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4.13 Romberg Integration

Romberg integration combines the trapezoidal rule with Richardson extrapolation to iteratively improve the accuracy of numerical integration. It works by (1) computing multiple levels of approximations using the trapezoidal rule with increasing panel widths, (2) applying Richardson extrapolation to eliminate higher-order error terms, and (3) storing the results in a triangular array where the last diagonal element provides the most accurate estimate of the integral. This process is repeated until successive diagonal elements converge within a given tolerance.

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207 views6 pages

4.13 Romberg Integration

Romberg integration combines the trapezoidal rule with Richardson extrapolation to iteratively improve the accuracy of numerical integration. It works by (1) computing multiple levels of approximations using the trapezoidal rule with increasing panel widths, (2) applying Richardson extrapolation to eliminate higher-order error terms, and (3) storing the results in a triangular array where the last diagonal element provides the most accurate estimate of the integral. This process is repeated until successive diagonal elements converge within a given tolerance.

Uploaded by

Gian Sanchez
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© © All Rights Reserved
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4.

13 Romberg Integration
Romberg integration combines the trapezoidal rule with Richardson extrapolation. Let us first introduce the notation

Ri,1 = Ii

b
where, as before, Ii represents the approximate value of ∫ f (x) dx  computed by the recursive trapezoidal rule using 2i−1 panels. Recall that the error in this approximation is
a

E= c1h2 + c2h4 + ... , where

h = (b − a)/(2i−1)

is the width of a panel.

Romberg integration starts with the computation of R1,1 = I1 (one panel) and R2,1 = I2 (two panels) from the trapezoidal rule. The leading error term c1h2 is then eliminated by
Richardson extrapolation. Using p = 2 (the exponent in the leading error term) in Eq. (5.9) and denoting the result by R2,2, we obtain

(a)

It is convenient to store the results in an array of the form

The next step is to calculate R3,1 = I3 (four panels) and repeat Richardson extrapolation with R2,1 and R3,1, storing the result as R3,2:

(b)

The elements of array R calculated so far are

Both elements of the second column have an error of the form c2h4, which can also be eliminated with Richardson extrapolation. Using p = 4 in Eq. (5.9), we get

(c)

This result has an error of O(h6). The array has now expanded to

After another round of calculations, we get

where the error in R4,4 is O(h8). Note that the most accurate estimate of the integral is always the last diagonal term of the array. This process is continued until the difference
between two successive diagonal terms becomes sufficiently small. The general extrapolation formula used in this scheme is

(6.13a)

A pictorial representation of Eq. (6.13a) is

(6.13b)

where the multipliers α and β depend on j in the following manner:

(6.13c)

The triangular array is convenient for hand computations, but computer implementation of the Romberg algorithm can be carried out within a one-dimensional array R'. After the
first extrapolation—see Eq. (a)— R1,1 is never used again so that it can be replaced with R2,2. As a result, we have the array

In the second extrapolation round, defined by Eqs. (b) and (c), R3,2 overwrites R2,1, and R3,3 replaces R2,2 so that the array contains

and so on. In this manner, R'1 always contains the best current result. The extrapolation formula for the kth round is

(6.14)

Illustrative Example:

π
Use Romberg integration to evaluate ∫ f (x) dx , where f(x) = sin x. Work with four decimal places.
0

Solution. From the recursive trapezoidal rule in Eq. (6.9b) we get

Using the extrapolation formulas in Eqs. (6.13), we can now construct the following table:

π
It appears that the procedure has converged. Therefore, ∫ sin (x) dx  = R4,4 = 2.0000, which is, of course, the correct result.

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