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Handbook of
Integration
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Table of Contents
Preface ix
Introduction xi
How to Use This Book .xiii
I Applications of Integration
1 Differential Equations: Integral Representations 1
2 Differential Equations: Integral Transforms 6
3 Extremal Problems 14
4 Function Representation 20
5 Geometric Applications 24
6 MIT Integration Bee 28
7 Probability 30
8 Summations: Combinatorial 31
9 Summations: Other 34
10 Zeros of Functions 40
11 Miscellaneous Applications 45
II Concepts and Definitions

12 Definitions 47
13 Integral Definitions 51
14 Caveats 58
15 Changing Order of Integration 61
16 Convergence of Integrals 64
17 Exterior Calculus 67
18 Feynman Diagrams 70
19 Finite Part of Integrals 73
20 Fractional Integration 75
21 Liouville Theory 79
22 Mean Value Theorems 83
23 Path Integrals 86
24 Principal Value Integrals 92
25 Transforms: To a Finite Interval 95
26 Transforms: Multidimensional Integrals 97
27 Transforms: Miscellaneous 103
v
vi
III Exact Analytical Methods

28 Change of Variable . . . 109
29 Computer Aided Solution 117
30 Contour Integration . . . 129
31 Convolution Techniques . 140
32 Differentiation and Integration 142
33 Dilogarithms . . . 145
34 Elliptic Integrals . . 148
35 Frullanian Integrals . 157
36 FUnctional Equations 160
37 Integration by Parts 162
38 Line and Surface Integrals 164
39 Look Up Technique . . . 170
40 Special Integration Techniques 181
41 Stochastic Integration . . . . 186
42 Tables of Integrals . . . . . 190
IV Approximate Analytical Methods

43 Asymptotic Expansions 195
44 Asymptotic Expansions: Multiple Integrals 199
45 Continued Fractions 203
46 Integral Inequalities 205
47 Integration by Parts 215
48 Interval Analysis 218
49 Laplace's Method 221
50 Stationary Phase 226
51 Steepest Descent 230
52 Approximations: Miscellaneous 240
V Numerical Methods: Concepts

53 Introduction to Numerical Methods 243
54 Numerical Definitions 244
55 Error Analysis 246
56 Romberg Integration / llichardson Extrapolation 250
57 Software Libraries: Introduction 254
58 Software Libraries: Taxonomy 258
59 Software Libraries: Excerpts from G AMS 260
60 Testing Quadrature Rules 272
61 Truncating an Infinite Interval 275
Table of Contents vii
VI Numerical Methods: Techniques

62 Adaptive Quadrature 277
63 Clenshaw-Curtis Rules 281
64 Compound Rules 283
65 Cubic Splipes ... 285
66 Using Derivative Information 287
67 Gaussian Quadrature 289
68 Gaussian Quadrature: Generalized 292
69 Gaussian Quadrature: Kronrod's Extension 298
70 Lattice Rules 300
71 Monte Carlo Method 304
72 Number Theoretic Methods 312
73 Parallel Computer Methods 315
74 Polyhedral Symmetry Rules 316
75 Polynomial Interpolation 319
76 Product Rules 323
77 Recurrence Relations 325
78 Symbolic Methods 329
79 Tschebyscheff Rules 332
80 Wozniakowski's Method 333
81 Tables: Numerical Methods 337
82 Tables: Formulas for Integrals 340
83 Tables: Numerically Evaluated Integrals 348
Mathematical Nomenclature 351

Index 353
Preface
This book was begun when I was a graduate student in applied math-
ematics at the California Institute of Technology. Being able to integrate
functions easily is a skill that is presumed at the graduate level. Yet, some
integrals can only be simplified by using clever manipulations. I found it
useful to create a list of manipulation techniques. Each technique on this
list had a brief description of how the method was used and to what types
of integrals it applied. As I learned more techniques they were added to
the list. This book is a direct outgrowth of that list.
In performing mathematical analysis, analytic evaluation of integrals
is often required. Other times, an approximate integration may be more
informative than a representation of the exact answer. (The exact repre-
sentation could, for example, be in the form of an infinite series.) Lastly, a
numerical approximation to an integral may be all that is required in some
applications.
This book is therefore divided into five sections:
• Applications of Integration which shows how integration is used in
differential equations, geometry, probability and performing summa-
tions;
• Concepts and Definitions which defines several different types of inte-
grals and operations on them;
• Exact Techniques which indicates several ways in which integrals may
be evaluated exactly;
• Approximate Techniques which indicates several ways in which inte-
grals may be evaluated approximately; and
• Numerical Techniques which indicates several ways in which integrals
may be evaluated numerically.
This handbook has been designed as a reference book. Many of the
techniques in this book are standard in an advanced course in mathematical
methods. Each technique is accompanied by several current references;
ix
X
these allow each topic to be studied in more detail. This book should be
useful to students and also to practicing engineers or scientists who must
evaluate integrals on an occasional basis.
Had this book been available when I was a graduate student, it would
have saved me much time. It has saved me time in evaluating integrals
that arose from my own work in industry (the Jet Propulsion Laboratory,
Sandia Laboratories, EXXON Research and Engineering, and the MITRE
Corporation).
Unfortunately, there may still be some errors in the text; I would
greatly appreciate receiving notice of any such errors. Please send these
comments care of Jones and Bartlett.
No book is created in a vacuum, and this one is no exception. Thanks
are extended to Harry Dym, David K. Kahaner, Jay Ramanthan, Doug
Reinelt, and Michael Strauss for reviewing the manuscript. Their help has
been instrumental in clarifying the text. Lastly, this book would have not
been possible without the enthusiasm of my editor, Alice Peters.
Boston, MA 1992 Daniel Zwillinger
Introduction
This book is a compilation of the most important and widely applicable

methods for evaluating and approximating integrals. As a reference book, it
provides convenient access to these methods and contains examples showing
their use.
The book is divided into five parts. The first part lists several appli-
cations of integration. The second part contains definitions and concepts
and has some useful transformations of integrals. This section of the book
defines many different types of integrals, indicates what Feynman diagrams
are, and describes many useful transformations.
The third part of the book is a collection of exact analytical evaluation
techniques for integrals. For nearly every technique the following are given:
the types of integrals to which the method is applicable
the idea behind the method
the procedure for carrying out the method
at least one simple example of the method
notes for more advanced users
references to the literature for more discussion or examples.
The material for each method has deliberately been kept short to
simplify use. Proofs have been intentionally omitted.
It is hoped that, by working through the simple example(s) given, the
method will be understood. Enough insight should be gained from working
the example(s) to apply the method to other integrals. References are given
for each method so that the principle may be studied in more detail, or
more examples seen. Note that not all of the references listed at the end
of a section may be referred to in the text.
The author has found that computer languages that perform symbolic
manipulations (such as Macsyma) are very useful when performing the
xi
xii
calculations necessary to analyze integrals. Examples of several symbolic

manipulation computer languages are given.
Not all integrals can be evaluated analytically in terms of elementary
functions; sometimes an approximate evaluation will have to do. Other
times, an approximate evaluation may be more useful than an exact eval-
uation. For instance, an exact evaluation in terms of a slowly converging
infinite series may be laborious to approximate numerically. The same
integral may have a simple approximation that indicates some characteristic
behavior or easily allows a numerical value to be obtained.
The fourth part of this book deals with approximate analytical solution
techniques. For the methods in this part of the book, the format is similar
to that used for the exact solution techniques. We classify a method as
an approximate method if it gives some information about the value of
an integral but will not specify the value of the integral at all values of
the independent variable(s) appearing in the integral. The methods in
this section describe, for example, the method of stationary phase and the
method of steepest descent.
When an exact or an approximate solution technique cannot be found,
it may be necessary to find the solution numerically. Other times, a
numerical solution may convey more information than an exact or approx-
imate analytical solution. The fifth part of this book deals with the most
important methods for obtaining numerical approximations to integrals.
From a vast literature of techniques available for numerically approximating
integrals, this book has only tried to illustrate some of the more important
techniques. At the beginning of the fifth section is a brief introduction to
the concepts and terms used in numerical methods.
This book is not designed to be read at one sitting. Rather, it should
be consulted as needed. This book contains many references to other books.
While some books cover only one or two topics well, some books cover all
their topics well. The following books are recommended as a first source
for detailed understanding of the integration techniques they cover: Each
is broad in scope and easy to read.
References
[1] C. M. Bender and S. A. Orszag, Advanced Mathematical Methods for Scien-
tists and Engineer&, McGraw-Hill, New York, 1978.
(2] P. J. Davis and P. Rabinowitz, Methods of Numerical Integration, Second
Edition, Academic Press, Orlando, Florida, 1984.
(3] W. Squire, Integration for Engineer& and Scientists, American Elsevier Pub-
lishing Company, New York, 1970.
How to Use This Book
This book has been designed to be easy to use when evaluating inte-
grals, whether exactly, approximately, or numerically. This introductory
section outlines how this book may be used to analyze a given integral.
First, determine if the integral has been studied in the literature. A
list of many integrals may be found in the "Look Up Technique" section
beginning on page 170. If the integral you wish to analyze is contained
in one of the lists in that section, then see the indicated reference. This
technique is the single most useful technique in this book.
Special Forms
[1] If the integral has a special form, then it may be evaluated in closed
form without too much difficulty. If the integral has the form:
(A) r R(x)dx, where R(x) is a rational function then the integral
can be evaluated in terms of logarithms and arc-tangents (see
r
page 183).
(B) P(x, ,fii) log Q(x, ,fii) dx, where P(, ) and Q(, ) are rational
functions and R = A2 + Bx + Cx 2 , then the integral can be
r
evaluated in terms of dilogarithms (see page 145).
(C) R(x, y"T"{X)) dx where R(, ) is a rational function of its ar-
guments and T(x) is a third of fourth order polynomial, then
the integral can be evaluated in terms of elliptic functions (see
page 147).
(D) J:w f(cosO,sinO)dO, then the integral may be re-formulated as a
contour integral (see page 129).
[2] If the integral is a contour integral, see page 129.
(3] If the integral is a path integral, see page 86.
[4] If the integral is a principal-value integral (i.e., the integral sign looks
like f), then see page 92.
xiii
xiv How to Use This Book
[5] If the integral is a finite-part integral (i.e., the integral sign looks like
f), then see page 73.
[6] If the integral is a loop integral (i.e, the integral sign looks like j), or
if the integration is over a closed curve in the complex plane, then see
pages 129 or 164.
[7] If the integral appears to be divergent, then the integral might need
to be interpreted as a principal-value integral (see page 92) or as a
finite-part integral (see page 73).
Looking for an Exact Evaluation

[1] If you have access to a symbolic manipulation computer language (such
as Maple, Macsyma, or Derive), then see page 117.
[2] For a given integral, if one integration technique does not work, try
another. Most integrals that can be analytically evaluated can be
evaluated by more than one technique. For example, the integral
I= {oosinx dx
lo x
is shown to converge on page 66. Then I is evaluated (using different
methods) on pages 118, 133, 144, 145, and 185.
Looking for an Approximate Evaluation

[1] is large, Cis an integration contour, and the integral has the form:
If~
(A) fc e"IC~>g(x) dx, then the method of steepest descents may be
used (see page 229).
(B) fc e"IC~>g(x) dx, where f(x) is a real function, then Laplace's
... method may be used (see page 221).

(C) fcei>./C~>g(x)dx, where f(x) is a real function, then the method
of stationary phase may be used (see page 226).
There is a collection of other special forms on page 181.
[2] Interval analysis techniques, whether implemented analytically or nu-
merically, permit exact upper and lower bounds to be determined for
an integral (see page 218).
How to Use This Book XV
Looking for a Numerical Evaluation

[1] It is often easiest to use commercial software packages when looking
for a numerical solution (see page 254}. The type of routine needed
may be determined from the taxonomy section (see page 258). The
taxonomy classification may then be used as the entry in the table of
software starting on page 260.
[2] If a low accuracy solution is acceptable, then a Monte Carlo solution
technique may be used, see page 304.
[3] If the integral in question has a very high dimension, then Monte Carlo
methods may be the only usable technique, see page 304.
[4] If a parallel computer is available to you, then see page 315.
[5] If the integrand is periodic, then lattice rules may be appropriate. See
page 300.
16] References for quadrature rules involving specific geometric regions,
or for integrands with a specific functional form, may be found on
page 337.
[7] Examples of some one-dimensional and two-dimensional quadratures
rules may be found on page 340.
[8] A listing of some integrals that have been tabulated in the literature
may be found on page 348.
Other Things to Consider

[1] Is fractional integration involved? See page 75.
12] Is a proof that the integral cannot be evaluated in terms of elementary
functions desired? See page 77.
[3] Does the equation involve a large or small parameter? See the asymp-
totic methods described on pages 195 and 199.
I
Applications of
Integration
1. Differential Equations:
Integral Representations
Applicable to Linear differential equations.
Idea
Sometimes the solution of a linear ordinary differential equation can
be written as a contour integral.
Procedure
Let L.[·] be a linear differential operator with respect to z, and suppose
that the ordinary differential equation we wish to solve has the form
L.[u(z)] = 0. (1.1}
We look for a solution of (1.1} in the form of an integral
u(z) = k
K(z,e)v(e) d{, (1.2}
1
2 I Applications of Integration
e
for some function v(e) and some contour C in the complex plane. The
function K(z, e) is called the kerneL Some common kernels are:
Euler kernel: K(z, ~) = (z- ~)n

Laplace kernel: K(z,e) = eF.•
Mellin kernel: K(z,e) = zF.
We combine {1.2) and (1.1) for
1 L,[K(z, e))v(e) de = 0. (1.3)
Now we must (conceptually) find a linear differential operator AF.(·], oper-

ating with respect toe, such that L,[K(z,e)) = A([K(z,e)]. After AF.(·)
has been found, then (1.3) can be rewritten as
(1.4)
Now we integrate (1.4) by parts. The resulting expression will be a dif-

ferential equation to be solved for v(e) and some boundary terms. The
boundary terms will determine the contour C. Knowing both v(e) and C,
the solution to (1.1) is given by the integral in (1.2).
Example
Consider Airy's differential equation
L,[u) = u"(z)- zu(z) = 0. (1.5)
We assume that the solution of (1.5) has the form
(1.6)
for some v(e) and some contour C. Substituting (1.6) into (1.5) we find
(1.7)
The second term in (1. 7) can be integrated by parts to obtain
or
1. Differential Equations: Integral Representations 3
Figure 1. A solution to {1.5) is determined by any contour C that starts and

ends in the shaded regions. All of the shaded regions extend to infinity. One
possible contour is shown.
We choose
(1.9)
and the boundary conditions
(1.10)
With these choices, equation (1.8) is satisfied. From (1.9) we can solve for
v(e):
(1.11)
Using (1.11) in (1.10) we must choose the contour C so that
(1.12)
for all real values of z. The only restriction that (1.12) places on C is that
the contour start and end in one of the shaded regions shown in Figure 1.
Finally, the solution to (1.5) can be written as the integral
(1.13)
Asymptotic methods can be applied to (1.13) to determine information

about u(z).
I Applications of Integration
Notes
[1] This method is also known as Laplace's method.
[2] Loop integrals are contour integrals in which the path of integration is given
by a loop. For example, the integral J~O.::) indicates an integral that starts
at negative infinity, loops around the origin once, in the clockwise sense, and
then returns to negative infinity.
Using the methods is this section, the fundamental solutions to Le-
gendre's differential equation, (1 - :c2 )tl' - 2:cy' + n(n + 1)y = 0, can be
written in the form of loop integrals:
1 /(1+.•+> ((2 - 1)"

P.,(z) = 211'i 2"(z- ()"+i d(
(1.14.a-b)
1 /(1+,-1+) ((2 - 1)"
Q.,(z) = 4isinv11' 2"(z- ()"+ 1 d(
where the integration contour in (1.14.a) is a closed curve with positive

direction passing through the (-plane, avoiding the half-line (-oo, -1), and
admitting 1 and z as inner points of the domain it bounds. The contour
in (1.14.b) is a closed co-shaped curve encircling the point 1 once in the
negative direction and the point -1 once in the positive direction. Equation
(1.14.a) is known as Schliifti's integral representation.
[3] Since there are three regions in Figure 1, there are three different contours
that can start and end in one of these regions; each corresponds to a solution
of (1.5). The functions Ai(:c) and Bi(:c), appropriately scaled, are obtained
by two of these three choices for the contour (see page 171). The third
solution is a linear combination of the functions Ai(:c) and Bi(:c).
[4] Sometimes a double integral may be required to find an integral represen-
JJ
tation. In this case, a solution ofthe form u(z) = K(z;s,t)w(s,t)dsdt is
proposed. Details may be found in Ince [8], page 197. As an example, the
equation
d2 d
(:c - 1) d:c~ +(a+ b + 1):c ~ + aby = 0
2
11
has the two linearly independent solutions
00 00
y,:(:c) = exp [ ±:cst- ~(s 2 + t 2 )] B0 - 1 t•- 1 ds dt.
[5] Poisson's integral formula is an integral representation of the solution to
Laplace's differential equation. If u(r, 8) satisfies Laplace's equation V 2 u =
u,...+r- 1 u,.+r- 2 u,, = 0 for 0 < r < R, and u(R,8) = /(8) for 0$8 < 211',
then u(r, 8) for 0 < r < R is given by
1
u(r, 8) = 211'
121r R 2 -
R2- r2
2Rr cos(8- t/J) + r 2 /(tP) dq,. (1.15)
0
This is known as the Poisson formula for a circle. Integral solutions for
Laplace's equation are also known when the geometry is a sphere, a half-
plane, a half-space, or an annulus. See Zwillinger [10] for details.
1. Differential Equations: Integral Representations 5
[6] Pfaffian differential equations, which are equations of the form
[ xn F ( x ~) + G ( x ~)] y = 0,
can also be solved by this method. See Zwillinger [10].
[7] An application of this method to partial differential equations may be found
in Bateman [2], pages 268-275.
[8] The Mellin-Barnes integral representation for an ordinary differential equa-
()-1
tion has the form
(t) ( [ n;:l
TI'j•m+lrr (b; - e>n;=lnr
r (1 - a; + e> ] .It
( .....
(1 - b; + e> j•n+l r a; - e>
UZ- v .. z
c
In this representation, only the contour C and the constants {a 1 , b;, m, n, q, r}
are to be determined (see Babister [1] for details).
1"
[9] The ordinary integral zo A(t) dt is a construction that solves the initial-
value problem: y'(x) = A(x) with y(xo) = 0 (here 0 is the matrix of
all zeros). The product integral is an analogous construction that solves
the initial-value problem: y'(x) = A(x)y(x) with y(xo) = I (here I is the
identity matrix). See Dollard and Friedman [6] for details.
[10] Given a linear differential equation (ordinary or partial): L[u] = f(x), the
Green's function G(x,z) satisfies L[G] = 6(x-z), and a few technical condi-
tions. (Here, 6 represents the usual delta function.) The solution to the orig-
inal equation can then be written as the integral u(x) = J /(z)G(x, z) dz.
See Zwillinger [10] for details.
References
[1] A. W. Babister, 'lhlnscendental Functions Satisfying Nonhomogeneous Lin-
ear Differential Equations, The MacMillan Company, New York, 1967, pages
24-26.
[2] H. Bateman, Differential Equations, Longmans, Green and Co., 1926, Chap-
ter 10, pages 260-264.
[3] R. G. Buschman, "Simple contiguous function relations for functions defined
by Mellin-Barnes integrals," Indian J. Math., 32, No. 1, 1990, pages 25-32.
[4] G. F. Carrier, M. Krook, and C. E. Pearson, Functions of a Complex Vari-
able, McGraw-Hill Book Company, New York, 1966, pages 231-239.
[5] B. Davies, Integral 'lhlnsforms and Their Applications - Second Edition,
Springer-Verlag, New York, 1985, pages 342-367.
[6] J. D. Dollard and C. N. Friedman, Product Integration with Applications
to Differential Equations, Addison-Wesley Publishing Co., Reading, MA,
1979.
[7] R. A. Gustafson, "Some Q-Beta and Mellin-Barnes Integrals with Many
Parameters Associated to the Classical Groups," SIAM J. Math. Anal., 23,
No. 2, March 1992, pages 525-551.
[8] E. L. Ince, Ordinary Differential Equations, Dover Publications, Inc., New
York, 1964, pages 186- 203 and 438-468.
[9] F. W. J. Olver, Asymptotics and Special Functions, Academic Press, New
York, 1974.
[10] D. Zwillinger, Handbook of Differential Equations, Academic Press, New
York, Second Edition, 1992.
References
Introduction
[1] C. M. Bender and S. A. Orszag, Advanced Mathematical

Methods for Scientists and Engineer&, McGraw-Hill, New
York, 1978.
(2] P. J. Davis and P. Rabinowitz, Methods of Numerical

Integration, Second Edition, Academic Press, Orlando,
Florida, 1984.
(3] W. Squire, Integration for Engineer& and Scientists,

American Elsevier Publishing Company, New York, 1970.
1 Chapter 1 Differential Equations:
Integral Representations
[1] A. W. Babister, 'lhlnscendental Functions Satisfying

Nonhomogeneous Linear Differential Equations, The
MacMillan Company, New York, 1967, pages 24-26.
[2] H. Bateman, Differential Equations, Longmans, Green and

Co., 1926, Chapter 10, pages 260-264.
[3] R. G. Buschman, "Simple contiguous function relations

for functions defined by Mellin-Barnes integrals," Indian
J. Math., 32, No. 1, 1990, pages 25-32.
[4] G. F. Carrier, M. Krook, and C. E. Pearson, Functions

of a Complex Variable, McGraw-Hill Book Company, New York,
1966, pages 231-239.
[5] B. Davies, Integral 'lhlnsforms and Their Applications

Second Edition, Springer-Verlag, New York, 1985, pages
342-367.
[6] J. D. Dollard and C. N. Friedman, Product Integration

with Applications to Differential Equations,
Addison-Wesley Publishing Co., Reading, MA, 1979.
[7] R. A. Gustafson, "Some Q-Beta and Mellin-Barnes

Integrals with Many Parameters Associated to the Classical
Groups," SIAM J. Math. Anal., 23, No. 2, March 1992,
pages 525-551.
[8] E. L. Ince, Ordinary Differential Equations, Dover

Publications, Inc., New York, 1964, pages 186203 and
438-468.
[9] F. W. J. Olver, Asymptotics and Special Functions,

Academic Press, New York, 1974.
[10] D. Zwillinger, Handbook of Differential Equations,

Academic Press, New York, Second Edition, 1992.
2 Chapter 2 Differential Equations:
Integral Transforms
[1] M. Abramowitz and I. A. Stegun, Handbook of

Mathematical Functions, National Bureau of Standards,
Washington, DC, 1964, pages 1019-1030.
[2] A. Apelblat, "Repeating Use of Integral Transforms-A

New Method for Evaluation of Some Infinite Integrals,"
IMA J. Appl. Mathematics, 27, 1981, pages 481-496.
[3] Staff ofthe Bateman Manuscript Project, A. Erdelyi

(ed.), Tables of Integral Transfonns, in 3 volumes,
McGraw-Hill Book Company, New York, 1954.
[4] A. V. Bitsadze, "The Multidimensional Hilbert

Transform," Soviet Math. Dokl., 35, No. 2, 1987, pages
39Q--392.
[5] R. N. Bracewell, The Hartley Transfonn, Oxford

University Press, New York, 1986.
[6] C. R. Chester, Techniques in Partial Differential

Equations, McGraw-Hill Book Company, New York, 1970.
[7] B. Davies, Integral Transfonns and Their Applications

Second Edition, Springer-Verlag, New York, 1985.
[8] V. A. Ditkin and A. P. Prudnikov, Integral Transfonns

and Operational Calculus, translated by D. E. Brown,
English translation edited by I. N. Sneddon, Pergamon
Press, New York, 1965.
[9] H.-J. Glaeske, "Operational Properties of a Generalized

Hermite Transformation," Aequationes Mathematicae, 32,
1987, pages 155-170.
[10] D. T. Haimo, "The Dual Weierstrass-Laguerre

Transform," Trans. AMS, 290, No. 2, August 1985, pages
597-613.
[11] I. I. Hirschman and D. V. Widder, The Convolution

Transfonn, Princeton University Press, Princeton, NJ,
1955.
3 Chapter 3 Extremal Problems
[1] E. Butkov, MathematictJl Physics, Addison-Wesley

Publishing Co., Reading, MA, 1968, pages 573-588.
[2] L. V. Kantorovich and V. I. Krylov, Approximate Methods

of Higher Analysis, Interscience Publishers, New York,
1958, Chapter 4, pages 241-357.
[3] A. R. Mitchell and R. Wait, The Finite Element Method

in Differential Equations, Wiley, New York, 1977, pages
27-31.
[4] H. Rund, The Hamilton-Jacobi Theory in the Calculus of

Variations, D. Van Nostrand Company, Inc., New York,
1966.

