/
/
/
) ( ) ( ) ( ) ( ) (
' '

= = = = =
+ + + +
3, 2, 1, k ;
1 4
I I 4
I
k
k , j k , 1 j
k
k , j
=

=
+
Romberg Integration
Accelerated Trapezoid Rule

Romberg Integration
926477 . 5216 dx xe I
4
0
x 2
= =
% 00050 . 0 % 00168 . 0 % 0053 . 0 % 0527 . 0 % 66 . 2
95 . 5355 25 . 0 h
68 . 5219 76 . 5764 5 . 0 h
20 . 5217 75 . 5256 79 . 7288 1 h
01 . 5217 14 . 5229 98 . 5670 2 . 12142 2 h
95 . 5216 84 . 5224 68 . 5499 41 . 8240 7 . 23847 4 h
) h ( O ) h ( O ) h ( O ) h ( O ) h ( O
4 k 3 k 2 k 1 k 0 k
s ' Boole s ' Simpson Trapezoid
10 8 6 4 2
=
=
=
=
=
=
= = = = =
c
Accelerated Trapezoid Rule

Romberg Integration
Example
}
+
2
1
1
1
dx
x
x f(x)
1.00 0.5000
1.25 0.4444
1.50 0.4000
1.75 0.3636
2.00 0.3333
Gaussian Quadratures
Newton-Cotes Formulae
use evenly-spaced functional values

Gaussian Quadratures
select functional values at non-uniformly
distributed points to achieve higher accuracy
change of variables so that the interval of
integration is [-1,1]
Gauss-Legendre formulae
Gaussian Quadrature on [-1, 1]
Choose (c
1
, c
2
, x
1
, x
2
) such that the method
yields exact integral for f(x) = x
0
, x
1
, x
2
, x
3

) x ( f c ) x ( f c ) x ( f c ) x ( f c dx ) x ( f
n n 2 2 1 1 i
1
1
n
1 i
i
+ + + = ~
}

=

) f(x c ) f(x c
f(x)dx : 2 n
2 2 1 1
1
1
+ =
=

x
2
x
1

-1 1
Gaussian Quadrature on [-1, 1]
Exact integral for f = x
0
, x
1
, x
2
, x
3
Four equations for four unknowns
) f(x c ) f(x c f(x)dx : 2 n
2 2 1 1
1
1
+ = =

=
=
=

+ = = =
+ = = =
+ = = =
+ = = =
}
}
}
}

3
1
x
3
1
x
1 c
1 c

x c x c 0 dx x x f
x c x c
3
2
dx x x f
x c x c 0 xdx x f
c c 2 dx 1 1 f
2
1
2
1
3
2 2
3
1
1
1
1
3 3
2
2 2
2
1
1
1
1
2 2
2 2 1
1
1
1
2
1
1
1
)
3
1
( f )
3
1
( f dx ) x ( f I
1
1
+ = =
}

Gaussian Quadrature on [-1, 1]

Choose (c
1
, c
2
, c
3
, x
1
, x
2
,

x
3
) such that
the method yields exact integral for
f(x) = x
0
, x
1
, x
2
, x
3
,x
4
, x
5

) x ( f c ) x ( f c ) x ( f c dx ) x ( f : 3 n
3 3 2 2 1 1
1
1
+ + = =
}

x
3
x
1

-1 1
x
2

Gaussian Quadrature on [-1, 1]
5
3 3
5
2 2
5
1 1
1
1
5 5
4
3 3
4
2 2
4
1 1
1
1
4 4
3
3 3
3
2 2
3
1 1
1
1
3 3
2
3 3
2
2 2
2
1 1
1
1
2 2
3 3 2 2 1 1
1
1
3 2 1
1
1
0
5
2
0
3
2
0
2 1
x c x c x c dx x x f
x c x c x c dx x x f
x c x c x c dx x x f
x c x c x c dx x x f
x c x c x c xdx x f
c c c xdx f
+ + = = =
+ + = = =
+ + = = =
+ + = = =
+ + = = =
+ + = = =
}
}
}
}
}
}

=
=
=
=
=
=

5 / 3
0
5 / 3
9 / 5
9 / 8
9 / 5
3
2
1
3
2
1
x
x
x
c
c
c
Gaussian Quadrature on [-1, 1]
Exact integral for f = x
0
, x
1
, x
2
, x
3,
x
4
, x
5
)
5
3
( f
9
5
) 0 ( f
9
8
)
5
3
( f
9
5
dx ) x ( f I
1
1
+ + = =

Gaussian Quadrature on [a, b]

Coordinate transformation from [a,b] to [-1,1]
t
2
t
1
a b
} } }

=
+
+

=
1
1
1
1
b
a
dx ) x ( g dx )
2
a b
)(
2
a b
x
2
a b
( f dt ) t ( f

= =
= =
+
+

=
b t 1 x
a t 1 x
2
a b
x
2
a b
t
Example: Gaussian Quadrature
Evaluate
Coordinate transformation




Two-point formula

33.34%) ( 543936 . 3477 376279 . 3468 167657324 . 9
e )
3
4
4 ( e )
3
4
4 ( )
3
1
( f )
3
1
( f dx ) x ( f I
3
4
4
3
4
4
1
1
= = + =
+ + = +

= =
+

}
c
926477 . 5216 dt te I
4
0
t 2
= =

+
= + = =
= + =
+
+

=
1
1
1
1
4 x 4
4
0
t 2
dx ) x ( f dx e ) 4 x 4 ( dt te I
2dx dt ; 2 x 2
2
a b
x
2
a b
t
Example: Gaussian Quadrature
Three-point formula





Four-point formula

4.79%) ( 106689 . 4967
) 142689 . 8589 (
9
5
) 3926001 . 218 (
9
8
) 221191545 . 2 (
9
5
e ) 6 . 0 4 4 (
9
5
e ) 4 (
9
8
e ) 6 . 0 4 4 (
9
5
) 6 . 0 ( f
9
5
) 0 ( f
9
8
) 6 . 0 ( f
9
5
dx ) x ( f I
6 . 0 4 4 6 . 0 4
1
1
= =
+ + =
+ + + =
+ + = =
+

}
c
| |
| |
%) 37 . 0 ( 54375 . 5197
) 339981 . 0 ( f ) 339981 . 0 ( f 652145 . 0
) 861136 . 0 ( f ) 861136 . 0 ( f 34785 . 0 dx ) x ( f I
1
1
= =
+ +
+ = =
}

c
Summary

Integration Techniques
Trapezoidal Rule : Linear
Simpsons 1/3-Rule : Quadratic
Simpsons 3/8-Rule : Cubic
Booles Rule : Fourth-order
Gaussian Quadrature

Homework
Check the Homework webpage