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    Week 12 - Numerical Integration (Open Formula and Improper Integrals)

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    jdelacruz2
    This document outlines techniques for numerically approximating various types of improper integrals. It discusses Open Newton-Cotes formulas for approximating definite integrals. It also covers improper integrals with singularities at endpoints or interior points of the interval, including transformations to handle right endpoint singularities. Finally, it addresses improper integrals over infinite intervals.

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    Week 12 - Numerical Integration (Open Formula and Improper Integrals)

    Uploaded by

    jdelacruz2
    29 views17 pages
    This document outlines techniques for numerically approximating various types of improper integrals. It discusses Open Newton-Cotes formulas for approximating definite integrals. It also covers improper integrals with singularities at endpoints or interior points of the interval, including transformations to handle right endpoint singularities. Finally, it addresses improper integrals over infinite intervals.

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    Week 12 - Numerical Integration (Open Formula and Improper Integrals) (1)

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    This document outlines techniques for numerically approximating various types of improper integrals. It discusses Open Newton-Cotes formulas for approximating definite integrals. It also covers improper integrals with singularities at endpoints or interior points of the interval, including transformations to handle right endpoint singularities. Finally, it addresses improper integrals over infinite intervals.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    29 views17 pages

    Week 12 - Numerical Integration (Open Formula and Improper Integrals)

    Uploaded by

    jdelacruz2
    This document outlines techniques for numerically approximating various types of improper integrals. It discusses Open Newton-Cotes formulas for approximating definite integrals. It also covers improper integrals with singularities at endpoints or interior points of the interval, including transformations to handle right endpoint singularities. Finally, it addresses improper integrals over infinite intervals.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 17

    Numerical Analysis I

    Numerical Integration

    First Semester, AY 2023-2024

    Numerical Analysis I First Semester, AY 2023-2024 1 / 15


    Outline

    1 Open Newton-Cotes Formulas

    Numerical Analysis I First Semester, AY 2023-2024 2 / 15


    Outline

    1 Open Newton-Cotes Formulas

    2 Improper Integrals with Left Endpoint Singularity

    Numerical Analysis I First Semester, AY 2023-2024 2 / 15


    Outline

    1 Open Newton-Cotes Formulas

    2 Improper Integrals with Left Endpoint Singularity

    3 Improper Integrals with Right Endpoint Singularity

    Numerical Analysis I First Semester, AY 2023-2024 2 / 15


    Open Newton-Cotes Formulas

    The Open Newton-Cotes formulas do not include the endpoints of [a, b] as


    nodes. We use
    b−a
    1 x = x + ih for each i = 0, 1, . . . , n where h = ,
    i 0
    n+2
    2 x = a + h and x = b − h, and
    0 n
    3 x−1 = a and xn+1 = b
    So that the integral is given by
    Z b Z xn+1 n
    X
    f (x)dx = f (x)dx ≈ wi f (xi ),
    a x−1 i=0

    where Z b
    wi = Li (x)dx.
    a

    Numerical Analysis I First Semester, AY 2023-2024 3 / 15


    Open Newton-Cotes Formulas
    n=0 (Midpoint rule):
    x1
    h3 ′′
    Z
    f (x)dx = 2hf (x0 ) + f (ξ) wherex−1 < ξ < x1 .
    x−1 3

    n=1

    x2
    3h3 ′′
    Z
    3h
    f (x)dx = [f (x0 ) + f (x1 )] + f (ξ) where x−1 < ξ < x2 .
    x−1 2 4

    n=2

    x3
    14h5 (4)
    Z
    4h
    f (x)dx = [2f (x0 ) − f (x1 ) + 2f (x2 )] + f (ξ)
    x−1 3 45
    where x−1 < ξ < x3 .