5 Chapter 5 Geometric Applications
5. Geometric Applications 25
Area If a surface is described by z = J(x, y), for (x, y)

in the region R:c 11 ,
then the area of the surface, S, is given by S= U 1+ (:)'

+ (:)' dxdu
If, instead, the surface is described parametrically by x =

(x, y, z) with
x = x(u,v), y = y(u,v), z = z(u,v), for (u,v) in the region

Ruv, then the
area of the surface, S, is given by S = f jlx.u x xvl

dudv = J J VEGF 2 dudv, '-• R ••
where E = Xu • Xu = X~ + y; + z!, F = Xu • Xv = XuXv +

YuYv + ZuZv, (5.1) G = Xv • Xv = X~ + y~ + z~.
General Coordinate Systems In a three-dimensional

orthogonal coordinate system, let {a.} denote
the unit vectors in each of the three coordinate

directions, and let { Ui}
denote distance along each of these axes. The coordinate

system may be
designated by the metric coefficients {9u, 922, 933},

defined by .. = (8x 1 ) 2 (ax 2 ) 2 (ax 3 ) 2 9 " au,
+ au, + au, ' (5.2)
where {x1tx2,x3} represent rectangular coordinates. Then an

element of
area on the u1u2 surface (i.e., u 3 is held constant) is

given by dS12 =
[ J9ll du1) [ J92idu2]. Metric coefficients for some common

orthogonal co
ordinate systems may be found on page 113. Moon and Spencer

[2]list the
metric coefficients for 43 different orthogonal coordinate

systems. (These
consist of 11 general systems, 21 cylindrical systems, and
11 rotational
systems.) Operations for orthogonal coordinate systems are

sometimes written
in terms of{~} functions, instead of the {9ii} terms.

Here, h, = .;gii, so
that, for example, dS12 = [htdUt] [h2du2]. 26 I

Applications of Integration Volume Using the metric
coefficients defined in (5.2), we define 9 = 911922933· An
element of volume is then given by Moments of Inertia For
a bounded setS with positive area A and a density function
p(x, y), we have the following definitions: 1 I p(x,y)dA
= M =total mass ). I p(x, y )x dA = M 11 = first moment
with respect to the x-axis ). I p(x, y )y dA = M:~: =
first moment with respect to the y-axis ). I p(x, y)x 2
dA = 1 11 =second moment with respect to they-axis ). I
p(x, y)y 2 dA = 1:~: =second moment with respect to the
x-axis J. I p(x, y)(x 2 + y 2 ) dA = Io =polar second
moment with respect to the origin. Example 1 Consider a
helix defined by x(t) = (acost,asint,bt) fort in the range
[0, 211']. The length of this curve is L =12ft Va 2 sin 2
t + a 2 c082 t + b2 dt = 1 2 • ../a2 + b2 dt = 21r../a2 +
b2. Example 2 Consider a torus defined by x = (( b + a
sin </>) cos 9, ( b + a sin </>) sin 9, acos</>), where 0
~ 9 ~ 211' and 0 ~ </> ~ 211'. From (5.1), we can compute
E = xe · xe = (b + asin</>) 2 , F = xe · X4J = 0, and G =
X4J • x.q, = a 2 • Therefore, the surface area of the
torus is S= 1 2 • 1 2 • ../EG-F2d9d</>= 1 2 • 1 2 •
a(b+asin</>)d9d</>=411' 2 ab. Example 3 In cylindrical
coordinates we have { Xt = r cos</>, x2 = r sin</>, X3 = z}
so that {hr = 1, h9 = r, h. = 1}. Consider a cylinder of
radius R and height H. This cylinder has three possible
areas we can determine:
5. Geometric Applications 27
We can identify each of these: S9z is the area of the

outside of the cylinder,
S9r is the area of an end of the cylinder, and Sn is the

area of a radial
slice (that is, a vertical cross-section from the center of

the cylinder). We can also compute the volume of this
cylinder to be {B {R (" {H {R {2ft
V= Jo Jo Jo h9hrhzd9drdz= Jo Jo Jo rdOdrdz=1rR 2 H.
Notes
[1] IfC is a simple closed curve, positively oriented, that

is piecewise continuous, then the line integrals fc x dy
and fc y dx both have the same value, which is equal to
the area enclosed by C. This is an application of Green's
theorem, see page 164.
[2] The quadratic form (see (5.1)) I = dx · dx = E du 2 +

2F du dv + G dv 2 is called the first fundamental form of
x = x( u, v). The length of a curve described by
x(u(t),v(t)), fort in the range [a,b] is
[3] The Gauss-Bonnet formula relates the exterior angles of

an object with the curvature of an object (see Lipschutz
[2]): Let c be a curvilinear polygon of class C 2 on a
patch of a surface of class greater than or equal to 3.
We presume that C has a positive orientation and that its
interior on the patch is simple connected. Then where ~t
9 is the geodesic curvature along C, K is the Gaussian
curvature, R is the union of C and its interior, and the
{8;} are the exterior angles on C. For example, consider
a geodesic triangle formed from three geodesics. Along a
geodesic we have K. 9 = 0, so that ~~ 8; = 271' I I K ds.
For a R planar surface K = 0. Hence, we have found that
the sum of the exterior angles in a planar triangle is
271'. (This is equivalent to the usual conclusion that the
sum of the interior angles of a planar triangle is 71'.)
For a sphere of radius a, we have K = 1/a 2 • Therefore,
the sum of the exterior angles on a spherical triangle of
area A is 271'A/a 2 •
6 Chapter 6 MIT Integration Bee
6. MIT Integration Bee
{25) I (logx + 1)r dx I dx {27) .;x (1 + ..rx)
{29) I ../cscxsinxdx
{31) I 42zdx
{33) I xez 2 dx
{35) I dx ez +e z
{37) I cos(sinx)cosxdx
{39) I 7rdx v'16e 2 {26) l(cos2x){sin6x)dx {28) I elfzx3

dx {30) lx 2 + 1 dx x 3 -x {32) I x 5 ez dx I dx
{34) (x2 + 1)2 {36) I tan x log I sec xl dx {38) 1
__.!!=__ x 2 -9 {40) I v'tanxdx. 29 On January 22, the
top 11 scorers on the written exam participated in
the Integration Bee. (These people had obtained between 26

and 35 correct
answers to the above written exam.) The first few rounds

were run with a
fixed time in which to simplify a specific integral. The

integrals, and the
time allowed for each, were:
• 1 minute for I sin1 x dx . x 2 2x+2
• 2 rmnutes for I 2 dx, X +1 sin 2 XCOS 2 X
• 2 minutes for I 2 dx, 1 +COS X
• 2 minutes for I y'x + x 2 ..jXdx (since five people in a

row did not obtain the correct answer, this integral was
discarded and the people who could not integrate it were
not penalized),
• 2 minutes for I cos 4x cos 2x dx, v'x 3 -1
• 2 minutes for I dx. X After these integrals, there were

four finalists. The ranking of the
finalists was achieved by four rounds of competitive

integration (a pair was
given the same integral; whoever obtained the correct

answer first was the
winner of that round). The integrals to be evaluated were

f ez(:; 2) dx J cotx d log(sinx) x I xsec 2 xdx I xsecx
(xtanx + 2) dx.
8 Chapter 8 Summations: Combinatorial
[1] W. Feller, An Introduction to Probability Theory and

Its Applications, John Wiley & Sons, New York, 1968.
[2] C. W. Helstrom and J. A. Ritcey, "Evaluation of the

Noncentral F-Distribution by Numerical Contour
Integration," SIAM J. Sci. Stat. Comput., 6, No. 3, 1985,
pages 505-514.
[3] R. J. McEliece, The Theory of Information and Coding,

Addison-Wesley Publishing Co., Reading, MA, 1977.
8. Summations: Combinatorial
Applicable to Evaluation of combinatorial sums.
Procedure A combinatorial sum may sometimes be written as

a summation over
contour integrals. Interchanging the order of integration

(when permitted),
allows a different integral to be evaluated. Evaluating

this new integral will
then yield the desired sum. Finding the contour integral

representation of the terms in the sum
mation may be aided by Table 8.
Example 1 Consider the sum
where m is an integer. By use of Table 8 we make the

identification
If we choose P1 and P2 appropriately (i.e., in this case we

require IYI 2 >
4(1+x)(1+y) in the integration), then we may move the

summation inside
the integrals and evaluate the sum on k to obtain 1 1. (1

+ y)Ry Sn(m) = -2 m+l 2 dxdy. (27ri) lci=P1.1111=P2 X
(y + 4(1 + y)(1 + x)) 32 I Applications of Integration
Table 8. Representations of combinatorial objects as
contour integrals. Here, resF(:e) denotes the sum of the
residues of F(:e) at all poles within some region "'
centered about the origin. That is: resF(:e) = 2 1 . fr
F(:e) d:e. "' 11't Binomial Coefficients (where 0 < p <
1): ( m) = res(1 + :e)m:e-n-1 = ~ 1. (1 + :e)m:e-•-1d:e.
n ., 211't l•l•~t Multinomial Coefficients (where r(p) =
{x = (:e1, ... ,:e~:) llxl =Pit 0 < Pi < 1, i = 1, ... ,
k} ): Bernoulli numbers: B,. = n!res(e"' -1)1 x-". "'
Euler numbers: E,. = n!res cosh1 (:e)x-"1 • "' Power
terms Since m is an integer, the integral with respect to
:e may be evaluated by the residue theorem to obtain
(-l)ml. (l+y)"+m Sn(m) =4m-2-.( )2m+2 dy. 1 ~"~ I•I•PJ If
+ 2 Evaluating this last integral, by another application
of the residue theorem, we obtain our final form for the
summation Sn(m) = ( -l)" 4 m (n + m) 2n + 1. 2m 2m+l
This is one of the so-called Moriety identities.
8. Summations: Combinatorial 33
Example 2 Consider the summation n m m+n+pmin(m,n) ( ) (

) ( k) R(m,n,p) := ~ k k m+n ' (8.1)
where m, n, and pare non-negative integers. Using Table 8,

it is easy to
show that
The reason that the k summation can be extended to include

large values
of k is because there are no contributions from these

values. By defining
Sz = {x = (x.,x2,X3) llx11 = lx21 = 2, lx31 = n. this

integral can be
written as
If we introduce the new variables t 1 and t2 and define

the curve St =
{ t = (tt. h) llt1l = lt2l = 1 ~ }, then this last

three-dimensional integral and
summation may be written as the following five-dimensional

contour inte
gral: 1 1 (1 + zs)~'+ 1 zs R(m,n,p) = -5 m+i n+l dxdt,

(27ri) s, xs., /(h, Z1)/(t2,z2)(z1Z2(l + zs)l)t 1 t;
where /(a, b) := x 3 a{l + b)(1 + x 3 ). If this

five-dimensional integral is
evaluated with respect to z 11 x2, and za, in that order,

then we obtain R( ) _1_1 (1 t )-p-1(1 t )-p-1t-n-1t-m-1
dt m, n, p (2 ·)2 1 2 1 1 . 11'1 s,
Using Table 8, this two-dimensional integral is equal to (

m+p)(n+p) R(m,n,p) = m n . (8.2)
9 Chapter 9 Summations: Other
9. Summations: Other 35
Procedure One technique for evaluating infinite sums is by

use of the Watson
transform (see page 44). Under suitable convergence and

analyticity con
straints, we have: Theorem: If g(z) is analytic in a

domain D with a Jordan contour C, then 2 1 ·1g(z)cotndz
= Lg(n) 7n c for those integers n that are within C.
Alternately (see lyanaga and Kawada [1], page 1164): If an

analytic func
tion /(z) is holomorphic except at poles an (n = 1,2, ... ,

k) in a domain
bounded by the simple closed curve C and containing the

points z = m (for
m = 1,2, ... ,1i), then t/(m) = 2 ~i fc 1r(cot 1rz)J(z)

dzt, Res [1r(cot1rz)/(z)) lz=an.
When the left-hand side is replaced by E~= 1 (-1)m/(m),

then the cot1rz
must be replaced by cosec 1rz. Another technique that can

be used to evaluate summations is the
Euler-Maclaurin summation formula. From Wong [3] (page 36)

we find If /(t) is defined on 0 $ t < oo, and if J< 2
n>(t) is absolutely integrable on (O,oo) then, for n =
1,2, ... /{0) + ... + /{n) = 1 00 /{x) dx + ~ [/{0) +
/{n)] m-1 + L {~;)! (f 28 1 >{n)f2a-t)(O)] + RM(n), ...
1 {9.1) · . 1n B2mB2m (xLxJ) ( 2 ) where the rematnder
18 Rm{n) = f m {x) dx. 0 {2m)! The remainder can be
bounded by IRm{n)l $ (221-2m) IB2m! ln IJ<2m){z)l dx.
(2m). 0 In this theorem, the Bernoulli polynomials
{B.(x)} are defined by the
generating function tezt oo t• -t= L B.(x)...,. (9.2) e

-1 •=O s.
The Bernoulli numbers {B.} are given by B. = B.(O) and a

generating
function for them can be obtained from (9.2), by setting x

= 0. 36 I Applications of Integration " I _j_ / ~
eN I 'I' ia :6: I ~ x* ~* ~r ~ -~ * ~* ~-+ -N1 N -4
-3 -2 -1 1 2 3 4 N N + 1 I -ia :k I I I _j I I
Figure 9.1 Contour for the integral in (9.3) . Example 1
As an example of the Watson transform, consider the sum S
= E:= 1 1/(n 2 + a 2 ). We define the integral I =
....!.__ f 11'( cot n) dz 211'i leN z 2 + a 2 (9.3)
where eN is the contour shown in Figure 9.1. Note that the
vertical and horizontal sides to eN are at the values N l
and N + ! . The contour integral in (9.3) can be evaluated
by using Cauchy's theorem (see page 129). The poles within
the contour are at z = ±ia, 0, ±1, ±2, ... , ±N. The
residues at ±ia are 'II'Cot(±i1ra)/{±2ia), and the residue
at z = n (for n = 0, ±1, ... , ±N) is 1/(n 2 + a 2 ).
Hence, I= ~ 1 [1rcot(i1ra) 1rcot( -i1ra)] L....J 2 2 + 2'
+ 2' . n=-N n +a ta ta (9.4) As N -+ oo, it is easy to
show from {9.3) that I -+ 0. Indeed, since the cotangent
function is bounded, we have I = 0 (N2 ) O(N) -+ 0 as N
-+ oo. Taking the limit as N -+ oo, and combining {9.3) and
(9.4), we find ~ 1 ['lrCOt(i1ra) 'lrCOt(-i'lra)] = O
L....J n 2 + a 2 + 2ia + -2ia n=-oo or 00 1 'II' 1 ~
= -coth1ra-. L....J n 2 + a 2 2a 2a 2 n=l (9.5)
9. Summations: Other 37
If the limit a 0 is taken in this formula, then we obtain

the well-known
result (see also Example 3): E:=l n2 = 1r 2 /6.
Example 2 As an example of the Euler-Maclaurin summation

formula, consider
the harmonic numbers, defined by Hn = ! + ~ + ... + ~·

Using {9.1) we
find: 1 1 B2 23-1 I ( ) m-1 [ { ) ]
Hn = logn+ 2 1 + ~ + ~ ( 2 s)! n 2 • • + {2s -1)!

+.Rm(n-1), (9.6)
where Rm(n -1) = r-1 B2mB2m (xLxJ) dx. Jo {1 + x) 2 m+l
Taking the limit of n oo in {9.6} results in an expression

for Euler's
constant -y: . . 1 00 B2mB2m (x -lxJ)
where the error term lS giVen by Em= ( ) 2 m+1 dx. o 1+x

Example 3 As an example of a different technique, consider
the evaluation of the
zeta function at an argument of two: ({2) := E::O=l n2 •

We have 38 I Applications of Integration Since J; z 2 "
dx = 1/(2n + 1), we can write (J 0 1 y 2 " dy) (I; z 2 "
dx) = 1/(2n+ 1) 2 . Therefore, we have 4 00 1 C( 2 )
= 3]; (2n + 1) 2 4 00 1111 = 3 L (zy)2" dx dy ra=O 0 0
41111 00 = 3 E<zu) 2 " dxdy 0 0 ra=O 4 ( 1 ( 1
dxdy = 3 Jo lo 1 z 2 y 2 · Now make the change of
variables from { z, y} to { u, v} via z = sin u/ros v, y =
sin v fcos u. The Jacobian of the transformation is given
by J = 18(z,r)l = lz" Yu I 8(u,v) ztJ 1/tJ cos u sin u
sin v = COSV W82V sin v sin u cos v cos 2 u COSU sin 2
usin 2 v = 1-.,...---..,.cos2 ucos 2 v = 1Z2J12.
Continuing the calculation of the zeta function, we find
((2) = ~ t (1 dx ~ 2 3 Jo lo 1z t1 41111 J = 3 2 2dudv
o o1-zy 41•=11·=1 = 3 dudv. s=O w=O (9.7) The region
of integration in the ( u, v) plane becomes the triangle
with vertices at (u = O,v = 0), (u = O,v = 1r/2), and (u
= 7r/2,u = 0) (see Figure 9.2). Since this triangle has
area 1r 2 /8 we finally determine 41r2 1(2 (( 2 ) = 38
= 6•
9. Summations: Other 39 v 'If 2 .. 'If 2 u
Figure 9.2 Integration region in (9.7).
Notes
Ill Under some continuity and convergence assumptions, the

Poisson summation formula states (see lyanaga and Kawada
Ill, page 924) f /(n) = f loo e21rint f(t) dt. n=-oo
n=-oo -oo (This formula can also be extended to functions
of several variables.) For example, if we take /(t) =
e-rl 2 z (for some fixed x > 0), then we obtain ~ 1 ( 1rn
2 ) = L.....vZ exp ---;. n=-oo (9.8) For small values
of x, the sum on the right-hand side of (9.8) converges
much more quickly than the sum on the left-hand side. See
also Smith 121. We note in passing that the equation in
(9.8) represents the following functional relationship of
theta functions: 9(x) = )x9 (;).
121 For another example similar to Example 1, the summation

~ cosnt = 7rcosha(7rt) __ 1_ L.....-n 2 +a 2 asinh1ra 2a
2 n=l can be derived from the integral fracl27ri fc 1r 2
cosz~1r ~ t) dz. (z +a )smn
Ill S. lyanaga andY. Kawada, Encyclopedic Dictionary of

Mathematics, MIT Press, Cambridge, MA, 1980.
121 P. J. Smith, "A New Technique for Calculating Fourier
Integrals Based on the Poisson Summation Formula," J.
Statist. Comput. Simulation, 33, No. 3, 1989, pages
135-147.
131 R. Wong, Asymptotic Approximation of Integrals,

10 Chapter 10 Zeros of Functions
(1] A. T. Bharucha-Reid and M. Sambandham, Random

Polynomials, Academic Press, New York, 1986, Chapter 4,
pages 49-102.
(2] M. P. Carpentier, "Computation of the Index of an

Analytic Function," in 0. Keast and G. Fairweather (eds.),
NumeriC4l Integration: Recent Development&, Software and
Application!, Reidel, Dordrecht, The Netherlands, 1987,
pages 83-90.
(3] M. P. Carpentier and A. F. DosSantos, "Solution of

Equations Involving Analytic Functions," J. Comput.
Phyllics, 4&, 1982, pages 21o-220.
11 Chapter 11 Miscellaneous Applications
(1) L.A. Aizenberg, "Application of the Multidimensional

Logarithmic Residue to Number Theory. An Integral Formula
for the Difference Between the Number of Lattice Points
in a Domain and its Volume," Ann. Polon. Math., 46, 1985,
pages 395-401.
(2) F. Calio, M. Frontini, and G. V. Milovanovi~,

"Numerical Differentiation of Analytic Functions Using
Quadrature& on the Semicircle," Comp. & Math!. with
Appt.., 22, No. 10, 1991, pages 99-106.
[3) H. M. Haitjema, "Evaluating Solid Angles Using Contour

Integrals," Appl. Math. Modelling 11, No. 1, 1987, pages
6~71.
[4) J. Hersch, "lsoperimetric Monotonicity: Some Properties

and Cotijectures (Connections Between lsoperimetric
Inequalities)," SIAM Review, 30, No.4, December 1988,
pages 551-577.
[5) N. I. Ioakimidis, "Locating Branch Points of

Sectionally Analytic Functions by Using Contour Integrals
and Numerical Integration Rules," Int. J. Comp. Math., 41,
1992, pages 215-222.
[6) S. lyanaga andY. Kawada, EncJiclopedic Dictionaf11 of

[7) I. Vardi, "'ntegrals, an Introduction to Analytic

Number Theory," Amer. Math. Monthl71, 95, No. 4, 1988,
pages 308-315.
13 Chapter 13 Integral Definitions
[1] G. A. Bliss, Algebraic .~'Unctions, Dover Publications,

Inc., New York, 1966.
[2] T. J . Boks, "Surles rapports entre les methodes de

}'integration de Riemann et de Lebesgue," Rend. Circ. Mat.
Palermo, 45, No.2, 1921, pages 2ll-264.
[3] M. W. Botsko, "An Easy Generalization of the Riemann

Integral," Amer. Math. Monthly, 93, No.9, November 1986,
pages 728-732.
[4] J. C. Burkill, "Functions oflntervals," Proc. London.

Math. Soc., 22, No. 2, 1924, pages 275-310.
16 Chapter 16 Convergence of Integrals
16. Convergence of Integrals 65
Procedure Most techniques that indicate convergence or

divergence use some sort
of integral inequality (see page 205). In this section we

use the following
two theorems: Theorem (Comparison test for convef!1ence}:

Let /(z) and g(z} be continuous for a < x ~ b, with 0 ~
1/(z)l ~ g(x). If I: g(x} dx converges, then I: f(x) dx
converges and 0 ~II: /(z)dzl ~I: g(x)dx. Theorem
(Comparison test for divef!1ence): Let f(x) and g(z) be
continuous for a < x ~ b, with 0 ~ g(z} ~ f(z). If I:
g(x)dx diverges, then J: J(x)dx diverges. To use these
theorems effectively, a knowledge base must be created
of converging and diverging integrals. Some common

integrals used for
comparison include (assuming a< b): (A) which converges

for p < 1 and diverges for p ~ 1. (B) which converges for
p < 1 and diverges for p ~ 1. (C) which converges for p <
1 and diverges for p ~ 1. (D) which converges for p > 1
and diverges for p ~ 1. (E) which converges for p > 1 and
diverges for p ~ 1.
Example 1 Consider the integral I = I~oo z :J~ t dx. For

the given range of
integration (i.e., for x E [0, oo]) we can easily bound the

trigonometric
term: lxsin 2 xl ~ x. The integral J = I~oo z 3 ~ 1 dx

will now be shown to
converge, which then implies the convergence of I. First,

we write 1 1 X 1 00 X J = Jl + J2 = -3-dx + -3-dx. 0 X
+1 1 X +1 The integrand in J1 is bounded above by x, and I
0 1 xdx = ~ (this
shows that J1 is convergent). The integrand in J 2 can be

bounded above
by x2 and Jt x2 dx = 1 (this shows that J 2 is

convergent). Hence, J is
convergent (it is bounded above by ~) and so is J. 66 II

Concepts and Definitions Example 2 Consider the integral
I = 1 00 (1° sin(r?x 3 ) dy) dx. Changing variables in
the inner integral to z = 1ix 3 results in 11 00 (r 2 ••
sin z ) dx I = 2 1 o .fZ dz x3/2 . The inner integral is
bounded for all a and x since Iooo ·~ dz converges. The
integral I 1 00 x3 / 2 dx also converges, so we conclude
that I converges. Notes [1] Note that we can analytically
integrate J in Example 1. We find that J=loo _x_dx -oo X3
+ 1 = (!lo 1-x+x2 +-1-tan-12x-1)1e•oo 6 g (1 +x) 2 J3 J3
.,. 0 71' = 3v'3 :::l 0.605. [2] Another useful theorem
for determining whether an integral converges is
Chartier's test (see Whittaker and Watson [3]) Theorem
(Chartier): If /(x) decreases to zero monotonically as x
--+ oo, and IJ: ,P(t) dtl is bounded as x--+ oo, then I:
f(x),P(x) dx converges. (A) For example, consider I= Iooo
x1 sinx dx. In this case, /(x) = x1 is monotonically
decreasing and I: sin t dt = 1 cost, which is certainly
bounded. We conclude that I converges. (B) For a more
interesting example, consider J = I 1 00 xcos(x 3 -x) dx.
This integral can be written as J = 1 00 ~ (~ sin(x 3
x)) dx. 1 3x -1 (A;(; We recognize that x/(3:z: 2 1)
decreases monotonically, and that 1• (! sin(x 3 x)) dx =
sin(x 3 x), which is bounded. We conclude that J
converges. [3] The following decomposition K = 1 00
cosxsinax dx =! 1 00 sin(a + 1)x dx +! 1 00 sin(a -1)x
dx, O X 2 0 X 2 0 X combined with the first example in
the last note shows that K converges. [4] Divergent
integrals can sometimes be regularized to obtain a finite
value, see Wong and McClure [2].
17 Chapter 17 Exterior Calculus
[1] W. Kaplan, Advanced Calculus, Addison-Wesley Publishing

