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Numerical Integration

This document discusses numerical integration techniques for computing integrals of functions that cannot be evaluated analytically. It covers simple techniques like the rectangle and trapezoidal rules, interpolating functions using polynomials, and more accurate Gaussian quadrature that uses strategically placed points related to orthogonal polynomials.

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othmanem449
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9 views

Numerical Integration

This document discusses numerical integration techniques for computing integrals of functions that cannot be evaluated analytically. It covers simple techniques like the rectangle and trapezoidal rules, interpolating functions using polynomials, and more accurate Gaussian quadrature that uses strategically placed points related to orthogonal polynomials.

Uploaded by

othmanem449
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Computational Electromagnetics :
Numerical Integration

Uday Khankhoje

Electrical Engineering, IIT Madras


1/11

Topics in this module

1 Simple Numerical Integration

2 Interpolating a Function

3 Advanced Numerical Integration


1/11

Table of Contents

1 Simple Numerical Integration

2 Interpolating a Function

3 Advanced Numerical Integration


2/11

Simple numerical integration


Rb
Take a function f (x) that has no analytical integral, want: a f (x) dx

Rules: Rectangle Trapezoidal Simpson’s


I≈ hf ( a+b
2 )
h
2 [f (a)+ f (b)] h
+ 4f ( a+b
3 [f (a) 2 ) + f (b)]
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Simple Numerical Integration (contd.)


What was the basis of these simple rules? Taylor’s theorem:
(x−x0 )2 00
f (x) = f (x0 ) + (x − x0 )f 0 (x0 ) + 2 f (x − x0 ) + · · ·

Rh
Now, 0 f (x) dx =

Rectangle

Trapezoidal

[called Newton-Cotes formulas]


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Extended rules – idea of ‘quadrature rule’


Rh R xN
Extend trapezoidal rule 0 f (x) dx ≈ h2 [f (0) + f (h)] for x1 f (x) dx

Quadrature rule – a formula in terms of:


∗ weights,
∗ function evaluation points
4/11

Table of Contents

1 Simple Numerical Integration

2 Interpolating a Function

3 Advanced Numerical Integration


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Interpolating a function
Many functions we want to integrate can’t be done analytically.
• What can be done? Weierstrass Approximation Theorem:
If f is a continuous real-valued function on [a, b] and if any  > 0 is given, then
there exists a polynomial p on [a, b] such that |f (x) − p(x)| <  for all x ∈ [a, b].
• Fn known at few points – interpolate a polynomial fn: 2, 3, . . . , N

Lagrange polynomials
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Integrating this interpolated function


R xN R xN
x1 f (x) dx ≈ x1 fN −1 (x) dx

Another kind of quadrature rule


Accurate to polynomial order N − 1, needing N points
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Table of Contents

1 Simple Numerical Integration

2 Interpolating a Function

3 Advanced Numerical Integration


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Can we do better? Gaussian quadrature


Summary: Clever math gives poly accuracy of order 2N − 1 using N points

0. We know the inner product of vectors . . . but functions?

Rb
1. Construct a polynomial pN (x) (order N ) s.t. a xk pN (x) dx = 0, k ∈ [0, N − 1]

Gram-Schmidt → Legendre Polynomials


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Gaussian quadrature (contd.)


2. Roots of pN (x)?

3. Approximate f (x) to poly order 2N − 1 using pN (x) (Euclidean division)


f2N −1 (x)
pN (x) =

3x3 −2x2 +4x−3 28x+30


e.g. x2 +3x+3
= (3x − 11) + x2 +3x+3

=⇒ f2N −1 (x) = q(x)PN (x) + r(x)


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Gaussian quadrature (contd.)


4. Now integrate on both sides of: f2N −1 (x) = q(x)PN (x) + r(x)

Lagrange polynomials for r(x)

5. If the N points are chosen as roots of pN (x)?

Called Gauss-Lengedre quadrature rule,


accurate to order 2N − 1.
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Gaussian quadrature (contd.)


Take an example, f (x) = (x + 1)3 over [−1, 1]

p0 (x) = 1, p1 (x) = x, p2 (x) = (3x2 − 1)/2

2-pt Gauss-Lengendre quadrature

Exact calculation

3-pt trapezoidal rule


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Topics that were covered in this module

1 Simple Numerical Integration

2 Interpolating a Function

3 Advanced Numerical Integration

Reference: Chapter 4 of Numerical recipes in C++ - Brian P. Flannery, Saul Teukolsky,


William H. Press, and William T. Vetterling

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