    Numerical Analysis I First Semester, AY 2023-2024 4 / 15


    Open Newton-Cotes Formulas

    n=3
    Z x4
    5h
    f (x)dx = [11f (x0 ) + f (x1 ) + f (x2 ) + 11f (x3 )]
    x−1 24
    95 5 (4)
    + h f (ξ) where x−1 < ξ < x4 .
    144

    Numerical Analysis I First Semester, AY 2023-2024 5 / 15


    Improper Integrals with Left Endpoint Singularity
    There are instances where we need to evaluate the integral of afunction
    whose value is unbounded at the endpoint(s) of the interval [a, b]. For
    example,
    Plot of x12
    12

    10

    8
    y-axis

    0
    −1 0 1 2 3
    Numerical Analysis I First Semester, AY 2023-2024 6 / 15
    Improper Integrals with Left Endpoint Singularity

    In this case we say that f has a singularity at the endpoint a.


    Theorem:
    Z b
    dx
    The integral converges if and only if 0 < p < 1. In this case,
    a (x − a)p
    we have Z b
    dx (b − a)1−p
    p
    = .
    a (x − a) 1−p

    Numerical Analysis I First Semester, AY 2023-2024 7 / 15


    How to Approximate the Integral
    If f is a function that can be written in the form
    g (x)
    f (x) = ,
    (x − a)p

    where 0 < p < 1 and g is continuous on [a, b], then the improper integral
    Z b
    f (x)dx
    a

    also exists. We will approximate the integral using the Composite Simpson’s
    rule, provided that g ∈ C 5 [a, b]. In this case, we can use the fourth Taylor
    polynomial, P4 (x), for g about a,
    4
    X g (n) (a)(x − a)n
    P4 (x) =
    n!
    n=0

    Numerical Analysis I First Semester, AY 2023-2024 8 / 15


    How to Approximate the Integral
    and write
    b b b
    g (x) − P4 (x)
    Z Z Z
    P4 (x)
    f (x)dx = dx + dx.
    a a (x − a)p a (x − a)p

    Integrating the second term of the right side of the equation is relatively
    easy since it only involves a polynomial. To approximate the integral of f ,
    we must add to this value the approximation of
    b
    g (x) − P4 (x)
    Z
    dx.
    a (x − a)p

    This can be done by applying the Composite Simpson’s rule to the function
    ( g (x)−P (x)
    4
    (x−a)p , if a < x ≤ b,
    G (x) =
    0, if x = a.

    Numerical Analysis I First Semester, AY 2023-2024 9 / 15


    Improper Integrals with Right Endpoint Singularity

    We can also use the techniques for improper integrals with left endpoint
    singularity to deal with improper integrals with right endpoint singularity.
    To do this, suppose that we want to find
    Z b
    f (x)dx
    a

    where f (x) is discontinuous at x = b. We make the substitution

    z = −x, dz = −dx

    so that Z b Z −a
    f (x) = f (−z)dz,
    a −b
    which has a singularity at the left endpoint.

    Numerical Analysis I First Semester, AY 2023-2024 10 / 15


    Improper Integrals with Right Endpoint Singularity

    −4 −3 −2 −1

    Numerical Analysis I First Semester, AY 2023-2024 11 / 15


    Improper Integrals with Right Endpoint Singularity

    1 2 3 4

    Numerical Analysis I First Semester, AY 2023-2024 12 / 15


    Improper Integrals with Singularity inside [a, b]

    An improper integral with a singularity at c, where a < c < b, can be


    rewritten as a sum of improper integrals with endpoint singularities since
    Z b Z c Z b
    f (x)dx = f (x)dx + f (x)dx.
    a a c

    Numerical Analysis I First Semester, AY 2023-2024 13 / 15


    Improper Integrals with Infinite Singularity

    Another type of improper integral is one whose bounds involve infinity.


    The basic integral of this type has form
    Z ∞
    1
    dx
    a xp

    for p > 1. Let


    t = x −1 , dt = −x −2 dx
    so that 1
    ∞ 0
    tp
    Z Z Z
    1 a 1
    dx = − 2 dt = dt.
    a xp 1 t 0 t 2−p
    a

    Numerical Analysis I First Semester, AY 2023-2024 14 / 15


    Improper Integral with Infinite Singularity

    R∞
    Similarly, if we let t = x −1 , the improper integral a f (x)dx into
    Z 1
    a 1
    t −2 f ( )dt
    0 t

    which has a left endpoint singularity at zero.

    Numerical Analysis I First Semester, AY 2023-2024 15 / 15

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