Co., Reading, MA, 1952.
[2] R. Wong and J. P. McClure, "Generalized Mellin

Convolutions and their Asymptotic Expansions," Can. J.
Math, 36, 1984, pages 924-960.
[3] E. T. Whittaker and G. N. Watson, A Course of Modern

Analysis, Cambridge University Press, New York, 1962.
17. Exterior Calculus
Applicable to Integration of differential forms.
Idea The integral of a differential form is a

higher-dimensional generaliza
tion of such ideas as the work of a force along a path, or

the flux of a fluid
across a surface.
Procedure A real-valued function of x, also known as a

scalar field, is called a
zero-form in exterior calculus. A one-form (in, say, three

space) is an
expression of the form Ft dx + F 2 dy +Fa dz, where F 1 ,

F 2 , and Fa are
functions of x, y, and z. A two-form in "standard order"

is an expression of the form Ft dy II. dz + F2 dz I\ dx +
Fa dx I\ dy.
The inverted v's are called carets or wedges. The wedges

distinguish be
tween a two-form, such as 4ya dz I\ dx, and objects such as

4y 3 dz dx,
that occur in double integrals where the order of the

differentials is not
important. In n-dimensional space, p-forms exist for p =

0, 1, ... , n. The addition
of two p-forms, or the multiplication of a p-form by a

scalar, is another
p-form. The wedge product has the following properties:
• The wedge product is associative: w I\ (9 I\(} = (w I\ 6)

I\(.
• The wedge product is anti-commutative: w I\ 9 = ( -1}1: 1

8 I\ w, for w a k-form and 9 an l-form.
• The wedge product of repeated differentials vanishes: dx

II. dx = 0
• The wedge product of a p-form and a q-form is a (p +

q)-form. When dealing with n-dimensional space, it is
useful to deal with forms
in a more formal way. If we choose a linear coordinate

system {xt. x2, ... , x,.}
on Rn, then each Xi is a 1-form. If the {xi} are linearly

independent, then
every 1-form w can be written in the form w = a1x1 + ... +

a,.x,., where 68 II Concepts and Definitions the { tJi}
are real functions. The value of w on the vector ( is equal
to w(() = atzt(()+ ... +a,.x"((), where Xt((), ... ,
x"((), are the components of C in the chosen coordinate
system. A 2-form w2 is a function on pairs of vectors
which is bilinear and skew-symmetric: W2(~t(t + ~2(2, (a)
= ~tw2((t, (a)+ ~2w2((2, (a), W2((t. (2) = -W2((2, (t)•
From this it is easy to derive that W2((, () = 0 for every
2-form. Analogously, an exterior form of degree k, or a
k-form, is a function of k vectors which is k-linear and
antisymmetric. A differentiable k-form w"lx• at a point x
of a manifold M, is an exterior k-form on the tangent
space T Mx to M at the point x. That is, it is a k-linear
skew-symmetric function of k vectors {( 1 , ••• ,(A:}
tangent to M at x. Every differentiable k-form on the
space Rn with a given coordinate system {x 1 , ••• ,x"}
can we written uniquely in the form w" = L a, 1 , •••
,i.(x)dx, 1 A···Adx,., it <···<i• where the {
llito····i• (x)} are smooth functions on Rn. A chain of
dimension n on a manifold M consists of a finite collection
of n-dimensional oriented cells Ut 1 ••• , Ur in M and
integers mt, ••• , mr, called multiplicities (the
multiplicities can be positive, negative, or zero). A
chain is denoted by CA: = mtUt + ... + fflrUr· Let { Xt,
.•• , Xt} be an oriented coordinate system on R A:. Then
every k-form on R" has the form w" = 1/>(x) dx 1 A· ·
·AdxA:, where 1/>(x) is a smooth function. Let D be a
bounded convex polyhedron in RA:. We define the integral
of the form w" on D to be where the integral on the right
is understood to be the usual limit of lliemann sums. To
integrate a k-form over an n-dimensional manifold, the
role of the usual path of integration is replaced by a
k-dimensional cell u of M represented by a triple u = (D,
/,Or) where (A) D C RA: is a convex polyhedron; (B) f:
D-+ M is a differentiable map;
17. Exterior Calculus 69 (C) Or represents an orientation

of Don Rk. Then the integral of the k-form w over the
k-dimensional cell a is the
integral of the corresponding form over the polyhedron D:

ItT w = JD rw.
Here the form rw is defined by
where the {~ 1 } are tangent vectors and/. is the

differential of the map f.
The integral of the form wk over the chain CJc is the sum
of the integrals on
the cells, counting multiplicities: fc,. wlc = E, m, J,j

wk. Some classes of integrals can be immediately
evaluated. Using the two
definitions:
• A differential form w on a manifold M is closed if its

exterior derivative is zero: dw = 0,
• A cycle on a manifold M is a chain whose boundary is

equal to zero,
we have the two theorems:
• The integral of a closed form wk over the boundary of any

( k + 1 )dimensional chain CJc+l is equal to zero: That is,
J 8 c,.+l wlc = 0 if cJwk = 0;
• The integral of a differential over any cycle is equal to

zero: That is, 1 cJwk = 0 if OCic+l = 0. C•+l
Example The tw~form T = ( x dx + y dz) /1. (y dx y 2 dy)

can be expanded into
The first term vanishes because it contains a repeated

differential. Writing
the remaining terms in standard order results in T = y 3

dy /1. dz + y 2 dz /1. dx xy 2 dx /1. dy.
Notes
[1) As a matter of convention, the function identically

equal to zero is called a p-form for every p.
[2) Stokes' formula can be stated as f 8 c w = fc dw, where

c is the (k + 1)dimensional chain on a manifold M and w is
any k-form on M .
18 Chapter 18 Feynman Diagrams
18. Feynman Diagrams 71 ---+ H(tr) -~r< X ---+ I

f(r)dr -< ---+ I g(r) dr
Figure 18.1 Rules for creating diagrams and rules for

interpreting diagrams.
If the value of z(t) from the left hand side of (18.1) is

used in the right
hand side, then z(t) =lot J(r)dr+ lot g(r) [lo'" /(rl}drlr
dr +2 lot g(r) [lo'" /(r1}dr1] [lo'" g(r2)z 2 (r2)dr2] dr
+lot g(r) [lo'" g(r2)z 2 (r2)dr2r dr. (18.2} A "natural"
perturbation expansion would be to keep the first two
terms in the right hand side of (18.2}, and assume that

the last two terms
are "small". If lz(t)l « 1 then this may well be the case

since the last two
terms involve lzl 2 while the first two terms involve

constants. A functional iteration technique can be used to
derive (18.2} and its
higher order extensions from diagrams. We need two sets of

rules: One
set of rules describes how the diagrams may be computed;

the other set
of rules describes how the diagrams are to be turned into

mathematical
expressions. If we use the rules in Figure 18.1, (where

H() denotes the
Heaviside function}, then the first two steps in the

diagrammatic solution
to z(t) (from (18.1}) are given by the diagrams in Figure

18.2. Note that the third and fourth diagrams in Figure
18.2 represent the
same mathematical expression since they are topologically

equivalent. The
purpose of the Heaviside function is to restrict the range

of integration. By
careful inspection, the mathematical expressions associated
with the last
set of diagrams will be seen to be identical to (18.2}.

See Zwillinger (5) for
20 Chapter 20 Fractional Integration
[1)
[2)
(3) B. Bialecki, "A Sine Quadrature Rule for Hadamard

Finite-Part Integrals," Numer. Math., 57, 1990, pages
263-269. P. J. Davis and P. Rabinowitz, Methods of
Numerical Integration, Second Edition, Academic Press,
Orlando, Florida, 1984, pages 11-15 and 188-190. N.l.
Ioakimidis, "On the Gaussian Quadrature Rule for
Finite-Part Integrals with a First-Order Singularity,"
Comm. Appl. Numer. Meths., 2, 1986, pages 123-132.
(4) N. I. Ioakimidis, "Application of Finite-Part Integrals

to the Singular Integral Equations of Crack Problems in
Plane and Three-Dimensional Elasticity," Acta. Mech., 45,
1982, pages 31-47.
(5) N. Ioakimidis, "On Kutt's Gaussian Quadrature Rule for

Finite-Part Integrals," Appl. Num. Math., 5, No.3, 1989,
pages 209--213.
(6) N. I. Ioakimidis and M. S. Pitta, "Remarks on the

Gaussian Quadrature Rule for Finite-Part Integrals with a
Second-Order Singularity," Computer Methods in Appl.
Mechanics and Eng., 69, 1988, pages 325-343.
[7) H. R. Kutt, "The Numerical Evaluation of Principal

Value Integrals by Finite-Part Integration," Numer.
Math., 24, 1975, pages 205210.
[8) D. F. Paget, "The Numerical Evaluation of Hadamard

Finite-Part Integrals," Numer. Math., 36, 1981, pages
447-453.
(9) G. Tsamasphyros, and G. Dimou, "Gauss Quadrature Rules

for Finite Part Integrals," Intemat. J. Numer. Methods
Engrg., 30, No. 1, 1990, pages 1326.
20. Fractional Integration
Applicable to Fractional integrals. 16 II Concepts and

Definitions Procedure The RiemannLiouville fractional
derivative of order v is defined by (20.1) (This is
sometimes represented by c.l;.) The fractional derivative
has the following properties: (1) The operation of order
zero leaves a function unchanged: cD~I(x) = l(x). (2) The
law of exponents for integration of arbitrary order holds:
cD: cD: l(x) = cD:+" l(x). (3) The fractional operator is
linear: cD:(al(x) + bg(x)] = acD:I(x) + bcD:g(x)
(assuming, for v < 0, that I and g are analytic). (4] The
operation cD:I(x) yields 1<">(x), the v-th derivative of I,
when v is a positive integer. If v is a negative integer,
say v = -n, then cD;n l(x) is the same as the ordinary
n-fold integration of l(x). (The integration constants are
chosen so that cD;n l(x) vanishes, along with its first n
1 derivatives, at x = c.) (5) If l(z) is an analytic
function of the complex variable z, the function cD;I(z)
is an analytic function of v and z. Many common functions
can be written as fractional integrals of other functions.
For example, we find J. (J::\ _uv-(11+1/2) ~ -p/2 ( r.:)
p vu,211../i 0 " .;u F ( b • • ) X1-gr(g) v-(g-b) (
f>-1(1 )-CI) 2 1 a, I g, X r(b) 0 s X -X • It is also
p<l88ible to represent some ordinary integrals as
fractional integrals in non-obvious ways. For example,
from Oldham and Spanier (3) we have (page 182) or, when
x = 1 1 1 (p+ 1) d-1/pll I (1 z 11 ) dz = r ---. 0 p dx1
/p r-•d
20. Fractional Integration 77 For example, we find t sin

( ../1 z2) dz = r (~) d-~:: 2 sin ( Vx) I lo dx ••l = v;
(.;:iXJl (Vx))l.=l 11" = 2Jl (1) ~ .69122984 ....
Notes
(1] A semi-integral is a half integral, that is v = -i in

(20.1). Table 20 contains a short table of semi-integrals.
[2] Another definition of a fractional derivative is Weyl's

integral .,K:, = rtv) 1oo (tx)"-1 /(t) dt for v > 0. To
compute fractional integrals, let m be the smallest
positive integer such that v < m and definer= mv. Then
.,K;," = :; ( r;r) 1 00 (tx)"1 /(t) dt) . Note that we
also have .,D;" = :;. ( r;r) 1"' (xt)"1 /(t) dt) when m
is the smallest positive integer such that v < m and r = m
v.
[3] Osler [4] has established the fractional integral

generalization of Leibniz's rule: where 'Y is arbitrary.
[1]
[2]
[3]
[4]
[5] A. Erdelyi, "Axially Symmetric Potentials and
Fractional Integration," J. Soc. Indust. Appl. Math., 13,
No. 1, March 1965, pages 216-228. F. G. Lether, D. M.
Cline and 0. Evans, "An Error Analysis for the Calculation
of Semiintegrals and Semiderivatives by the RL Algorithm,"
Appl. Math. and Comp., 17, 1985, pages 45--{)7. K. B.
Oldham and J. Spanier, The Fractional Calculus, Academic
PreBB, New York, 1974. T. J. Osler, "Leibniz Rule for
Fractional Derivatives Generalized and an Application to
Infinite Series," SIAM J. Appl. Math., 18, No. 3, May 1970,
pages 658--{)74. B. Ross, Fractional Calculus and Its
Applications, Proceedings of the International Conference
at the University of New Haven, June 1974, SpringerVerlag,
New York, Lecture Notes in Mathematics #457, 1975. 18 II
Concepts and Definitions Table 20. A short table of
semi-integrals. I ,rl/2/ .-1/2 0 0 C, a constant
20.;; z-1/2 .fi u2/:s X 3.;i z", n = 0, 1, 2, ...
(nl)2(u)"+1/2 {2n+ 1)1v'i z•, p> -1 r{p + 1) zP+l/2 r{p
+I> v'l+x {; (1 +s)u.o1 (v'i) + v'i 1 2 v'l+z v'i
arctan ( vz) 1 2sinh1 (Vi) -1+x J11(1 +x) ez ez
erf(vz) ez erf(vz) ez -1 sin (V'i) .;:HJt ( V'i) COB
(vz) .;:HH-t (vz) sinh (V'i) .;:Hit ( V'i) cosh (V'i)
.;:HL-t ( ..fi.) sin (Vi) .fiHo (V'i) Vi COl (Vi)
.fiJo (V'i) Vi logx 2/i pog(u)2] logz .jilog (i)
..fi.
22 Chapter 22 Mean Value Theorems
[1] J. Baddoura, "Integration in Finite terms and

Simplification with Dilogarithms: A Progress Report," in E.
Kaltoflen and S. M. Watt (eds.), Computers and
Mathematics, Springer-Verlag, New York, 1990, pages
166-181.
[2] M. Bronstein, "Symbolic Integration: Towards Practical

Algorithms," in Computer Algebra and Differential
Equations, Academic Press, New York, 1990, pages 59-85.
[3] G. W. Cherry, "An Analysis of the Rational Exponential

Integral," SIAM J. Comput, 18, No. 5, October 1989, pages
893-905.
[4] G. W. Cherry, "Integration in Finite Terms with Special

Functions: The Error Function," J. Symbolic Comp., 1,
1985, pages 283-302.
[5] J. H. Davenport, "The Risch Differential Equation

Problem," SIAM J. Comput, 15, No. 4, November 1986, pages
903-918.
[6] J. H. Davenport, Y. Siret, and E. Tournier, Computer

Algebra: Systems and Algorithms for Algebraic Computation,
Academic Press, New York, 1988, pages 165-186.
[7] K. 0. Geddes and L. Y. Stefanus, "On the Risch-Norman

Integration Method and Its Implementation in Maple,"
Proceedings of ISSAC '8g, ACM, New York, 1989, pages
218-227.
[8] P. H. Knowles, "Integration of Liouvillian Functions

with Special Functions," SYMSAC '86, ACM, New York.
[9] J. Moses, "Symbolic Integration, the Stormy Decade,"

Comm. ACM, 14, 1971, pages 548-560.
[10] R. D. Richtmyer, "Integration in Finite Terms: A

Method for Determining Regular Fields for the Risch
Algorithm," Lett. Math. Phys. 10, No. 2-3, 1985, pages
135-141.
[11] R. H. Risch, "The Problem of Integration in Finite

Terms," Trans. Amer. Math. Soc., 139, 1969, pages 167-183.
[12] R. H. Risch, "The Solution of the Problem of

Integration in Finite Terms," Bull. Amer. Math. Soc., 76,
1970, pages 605-608.
(13] J. F. Ritt, "On the Integrals of Elementary
Functions," Trans. Amer. Math. Soc., 25, 1923, pages
211-222.
(14] J. F. Ritt, Integration in Finite Terms: Liouville's

Theory of Elementary Methods, Columbia University Press,
New York, 1948.
[15] W. Squire, Integration for Engineers and Scientists,

American Elsevier Publishing Company, New York, 1970, pages
41-49.
22. Mean Value Theorems
Applicable to Single and multiple integrals.
Yields Information about a function integrated over a

region. 84 II Concepts and Definitions Idea The
integral of a function can sometimes be written as some
value of that function times the integral of a simplier
function. Procedure There are several theorems that yield
information about the mean value of a quantity; we
indicate only a few of them. First Mean Value Formula
Assuming that a ~ b, we have (ba)/max ~ 1.• /(z) dz ~
(ba)/min· If /(z) is continuous then we have 1.• /(z) dz
= (ba)f('i), (22.1) where a ~ x ~ b. This theorem is
sometimes written as (assuming, again, that /{z) is
continuous) [ f(x)g(x) dx = f(x) J." g(x) dx. Second Mean
Value Formula If f is a decreasing positive function on
[a, b), and g an integrable function on this interval,
then 11 • fgl ~/(a) sup lle 91· • •Szs• • Mean Value
Theorem for Double Integrals If /(z,y) is continuous on a
compact region R, with area A, there exists a point ((,
'1) in the interior or R such that J' J'
/(z,y)dA=/((,fJ)A. .R (22.2)
22. Mean Value Theorems 85
Example Consider the integral I= J; xsinxdx. The exact

evaluation is I=
sinxxcosxl~ = 11'. From (22.1), we can write I= 11'xsinx,

for at least
one value of x in the range [0, 11']. In this case, we find

that x ::::::: 1.1141 is
one such value.

Notes
[1) There are two theorems that are also called the second
mean value theorems (see Gradshteyn and Ryzhik [2), page
211): (A) If /(x) is monotonic and non-negative in the
interval (a, b) (with a < b), and if g(x) is integrable
over that interval, then there exists at least one point
( in the interval such that 1.• f(x)g(x)dx =/(a)/.(
g(x)dx. (B) If, in addition to the requirements in the
last statement, f(x) is nondecreasing, then there exists
at least one point ( in the interval such that 1.•
f(x)g(x) dx = f(b) 1• g(x) dx.
[2) There is also a mean value theorem from complex

analysis (see lyanaga and Kawada [3), page 624): Let u
be a harmonic function (i.e., V 2 u = 0), let D be the
domain of definition of u, and let S be the boundary of D.
Then the mean value of u on the surface or the interior of
any ball in D is equal to the value of u at the center of
the ball. That is u(P) = __!_,;. f u dr = ----kr f u du.
Tnr 1 B(P,r) O'nr 1 S(P,r) where Tn and O'n are the volume
and surface area of a unit ball in an, B(P,r) is the open
ball with center at P and radius r, S(P, r) is the
spherical surface with center at P and radius r, dr is
the volume element, and du is an element of surface area.
[1) W. Kaplan, Advanced Calculus, Addison-Wesley Publishing

[2) I. S. Gradshteyn and I. M. Ryzhik, Tables of Integrals,

Series, and Products, Academic Press, New York, 1980.
[3) S. Iyanaga andY. Kawada, Encyclopedic Dictionary of

23 Chapter 23 Path Integrals
(1] S. Albeverio and R. H0eghKrohn, Mathematical Theory of

Feynman Path Integrals, Springer-Verlag, New York, 1976.
[2] R. P. Feynman and A. R. Hibbs, Quantum Mechanics and

Path Integrals, McGraw-Hill Book Company, New York, 1965.
(3] T. Kaneko, S. Kawabata, andY. Shimizu, uAutomatic

Generation of Feynman Graphs and Amplitudes in QED,"
Comput. Physics Comm., 43, 1987, pages 279-295.
(4] D. C. Khandekar and S. V. Lawande, uFeynman Path

Integrals: Some Exact Results and Applications," Physics
Reports, 137, No. 23, 1986, pages 115229.
(5] P. K. MacKeown, uEvaluation of Feynman Path Integrals

by Monte Carlo Methods," Am. J. Phys., 53, No.9,
September 1985, pages 88G--885.
(6] L. S. Schulman, Techniques and Applications of Path

Integration, John Wiley & Sons, New York, 1981.
24 Chapter 24 Principal Value Integrals
[1] G. Criscuolo and G. Mastroianni, "On the Uniform

Convergence ofGaUBSian Quadrature Rules for Cauchy
Principal Value Integrals," Numer. Mo.th., 54, 1989, pages
445-461.
[2] G. Criscuolo and G. Mastroianni, "On the Convergence of

Product Formulas for the Numerical Evaluation of
Derivatives of Cauchy Principal Value Integrals," SIAM J.
Mo.th. Ano.l., 25, No. 3, June 1988, pages 713-727.
[3] K. T. R. Davies, R. W. Davies, and G. D. White,

"Dispersion Relations for Causal Green's Functions:
Derivations Using the Poincare-Bertrand Theorem and its
Generalizations," J. Mo.th. Phy!ia, 31, No.6, June 1990,
pages 1356-1373.
[4] P. J. Davis and P. Rabinowitz, Method! of Numeriall

Florida, 1984, pages 11-15.
[5] G. A. Gazonas, "The Numerical Evaluation of Cauchy

Principal Value Integrals via the Fast Fourier Transform,"
Int. J. Comp. Mo.th., 18, 1986, pages 277-288.
[6] A. Gerasoulis, "Piecewise-Polynomial Quadrature& for

Cauchy Singular Integrals," SIAM J. Numer. Ano.l., 23,
No.4, 1986, pages 891-902.
[7] D. B. Hunter and H. V. Smith, "The Evaluation of Cauchy

Principal Value Integrals Involving Unknown Poles," BIT,
29, No.3, 1989, pages 512-517.
[8] H. R. Kutt, "The Numerical Evaluation of Principal

Value Integrals by Finite-Part Integration," Numer.
Mo.th., 24, 1975, pages 205-210.
[9] J. N. Lyness, "The Euler-Maclaurin Expansion for the

Cauchy Principal Value Integral," Numer. Mo.th., 46,
No.4, 1985, pages 611-622.
[10] G. Mastroianni, "On the Convergence of Product

Formulas for the Evaluation of Certain Two-Dimensional
Cauchy Principal Value Integrals," Mo.th. of Comp., 52,
No. 185, January 1989, pages 95-101.
[11] P. Rabinowitz, "Numerical Evaluation of Cauchy

Principal Value Integrals with Singular Integrand&,"
Mo.th. of Comp., 55, No. 191, July 1990, pages 265-276.
[12] P. Rabinowitz, "A Stable GaUBS-Kronrod Algorithm for
Cauchy PrincipalValue Integrals," Comput. Mo.th. Appl.
Po.rt B, 12, No. 5-6, 1986, pages 1249-1254.
[13] P. Theocaris, N. I. Ioakimidis, and J. G. Kazantzakis,

"On the Numerical Evaluation of Two-Dimensional Principal
Value Integrals," Int. J. Num. Method! Eng., 115, 1980,
pages 629-634.
27 Chapter 27 Transforms: Miscellaneous
[1] R. Y. Denis and R. A. Gustafson, "An SU(N)N Q-Beta

Integral Transformation and Multiple Hypergeometric Series
Identities," SIAM J. Math. Anal., 23, No. 2, March 1992.
[2] I. S. Gradshteyn and I. M. Ryzhik, Tables of Integrals,

[3] A. P. Prudnikov, Yu. A. Brychov, and 0. I. Marichev,

Integrals and Series, Volume 1, translated by N. M. Queen,
Gordon and Breach, New York, 1990. C. Schwartz, "Numerical
Integration in Many Dimensions. I," J. Math. Physics, 26,
No. 5, May 1985, pages 951-954.
[4] B. D. Sivazlian, "A Class of Multiple Integrals," SIAM

J. Math. Anal., 2, No. 1, February 1971, pages 72-75.

American Elsevier Publishing Company, New York, 1970.
27. Transforms: Miscellaneous
Idea This section has a collection of transformations of

integrals.
Some Specific Forms for
One-Dimensional Integrals When an integrand has a specific

form, there are some common trans
formations that might be useful. For example, if the

integrand: (A) is a rational function of sinx and cosx,
introduce u = tan(x/2) so that . 2u SlnX = -2 , l+u 1u
2 cosx= -2 , l+u 2du dx=-2 • l+u 104 II Concepts and
Definitions I sin 2 x For example, the integral J = 4
• 3 dx becomes cos x + cosxsm x J• I Su:a(u:a + 1) (u
2 1)(u 2 2u -1)(u 4 + 2u 5 + 2u 2 2u + 1) _ I [ 4u 3 +
6u 2 + 4u 2 + 2u 2 __ 1 ___ 1_] du u 4 + 2u 1 + 2u 2 2u
+ 1 3(u 2 2u1) u + 1 u1 = jlog (u 4 + 2u 3 + 2u 2 2u +
1) + jlog (3(u 2 2u -1)) -log(u + 1) -log(u1) 1 ( 8u 3 )
= 3log 1(u2 1)3 = jlog(1+tan 3 x). (B) is a rational
function of sinhx and coshx, introduce u = tanh(x/2) so
that . h 2u 810 X = :----2 1 1-u 1+u 2 cosh x =
:----2, 1-u ~_ 2du ru;2' 1-u (C) is a rational
function of x and v'f="il, introduce x = cosv to get to
case (A). (D) is a rational function of x and e-=1,
introduce x = cosh t1 to get to case (B). (E) is a
rational function of x and v?+l', introduce u = x+v?+l' 80
that (F) is a rational function of x and .j ax2 + bx + c,
then the substitution 2ax + b vv'l4acb21b t1 = <==:> X =
--.....:....~---'-v'l4acb21 2a will reduce the integral to
one of the above cases. (G) is a rational function of x
and u = J:: !• then use the substitution Integrals of the
form J x"'(a + bxn)P dx, where m, n and p are rational
numbers, can be expressed in terms of elementary functions
in each of the
27. Transforms: Miscellaneous 105
following cases (see Gradshteyn and Ryzhik [3] 2.202, page

71): p is an
integer; (m + 1)/n is an integer; and p + (m + 1)/n is an

integer.
Three useful transformations of definite integrals from

Gradshteyn and
Ryzhik [3] (3.032.1-3.032.3) are rw/2 ,w/2 Jo l(sinx) dx

= Jo l(cosx) dx rb r Jo l(pcosx + qsinx) dx = 2 Jo I (
v'r + q 2 cosx) dx r 12 r' 2 Jo l(sin2x)cosxdx = Jo I
(cos 2 x) cosxdx.
The Slobin transformation is (see Squire [6], page 95) 1

oo 1 (t ~) dt = 1oo l(t) dt. -oo t -oo
The Wolstenholme transformation is (see Squire [6], page

95) f.o 1 ( t 2 + ::) ~t = f.o 1 ( t + ~ 2 ) ~t.
Two unnamed transformations for definite integrals (from

Squire [6] page
94) are: r rrr Jo xl (sinx,cos 2 x) dx = 2' Jo I

(sinx,cos 2 x) dx 1 00 tan1 x 1r 1 1 dx f (x" + x-")
dx = 2 I (x" + x-") -. 0 X 0 X
Dealing with Singularities Often, integrable singularities

can cause a numerical routine to have
trouble approximating an integral. While there are no

universal principles
to be applied, some simple techniques can be useful.

Consider the integral I = 1 1 ljl dx. Assuming that 1(0)
is finite,
I has an integrable singularity. But a computer routine

evaluating this
integrand near x = 0 may have trouble. 106 II Concepts
and Definitions (A} If the /(:z:) term was not present,
then we would note the indefinite integral I d:z:/ y'X =
2y'i. Since the form y'X appears, it might be reasonable
to transform the integral to be on this scale. Changing
variables via u = y'X changes I to I= 2 I; /(u 2 } du.
This integral no longer has a singularity at the origin.
(B) Another technique is to subtract out a singularity.
For example, if /(0) has the finite value A, then I can be
written as I = 11 J(:z:) Jt +A d:z: = 11 f(:z:ji A d:z: +
2A. This new integrand has more smoothness than the
original integrand, thus should be easier to evaluate
numerically. (C) Another technique is to break the
integral up into several sub-integrals. For the above
integral we might try I= J1 + J2 = r J<x> d:z: + 11 J<x>
d:z:, lo VX I!! vz where e is large enough so that a
numerical routine does not have trouble with Jt. say e =
10-•. Then the integral J 2 has a narrow region of
integration; expansion methods, such as Taylor series, may
yield a good numerical approximation. Of course,
commercial integration software can automatically detect
power singularities, and apply an appropriate (numerical)
transformation to avoid computational difficulties.
Products of Special Functions Piquette [5) considers
integrals of the form I= I f(:z:) n~1 R~/(x}d:z:, where
R~](:z:) is of the i-th type of a special function of order
IJ, obeying the set of recurrence relations R~~ 1 =
a~£(:z:)R~> + b~£(:z:)R~~ 1 , dR<•> =:e._ = c (:z:)R<•> +
d (:z:)R<•> d:z: 1£ 1£ 1£ p-1' {27.1} Here {ap,bp,Cp,dp}
are known functions. Most of the special functions of
physics, such as the Bessel functions, Legendre functions,
Hermite functions, and Laguerre functions have recursion
relations in the form of {27.1). The indefinite integral I
is assumed to have the form 1 1 1 m I= L L ... L A,lJ12
... p,.(:z:) II R~!+,,(:z:). i=1
27. Transforms: Miscellaneous 107
Then the values of the { Ap} are determined, sometimes with

the help of
a differential equation. Piquette [5] obtains, for

example, the following
integral involving Legendre functions J x [Pt/3(x)]a dx =

(-¥fx"13-'x'J152) [Pt/3(x)]a + (-4 + 20x 2 )Pt/3(x)
[P4/3(x)] 3 + (9x25x 3 ) [Ptta(x)] 2 P 4 1 3 (x)~x [P 4
1 3 (x)] 2 •
A Jacobian of Unity Sometime a judicious change of

variables in a multiple integral may
make it easier to evaluate. Finding the correct change of

variables may
sometimes be done by solving a partial differential

equation. For example, changing variables in the usual
way in two dimensions
results in (see page 109) I= If f(x,y)dxdy =If F(u,v)

1:~:::~ I dudv, (27.2)
where F(u,v) := f(x(u,v),y(u,v)). Ifu is chosen so that

F(u,v) = F(u),
and v is chosen so that l a(x, y) 1-1 = 8u 8v au av 1

(27.3) a(u, v) ax ay ay ax '
then (27.2) becomes I = JJ F( u) du dv, which may be easier

to integrate.
Note that equation (27.3) for v is a partial differential

equation.
Example Suppose we have the integral I = 1 2 [log ( x 2

~ fi) dx dy. Choos
ing u = x 2 -1P simplifies (27.3) to 2x :: +2y =: = 1

which has as a solution
v = i log(x + y). Using the u and v variables defined

above, I becomes
where I = { fslt~s(u) + r21v3(u) + fu 1"•<•>} log ~ dv

du, Js v 1 (•) Ja v,(u) J12 v,(u) 4 v 1 (u) = i log (3 +
v'9=U) v2(u) = i log (1 + v'f+U) va(u) = i log {2 +
v'4+U) v4(u) = ~log (4 + v'16u).
29 Chapter 29 Computer Aided Solution
[1] H. Flanders, "On the Fresnel Integrals," Amer. Math.

Monthly, 89, April 1982, pages 264-266.
[2] C. George, Exerci&es in Integration, Springer-Verlag,

New York, 1984.
[3] R. G. Helsel and T. Rad6, "The Transformation of Double

Integrals," Tmm. Amer. Math. Soc., 54, 1943, pages 83-102.
[4] P. Moon and D. E. Spencer, Field Theory Handbook,

Springer-Verlag, New York, 1961.
29. Computer Aided Solution
Applicable to Indefinite or definite integrals.
Yields An exact evaluation of an indefinite or definite

integral.
Idea Some commercial computer algebra packages include a

symbolic inte
grator.
Procedure Find an computer system that runs any of the

following computer lan
guages: Axiom [7), Derive [2), Macsyma [4), MAPLE [1),

Mathematica [8),
or REDUCE [5). Then learn how to use the language, and find
the routine
that symbolically evaluates integrals. To compare some of

these different languages, a test suite of indefinite
and definite integrals was created, and the integration

routine from each
language was run on the test suite. The indefinite

integrals tested were
11: I sinxdx 12: I v'tanxdx
13: 1-x-dx 14: 1-xdx x 3 -1 sin 2 x
15: I logx dx 16· I x dx v'x+1 · v'1+x+v'f=Z

17: I e_.,., dx 18: 1-x-dx log 3 x
19: ls:2x dx 110: 12 dx . .. +cosx
Note that integrals 17, 18, and 19 are not elementary

integrals; their evalua
tion depends on the error function, the exponential

integral, and the cosine
integral. Integral IlO is discussed on page 192. The

definite integrals tested were
Dl: 1"• dx 0 2+cosx 118 III Exact Analytical Methods 1

00 -z 03: !...._dx ov'i 05: J 0 00 e-• 2 Iog 2 x dx
07: ~dx 1 00 2 0 l+z 09: Jt e-•zl/S dx. Observe that
none of these definite integrals, except integrals D7 and
D8, have elementary indefinite integrals. Additionally,
note also that integral D7 is divergent. Note that integral
D8, as written, is improper and has no well defined value.
If integral D8 were written as a principle value integral,
J = f~ 1 z2 dz, then J = 2. A routine that evaluates
definite integrals by first determining the indefinite
integral would return this value. Example 1 The following
is the result of running the test suite on a 386 computer
running Derive. In Derive the integration function has the
name INT. The Derive results were obtained by creating an
input file, running that file, and then storing the
output. Using this procedure, each input line is followed
by the corresponding output line. The author changed some
of the output appearing below to make it fit on the page
better. Derive is intended to be used interactively in a
graphical mode, and the graphical display of the results
below looks much better than the corresponding printed
output. For example, in the graphics mode, the square-root
function displays the square-root sign, not the function
name SQRT. i1•IIT(SIN(x),x) 11•-cos(x)
i2-IIT(SQRT(TAN(x)),x)
29. Computer Aided Solution 119 i9•INT(SIN(x)/x"2,z)

i9•INT(CDS(x)/x,x)-SIN{x)/x i10•INT(1/(2+CDS(x)),z)
and #e is used to specify the base of natural logarithms e

~ 2. 718. From the above we observe that Derive could not
evaluate the following
integrals from the test suite: D2, D3, D4, D5, D6, and D9.
Derive did not
recognize the cosine integral in I9, but left the answer

in terms of this special
function. Finally, Derive made an error on integral D8 by

not identifying
the singularity at x = 0.
Example 2 The following is the result of running the test

suite on a SPARCstation
running Macsyma. In Macsyma the integration function has

the name
integrate. Note that (Cl), (C2), ... are input lines

("command" lines)
and that (Dl), (D2), ... are output lines ("display"

lines). The symbol
% refers to the last expression. The author changed some of

the output
appearing below to make it fit on the page better. (C1)

11: integrate( ein(x), x); (D1) CDS(X) 120 III Exact
Analytical Methods (C2) 12: integrate( aqrt(tan(z)), z);
LOG(TAN(I) + SQRT(2) SQRT(TAN(X)) + 1) (D2) 2
(-------------------------------------4 SQRT(2) LOG(TAN(I)
SQRT(2) SQRT(TAI(X)) + 1) +
-------------------------------------4 SQRT(2) 2
SQRT(TAN(I)) + SQRT(2) 2 SQRT(TAN(I)) SQRT(2)
!TAN(------------------------)
!TAN(------------------------) SQRT(2) SQRT(2) +
-----------------------------+
------------------------------) 2 SQRT(2) 2 SQRT(2) (C3)
I3: integrate( zl(z~3-1),z); 2 X + 1 2 !TAN(-------)
LOG(I + X + 1) SQRT(3) LOG(l 1) (03) --------------+
------------+ ---------6 SQRT(3) 3 (C4) 14: integrate(
zlain(z)~2, z); (D4) X LOG(SIN(I)) -----TAN(l) (06) 15:
integrate( los(z)laqrt(z+1), z); LOG(SQRT(X + 1) + 1)
(D6) 2 (SQRT(l + 1) LDG(l) 2 (-------------------2
LOG(SQRT(l + 1) 1) + -------------------+ SQRT(l + 1)))
2 (C7) I7: integrate( ezp(-a•z~2), z); SQRT(xPI)
ERF(SQRT(A) l) (D7) 2 SQRT(A) (CB) 18: integrate(
zl(los(z))~3, z); I [ X (DB) I ------dX ] 3 I LOG (l)
(CD) I6: integrate( zl(aqrt(1+z)+aqrt(1-z)),z); I [ l
(D9) I ------------------------dX ] SQRT(X + 1) + SQRT(1
l) I (C10) block([alsebraic:trae],rata~(firat(l)));
SQRT(l I) SQRT(X + 1) (010) 2
29. Computer Aided Solution (C11) integrate(%,x); 312 2

(X + 1) 312 2 (1 X) 3 (011) 2 (C12) 110: integrate(
11(2+coa(x)),x); SIN(X) 3 2 ATAN(--------------------)
SQRT(3) (COS(X) + 1) (012) SQRT(3) (C13) I9: integrate(
ain(x)lx·2, x); I [ SIN(X) (013) I -----dX ] 2 I X
(C14) 01: integrate( 11(2+coe(x)),x,0,4*%pi); 4 SQRT(3)
%PI (014) 3 (C16) 02: integrate( ein(x)lx,x,-iDf,iDf);
(016) XPI (C16) 07: integrate( x·21(1+x•3),x,O,iDf);
Error: Integral ie divergent (C17) 03: integrate(
exp(-x)laqrt(x),x,O,iDf); (017) SQRT(%PI) (C18) 06:
integrate( exp(-x•2)•log(x)·2,x,O,inf); 2 512 SQRT(%PI)
LOG (2) SQRT(%PI) XGAKKA LOG(2) XPI (018)
----------------+ ----------------------+ -----2 2 16 2
121 XGAKKA SQRT(XPI) + ----------------(C19) 06:
integrate( exp(-x)•log(x)•2•x·3,x,1,inf); INF I [ 3 X 2
(019) I X XE LOG (X) dX ] I 1 (C20) 09 : integrate(
exp(-x)•x•(113),x,1,iDf); 4 (020) GAMMA(-, 1) 3 8 122
III Exact Analytical Methods (C21) 04: integrate(
exp(-x)•x-2/(1-exp(-2•x)),x,O,inf); 2 X X LOG(U: + 1) X X
(021) (limit --------------LI (l[ ) + X LI (l[ ) X -> INF
2 3 2 2 X X X X LOG(1 U: ) 7 ZETA(3) + LI (~E ) X LI (U:
) + ---------------) + --------3 2 2 4 (C22) 08:
integrate( 1/x·2,x,-1,1); Error: Integral ia divergent In
the above the following special notation has been used: ERF
for the error function, %GAMMA for Euler's constant,
GAMMA() for the incomplete gamma function, LI for the
logarithmic integral of different orders, %E for the base
of natural logarithms e, and %PI for 1r. From the above we
observe that Macsyma could not evaluate the following
integrals from the test suite: I8, I9, and 06. The result
for IlO is correct, but only for a limited range. Macsyma
could evaluate integral I6 only after the integrand was
simplified. Macsyma left the result for integral 04 in
the form of a limit. Finally, Macsyma successfully
identified the singularity at x = 0 in integral 08.
Example 3 In MAPLE the integration function has the name
int. The MAPLE results were obtained by creating an input
file, running that file, and then storing the output. In
this case all of the input is followed by all of the
output. The author changed some of the output appearing
below to make it fit on the page better. MAPLE is intended
to be be used interactively, and the graphical display of
the results below looks much better than the corresponding
printed output. « INPUT » I1 :• int( ain(x), x) I2 :•
int( aqrt(tan(x)), x) 13 :• int( x/(x•3-1), x) 14 :•
int( x/a1D(x)•2, x) 15 :• int( log(x)/aqrt(x+1), x) 16 :•
int( x/(aqrt(1+x)+aqrt(1-x)), x) I7 :• int( exp(-a•x-2),
x) IS :• int( x/(log(x))•3, x) I9 :• int( aiD(x)/x-2, x)
!10:• int( 1/(2+coa(x)), x) 01 :• int( 1/(2+coa(x)), x•0
•. 4•Pi) 02 :• int( aiD(x)/x, x--infinity •• infinity) 03
:• int( exp(-x)/aqrt(x), x-o •• infinity) D4 :• int(
exp(-x)•x-2/(1-exp(-2•x)), x-O •. infinity) 05 :• int(
exp(-x-2)•log(x)·2, x•O •• infinity) D6 :• int(
exp(-x)•log(x)·2~·3, x•l •• infinity) 07 :• int(
x·2/(1+x-3), x-o •• iafinity) D8 :• int( 1/x-2, x•-1 •• 1)
088:• int( 1/x-2, x•-1 •• 1, continuous) D9 :• int(
exp(-x)•x-(1/3), x•1 •• 1Dfinity)
29. Computer Aided Solution 123 «OUTPUT» 11 :• cos(x) I

112 112 112 112 \ I 2 tan(x) tan(x) + 2 tan(x) + 1 I 112
I2 :• 112 !arctan(--------------)
lD(---------------------------)1 2 I 1 tan(x) 2 112 I \
(1 + tan(x) ) I 2 u2 1n I3 :• 113 lD(x-1) 116 lD(x + x +
1) + 113 3 arctan(113 (2 x + 1) 3 ) 14 :• x cot(x) +
lD(sin(x)) 16 :• 112 U2 112 112 2 (x+1) ln(x) 4 (x+1) 2
ln((x+1) 1) + 2 1D((x+1) + 1) 312 312 16 :• 113 (x + 1)
113 (x 1) I 112 1/2 Pi erf(a x) 17 :• 112
----------------1/2 11 2 2 lt lt 18 :• 112 ---------+ 2
Ei(2 ln(x)) 2 lD(x) ln(x) llin(x) 19 :• -----+ Ci(x)
lt 112 112 110 :• 213 3 arctan(113 tan(112 x) 3 ) 4 Pi
I I 1 01 ·• I ---------dx I I 0 2 + cos(x)
infinity I I sin(x) 02 :• I -----dx I x I infinity
112 03 :• Pi 04 :• 714 Zeta(3) 124 III Exact Analytical
Methods 6/2 112 2 112 1/2 D6 :• 1116 Pi + 118 Pi gamaa +
112 Pi gamma ln(2) + 112 Pi ln(2) 06 :• 2 MeijerG(4, 4, 1)
D7 :• infinity 1 I I 1 DB :• I ---dx I 2 I X
-1 DBB :• -2 D9 :• GAMMA(413, 1) In the above the
following special notation has been used: Ci for the
cosine integral, Ei for the exponential integral, erf for
the error function, gamma for Euler's constant, GAMMA()
for the incomplete gamma function, infinity for oo,
MeijerG for Meijer's G function, Pi for 11', and Zeta for
the zeta function ((:c). From the above we observe that
MAPLE could not evaluate the following integrals from the
test suite: Dl and D2. The result for 110 is correct, but
only for a limited range. For integral D8, MAPLE recognized
that the integrand was discontinuous and so did not
evaluate it. When told that the integrand was continuous
(which is incorrect), MAPLE then obtained the answer that
would be obtained by just following symbolic rules.
Example 4 In Mathematics the integration function has the
name Integrate. The following Mathematica results were
obtained by creating an input file, running that file,
and then storing the output. This output was then
manipulated so that each input line is followed by the
corresponding output line. Mathematica for windows, the
version run for the test suite, is intended to be used
interactively in a graphical mode, and the graphical
display of the results below looks much better than the
corresponding printed output. 11: Integrate[ Sin[x], x]
11 :-coe [x] 12: Integrate[ Sqrt[Tan[x]), x]
I2:Integrate[Sqrt[Tan[x]), x] 13: Integrate[ xlcx·3-1),x]
1 + 2 X ArcTan[-------] 2 Sqrt[3] Log[-1 + x] Log[1 + x +
x ] 13:--------------+ ------------------------Sqrt£3] 3 6
29. Computer Aided Solution I4: Integrate[ z/Sin[z]~2, z]

I4:-{z Cot[z)) + Log[Sin[z]] I6: Integrate[
Log[z]/Sqrt[z+1], z] I6:-4 Sqrt[1 + z] + 4 ArcTanh[Sqrt[1
+ z]] + 2 Sqrt[1 + z] Log[z] I6: Integrate[
z/{Sqrt[1+z]+Sqrt[1-z]),z] 1 z 1 z I6:Sqrt[1 z] {-) + {+
-) Sqrt[1 + z] I7: Integrate[ Ezp[-a•z~2], z] 3 3 3 3
Sqrt[Pi] Erf[Sqrt[a] z] I7:----------------------2 Sqrt[a]
I8: Integrate[ z/{Log[z])~3, z] 2 2 z z I8:2
EzpintegralEi[2 Log[z]] -------------~ I9: Integrate[
Sin[z)/z~2, z) Sin[z) I9:Coeintegral[z) -----z I10:
Integrate[ 1/{2+Coe[z)),z] z Tan[-] 2 2 ArcTan[-------]
Sqrt[3] I10:----------------Sqrt[3] 2 Log[z] 2 Los[z]
01: Integrate[ 1/{2+Coe[z]), {z,0,4 Pi}] 4 Pi
01:------Sqrt[3] 02: Integrate[ Sin[z]/z,
{z,-Infinity,Infinity}] 02:Pi 03: Integrate[
Ezp[-z]/Sqrt[z], {z,O,Infinity}] 03: Sqrt [Pi] 04:
Integrate[ Ezp[-z]•z~2/{1-Ezp[-2•z]), {z,O,Infinity}) 7
Zeta[3) 04:--------4 06: Integrate[ Ezp[-z~2]•Log[z)~2,
{z,O,Infinity}] 2 2 OS:(Sqrt[Pi) {2 EulerGamma +Pi + 8
EulerGamma Log[2] + 2 8 Log[2] >> I 16 125 126 III
Exact Analytical Methods 06: Intesrate[
EKp[-x]•Los[x]·2•x·3, {x,1,IDfinity}] D6:Indeterainate
D7: Intesrate[ x·2/(1+x-3), {x,O,IDfiDity}] D7:IDfiDity
D8: Integrate[ 1/x-2, {x,-1,1}] DS:-2 D9: Integrate[
EKp[-x]•x-(1/3), {x,1,IDfiDity}] 4 4 D9:G...a[-) G...a[-,
0, 1] 3 3 In the above the following special notation has
been used: Cosintegral for the cosine integral, Erf for the
error function erf, ExpintegralEi for the exponential
integral E1(z), EulerGamma for Euler's constant "(,
Gamma() for the gamma function r(a) = f 0 00 fi-le-t dt
and for the generalized incomplete gamma function r(a, b,
c) = J,c fi-le-t dt, Pi for 1r, and Zeta for the zeta
function ((z). From the above we observe that Mathematica
could not evaluate the following integrals from the test
suite: 12 and D6. Additionally, the result for 110 is
correct, but only for a limited range. Perhaps because of
this error, the result for integral Dl is incorrect.
Finally, Mathematica made an error on integral D8 by not
identifying the singularity at z = 0. Example 6 Since
REDUCE cannot perform definite integration, that part of
the test suite was not run in REDUCE. The following is
the result of running the indefinite integrals in the test
suite on a SPARCstation 2. In REDUCE the integration
function has the name int. In this listing, each input
line is followed by the corresponding output line. i1 :•
int( ein(x), x); I1 :• COS(l) 12 :• int( eqrt(tan(x)),
x); I2 :• INT(SQRT(TAN(X)),l) 13 :• 1nt( x/(x·3-1),x);
I3 :• 1 2•X + 1 1 2 1 ---•SQRT(3)•AT11(---------)
---•LOG(I + X + 1) + ---•LOG(l 1) 3 SQRT(3) 6 3 -1 I 2 X
I4 :• SIN(X) •COS(X)•I LOG(TAN(---) + 1) + LOG(TAN(---)) 2
2
29. Computer Aided Solution i5 :• int( log(x)/aqrt(x+1),

x); 15 :• 2•(SQRT(X + 1)•LOG(X) 2•SQRT(X + 1) LOG(SQRT(X +
1) 1) + LOG(SQRT(X + 1) + 1)) i6 := int( exp(-a•x-2),
x); 1 16 :• INT(-------,X) 2 i7 :• int( x/(log(x))•3,
x); X -1 2 1 -2 2 17 :• 2•INT(--------,X) LOG(X) •X
---•LOG(1) •X LOG(X) 2 i8 :• int(
x/(aqrt(1+x)+aqrt(1-x)),x); 1 1 IS :• ---•SQRT( X + 1)•1
+ ---•SQRT( X + 1) 3 3 1 1 + ---•SQRT(X + 1)•X +
---•SQRT(X + 1) 3 3 i9 :• int( 1/(2+coa(x)),x); X
TAH(---) 2 2 19 :• ---•SQRT(3)•ATAH(----------) 3
SQRT(3) i10:• int( ain(x)/x-2, x); SIH(X) !10 :•
INT(--------,1) 2 1 127 In the above the following
special notation has been used: E for the
base of natural logarithms e. From the above we observe

that REDUCE
could not evaluate the following indefinite integrals from

the test suite: 12,
31 Chapter 31 Convolution Techniques
31. Convolution Techniques 141
Idea If the original integral can be written as a

convolution, then the value
of the integral may be determined by a sequence of

integrals.
Procedure Given the functions l(x) and g(x}, and an

integral operator J[), define
the functions F((} = J[l(x)] and G((} = J[g(x)]. For many

common
integral operators there is a relation that relates an

integral of I and g, of
a specific form, to an integral involving F and G. These

relations are often
of the form A [F((}G((}] = J J[l(a(x, ())}, g(b(x, (}),

(]h(() d( (31.1}
where A[] is an integral operator. Such a relation is

known as a convolution
theorem. Convolution theorems may sometimes be used to

simplify integrals.
Given an integral in the form of the right-hand side of

(31.1}, it may be
easier to evaluate the left-hand side of (31.1). In the

following examples,
upper case letters denote transforms of lower case letters.
Example 1 For the Mellin transform, defined by F(s) =

M[l(x)] = 1 00 tz l(t) dt,
the convolution theorem is 1 00 (X) du 1 1c+ioo I g(u)=

2 . F(s)G(s)x-• ds 0 u u 1rl c-ioo
where the integral on the right-hand side is a Bromwich

integral.
Example 2 For the Laplace transform pair, defined by F(s}

= .C[I(t)] = 1 00 e-t•l(t) dt, 1 [_+ioo l(t) = .c1
[F(s)] = 2 . e'-F(s)ds, 11't c-ioo
the convolution theorem is 1' l(r)g(tr) dr = .c1

[F(s)G(s)].
32 Chapter 32 Differentiation and
Integration
32. Differentiation and Integration 143
Procedure Given an integral, try to differentiate or

integrate that integral with
respect to a parameter appearing in the integral. If there

are no parameters
appearing in the integral, insert one and then perform the

differentiation
or integration. After the integration is performed then

either an integration or a
differentiation remains.
Example 1 Given the integral u(x) = J 0 00 e-t 2 cos xt

dt, differentiation shows that
u(x) satisfies the differential equation u' + ixu = 0.

(This was obtained
by integration by parts.) This differential equation is

separable (see Zwill
inger [3]) and the solution is found to be u(x) = ce-:z 2

14, for some con
stant C. From the defining integral, u(O) = f 0 00 e-t 2

dt = hli, so we have
the final answer (32.1)
Example 2 Given the integral 1 00 2 I(p) = 0

xsin(x)e-p:z dx
we might introduce a parameter a and consider instead

J(a,p) = 1 00 xsin(ax)e-p:z 2 dx. (32.2)
Note that J(p) = J(1,p). Both sides of (32.2) may be

integrated with
respect to a to determine /"' J(a,p)da = /"' 1 00

xsin(ax)e-p:z 2 dxda = -1 00 cos(ax)e-p:z 2 dx.
(32.3.a-b)
This last integral may be evaluated by a simple change of

variable and
using (32.1). The result is / G 1 ff 2/ J(a,p)da = 2V

pe-o 4p.
Differentiating (32.4) with respect to a results in J(a,p)

= -~ F;e-o2/4p 4 v p3
and so I(p) = J(1,p) = _! F;e-1/4P. 4V p3 (32.4) 144

III Exact Analytical Methods Example 3 Given the integral
K(b, q) = 1oo sin(bz) e-qs2 dx 0 X (32.5) we
differentiate with respect to b to obtain ! K(b, q) = J 0
00 cos(bx)e-1121 2 , which is the same as (32.3.b).
Therefore !!_K(b ) = ! {! -fil/411 db ,q 2Vqe · (32.6)
From (32.5) we note that K(O, q) = 0. Hence, we need to
solve the differential equation in (32.6) with this
initial condition. The solution is K(b,q) = 1"
(~~e-fil/411) db r'2.Jf 2 = v'i Jo e-• dz = ied(2~)
(32.7.a-c) where we have recognized (32.7.b) as being an
error function (see page 172). Notes [1] As another
example of the technique illustrated in Example 3, consider
the integral (32.8) Differentiating with respect to y
produces F' -1 00 2Z 2 11 dx (II) o 1 + Xl/2 1 + z2 .,
dx (32.9) '),, 1 00 ( 1 1 ) = 112 1 0 1 + %2 1 + Z2112
11' =1+y if y > 0. From (32.8) we recognize that F(O) =
0. Therefore, we can integrate (32.9) to determine F(11)
= 1" 1 "' dy = "'log(1 +II)· 0 +y [2] Squire [2] starts
with the identity fo 1 z'1 dt = t1 , and integrates with
respect tot (from t = 1 tot= a) to obtain 1 1 x•-1 -1 1
dx =log a. o ogx
33 Chapter 33 Dilogarithms
[1] J. Mathews and R. L. Walker, Mathematical Methods of

Physics, W. A. Benjamin, Inc., NY, 1965, pages 5859.

American Elsevier Publishing Company, New York, 1970,
pages 84-85.

33. Dilogarithms
Applicable to Integrals of a special form.
Yields An exact solution in terms of dilogarithms.
Idea Integrals of the form r P(z, v'R) logQ(x, v'R) dz,

where P(, ) and
Q(, ) are rational functions and R = A 2 + Bx + Cx 2 ,

can be transformed
to a canonical form.
Procedure Given the integral I = 1• P(x, .fii) log Q(x,

.fii) dz, (33.1)
make the change of variable v'R = A + xt. This

transformation results in ..j A2 + Bz + Cx2 A t = .. ;_
______ _ X 2At-B x= C-t2 2 dz = (C _ t 2 ) 2 [ACBt +
At 2 ] dt y'R _ AC Bt + At 2 C-t 2 146 III Exact
Analytical Methods so that (33.1) becomes I= J'
P(t)logQ(t)dt (33.2) where P and Q are rational
functions oft. In principle, partial fraction expansion
can be used on P to obtain P = P(t) + L (fj a":; t)n m,n
mft Q = K 11 bmn + t)n (33.3) m,n where P(t) is a
polynomial in t. Using (33.3) in (33.2}, and expanding,
leads to many integrals. Those integrals that have the
form J P(t) log('Y + t) dt or the form I (/3m:m; t)"
log(-y + t) dt, for n ~ -1, can be evaluated by
integrating by parts. The only integral that cannot be
evaluated in this manner is I log~:: t) dt = {log( a-y)
log ( 'Y ~ t) -Li 2 (; ~!) + C, if a~ -y, j log 2 ('y +
t) + C, if a= -y, (33.4) where Li 2 ( ) is the
dilogarithm function and C is an arbitrary constant. The
dilogarithm function is defined by Li 2 (x) = r log( 1 x)
dx. (33.5) ) 0 x Hence, the integral in (33.1) can
always be integrated analytically in terms of the
dilogarithm and elementary functions. A few integrals
involving dilogarithms are shown in Table 33. Example The
integral (33.6) becomes under the change of variable JR
= v'f+'"ii = 1 + xt (which is the same as x = 2t/(1 t 2 ))
I = I' ~ [log(1 + t) log(1 t)) dt, = Li2 (t)Li2 (-t),
(33.7) = Li 2 ( vu;1 ) Li2 ( 1 ~) .
33. Dilogarithms 147
Table 33. Some integrals involving dilogarithDlB. 1 c

log{1 + a:c") ~_ 1 L' ( ") a;l; 12 -a:c 0 x n 1 c
log(a+bt) ~_ 1 l z (b( t)) 1 l z (be) u;~;--og -c+e --og 0
c + et 2e e 2e e +1z -1z --1 L' ( be ae ) 1 L' (be ae) e
b{c+et) e be 1c ~dx= ~Liz ( ( v'1+xz -xf) + ~Iogz ( ~+x)
1 c log{1 + xz) ~_ 1 L' ( z) + 1 L' ( 2x ) L' ( ) u;~; 12
-x 1z :-:--:2 12 x 0 VT=% 4 2 1+x + i logz{1 + x 2 )
-log{1x) log{1 + x 2 ) 1 ., logxlog(x -1) ~L' ( ) 1 L' (
) a;~;= 13 x ogx 1z x 0 X 1 1 xa-1Li2 (x) dx = 1rz 'i'(1
+a)+ "Y 0 6a a
Notes
[1] Tables of the dilogarithm may be found in Lewin [2]. ·
[2] An extension of the dilogarithm function of one

argument is the dilogarithm function of two arguments:
Liz (x,B) = _! 1"' log v'12xcos9 + x2 dx 2 O X where, of
course, Liz {x,O) = Liz (x) for -1 ~ x ~ 1. The higher
order logarithmic functions are defined by Lin(x) = J 0
"' Lin-t(x)fxdx. All of these functions have been well
studied; recurrence relations and other formulae have
been determined for each (see Lewin [2].)

MathematiC4l Jibnctioru, National Bureau of Standards,
Washington, DC, 1964, Section 27.7, page 1004.
[2] L. Lewin, Dilogarithms and Associated Jibnctioru,

MacDonald & Co., London, 1958.
[3] L. Lewin, Polylogarithms and Associated Jibnctioru,

North-Holland Publishing Co., New York, 1981.
35 Chapter 35 Frullanian Integrals .

Washington, DC, 1964, Chapter 17, pages 587-626.
[2] N. I. Akhiezer, Elements of the Theory of Elliptic

Functions, Translations of Mathematical Monographs, Volume
79, Amer. Math. Soc., Providence, Rhode Island, 1990.
[3] P. F. Byrd and M. D. Friedman, Handbook of Elliptic

Integrals for Engineers and Physicists, Springer-Verlag,
New York, 1954, pages 252-271.
[4] B. C. Carlson, "Elliptic Integrals of the First Kind,"

SIAM J. Math. Anal., 8, No. 2, April1977, pages 231-242.
[5] B. C. Carlson, "A Table of Elliptic Integrals of the

Second Kind," Math. of Comp., 49, 1987, pages 595-606
(Supplement, ibid., S13-S17}.
[6] B. C. Carlson, "A Table of Elliptic Integrals of the

Third Kind," Math. of Comp., 51, 1988, pages 267-280
(Supplement, ibid., S1-S5).
[7] B. C. Carlson, "A Table of Elliptic Integrals: Cubic

Cases," Math. of Comp., 53, No. 187, July 1989, pages
327-333.
[8] S. lyanaga andY. Kawada, Encyclopedic Dictionary of

[9] D. F. Lauden, Elliptic Functions and Applications,

SpringerVerlag, New York, 1989.
[10] E. T. Whittaker and G. N. Watson, A Course of Modern

Analy.9is, Cambridge University Press, New York, 1962.
35. Frullanian Integrals
Applicable to Integrals of a special form.
Yields An analytic expression for the integral. 158 III

Exact Analytical Methods Idea A convergent integral can
sometimes be written as the difference of two integrals
that each diverge. IT these two integrals diverge in the
same way, then the difference may be evaluated by certain
limiting processes. Procedure A special case will
illustrate the general procedure. Consider the convergent
integral I r. sin 3 x ..~ _ _ ! 1 00 3sinxsin3x ..~_
-:r(1;1; 2 (1;1;. 0 X 4 0 X It is improper to write this
integral as I 1 r. 3sinx ..~_ 11 00 sin3x ..~_ =
--::r(1;1; --:r I.IOiit 4 0 X 4 0 X since both of these
integrals diverge. It is proper, however, to write I=! lim
(roo 3sinx dx _ r. sin3x dx)' 4 6 ..... 0 16 7"" 6
-;rwhich can be written as (using 11 = 3x in the second
integral) . sinx 1 smce -:r as x 0. X X Example The
above procedure can be used to derive the general rule roo
/(ax)f(bx) dx = [/(oo)/(0)) log~. (35.2) ) 0 x b The
integral J = r.tanhaxtanhbx dx is in the form of (35.2), 0
X with /(z) = tanhz. Since tanh(oo) = 1 and tanh(O) = 0 we
find that J = log(a/b).
35. Frullanian Integrals
Notes
[1] A modification of the formula in (35.2) is (see

Ostrowski [3]) 1 oo /(ax)f(bx) dx = (M[/]m[/]) log~. O X
b where M[/] = limt-oo ~I: f(z) dz and m[/] = limc-o t I/
/(z) dz.
[2] A generalization of the formula in (35.2) is 1 00

[uf(u)vf(v)] dx = M[x/(x)]log :~:~ m[xf(x)]log =~~~ 159
when u and v are positive absolutely continuous functions
and the limits involving ufv are positive, and M[xf(x)]
and m[xf(x)] exist.
[3] A different generalization of the formula in (35.2) is

1 oo I (azP) I (bx 9 ) dx 0 X = [/(oo)-/(0)] [loga
_Iogb] +p-q1oo f(x)logxdx. p q pq 0 This formula can be
extended (see Hardy [2]) to
1 00 [/ (azP)I (bx 9 )]logN x dx = N ~1 E(-1)" (N: 1)

[lo!:~lo~:~] 1oo /(x)logN-n+l xdx. n=O P q 0
[1] E. B. Elliot, "On Some (General) Classes of Multiple

Definite Integrals," Proc. London Math. Soc., 8, 1877,
pages 35-47 and 146-158.
[2] G. H. Hardy, "A Generalization of Frullani's Integral,"

Messenger Math., 34, 1905, pages 11-18.
[3] A. Ostrowski, "On Some Generalizations of the

Cauchy-Frullani Integral," Proc. Natl. Acad. Sci. USA, 35,
1949, pages 612---616.

99-105.
37 Chapter 37 Integration by Parts
37. Integration by Parts 163
Example 2 The Gamma function is defined by the integral

f(z} = f 0 00 t•-le-c dt.
H we choose x = e-c and u = t• f z (so that du = t•-l dt},

then this integral
has the form of (37.1}. Hence, from (37.2} we have
or r(z + 1} = zr(z}. Since we can easily determine that

f(1} = 1, we
conclude that, when n is a positive integer, r(n+1) =

n·(n-1)· ... ·2·1 = n!.
Hence, the Gamma function is the generalization of the

factorial function.
Notes
[1] The integration by parts formula may be re-applied to

(37.2). For example, if In stands for the n-th derivative
of I and 9n stands for the n-th integral of 9 then (see
Brown [1]) • 1· I" 1· 1· f. l9dx = 191 .. -/192 .. + /293
.. -/394 .. + .... (37.5)
[2] Green's theorem is essentially a multidimensional

generalization of the usual integration by parts formula,
since it relates the value of an integral to the values of
some functions on the boundary of the region. See the
section on line and surface integrals (page 164) for more
details.
[3] Henrici [4] uses Cauchy's theorem to relate contour

integrals to area integrals. For example, for the region R
bounded by the curve r we have 1 l(x)dz = 2i 11 a~) dxdy,
R 1 l(x)dz = -2i 11 a~~z) dxdy. R
[4] Integration by parts may also be used to obtain an

asymptotic expansion of an integral, see page 215.
38 Chapter 38 Line and Surface Integrals
38. Line and Surface Integrals 165
which is often abbreviated as J = L P(x, y) dx + Q(x, y)

dy, (38.1)
where the parentheses are implicit. If the vector u is

defined by u = P(x, y)i + Q(x, y)j, then the integral
in (38.1) can be represented as J = fc UT ds, where ds is

an element of
arc-length, and UT = u · T denotes the tangential component

of u (that
is, the component of u in the direction of the unit tangent

vector T, the
sense given by increasing s ). Alternately, if the vector v

is defined by
v = Q(x, y)iP(x, y)j, then the integral in (38.1) can be

represented as
J = fc "" ds, where"" = v · n denotes the normal component

of v (that
is, the component of v in the direction of the unit normal

vector n which
is 90° behind T).
Path Independence Let X, Y, Z be continuous in a domain D

of space. The line integral
I = J X dx + Y dy + Z dz will be independent of the path in

D
• if and only if u =(X, Y, Z) is a gradient vector: u =

gradF, where F is defined in D (that is, Fx =X, F 11 = Y,
and F" = Z throughout D),
• if and only if fc X dx + Y dy + Z dz = 0 on every simple

closed curve C in D.
Green's Theorems Green's theorem, in its simplest form,

relates a two-dimensional line
integral to an integral over an area (see Kaplan [1]):

Theorem: (Green's) Let D be a domain of the xy plane and
let C be a piece-wise smooth simple closed curve in D whose
interior R is also in D. Let P(x, y) and Q(x, y) be
functions defined in D and having continuous first
partial derivatives in D. Then i (Pdx+Qdy) = f f (~~:)
dxdy. (38.2) R Green's theorem can be written in the two
alternative forms (using
u = P(x,y)i + Q(x,y)j and v = Q(x,y)iP(x,y)j, as above):

i uTds = J j curludxdy R i Vnds = J J divvdxdy. R
(38.3a-b) The second relation in (38.3) is also known as
Stokes' theorem. This
theorem is sometimes stated as 166 III Exact Analytical

Methods Theorem: (Stokes) Let S be a piecewise smooth
oriented surface in space, whose boundary C is a
piecewise simple smooth simple closed curve, directed in
accordance with the given orientation of S. Let u =
Li+Mj+Nk be a vector field, with continuous and
differentiable components, in a domain D of space
including S. Then, Ic UT ds =I I (curl u · n) du, s where
n is the chosen unit normal vector on S. That is L
Ldx+Mdy+Ndz= If(:aa~) dydz s ( aL aN) (aM aL) + --dzdx+
--dxdy az a:r: 8:r: 8y Green's theorem can be extended to
multiply connected domains as follows: Theorem: Let
P(:r:,y) and Q(:r:,y) be continuous and have continuous
derivatives in a domain D of the plane. Let R be a closed
region in D whose boundary consists of n distinct simple
closed curves {C1,C2, .. . ,C"}, where C 1 includes {C2,
... ,C"} in its interior. Then 1 [P dx + Q dy] + 1 [P dx +
Q dy] + ... + 1 [P dx + Q dy] ~ ~ ~ = I I ( ~~ -~) dx dy
. .R Specifically, if a;; = ~ in D, then 1 [Pdx+Qdy]+ 1
(Pdx+Qdy]+ ... + 1 [Pdx+Qdy] = 0. Tcl Tc, Tc. Procedure:
Surface Integrals H a surface S is given in the form z =
f(z, y) for (z, y) in R:.:,, with normal vector n, then
the surface integral jj Ldydz+Mdzdz+Ndzdy=± j j (-L=~ -M~
+N) dzdy, s ~. with the + sign when n is the upper
normal, and the sign when n is the lower normal. H we
define v = Li + Mj + Nk then we may also write JJ
Ldydz+Mdzdz+Ndzdy= Jj v·ndu s s
38. Line and Surface Integrals I I ----1-----> -1 1
Figure 38. The contour C for (38.4}. 167
where dn is an element of surface area. Here, n = ±(-/zi /

11 j +
k)/ .j1 + f~ + 1:. with the + or sign used according to

whether n is
the upper normal or lower normal. The generalization of
(38.3.a) to 3 dimensions is known as the diver
gence theorem, or as Gauss' theorem: Theorem: (Divergence)

Let v = Li + Mj + Nk be a vector field in a domain D of
space. Let L, M, and N be continuous and have continuous
derivatives in D. Let S be a piecewise smooth surface in
D that forms the complete boundary of a bounded closed
region R in D. Let n be the outer normal of S with
respect to R. Then J J tin dtT = J J J div v dx dy dz; S
R that is
Example 1 f f Ldydz+Mdzdx+Ndxdy s ! ~ ( ( (oL oM oN) =

J J ox+ 8y + 7fi dxdydz. R Consider the integral I = k
{z3 113) dy (38.4}
where C is the semicircle y = ~ shown in Figure 38. The

contour C
can be represented parametrically by z = cost and y = sin t

for 0 ~ t ~ 1r.
Hence, the integral can be evaluated as (38.5} 168 III

Exact Analytical Methods Alternatively, the integral could
have been evaluated by using the xparameterization
throughout I = ,-1 (xa (1 x2)3/2) ( -x ) dx. ), ../1x 2
This integral, which looks more awkward, is equivalent to
(38.5) under the substitution x = cost. Example 2 Here
are a few examples of Green's theorem: (A) Consider the
integral K = Jc [(u 2 + sinx 2 ) dx + (cosu 2 x) dy],
where Cis the boundary of the unit square (R := {0 ~ x ~
1, 0 ~ y ~ 1}). A direct evaluation of this integral by
parameterizing C is quite difficult. For example, using x
as the parameter on the bottom piece of C, {y = 0, 0 ~ x ~
1}, necessitates the evaluation of the integral I 0 1 sinx
2 dx, which is not elementary. However, using Green's
theorem in (38.2) (with P = y2 + sinx 2 and Q = cosy 2
x) we may write this integral as K = I I ( -1 2y) dx dy.
As a set of iterated integrals, we R readily find that K
= -2. (B) Let C be the circle x 2 + y 2 = 1. Then, using
(38.2) fc [4xu 3 dx + 6x 2 u 2 dy] = I I (12xu 2 12xu 2
) dx dy = o. R (C) Let C be the ellipse x 2 + 4y 2 =
4. Then, using (38.2) Notes i ((2xu)dx + (x + 3y)dy) =I I
(1 + 1) dxdy R = 2( area of ellipse) = 411'. [1] When
the contour of integration in a line integral is closed,
then we often represent the integral by the symbol J,
rather than the usual J. [2] When the contour in a
two-dimensional line integral is closed, and the integrand
is analytic, then contour integration techniques may be
used (see page 129). Sometimes a two-dimensional line
integral can be extended to a closed contour and be
evaluated in this manner. (Note, however, that the
integrand in (38.4) is not analytic.) [3] The evaluation
of the integral in Example 2.C required that an area be
known. Using Green's theorems, we can write the following
integral expressions for the area bounded by the contour C:
area= i xdy =-i ydx.
38. Line and Surface Integrals 169
(4] If Dis a three-dimensional domain with boundary B, let

dV represent the volume element of D, let ds represent
the surface element of B, and let dS = ndS, where n is the
outer normal vector of the surface B. Then Gauss's
formulas are (see lyanaga and Kawada {3], page 1400) /If
VAdV = J J dS·A = J J (n·A)dS D B B J J J V x A dV = J J
dS x A= J J (n x A) dS D B B Iff V~dV= I I ~dS D B
where ~ is an arbitrary scalar and A is an arbitrary
vector.
(5] There are also Green's theorems that relate a volume

integral to a surface integral. Let V be a volume with
surface S, which we assume to be simple and closed.
Define n to be the outward normal to S. Let~ and t/J be
scalar functions which, together with V 2 ~ and V 2 ,P,
are defined in v and on s. Then (see Gradshteyn and Ryzhik
[2], page 1089) (A) Green's first theorem states that (B)
Green's second theorem states that
[1] W. Kaplan, Advanced Calculus, Addison-Wesley Publishing

[2] I. S. Gradshteyn and I. M. Ryzhik, Tables of Integrals,

Series, and Producu, Academic Press, New York, 1980.

[4] G. B. Thomas, Jr., and R. L. Finney, Calculus and

Analytic Geometry, 7th Edition, Addison-Wesley Publishing
39 Chapter 39 Look Up Technique

Washington, DC, 1964.
[2] D. E. Amos, "Algorithm 609: A Portable FORTRAN

Subroutine for the Bickley Functions Ki,.(z)," ACM 7rans.
Math. Software, 9, No. 4, December 1983, pages 48(}--493.
[3] K. Aomoto, "On the Complex Selberg Integral," Quart. J.

Math. Ozford, 38, No. 2, 1987, pages 385-399.
[4] D. G. Anderson and H. K. Macomber, "Evaluation of !.:.1

00 duu"2 v211' o exp{ -~(up) 2 ~ }," J. Math. and
Physics, 45, 1966, pages 10~120.
[5] R. A. Bonham, "On Some Properties ofthe Integrals J 0 1

~ .. (t)sinztdt and J: P2n+t(t)cosxtdt," J. Math. and
Physics, 45, 1966, pages 331-334.
[6] M. T. Chahine and R. Narasimha, "The Integral / 0 ""'

v" exp [ -( v u) 2 zfv] dv," J. Math. and Physics, 43,
1964, pages 163-168.
[7] C. Chiccoli, S. Lorenzutta, and G. Maino, "Recent

Results for Generalized Exponential Integrals," Comp. &
Maths. with Appu., 19, No. 5, 1990, pages 21-29.
[8] R. J. Cole, "Two Series Representations ofthe Integral

J 0 ""' exR-•(t/l+ycostjl -zsint/l)]dt/1," J. Comput.
PhyMcs, 44, 1981, pages 388-396.
[9] M. Deutsch, "An Accurate Analytic Representation for

the Bloch-Gruneisen Integral," J. Phys. A: Math. Gen.,
20, 1987, pages L811-L813.
[10] H. E. Fettis, "On the Calculation of Wu's Integral,"

J. Comput. Physics, 53, 1984, pages 197204.
[11] I. W. Fullerton and G. A. Rinker, "Generalized

Fermi-Direc IntegralsFD, FOG, FDH," Comput. Physics
Comm., 39, 1986, pages 181-185.
[12] B. Gabutti, S. L. Kalla, and J. H. Hubbell, "Some

Expressions Related to the Hubbell Rectangular-Source
Integral," J. Comput. Appl. Math., 37, 1991, pages
273-285.
[13] M. L. Glasser, "A Note on the Integral J 0 1 •"(1

•)"lsinz•l ds with an Application to Schlomilch Series,"
J. Math. and Physics, 43, 1964, pages 158-162.
[14] W. M. Y. Gob and E. Schmutz, "The Expected Order of a

Random Permutation," Bull. London Math. Soc., 23, 1991,
pages 34-42.
[15] I. S. Gradshteyn and I. M. Ryzhik, Tables of Integrou,

[16] S. Iyanaga andY. Kawada, Encyclopedic Dictiona'71 of

41 Chapter 41 Stochastic Integration
41. Stochastic Integration 187
Note that this limit depends on the particular choice of

the intermediate
points { Ti} . Consider, for example, the special case of

G(t) = w(t). Then we find
the expectation of 8 11 to be " = ~)min(ri, ti)min(Ti,

ti-t)] i=l " = L(Titi-l)· i=l If, for example, we take
Ti = ati + (1a)ti-l• where 0 <a < 1, then
E(Sn) becomes " E(Sn] = L(t• ti-l)a = (tto)a. (41.3) i=l
Clearly, the value of 8 11 (and hence I), in this

example, depends on a. For consistency, some specific
choice must be made for the points {ri}·
For the Ito stochastic integral we choose Ti = ti-l (i.e.,

a = 0 in the above).
We show this by use of the notation if. That is
J' G(s, w(s))dw(s) = ms-lim {t

G(ti-ltw(ti-t))[w(ti)w(ti-t))}, Jer n-oo .... i=l (41.4)
where ms-lim refers to the mean square limit. 188 III

Exact Analytical Methods Example Suppose we would like to
evaluate the Ito stochastic integral ( w(&) dw(s). If we
write w, for w(t,) then (41.4) becomes (using G(.s) = w(s))
;,: w(.s) dw(.s) = ms-l.i.mn-ooo Sn with n Sn = L Wi-1(wi
Wi-1) 1=1 n = LWi-1Aw, 1=1 n = l L ((wi-1 + Aw,) 2
(w1-1) 2 (Aw 1 ) 2 ] i=l n n = l L ((w,) 2 (wi-1) 2 ]
-l L(Aw,) 2 1=1 i=l n = l (w 2 (t)w 2 (to)] -l L(Aw,) 2
i=l (41.5) where Aw, = w,Wi-1· Now the mean-square limit
of l E:= 1 (Aw,) 2 can be shown to be !(tto). Hence,
Note that the result is not the same result that we would
have obtained by the usual Riemann-Stieltjes integral (in
which the last term would be absent). Note that the
expectation of (41.6) yields the value 0, which is the
same value as given by ( 41.3}.
41. Stochastic Integration 189
Notes
[1] The Wiener process is a Gaussian random process that

has a fixed mean given by its starting point, E[w(t)] =
wo = w(to), and a variance of E[(w(t) w 0 ) 2 ] = tt 0 •
From this we can compute that E[w(t)w(s)] = min(t, s). The
sample paths of w(t) are continuous, but not
differentiable.
[2] We define the Stratonovich stochastic integral

(indicated by use of the notation j) to be (see Schuss
[2]) i t G(w(s),x)dw(s) to . {~ (w(t) +w(ta-1) ) I } =
~~ tt G 2 , ti-l w(ti) w(ti-1)] .
[3] It can be shown that the Stratonovich integral has the

usual properties of integrals. In particular, we have the
fundamental theorem of integral calculus, [ /'(w(s))
dw(s) = f(w(t))J(w(to)), integration by parts, etc. Taking
the Stratonovich integral of the integrand in (41.5)
results in J.: w(s) dw(s) = t [w 2 (t) w 2 (t 0 )) .
[4] For arbitrary functions G, there is no connection

between the Ito integral and the Stratonovich integral.
However, when x(t) satisfies the stochastic differential
equation dx(t) = a[x(t), t] dt + b[x(t), t] dw(t), it can
be shown that (see Gardiner [1]) i t b[x(s), s] dw(s) =
Jt b[x(s), a] dw(s) + ~ lt b[x(s), s] c3b[x~;), s] ds. ~ ~
~ This relates, in a way, the Stratonovich integral and
the Ito integral.
[5] Stochastic integration can also refer to the (ordinary)

integration of random variables. Since the linear
operations of integration and expectation commute, the
following results are straightforward to derive. Let {X(t)}
be a continuous parameter stochastic process with finite
second moments, whose mean (m(t) = E[X(t)]) and
covariance (K(s, t) = Cov[X(s), X(t)]) are continuous
functions of s and t. Then E [1• X(t) dt] = [ m(t) dt E
[11• X(t)dtn = 1•1• E[X(s)X(t)]dtds Var [1b X(t)dt] = 1b
1b K(s,t)dtds.
42 Chapter 42 Tables of Integrals
42. Tables of Integrals 191 • Dwight [5] has a recursion

for the indefinite integral in number 480.9: / tan" xdx =
tan"1 x/tan"2 xdx. n-1 • In Gradshteyn and Ryzhik [7],
the definite integral appears as number 3.622.1: 1 •/2
11" IJ11" tg*" x dx = sec [when] I Re P.l < 1. 0 2 2 •
In Gradshteyn and Ryzhik [7], the indefinite integral
appears as numbers 2.527.2, 2.527.3, and 2.527.4: I
tgP1 x j tgP x dx = tgP2 x dx [when] p :F 1 p-1 I n (
1)1c-1 t..2n-21c+2 ty,2n+l X dx = L ~ X ( -1 )n In cos x
1c= 1 2n2k + 2 I n ty,2n-21c+l tg2nxdx= L(-1)1c-1 x
-(-1)nx. A:= 1 2n2k + 1 • In Grobner and Hofreiter [8]
the definite integral appears as number 331.31: 1 •/2 11"
tgA xdx = ~11" [when] -1 < ~ < 1. 0 2cos 2 • In
Prudnikov, Brychov, and Marichev (12), the integral appears
as number 2.5.26. 7: 1 •/2 11" 0 tg" x dx = 2 cos(p.1r
/ 2 ) [when) I Re 1-'1 < 1. • In Prudnikov, Brychov, and
Marichev (12), the indefinite integral appears as numbers
1.5.8.1, 1.5.8.2, and 1.5.8.3: / (tgx)P dx = ±1 -(tgx)P1
/(tgx)P2 dx p-1 I n 1 (tgx) 2 n dx = =f L( -1)1c (tgx)
2 n2 1c+l 1c= 1 2n2k + 1 +(-1)nx I n 1 (tgx)2n+l dx =
=f L( -1)1c (tgx)2n-21c+2 1c= 1 2n2k + 2 =f( -1)n log I
cosxl. 192 III Exact Analytical Methods Notes [1]
Realize that the same integral may look different when
written in different variables. A transformation of your
integral may be required to make it look like one of the
forms listed. [2] It is not always clear that having a
symbolic evaluation of an integral is more useful than the
original integral. For example, it is straightforward to
show that I z r dt __ 1_lo (z2 + zv'2 + 1) ( ) Jo 1 + t 4
4v'2 g z 2 zv'2 + 1 1 [ -1 ( z ) -1 ( z )] + -tan --+tan
--2v'2 v'2 + z v'2 z . Given a specific value of z,
numerically determining l(z) by using this formula
requires the computation of logarithms and inverse
tangents. In some cases it might be easier to approximate
I(z) numerically directly from its definition. [3] It is
an unfortunate fact that a not insignificant fraction of
the tabulated integrals are in error. See, for example,
Klerer and Grossman [9]. [4] [5] [6] A common error is
to produce a discontinuous antiderivative when a
continuous integral is available. For example, the
symbolic computer language REDUCE produces (see page
117): / • dz I= 2+cosz 2v'3 ( sinz ) 2v'3 ( v'3sinz ) z
= --3arctan cosz + 1 + -3arctan 3(cosz + 1) + v'3' This
(correct) antiderivative is continuous, yet Abramowitz and
Stegun [1], 4.3.133, report the discontinuous result 1 = ~
arctan tanj./ 2 ). These antiderivatives agree on the
interval -11' < z < 11', but 1 is periodic while I is
not. If an integral is recognized to be of a certain form,
then appropriate tables may be used. For example, an
integral of the form I = f~oo /(z)e-.t dz represents a
Fourier transform of the function /(z). Hence, a table of
Fourier transforms (such as Oberhettinger [11]) might be
an appropriate place to look for an evaluation of I. Note
that Oberhettinger [11] has tables of Fourier transforms,
Fourier sine transforms, and Fourier cosine transforms.
All of the integral evaluations in Gradshteyn and Ryzhik
[7] are referenced, so that one level of checking against
typographic errors can be performed.
42. Tables of Integrals 193

[2] A. Apelblat, Table of Definite and Indefinite

Integrals, American Elsevier Publishing Company, New York,
1983.
[3] W. H. Beyer (ed.), CRC Standard Mathematical Tables and

Fonnulae, 29th Edition, CRC Press, Boca Raton, Florida,
1991.
[4) G. P. Bois, Tables of Indefinite Integrals, Dover

Publications, Inc., New York, 1961.
[5) H. B. Dwight, Tables of Integrals and Other

Mathematical Data, The MacMillan Company, New York, 1957.
[6) Staff of the Bateman Manuscript Project, A. Erdelyi

(ed.), Tables of Integral Transforms, in 3 volumes,
McGrawHill Book Company, New York, 1954.
[7) I. S. Gradshteyn and I. M. Ryzhik, Tables of Integrals,

Serie&, and Products, Academic Press, New York, 1980.
[8) W. Grabner and N. Hofreiter, Integralyafel,

[9) M. Klerer and F. Grossman, "Error Rates in Tables

oflndefinite Integrals," Indust. Math., 18, Part 1, 1968,
pages 31-62.
[10] G. F. Miller, Mathematical Tables: Volume 9. Tables of

Generalized Exponential Integrals, Her Majesty's Stationery
Office, London, 1960.
[11] F. Oberhettinger, Tables of Fourier Transforms and

Fourier Transforms of Di&tributions, Springer-Verlag, New
York, 1990.
[12) A. P. Prudnikov, Yu. A. Brychov, and 0. I. Marichev,

Integrals and Serie&, Volumes 1, 2, and 3, translated by
N. M. Queen, Gordon and Breach, New York, 1990.
[13) A. D. Wheelan, Tables of Summable Series and Integrals

Involving Bessel Functions, Holden-Day, Inc., San
Francisco, 1968.
44 Chapter 44 Asymptotic Expansions:
Multiple Integrals

Methods for Scientists and Engineers, McGraw-Hill, New
York, 1978.
[2] N. Bleistein and R. A. Handelsman, Asymptotic

Expansions of Integrals, Dover Publications, Inc., New
York, 1986.
[3] F. W. J. Olver, "Uniform, Exponentially Improved,

Asymptotic Expansions for the Generalized Exponential
Integral," SIAM J. Math. Anal., 22, No.5, September 1991,
pages 1460--1474.
[4] B. Salvy, "Examples of Automatic Asymptotic

Expansions," SIGSAM Bulletin, ACM, New York, 25, No.2,
April1991, pages 4-17.
[5] R. Wong, Asymptotic Approximation of Integrals,

44. Asymptotic Expansions: Multiple Integrals
Applicable to
parameter. Multidimensional definite integrals that

depend on a
Yields An asymptotic expansion.
Idea When a parameter in an integral tends to some limit,

it may be possible
to find an asymptotic expansion of the integral that is

valid in that limit.
Procedure It is difficult to state concisely very much

about the different asymp
totic behaviors that are possible in multiple integrals. In

this section we
will only focus on the integral (44.1)
when r/J is a real function and ~ is real with 1~1 oo.

Integrals of this
form are known as integrals of Laplace type. (The other

interesting case
that occurs in applications is when ~ is purely imaginary

with 1~1 oo;
this leads to integrals of Fourier type.) Here, D is some

(not necessarily
bounded) domain inn-dimensional x space.
200 IV Approximate Analytical Methods
Laplace Type Integrals We presume that A is real and that

D is a bounded simply connected
domain. The boundary of D, denoted by r, is an ( n 1

)-dimensional
hypersurface. We assume it can be represented as r:x(u),

u=(ul, .. . ,O'n-d
where u takes values in the set P. We presume that~. g 0 ,

and z,(u) are
sufficiently differentiable for what follows. There are

now two cases, depending on where the maximum of ~
appears in D.
Maximum on the Boundary We presume that the maximum of ~

appears on the boundary D at
the unique point x = Xo· Let N be the outward normal to r,

and let d'E be the differential
element of "surface area" on r. Now define the gradient

operation, V =
(8:a: 11 ... ,8:z:,.), the functions t/l(u) = ~(x(u)), H;

= u;V~/IV~I 2 , and
9;+1 = V · H; (for j = 0, 1, ... ). Then an exact

representation of the
integral in (44.1) is given by (see Bleistein and

Handelsman (2), page 332) M-1 ( )M J(l) = L ( -A)-J-l f
(H; · N)eAf d'E + ~ f gMe"• dx ( 44.2) ~o h A ~
forM= 2,3, .... The first terms in this expression are

lower dimensional integrals for
which asymptotic expressions may be found (recursively, if
necessary). The
last term can be bounded and will become the "error term."
For the particular case of n = 2, we can parameterize the
boundary
by r: (z1(a),z2(1)) where 8 = 0 COrresponds to the maximum

at X= Xo·
The leading order term in (44.2) (e.g., the j = 0 term) can

then be written
as ) Af(Xo) 211" I J(l ,., e As I•"(O)I (Ho · N) • ...o'

(44.3)
if the maximum of 111 at 8 = 0 is simple (so that 111"(0) <

0). If ~t(O) is the
curvature of rat x = Xo, then (44.3) can be further

simplified to J(l) ,.,eA~Xo>go(Xo)~ X ~~•••• ~!,
2~•t•a~•t ;., + ~.,:z:,;!t =fIt IV~I3,-l/2 L=Xo' (44.4)
where the minus (plus) sign holds when r is convex

(concave) at x = Xo·
44. Asymptotic Expansions: Multiple Integrals 201
Maximum Not on the Boundary We presume that the maximum of

t/> appears in the interior of D at
the unique point x = Xo· Near x = Xo we can expand t/> in

the form t/>(x) t/>(Xo) ~ !(x
Xo)A(xXo)T, where the matrix A = (Cli;) is defined by Cli;

= t/>z,z 1 (Jto).
Let Q be an orthogonal matrix that diagonalizes A, i.e.,

QT AQ = ( ~1 • • . 0 ) . 0 ~"
Then define the variable z by (x-Xo) = QRzT where the

matrix R = (ri;)
is defined by ri; = 6i; l~il-l/'J.. Now the functions {~}

are chosen so that
(i = hi(z) = Zi + o(lzl) (as lzl 0) and E~=l h1 = 2

(t/>(Xo) t/>(x(z))). With these functions we define the
Jacobian J(() = ~~~~::::: ~=} and
then go(x(())J(() =Go(() = Go(O) + ( · Ho. Then we have the
recursive
definitions G;(() = G;(O) + ( · H;(() and G;+l(() = V ·

H;((). (Note
that there is an ambiguity in the {Hra}, this is not

important.) Finally, the
approximation to/(~) is given by (see Bleistein and

Handelsman [2], page
335) (44.5)
where Z [k(()] = ID k(() exp( -!~( · (} d(. Note that

(44.5) is not an
exact representation, since M exponentially small boundary

integrals have
been discarded. The leading order term in (44.5) can be

written as ~~(Xo) (2 )"'" /(~) "' e ; go(Jto). Vldet (
t/>z 1 z 1 (Xo)) I (44.6)
For the particular case of n = 2, the result in ( 44.6)

can be written as 27r 9o(Xo)e~•(Xo) I(~)"' T . (44.7) J
t/>z1Z1 (Jto)t/>z2Z2 (Jto) t~>:lZ2 (Jto)
Example 1 Consider the two-dimensional integral J(~) =I I

e~(z-11 2 ) dx dy where D
D is the unit circle. This integral has go = 1 and ¢ = x y

2 • In D, the
maximum of ¢J is at Xo = (1,0). Since this a boundary point

of D, (44.4)
is the appropriate formula to use. The only nonzero terms

that appear in
(44.4) are: Yo(Xo) = 1, t/>(Xo) = 1, t/>z(Xo) = 1, ~t(Xo)

= 1, anJVrp(Xo)l =
1. Using these values results in the approximation J(~)

"'e~ 271"/~ 3 . 202 IV Approximate Analytical Methods
Example 2 Consider the two-dimensional integral K(~) = J J
e-\< 2 -~ 2 -11 2 ) dxdy D where D is the unit circle.
This integral has g 0 = 1 and t/> = 2 x 2 ri. In D, the
maximum of~ is at x 0 = (0,0). Since this an interior
point of D, ( 44. 7) is the appropriate formula to use.
The only nonzero terms that appear in (44.7) are go(Xo) =
1, ~(Xo) = 2, ~u(Xo) = -2, and ~ 1111 (Xo) = -2. Using
these values results in the approximation K(~) "'1re 2
"'f~. For this example, the integral can be computed
exactly. We find Notes [1] BleiBtein and Handelsman !2]
also describe asymptotic results for multidimensional
Fourier integrals. !2] Consider the integral J(A) = JJ
/(x)e 0 '~X) dx, where A iB a large parameter. w At
caustic points (also known as turning points), defined by
V<fJ(xo) = 0 and det (t.tzJ = 0, the classical
stationary phase techniques do not apply. For caustic
points where the Hessian determinant vanishes, but the
Hessian iB not identically the zero matrix, there are
several canonical forms of physical interest. These
include the following possibilities for q,{z, 11): 1/J(z,
11) = z 3 + y 2 fold 1/J(z, y) = z 4 + y 2 cusp
1/J(z, y) = z 5 + y 2 swallowtail 1/J( z, y) = z 8 + 1l
butterfly. For caustic points where the Hessian iB
identically the zero matrix, the canonical forms for q,(
z, y) (for cc:rdimension less than 5) are q,{z,y) = z 3 zy
2 elliptic umbilic q,c z, y) = z 3 + y 3 or z 3 + zy 2
hyperbolic umbilic q,( z, y) = z 4 + zy 2 parabolic
umbilic. See Gorman and Wells !4] for details.
[3] Briining and Heintze !3] derive an asymptotic expansion

for the integral f g (xa) xfl log"'~ x/(x) dz, as s -+ o+.
1,0,1)• s
45 Chapter 45 Continued Fractions
Ill C. M. Bender and S. A. Orszag, Advanced Mathematical

York, 1978.
12] N. Bleistein and R. A. Handelsman, Asymptotic

York, 1986, Chapter 8, pages 321366.
13] J. Briining and E. Heintze, "The

Minakschisundaram-Pleijel Expansion in the Equivariant
Case," Duke Math. J., ISl, 1984, pages 959--980.
14] A. D. Gorman and R. Wells, "The Asymptotic Expansion of

Certain Canonical Integrals," J. Math. Anal. Appl., 11S2,
1984, pages 566-584.
15] J.P. McClure and R. Wong, "Asymptotic Expansion ofa

Multiple Integral," SIAM J. Math. Anal., 18, No.6,
November 1987, pages 163G-1637.
[6] F. W. Olver, Asymptotics and Special fUnctions,

[7] R. Wong, Asymptotic Approximations of Integrals,

Academic Press, New York, 1989, Chapters 8 and 9, pages
423-515.
45. Continued Fractions
Applicable to Integrals for which a continued fraction can

be found.
Yields A numerical approximation of an integral.
Idea If a continued fraction can be found for an integral,

then it may be
used to approximate the value of that integral.
Procedure A continued fraction is an expression of the form
Here, ak is called the k-th partial numerator and bk is

called the k-th partial
denominator, fork= 1, 2, ... , oo. For typographical

convenience, and also
to save space, continued fractions are sometimes

represented as a1 a2 a3 or as bl+ ~+ b3+ .... 204 IV
Approximate Analytical Methods We define /c a, a1 Clc =
~ = --------1=1 b, b3+ ... .•. +a1c to be the k-th
convergent of the continued fraction I. The continued
fraction is said to converge if the sequence { Cn}
converges. In many cases, an integral may be written as a
continued fraction. Partial convergents of the continued
fraction then yield approximations to the original
integral. Notes [1] Given {ait} and {bit}, define the
sequences {Pit} and {qit} by the recurrence relations qit
= bitqit-1 + aitqit-1 and Pit = bitPit-1 + aitPit-1 for k =
1, 2, .... The initial values are given by P-1 = 1, po =
0, q-1 = 0, and qo = 1. Then Cit = p~rfq" for k = 1, 2,..
.. Note that this relates continued fractions to
recurrence relations. It might be easier to observe that
the three-term recurrence relation, fin + anfln+l +
bnY..+l = 0, is formally equivalent to the continued
fraction lfn bn bn+l --=-an----.... fln+1 an+1an+2[2]
From a Taylor series in the form F(z) = E: 0 dtz-(i+1), a
z-fraction, which . t• ed fr t• fth r eol /11 e11 /21 "1
18 a con mu ac mn o e 10rm j% lf j% lf ... , may east y be
constructed. By defining F~r(z) = E:odtHz-<'+ 1 ) =
c~r(z), where ( ) _ d~rl _ /1.•1 _ ~ _ h.•l _ e2,itl _
/3.•1 _ c,. z lz 11 lz 11 lz 11 · · ·' we obtain the
recurrence relations e;-1,1<+1 + /;,1<+1 = /;.it + e;,lr
for e /;.~r+te;,H1 = e;,lr/J+t,lr for / with eo,,. = 0
and /1,1c = dk+t/dit. After determining the {e;,~r,/;,~r},
we find e; = e;,o and /; = /;,o for j ~ 1, and eo = do.
This is known as the QD (for quotient difference)
algorithm. See van der Laan and Temme [3] for details.
Using this algorithm and the asymptotic formula 2 1 00
-c2 2z -•2 ( 1 1 3 ) erfc(z) = . 'e dt,..., . '-e 2 4 +
11 -... , v~ • vr b b k we can derive a continued
fraction approximation to the erfc function: Vi .2 ( ) 11
~I 1!. ~I tl -e erfc z = -1 2 + -11 + 2 + -11 + -;-r +
.... z z lz lz
46 Chapter 46 Integral Inequalities
[1) B. Char, "On Stieltjes Continued Fraction for the Gamma

Functions," Math. of Comp., 34, 1980, pages 547-551.
[2) D. Dijkstra, "A Continued Fraction Expansion for a

Generalization of Dawson's Integral," Math. of Comp., 31,
1977, pages 503-510.
[3) C. G. van der Laan and N. M. Temme, Calculation of

Special Functions: The Gamma function, the Exponential
Integrals and EJTOr-like Functions, Centrum voor Wiskunde
en Informatica, Amsterdam, 1984.
46. Integral Inequalities
Idea Some integrals may be easily bounded by known

theorems.
Procedure Given an integral that is to be bounded, a

formula should be located
that has the desired form. This is not a straightforward

process.
Example Suppose we would like to bound the integral I fl

e-a: dx lo v'1 +x2 ·
If we write this integral as I = J 0 1 f(x)g(x) dx, with

f(x) = e-a: and
g(x) = 1/Vf+%2, then we note that both f and g are

decreasing functions
on the interval [0, 1). Hence, Tschebyscheff's inequality

can be used to
derive a lower bound (see the table at the end of this

section for an exact
statement of the inequality). We have I ~ ~ ( ( 1 e-a:

dx) ( fl 1 dx) 1 Jo lo v'1 +x2 = (-e-a:)l~ log (x +VI+
x 2 ) 1: e-1 1ft = -log(1 + v 2) ~ 0.557. e To obtain
an upper bound, we can use Holder's inequality with p =
q = 2 (see the table at the end of this section for an

exact statement of the
inequality). We have 206 IV Approximate Analytical

Methods Hence, we have found a fairly tight bound for I
{that is, 0.556 <I< 0.584), without having to perform much
computation. One Dimensional Inequalities Named (1)
Carleman's inequality (see lyanaga and Kawada [9), page
1422) 1 00 exp (i1 8 logf(t)dt) dx < e 1 00 f(:z:)dx
when f(:z:) > 0. [2) Cauchy-Schwartz-Bunyakowsky
inequality (see Squire [19], page 21) (j.f(:z:)g(:z:)dx)
2 ~ (/. / 2 (:z:)dx) (f.l(:z:)dx). Equality occurs only
when /(:z:) = kg(:z:), with k real. (3) Hardy's inequality
(see Iyanaga and Kawada [9], page 1422) 100 ( F~:z:) r dx
~ (1 ~pr 100 JP(:z:)dx when p > 1 and f(:z:) > 0. Equality
is achieved only if f(:z:) = 0. (4) Modified Hardy's
inequality (see Izumi and Izumi [8)) 1" :z:-"' (1~/(t)dtr
dx < (m ~ 1r 1" :z:-"' 1 1 (i) -f<:z:>l" dx when m > 1, p
> 1, and /{:z:) > 0. [5) Hardy-Littlewood supremum theorem
(see Hardy, Littlewood, and Polya [7), page 298 ( #398))
1. c~~.:z:~(l·,(t)dtr dx~ (k~1f 1·,.(t)dt if k > 1 and
f(:z:) is non-negative and integrable.
46. Integral Inequalities 207
[6) Holder's inequality (see Squire [19), page 21) 11.•

f(x)g(x) dx' $ (/.•1/(x)IP dx) 1 /P (/.•lg(x)l' dx) 119
when p and q are positive and 1/p + 1/q = 1. Equality
occurs only when al/{x)IP = .Big(x)l', where a and .Bare
positive constants.
[7) Backward Holder's inequality (see Brown and Shepp [1))

s~p J [f(x -y)g(y)] dy $ (/1/(x)IP dx) 1 /P (/lg(x)l' dx)
119 when f and g have compact support, p and q are
positive, and 1/p+ 1/q = 1.
[8) Backward HOlder's inequality (see Brown and Shepp [1))

J s~p [f(xy)g(y)J dx ~ (/1/(z)IP dx) 11 P (/lg{x)l' dx)
119 when f and g have compact support, p and q are
positive, and 1/p+1/q = 1.
[9) Minkowski's inequality (see Squire [19), page 21)

(/.•1/(x) + g{x)IP dx) 1 /p $ (1•1/(x)IP dx) 1 /P
(1•lg(x)IP dx) 1 /P for p > 1. Equality occurs only when
f(x) = kg(x), with k non-negative.
[10) Ostrowski inequality (see Gradshteyn and Ryzhik [6),

page 1100) 11.• f(x)g(x) dxl $ 1/(x)l a~~. I/.( g(x) dx'
when f(x) is monotonic decreasing and f(a)f(b) ~ 0.
[11) Tschebyscheff inequality (see Squire [19], page 22)

J.bf(x)g(x)dx~ b~a (1•/(x)dx) (1•g(x)dx) when f(x) and
g{x) are both increasing or both decreasing functions.
[12) Tschebyscheff inequality (see Squire [19], page 22)

J.•f(x)g(x)dx $ b~a (1•/(x)dx) (f.•g(x)dx) when f(x) is an
increasing function and g(x) is a decreasing function (or
vice-versa).
[13) Wirtinger's inequality (see Hardy, Littlewood, and

Polya [7), page 185 ( #257)) 1" /2(x)dx $1"{J')2(x)dx If
/{0) = /{7r) = 0 and J' is L 2 • Equality is obtained only
if f(x) = Csinx.
[14) Generalized Wirtinger's inequality {1 $ k < oo), (see

Tananika [20))
(1 11u1Ao dt) 1/lc $ IF.2(1-Ao)/Ao(k + 2)(1:-2)/21: r ((k +

2)/2k) (111ul2 dt) 1/2 o V; r(1/A:) o 208 IV Approximate
Analytical Methods [15] Young's inequality (see Hardy,
Littlewood, and Polya [7], page 111 (#156)) ab ~ ~o· /(z)
dx + ~o· r 1 (z) dx when f(z) is continuous, strictly
monotone increasing in x ~ 0, /(0) = 0, a ~ 0, and b ~ 0.
Equality occurs only if b =/(a). One Dimensional
Inequalities: Arbitrary Intervals Unnamed (16] If p(z) >
0 and J p(z) dx = 1 (see Hardy, Littlewood, and Polya [7],
page 137 (#184)), then (unless I is a constant) exp (I
p(z)log/(z)dz) <I p(z)/(z)dz. [17] If 0 < r < •, p(z) > 0,
and Jp(z)dz = 1 (see Hardy, Littlewood, and Polya [7],
page 143 (#192)), then (unless f is a constant) (I
p(z)r(z) dx) 11 r < (I p(z)r(z) dx) 11 •. (18) If 0 < a
~ /(z) ~ A < oo and 0 < b ~ g(z) ~ B < oo (see Hardy,
Littlewood, and Polya [7], page 166 (#230)), then (! !'{•)
dx) (! •'<•) dx) ,; ( ~ [ J¥ + ~ f /{<)g{<) dx )' [19) If
a, b, a, {J are positive and /(z) is an increasing positive
function (see Hardy, Littlewood, and Polya (7), page 297
(#397)), then [+o I (i) clx+ r~ I(~) clx ~ [~o+~ I (a;b)
clx. (20) If 1 ~ r < p and /(z) and g(z) are positive
functions in L" (see Potze and Urbach [21)), then lexp
(-1 r,.-r dx) _ exp ( _ 1 r1 ,.+1-r dx )I ~ Cr,p (I 1/91")
1 /P dx where Cr.p ~ 0.
One Dimensional Inequalities:
Finite Intervals Unnamed
[21] If a ~ 0, b ~ 0, a # 1, l(x) is non-negative and

decreasing, and l(x) # C (see Hardy, Littlewood, and Polya
[7], page 166 (#229)), then (11x•+'ldx)2 $ [1-(a:~!1f]
(11x2•1dx) (11xa•ldx).
[22] If l(x) has period 211', J:" ldx = 0, f' is L 2 , and

l(x) # Asinx+Bcosx (see Hardy, Littlewood, and Polya [7],
page 185 (#258)), then 1 2 " l 2 (x) dx <La.. (/'(x)) 2
dx.
[23] 1£0 $I'$ 1, 0 $ g(x) < x, and k > 1 (see Hardy,

Littlewood, and Polya [7], page 298 (#400)), then r
(l(x)l(g(x)))" dx < l:l(1) 1,.(1). } 0 xg(x) k1
[24] If 0 $ /' $ 1 and 0 $ g(x) < x (see Hardy, Littlewood,

and Polya [7], page 298 (#400)), then r l(x)l(g(x)) dx $
1(1) (1log 1(1)). Jo xg(x)
One Dimensional Inequalities:
Infinite Intervals Unnamed
[25] If m > 1, n > -1, I is positive (see Hardy,

Littlewood, and Polya [7], page 165 (#226)), then
1oo xn lm(x) dx $ n: 1 (1oo xm(n+l)/(m-1) lm(x) dx)

(m-1)/m (1oo 1/'(x)lm dx) 1/m Equality occurs only when
I= Bexp (-Cx<m+n)/(m1 >), where B ~ 0 and C>O.
[26] If a~ 0, b ~ 0, a# b, and I is non-negative and

decreasing (see Hardy, Littlewood, and Polya [7], page 166
(#228)), then (unless l(x) = { ~ : ~~:~) with C > 0) (1oo
x•+' I dx r $ [ 1 (a : ~! 1 f] (1oo x 2 • 1 dx) (1oo xu
1 dx) . 210 IV Approximate Analytical Methods [27] If I
and/" are in L 2 [0, oo] (see Hardy, Littlewood, and Polya
[7], page 187 (#259)), then Equality occurs only when
l(z) = Ae8 21 2 sin (Bzsin ff) [28] If I and/" are in L 2
(0,oo] (see Hardy, Littlewood, and Polya (7], page 188
(#260)), then 1 00 (1 2 (z)(/'(z)) 2 + (/"(z)) 2 ) dx ~
0. Equality occurs only when l(z) = Ae-Bc/ 2 sin (Bxsin
ff) (29] If I and/" are in L 2 (-oo,oo] (see Hardy,
Littlewood, and Polya (7], page 193 (#261)), then (unless
l(z) = 0) (30] If p > 1 and l(z) ~ 0 (see Hardy,
Littlewood, and Polya (7], page 240 (#327)), then (unless
l(z) = 0) 100 (;1cl(t)dtr dx< (p~1r 1ool"(x)dx. [31] If p
> 1, 0 ~ a < 1/p, and p ~ q ~ p/(1 ap) (see Hardy,
Littlewood, and Polya [7], page 298 (#402)), then 1oo
z-<•-•+"o)/p ( r(~) 1c l(y)(x -ll)o-1 dy) q ~ K (1oo J"(x)
dx) ''". This result is also true if a ~ 1/p, p > 1, and p
~ q. In both cases K =K(p,q,a) > 0. (32] Under some
continuity requirements, with a> 0 (see Mingarelli [10]) l
oo l/(z)l2eoc2 dx ~ ...!..foo l/'(z)l2eoc2 dz. -oo 2a -oo
Two Dimensional Inequalities

[33] If p > 1, q > 1, p1 + q1 ~ 1, l = 2-p1 q1 , h < 1
p1 , k < 1 q1 , h + k ~ 0, and h + k > 0 if p1 + q1 = 1
(see Hardy, Littlewood, and Polya (7], page 298 (#401)},
then
1 oo1oo /(:r:)g(JI)_ d:r:dy ~ K (1oo JP(z)d%)1/p (1oo

g'(z)d%)1/t.
o o Zhll"lz -111~ h " o o Here K = K(p,q,h,k) > 0.
(34] If /(z), g(z) and h(z) are non-negative, and r<z),

g•(z) and h·(z) are the equi-measurable symmetrically
decreasing functions (see Hardy, Littlewood, and Polya
(7], page 279, (#379)), then 1:1: /(z)g(y)h( -z-11) d:r:
dy ~ 1:1:r(z)g•(y)h•( -z-11) d:r:dy.
(35] If p > 1, p' = p/(p 1), Iooo JP(z) d:r: ~ F and Iooo
gP' (z) d:r: ~ G (see Hardy, Littlewood, and Polya [7],
page 226 (#316)}, then (unless /(z) = 0 or g(z) = 0) 1 oo
1oo /(z)g(y) d:r: dy < . 1!' F1/pa1/p'. _ 00 _ 00 Z + y
SID(1r/p)
Other Inequalities
(36] If the function J, g, .. . , h are linearly

independent functions (i.e., there do not exist constants
A, B, ... , C, some not equal to zero, such that A/+ Bg+ ·
· ·+Ch = 0) (see Hardy, Littlewood, and Polya (7], page 134
(#182)), then I / 2 (z) d:r: I /(z)g(z) d:r: I f(z)h(z)
d:r: >0. I h(z)f(z) d:r: I h(z)g(z) d:r:
Notes
(1] In this section, when no further explanation is given,

functions with upper case letters are assumed to be
integrals of functions with lower case letters. For
example, F(z) = Io% /(z) d:r: and G(z) = Io% g(z) d:r:.
Also, all the integrals in this section are assumed to
exist.
(2] If /(z) is a real continuously differentiable function

that satisfies the boundedness constraints I~oo z 2 1/(z)l
2 d:r: < oo and I~oo l/'(z)l 2 d:r: < oo, then for z ~
0 we have 212 IV Approximate Analytical Methods This, in
turn, can be used to derive the inequality /_: l/(z)l 2
dx ~ 2 /_: t 2 1/(t)l 2 tit /_: l/'(t)l 2 tit. This last
inequality is known as Heisenberg's uncertainty principle
in quantum mechanics. [3] Evans et al. [3] contains a
complete analysis of the inequality (/ { ll'<z>12 +
(z2r)l/(z)l2} dx r ~ K(r) (/ l/(z)l 2 dx) (/ l/"(z)(z 2
r)/(z)l 2 dx) . [4] Pachpatte [18] derives
generalizations of the inequalities with suitable
constraints on /, m, and p. (Here, F. is related to the
integral of/.) [5) The inequality I I 1/1 2 dx dy ~ 4 ~
Ur 1/1 dlzl) 2 for functions J holomorG phic in G U r is
referenced in Gamelin and Khavinson [5] . [6] Gronwalls'
inequality states (see Gradshteyn and Ryzhik [6], page
1127): Theorem: Let the three piecewise continuous,
nonnegative functions {u,v,w} be defined in the interval
[O,a] and satisfy the inequality w(t) ~ u(t) + 1'
v(r)w(r) dr, except at points of discontinuity of the
functions. Then, except at these same points,
[7] Opial [12] showed that J 0 " 1/(x)l/'(x) dx ~ ih

J."(l'(x)) 2 dx, with certain conditions on f. A
comprehensive survey of Opi:S-type inequalities may be
found in Mitrinovic [11]. Yang [22] proved the
generalization Theorem: If j(11, t), j., and /.t are
continuous functions on [a,b] x [c,d] and if f(a,t) =
f(b,t) = j.(11,c) = j.(11,d) = 0 for a ~ s ~ b and c ~ t ~
d, then 1.1,.1/(s,t)l!/.t(s,t)! dtds ~ (ba~dc) 1•1tJ
1/.t(ll, t)1 2 dt ds. Two other generalizations of
Opial's inequality are in Pachpatte [16]. One of these
generalizations is (the other is similar): Theorem:
Suppose the functions p, q are positive and continuous on A
= [a, XJ x [c, YJ. Let f = f(s, t), /., f•t be continuous
functions on A with f(a, t) = /.(11, c) = 0 for a ~ 11 ~
X and c ~ t ~ Y. If m and n are positive integers, with
m+n > 1, then 1x 1Y Pl/lm 1/.tl" dtds ~ K(X, Y,m,n) 1x 1Y
ql/.tlm+" dtds (46.1) where K(X, Y,m,n) is a finite
constant that depends on the functions p and q. If m < 0,
n > 0, and m + n > 1, then (46.1) holds with ~ replaced
with ~·
[8] Assume that /(t) and <f>(t) are nonnegative and

measurable on a+, and that both a and b are in the range
(0, oo). Define 41(x) = J 0 z <f>(t) dt, FL(x) = J;
f(t)<f>(t) dt, Fu(x) = Jzoo /(t)</>(t) dt, and M =
(pflc11)P. Then (see Copson [2]): 1. Ff·-C~dz ~ M 1.
JP•P-C~dz 100 Ff·-C~dz ~ M 100 JP•P-C~dz ifp ~ 1, c > 1
if 0 < p ~ 1, c > 1 and •(x) --+ 0 as z--+ oo 1 00
FG·-C~dz ~ M 1 00 JP•p-C~dz if p ~ 1, c < 1 1. FG·-C~dz ~
M 1. JP•P-C~dz if 0 < p ~ 1, c < 1 1 • Ff·-l~dz ~ pP1•
JP•P1 (log •(b) )P ~dz if p ~ 1 o o •(x)
48 Chapter 48 Interval Analysis
48. Interval Analysis 219
Idea In interval analysis, quantities are defined by

intervals with maximum
and minimum values indicated by the endpoints. Definite

integrals can
often be approximated by an interval; intervals are better

than ordinary
numerical approximations since an exact bound on the error

is obtained.
Procedure We use the interval notation [a, b] to indicate

some number between the
values of a and b. We will allow coefficients of

polynomials to be intervals.
For example, the interval polynomial Q(x) = 1 + [2,3]x 2

+ [-1,4]x 3 , {48.1)
evaluated at the point x = y, means that min 1 + '7Y 2 +

Cy 3 < Q(y) < max 1 + '7Y 2 + Cy 3 • {48.2) 3:StJ:S3
2:StJ:S3 -I:SC:S' -l:S(:S'
There exists an algebra of interval polynomials. For

example (x + [2, 3)x 3 ) + ([1, 2)x + [1, 4)x 3 ) = {2,
3)x + [3, 7]x 3 , {[1,3) + [-1, 2)x) 2 = [1, 9] + [-6,
12)x + [-2,4)x 2 •
If P(y) and Q(y) are interval polynomials, then at any

point y we can
write P(y) E [PL, .Pu], Q(y) e [QL, Qu]. We say that P{x)
contains Q(x)
on some interval [c, d) if PL $ QL, Qu $ Pu for all y E [c,

d). This is
denoted by Q(x) c P(x). We now use capital letters to

denote intervals; i.e., F(X) denotes the
interval [FL, FH] where FL = minzex /(x) and FH = maxzex

/(x). If we
define x1"> by (n) [ i 1 i ] X, = a+~(x-a),a+~(x-a), i =

1,2, ... ,n, {48.3)
then, if /{x) is sufficiently smooth, {48.4)
Define Q to the right-hand side of {48.4). The width of the

interval Q,
w( Q), can be shown to satisfy w(Q) $ K(xa)2 {48.5) n
where K is a positive constant independent of n. The

quadrature formula in (48.4) is essentially a first order
integration
formula for. J f(t) dt. Higher order formulae are also

available. See, for
example, Corliss and Rall [4). 220 IV Approximate

Analytical Methods Example 1 This example illustrates the
use of (48.4). Consider the integral I= J;sin1rx 2 dx.
Using (48.4) with n = 2, we have (48.6) where F(X) =
sin(1rX 2 ). The expression in (48.6) can be evaluated to
yield Example 2 I c (F {[O,sin 2 iD l + F ([o,sin 2 i])
l) = [o, !] l + (o,1H = [o, ~]. Consider the integral I
= J~ 1 f(x) dx, where f(x) = 1 + (1, 2)x + x 2 • It is
straightforward to show that Hence, we have Notes (1]
The techniques presented in this section can be evaluated
numerically. Interval arithmetic packages are available in
Algol (see Guenther and Marquardt (5]}, Pascal (see Wolff
von Gudenberg (10]}, and FORTRAN (see ACRITH (1], but see
also Kahan and LeBlanc (6]). [2] Corlia8 and Rall (4]
describe an interval analysis program that evaluates
integrals by implementing Newton-Cotes rules, GaU88 rules,
and Taylor series. They also con11ider problems in which
the limits of integration are intervals.
49 Chapter 49 Laplace's Method
[1] ACRITH High Accumcy Subroutine Libmry: General

Information Manua~ IBM publication# GC33-6163, Yorktown
Heights, NY, 1985.
[2] 0. Caprani, K. Madsen, and L. B. Rall, "Integration of

Rational Functions," SIAM J. Math. Anal., 12, 1981, pages
321-341.
[3] G. Corliss and G. Krenz, "Indefinite Integration with

Validation," ACM 7h.ms. Math. Software, 15, No. 4,
December 1989, pages 375-393.
[4] G. F. Corliss and L. B. Rall, "Adaptive,

Self-Validating Numerical Quadrature," SIAM J. Sci. Stat.
Comput., 8, No. 5, 1987, pages 831847.
[5] G. Guenther and G. Marquardt, "A Programming System for

Interval Arithmetic," inK. Nickel {ed.), Interoal
Mathematics 1980, Academic Press, New York, 1980, pages
355366.
[6] W. Kahan and E. LeBlanc, "Anomalies in the IBM ACRITH

Package," IEEE Proc. 7th Symp. on Computer Arithmetic,
1985.
[7] R. E. Moore, Interoal Analysis, Prentice--Hall Inc.,

Englewood Cliffs, NJ, 1966, Chapter 8, pages 7G-80.
[8] L. B. Rall, "Integration of Rational Functions II. The

Finite Case," SIAM J. Math. Anal., 13, 1982, pages
69o-697.
[9] J. M. Yohe, "Software for Interval Arithmetic: A

Reasonable Portable Package," ACM 1hJns. Math. Software, 5,
No. 1, March 1979, pages 5o-63.
[10] J. Wolff von Gudenberg, Floating-Point Computation in

PASCAL-SC with Verified Results, in B. Buchberger and B.
F. Caviness {eds.), EUROCAL '85, Springer-Verlag, New
York, 1985, pages 322-324.
49. Laplace's Method
Applicable to Integrals ofthe form/(~) = J: g(x)e~f(s) dx,

where f(x)
is a real-valued function.
Yields An asymptotic approximation when ~ » 1.
Idea For ~ oo the value of/(~) is dominated by the

contributions at
those points where f(x) is a local maximum. 222 IV

Approximate Analytical Methods Procedure Given the
integral 1(..\), consider the term e"f(z) for fixed ..\.
This term will have a stationary point, (i.e., a local
maximum or minimum) when de"f(z) /dx = 0, or /'(z) = 0.
The behavior of J(..\) is dominated at the local maximums
of/; points where /'(z) = 0 and (usually) /"(z) < 0. If
the stationary point Zi is an interior point (i.e., a < Zi
< b) then J(..\) may be approximated, in the neighborhood
of this point, as (49.1) which is valid as ..\ oo, when
/"(zi) < 0. If /"(zi) > 0, then the point Zi is a local
minimum of /, not a local maximum, and this point does not
contribute to leading order. (For the case /"(zi) = 0, see
the Notes, below.) For each point where f has a local
maximum there will be a term in the form of (49.1). To
find the asymptotic approximation to J(..\), these terms
must be summed up. For the stationary boundary points
(i.e., those stationary points that are on the boundary of
the domain, either Zi = a or Zi = b) there is a term in
the form of ( 49.1 ), but with half the magnitude (if/" ( )
is negative at that boundary point). This is because the
integral in the fourth line of (49.1) becomes an integral
from 0 to oo or -oo and not from -oo to oo. If either of
the boundary points is not a stationary point, (i.e., /'(a)
:f: 0 or /'(b)#: 0), then these boundary points points
contribute g(a)e"f(o) ..\f'(a) or g(b)e"f(&) ..\f'(b)
(49.2) to the sum forming the the asymptotic approximation
of J(..\). The contributions from non-stationary boundary
points will always be asymptotically
49. Laplace's Method 223
smaller than the contribution from the points at which f is

a local max
imum. Hence, if the region of integration contains any

points at which f
is a local maximum, and if only the leading order behavior

is desired, then
the non-stationary boundary points can be ignored.
Example 1 For the integral J(~) = J: 0 e->.cosz dx we

identify f(x) = cosx,
g(x) = 1, a = 0 and b = 10. The stationary points are where
f'(x) =
sinx = 0, or x = {0,11",211",311",411", ... }. We are only

interested in those
stationary points in the range of integration, that is x =

0, x = 1r, x = 211",
and x = 311". Including the boundary points x = 0 and x =

10 we have
four points that can potentially contribute to the leading

order term in the
asymptotic expansion. x = 0 This is a stationary boundary

point. However, since f"(O) = 1 > 0, this point does not
contribute to leading order. x = 1r This is an interior
stationary point. Since !" ( 1r) = -1 < 0, this point
contributes a term of the form in (49.1): >./( ) 11" f21r
>. I. = g(1r)e • ~ lf"(1r)l = V Te ·
x = 21r This is an interior stationary point. However,

since /"(211") = 1 > 0, this point does not contribute to
leading order.
x = 311" This is an interior stationary point that is a

local maximum since f"(31r) = -1 < 0. Hence, this point
contributes a term of the . ( )· ( ) >./(b) 11" f21r >.
form m 49.1 . law g 31!" e ~ lf"( 3 1r)l V Te .
x = 10 This is a non-stationary boundary point. Hence, this

point con. g( 1 0)e>.f(lO} e->.cos 10 tnbutes (from
(49.2)): ho = ~f'( 1 0) =~sin 10 .
We can combine all of the leading order contributions we

have to find
However, since we have only kept the leading order term in

the asymptotic
expansion near each point, we can only keep the leading

order term in the
final answer (assuming no cancellation of terms has

occurred). Our final
result is therefore: as ~-+ oo. 224 IV Approximate

Analytical Methods Example 2 Consider the integral J(~) =
J: eM 2 dx, so that f(x) = x 2 and g(x) = 1. In this
case the stationary points are given by f'(x) = 2x = 0, or
x = 0. The point x = 0 is a stationary boundary point, but
it does not contribute to leading order since f"(O) = 2 >
0. The point x = 1 is a boundary point and the leading
order asymptotic approximation is given by (49.2): Example
3 g(l)e~/( 1 ) e~ J(~) ~/'(1) = 2~ as ~oo. Consider the
integral K(~) = J 0 1 e-M 2 dx, so that f(x) = -x 2 and
g(x) = 1. In this case the stationary points are given by
/'(x) = -2x = 0, or x = 0. The point x = 0 is a stationary
boundary point, and it contributes to leading order since
/"(0) = -2 < 0. The leading order asymptotic approximation
is given by (49.1) with a factor of l (since x = 0 is a
boundary point): _ ! ~/(O) 2w _ ! {! K(~) 2g(l)e ~
1/"(0)I 2 V :\ as ~oo. (49.3) For this integral, we
recognize that K(~) = ~~ erf ( v'X), where erf is the
error function. Use of the asymptotic expansion of the
error function for large arguments also results in
(49.3). Example 4 An integral representation of the gamma
function, for ~ > 0, is r<~> = f x~1 e-·dx =Lao
x-le-·e~logzdx. (49.4) If~ is an integer, then r(~) =
(~1)! (see page 163). From (49.4) we have f(x) = -logx,
but /(x) has no finite stationary point about which to
apply our above expansions. The change of variable x = ~~~
transforms ( 49.4) to r(~) = ~~ rao e~(-tl+lou) dy. lo tl
(49.5) Now f(y) = -y +logy and g(y) = y1 . The minimum of
f(y) is at f' (y) = 0, or y = 1. The value y = 1 is an
interior stationary point of (49.5), so we have (from
(49.1)) ) ~ ) ~/(l) 2w _ ~ -~ {21i r(~ ~ 9 < 1 e
~lr(t)l~ e V T· (49.6) From ( 49.6), and a little
manipulation, we obtain the leading term in Stirling's
approximation to the factorial: r(n + 1) = n!v'210in"e-n.
49. Laplace's Method 225
Example 5 Consider the integral I(~) = f 0 00 eMI-(z1 )

logz dx, for ~ :» 1. If we
make the obvious identification, f(x) = x, then the region

of maximum
contribution will be around x = oo. To determine this

contribution, some
re-scaling of the problem is required. Looking at the

whole integrand, the stationary point is given by x-1 or
~ = -+logx. X
As suggested above, the stationary point occurs at a large

value of x. If
x is large then, approximately, the stationary point is
given by x = e~1 .
Making the change of variable t = x / e~1 , we are led to

consider I(~)= e2(~-1) 1oo te(eA-t)(t-tlogt) dt = e2(l-1)J
(e~-1)'
where J(() = J 0 00 teC(t-tlog t) dt. Since we want ~ :»

1, this corresponds to
( :» 1. Now it is a simple matter to show that J(() ,..,.

eC ,.fi1ffl. (since the
only stationary point is at t = 1). Hence, we obtain our

final answer: as ~oo.
Notes
[1] Laplace's method is an application of the method of

steepest descents, see page 229. In the method of
steepest descents, the function /(z) can be complex
valued. In the method of stationary phase (page 226), the
function f(z) is purely imaginary.
[2] If more terms are kept in {49.1), then we obtain the

approximation ~ ~ [ 1 ( g" gf"" g' f" Sg (Jm) 2) l
I(~),..,. v =-zy'e I g + ~ 2/" + 8 (/")2 + 2 (/")2 24 (/")3
+ ... where all the functions are evaluated at z = z; (see
Bender and Orszag [1], page 273). If the asymptotic
expansion in Example 4 were continued to higher order,
then we would find This yields a better approximation to
the factorial function than the oneterm Stirling's
approximation.
[3] Watson's lemma (page 197) applies to integrals of the

form J: e~ 11 F(y) dy. By an appropriate change of
variable, /(~) can be changed to this form. For example,
we can use the transformation y = f(z) and then (assuming
monotonicity) A= f(a), B = f(b), F(y) = g(z)/ /'(z).
50 Chapter 50 Stationary Phase
50. Stationary Phase 227
Procedure The ruemann-Lebesgue lemma states that lim I:

h(t)ei~t dt = 0, ~-+oo
provided that J: lh(t)l dt exists. In simple terms, if the

integrand is highly
oscillatory, then the value of the integral is "small."

Now consider the integral I(~) = 1" ei~/(s)g(x) dx. (50.1)
Through an appropriate change of variables, it can be shown

(in non
degenerate cases) that J(~) -+ 0 as ~-+ oo. The maximum

contributions
to (50.1) will come from regions where the integrand is

less oscillatory.
These regions are specified by the stationary points of

the integrand, that
is, where J'(x) = 0. Let the stationary points in the

interval [a, b] be { Ci}. Following a
derivation similar to that given for Laplace's method (see

page 221), we
find that the leading order contribution to 1(~). due to

the stationary
point c, is (assuming that /(c) ::/: 0, J"(c) ::/: 0, and

g(c) ::/: 0): ( ) 211" [ · i1r "( >] lc ""g c ~IJ''(c)l
exp t~/(c)4 sgnf c (50.2)
where sgn denotes the signum (or sign) function. The

leading order asymptotic behavior of J(~) is then given by
Li Jl:i.
It is difficult to obtain a better approximation than just

the leading order
approximation, because it requires delicate estimation of

integrals. If a
higher order approximation is desired, then the method of

steepest descents
(see page 229) should be used.
Example The Bessel function Jn(x), for integral values of

n, has the integral
representation (see Abramowitz and Stegun [1], 9.1.22.b)

11"" Jn(~) =cos(nt-~sint)dt 1r 0 (50.3) = 2. E1""
e::l::inte"'i~•intdt. 211" :I: 0
Each integral in the sum has the form of (50.1), with f±(t)
==faint and
g::~::(t) = e::l::int. On the interval [0,1r] the only

stationary point for /::1:: is at
t = 1rj2. Hence, we find /::1:: (f)= =fl and /!1:. (f)=

=fl. Therefore, (50.2)
can be evaluated to yield Jn(~)"" d:. L exp( ±i" 2 7r)

exp( ±i [-~ + ~ 4 ]) v21r~ ::1:: 228 IV Approximate
Analytical Methods for~> 1. Notes [1] Determining the
asymptotic behavior of an integral by plugging into the
above formulas is a dangerous approach. A simple example
where this naive approach could go wrong is with the
integral I = f~oo e•<ut 2 3 t 3 ) dt. Use of the above
formulas would result in a stationary point at t = 0, which
leads to the incorrect approximation ,;;73).e'"''· For
this integral, there are stationary points at both t = 0
and t = ~. Using the contributions from both of these
stationary points results in the approximation (2] If
there are no stationary points in the interval of
integration, then the leading order asymptotic behavior is
determined by the contribution near the limits of
integration. The leading order behavior, in this case, can
be determined by integration by parts. (3] If the leading
order expansion of /(t), near the critical point t = c, is
given J'">(c) by /(t) =/(c)+ ---,;r(tc)"+ ... , then the
leading order behavior of I is given by (assuming, again,
that g(c) =I= 0): Equation (50.2) is just this formula
evaluated at n = 2. Note that if the stationary point is a
boundary point, then the factor of 2 in (50.4) does not
appear. As an example, consider the Bessel function at
large order and large argument. That is, consider the
integral (see (50.3)) Jm(m) = 1r1 J 0 " coe(mtmsint)dt,
form> 1. Writing this as Jm(m) = (211')1 L± J 0 "
e±im(t-aillt) dt, we identify /(t) = tsint. For this
integral, the only stationary point is at c = 0 (since
/'(c)= 0). At this stationary point the second derivative
vanishes: /"(0) = 0. Directly keeping terlOS of the next
order results in Jm(m) = Re (; 1" eim(aiat-t) dt) "' Re
(; 1" e'"t•te dt) = !2-2/33-1/lr (i) m-1/3. 11' This
result could also have been obtained from using (50.4). We
have g(t) = 1/11', /(t) = sin tt, /'(t) = cost1, /"(t) =
-sin t, and /"'(t) = -cost. Hence, we find that c = 0, n =
3, and 1/"'(c)l = 1. Using (50.4) and
50. Stationary Phase 229 removing the factor of 2 since

the stationary point is a limit of the integral we find
Jm(m) ~ IW (; r ~i) (~) 113 exp (-i;)) ~; r ~l) (~f'\os
( -i) = !2-2/3 3 -1/Sr (i) m-1/3. 71"
[4] Stationary phase is an application of the method of

steepest descents, see page 229. In the method of
steepest descents, the function /(z) can be complex
valued. In Laplace's method (page 221), the argument to
the exponential is purely real.
[5] This method was first applied in Stokes [9]. A rigorous

justification of the method is presented in Watson [10].


York, 1978.
[3] N. Bleistein and R. A. Handelsman, Asymptotic

York, 1986, Chapter 6, pages 219-251.
[4] R. A. Handelsman and N. Bleistein, "Asymptotic

Expansions of Integral Transforms with Oscillatory
Kernels; A Generalization of the Method of Stationary
Phase," SIAM J. Math. Anal., 4, No. 3, 1973, pages 519-535.
[5] N. Chako, "Asymptotic Expansions of Double and Multiple

Integrals Occurring in Diffraction Theory," J. Inst. Maths.
Applies, 1, December 1965, pages 372-422.
[6] J. C. Cooke, "Stationary Phase in Two Dimensions," IMA

J. Appl. Math., 29, 1982, pages 25-37.
[7] F. De Kok, "On the Method of Stationary Phase for

Multiple Integrals," SIAM J. Math. Anal., 2, No. 1,
February 1971, pages 76-104.
[8] J.P. McClure and R. Wong, "Two-Dimensional Stationary

Phase Approximation: Stationary Point at a Corner," SIAM
J. Math. Anal., 22, No. 2, March 1991, pages 5Q0-523.
[9] G. G. Stokes, "On the Numerical Calculation of a Class

of Definite Integrals and Infinite Series," Camb. Philos.
7\-ans., 9, 1856, pages 166-187.
[10] G. N. Watson, "The Limits of Applicability of the

Principle of Stationary Phase," Proc. Camb. Philos. Soc.,
19, 1918, pages 49-55.
52 Chapter 52 Approximations:
Miscellaneous
52. Approximations: Miscellaneous 241
Table 52. Some infinite series expansions for integrals

ofthe form J 0 00 j(t)g(t) dt. 1 oo e-at /(t) dt = ~
J'">(o) L.J a"+l 0 n=O cosatj(t)dt= L(-1)" 2 ,.+2° 1
oo "" J'2n+l)( ) 0 n=O a 1 oosinatj(t) dt = !.J(O)~(-1)"
J'2n-l)(O) 0 t 2 L.J (2n 1)a" n=O Setting s = 0 in
(52.1) allows an infinite series expansion for J(O) =
/ 0
00 f(t)g(t) dt to be obtained. Each choice of g(t) results

in a different
expansion, some are given in Table 52. These results are

only formally
correct; in practice, the resulting expressions may be

asymptotically valid.
Example Using the fourth expansion in Table 52, with f(t)

= sint, we readily
determine that J ·-1 010 sinmtsint d _ ~ 1 .tL.J . o t

n=O (2n + l)m" (52.2)
A table of integrals shows that J = ~ log (: ~ ! ) , when

m > 1. If this
result is expanded around m = oo, then the result in (52.2)

is obtained.
Note
[1] This technique is from Squire [1], who credits Willis

[2].

105-107.
[2) H. F. Willis, "A Formula for Expanding an Integral as a

Series," Phil. Mag., 39, 1948, pages 455-459.
54 Chapter 54 Numerical Definitions
54. Numerical Definitions 245
General Purpose Integrators A numerical quadrature rule is

said to
be geneml purpose if the routine works for generic

integrands. If a routine
requires that the integrand have the form w(z)/(z), for

some special weight
function w{x), then the routine is called special purpose.
Nodes In the quadrature rule I: f(x) dx ::::: E, w,f(x,),

the distinct
numbers {x,} are called the nodes {also called abscissas,

or points).
Null Rule The numerical quadrature rule I: f(x) dx ::::: E,

w,f(x,) is
said to be a null rule if E, w, = 0 and at least one of the

{wa} values is
non-zero. Furthermore, a null rule is said to have degree d

if it integrates
to zero all polynomials of degree less than or equal to d

and fails to do so
for f(x) = z 11 + 1 •
Numerically Stable A numerical quadrature rule is said to

be numer
ically stable if all of the weights are positive.
Open Rule Consider an approximation to the integral I= I:

f(x) dx.
A quadrature rule that does not use the values /(a) or f(b)
in the numerical
approximation of I is called an open rule or an open

formula. This would
be needed, for instance, if a= 0 and f(x) = x1 1 2 • In

this case, I has an
integrable singularity, but /{0) is infinite and should not

be computed by
a quadrature routine.
Order Given a quadrature rule of the form b N 1 f(x) dx =

L an/(zn) + E[/], G n=l
there exists a largest integer k such that E[p] vanishes

for every polynomial
p of degree less than k. The number k is usually called the

order and k 1
is called the degree of precision of the rule. We have the

bound k :S 2N,
where equality only holds for the Gauss-Legendre rule.
Panel Rules Given an integral to evaluate I= I: f(x) dx,

the interval
of integration [a, b] can be sub-divided into m equal

length intervals, called
panels. (The number m is called the mesh mtio.) Then one

integration
rule can be used on each panel, and the resulting

approximation to I is
called an m-panel rule. See also "composite rules," page

282.
Positive Quadrature Rule The quadrature rule I~ f(x)

dx::::: E~=l w,
f(x,) is called a positive quadrature rule if all of the

weights are positive, w, > 0.
Weights In the quadrature rule I: f(x) dx::::: E, wtf(x,),

the numbers
{ w,} are called the weights.

55 Chapter 55 Error Analysis
[1] J. Berntsen and T. 0. Espelid, "Error Estimation in

Automatic Quadrature Routines," ACM funs. Math. Software,
17, No. 2, 1991, pages 233-252.
[2] P. J. Davis and P. Rabinowitz, Methods of Numerical

Florida, 1984, Chapter 4, pages 142-144 and 271-343.
[3] T. 0. Espelid and T. Sorevik, "A Discussion of a New

Error Estimate for Adaptive Quadrature," BIT, 29, 1989,
pages 283-294.
[4] K.-J. Forster and K. Petras, "Error Estimates in

Gaussian Quadrature for Functions of Bounded Variation,"
SIAM J. Math. Anal., 28, No. 3, June 1991, pages 88Q-889.
[5] W. Gautschi, E. Tychopoulos, and R. S. Varga, "A Note

on the Contour Integral Representation of the Remainder
Term of a Gauss-Chebyshev Quadrature Rule," SIAM J. Numer.
Anal., 27, No.1, 1990, pages 219-224.
[6] D. Kahaner, C. Moler, and S. Nash, Numerical Methods

and Software, Prentice--Hall Inc., Englewood Cliffs, NJ,
1989.
[7] C. Schneider, "Error Bounds for the Numerical

Evaluation of Integrals with Weights," in Numerical
Integration III, Birkhii.user, Basel, 1988, pages 226236.
[8] J. Stoer and R. Bulirsch, Introduction to Numerical

Analysis, translated by R. Bartels, W. Gautschi, and C.
Witzgall, Springer-Verlag, New York, 1976, pages 123-127.
[9] A. H. Stroud, Approximate Calculation of Multiple

Integrals, Prentice--Hall Inc., Englewood Cliffs, NJ,
1971, Chapter 5, pages 137-192.
[10] R. Piessens, E. de DonckerKapenga, C. W. Uberhuber,

and D. K. Kahaner, Quadpack, SpringerVerlag, New York,
1983.
56 Chapter 56 Romberg Integration /
llichardson Extrapolation
(1) C. M. Bender and S. A. Orszag, Advanced Mathematical

Methods for Scientists and Engineers, McGrawHill, New York,
1978, page 369.
(2) R. Bulirsch and J. Stoer, "Handbook Series Numerical

Integration: Numerical Quadrature by Extrapolation,"
Numer. Math., 8, 1966, pages 93-104.
(3) P. J. Davis and P. Rabinowitz, Methods of Numerical

Florida, 1984, pages 45-47 and 436-446.
(4) G. Fairweather and P. Keast, "An Investigation of

Romberg Quadrature," ACM 1hlns. Math. Software, 4, 1978,
pages 316-322.
57 Chapter 57 Software Libraries:
Introduction
[1] R. F. Boisvert, S. E. Howe, D. K. Kahaner, and J. L.

Springmann, Guide to Available Mathematical Software,
NISTIR 90-4237, Center for Computing and Applied
Mathematics, National Institute of Standards and
Technology, Gaithersburg, MD, March 1990.
[2] R. F. Boisvert, S. E. Howe, and D. K. Kahaner, "GAMS: A

Framework for the Management of Scientific Software," ACM
7rans. Math. Software, 11, No. 4, December 1985, pages
313355. 256 v Numerical Methods: Concepts I b f(&)d&,
a and b finite. a Can you factori&e the integrand aa
w(&)f(&) Where f ie nooth on [a,b], u.. QAWO and
w(&)•coe(w&) or ein(ws)7 YES 110f Can you factori&e the
integrand a• w(&)f(&) Where f ie .aooth Oft [a,b], u..
QAWS or QAWS! w(a)•(s-a)e(b-s) 1 1og 1 (&-a) 1ogk(b-&)
YES with k,&-o or 1 and a,b-1, b>a 7 1110 Can you
factori&e the integrand aa w(&)f(&) Wbara f ie .. ooth
Uae QAWC or QAWC! on [a,b], and w(&)•l/(s-c)7 YES •of
Do you care about caaputer tillla, and are you willing
to do a on a Uae QAGS analyaie of the probl .. ? 110 YBI
r h the integrand -ooth7 Uea QIIG or QAG YES 110 Split
the integration Are there diecontinuitiae or eingurange at
the pointe Where laritiae of the integrand or of ita YES
difficultiaa occur,and do derivative within the interval,
and your analyeia for each aubdo you know Wbara they
ara7 interval aaparataly. You can 110 alao uaa QAGP,
Which ia to ba provided with the abaci••a• of the pointe
involved. Haa the integrand and-point aingularitiaa7 u
•• QAGS 1110 YES Haa the integrand an oacillatory
behaviour of non-apacific typa, and r u •• QAG with KEY
• 6 no aingularitiaa7 YES IIOj Uaa QAGS. If thh
routine raturna an error flag you are adviaad to do acre
analyaia in order to reduce the degree of difficulty of
your probl ... QAG! •ay ba of help for locating poaaibla
difficult apota of the integrand. Figure 57.1. Decision
tree for finite-range integration from Piessens at al. [9].
57. Software Libraries: Introduction 257 a I f(x)dx,J

f(x)4x, I a
Doea the integrand decay
rapidly to zero for x••,
x..-•7 1110
Doea the int89rand oacillate

over the entire infinite
range? 1110
Do you care about c0111puter
tiae and are you willing to f(x)dx, a finite

f--yrsTruncate the interval and go to Section 4.2 for
integration over the r .. aining finite range. ~Ia the
integral a Pourier tranafo1:111? f YES 1110 I u ••
~WP Swa auccaaaive poaitive and nagative contribution•
by integrating I
do aome analyaia of the YES between zero• of the

integrand (go f--
problem? to Saction 4.2). Apply convergance tliO

acceleration by meana of routine
u •• ~GI for integration over QEXT (Section 3.4.2) Which
the infinite range iapl .. enta the <-algorithm. Haa the

integrand a non-.. ooth behaviour in the integration
range, and do you know Where it occura? -A aingularity at
the finite integration limit ia allowad.1110 YES (1)
For integration over the infinite Split off finite

aubrangea at the
range point• Where non-.. ooth behaviour
truncation of the interval, occura, and uae appropriate fi
or application of a auitable nita-range integration on

theae tranaforaation for reducing aubrangea (go to
Section 4.2). the probl.. to integration Por integration
over the over a finite interval infinite aUbinterval go
to (1).
may be poaaible.
You can alao apply ~GI.
Figure 57.2. Decision tree for infinite-range integration

from Piessens at al. [9].
59 Chapter 59 Software Libraries:
Excerpts from G AMS
59. Software Libraries: Excerpts from GAMS 261
Excerpts from G AMS
H2a1a1:
A614
Q1DA
Q1DAX
Q1DB
QAG
QAGE
QAGS
QAGSE
QNG
DCADRE
QDAG
QDAGS
QDNG Automatic 1-D finite interval quadrature (user need

only specify required accuracy), integrand available via
user-defined procedure Collected Algorithms of the ACM
INTHP: a Fortran subroutine for automatic numerical
integration in Hp. The functions may have singularities
at one or both endpoints of an interval. Each of finite,
semi-infinite, and infinite intervals are admitted. (See K.
Sikorski, F. Stenger, and J. Schwing, ACM TOMS 10 {1984)
pp. 152-160.) CMLIB Library (QlDA Sublibrary) Automatic
integration of a user-defined function of one variable.
Special features include randomization and singularity
weakening. Flexible subroutine for the automatic
Special features include randomization, singularity
weakening, restarting, specification of an initial mesh
(optional}, and output of smallest and largest integrand
values. Automatic integration of a user-defined function
of one variable. Integrand must be a Fortran FUNCTION but
user may select name. Special features include
randomization and singularity weakening. Intermediate in
usage difficulty between Q1DA and QlDAX. CMLIB Library
(QUADPKS Sublibrary) Automatic adaptive integrator, will
handle many non-smooth integrand& using GaussKronrod
formulas. Automatic adaptive integrator, can handle most
non-smooth functions, also provides more information than
QAG. Automatic adaptive integrator, will handle most
non-smooth integrands including those with endpoint
singularities, uses extrapolation. Automatic adaptive
integrator, can handle integrand& with endpoint
singularities, provides more information than QAGS.
Automatic non-adaptive integrator for smooth functions,
using Gauss-Kronrod-Patterson formulas. IMSL Subprogram
Library Numerical integration of a function using cautious
adaptive Romberg extrapolation. IMSL MATH/LIBRARY
Subprogram Library Integrate a function using a globally
adaptive scheme based on Gauss-Kronrod rules. Integrate a
function {which may have endpoint singularities).
Integrate a smooth function using a nonadaptive rule. 262
QDAGS DEFINT DOlAHF DOlAJF DOlARF DOlBDF QlDA ODEQ
QUAD RQUAD H2Al H2AlU SIMP H2ala.2: V Numerical
Methods: Concepts IMSL STAT/LIBRARY Subprogram Libmry
Integrate a function (which may have endpoint
singularities). JCAM Software Libmry Uses double
exponential transformation of Mori to compute definite
integral automatically to user specified accuracy. NAG
Subprogram Libmry Computes a definite integral over a
finite range to a specified relative accuracy using a
method described by Patterson. Is a general-purpose
integrator which calculates an approximation to the
integral of a function F(x) over a finite interval (A,B).
Computes definite and indefinite integrals over a finite
range to a specified relative or absolute accuracy, using
a method described by Patterson. Calculates an
approximation to the integral of a function over a finite
interval (A,B). It is non-adaptive and as such is
recommended for the integration of smooth functions. These
exclude integrand& with singularities, derivative
singularities or high peaks on (A,B), or which oscillate
too strongly on (A,B). NMS Subprogram Libmry Automatic
Special features include randomization and singularity
weakening. PORT Subprogram Libmry Finds the integral of a
set of functions over the same interval by using the
differential equation solver ODESl. For smooth functions.
Finds the integral of a general user defined EXTERNAL
function by an adaptive technique to given absolute
accuracy. Finds the integral of a general user defined
EXTERNAL function by an adaptive technique. Combined
absolute and relative error control. Scientific Desk PC
Subprogram Libmry Automatically evaluates the definite
integral of a user defined function of one variable.
Automatically evaluates the definite integral of a user
defined function of one variable. SCRUNCH Subprogram
Libmry Calculates an estimate of the definite integral of
a user supplied function by adaptive quadrature. In
BASIC. Nonautomatic 1-D flnite intenal quadrature,
integrand available via user-defined procedure
QK15
QK21
QK31
QK41
QK51
QK61
DOlBAF
QK15
H2alb2:
DOlGAF
PCHQA
CSPQU
H2AlT CMLIB Library (QUADPKS Sublibrary) Evaluates

integral of given function on an interval with a 15 point
Gauss-Kronrod formula and returns error estimate.
Evaluates integral of given function on an interval with a
21 point Gauss-Kronrod formula and returns error
estimate. Evaluates integral of given function on an
interval with a 31 point Gauss-Kronrod formula and
returns error estimate. Evaluates integral of given
function on an interval with a 41 point Gauss-Kronrod
formula and returns error estimate. Evaluates integral
of given function on an interval with a 51 point
Evaluates integral of given function on an interval with a
61 point Gauss-Kronrod formula and returns error
estimate. NAG Subprogram Library Computes an estimate of
the definite integral of a function of known analytical
form, using a Gaussian quadrature formula with a specified
number of abscissae. Formulae are provided for a finite
interval (Gauss-Legendre), a semi-infinite interval
(GaussLaguerre, Gauss-Rational), and an infinite interval
(Gauss-Hermite). NMS Subprogram Library Evaluates
integral of given function on an interval with a 15 point
Nonautomatic 1-D finite interval quadrature, integrand
available only on a grid NAG Subprogram Library
Integrates a function which is specified numerically at
four or more points, over the whole of its specified
range, using thirdorder finite-difference formulae with
error estimates, according to a method due to Gill and
Miller. NMS Subprogram Library Integrates piecewise cubic
from A to B given N-arrays X,F ,D. Usually used in
conjunction with PCHEZ to form cubic, but can be used
independently, especially if the abscissae are equally
spaced. PORT Subprogram Library Finds the integral of a
function defined by pairs (x,y) of input points. The x's
can be unequally spaced. Uses spline interpolation.
Scientific Desk PC Subprogram Library Computes the
integral of the array f between x(i) and x(j), given n
points in the plane (x(k),f(k)), k=l, ... ,n. 264
H2a2al: BFQAD PFQAD QAGP QAGPE QAWC QAWCE QAWO
QAWOE QAWS QAWSE QMOMO QDAGP QDAWC QDAWO QDAWS
DOlAKF V Numerical Methods: Concepts Automatic 1-D finite
interval quadrature (user need only specify required
accuracy) (special integrand including weight functions,
oscillating and singular integrands, principal value
integrals, splines, etc.), integrand available via
user-defined procedure CMLIB Library (BSPLINE Sublibrory)
Integrates function times derivative of B-spline from Xl to
X2. The B-spline is in B representation. Computes
integral on (Xl,X2) of product of function and the 10-th
derivative of B-spline which is in piecewise polynomial
representation. CMLIB Library (QUADPKS Sublibrary)
Automatic adaptive integrator, allows user to specify
location of singularities or difficulties of integrand,
uses extrapolation. Automatic adaptive integrator for
function with user specified endpoint singularities,
provides more information that QAGP. Cauchy principal
value integrator, using adaptive Clenshaw-Curtis method
(real Hilbert transform). Cauchy principal value
integrator, provides more information than QAWC (real
Hilbert transform). Automatic adaptive integrator for
integrand& with oscillatory sine or cosine factor.
Automatic integrator for integrand& with explicit
oscillatory sine or cosine factor, provides more
information than QAWO. Automatic integrator for functions
with explicit algebraic and/or logarithmic endpoint
singularities. Automatic integrator for integrand& with
explicit algebraic and/or logarithmic endpoint
singularities, provides more information than QAWS.
Computes integral of k-th degree Chebyshev polynomial times
one of a selection of functions with various
singularities. IMSL MATH/LIBRARY Subprogram Library
Integrate a function with singularity points given.
Integrate a function F(x)/(x-c) in the Cauchy principal
value sense. Integrate a function containing a sine or a
cosine. Integrate a function with algebraic-logarithmic
singularities. NAG Subprogram Library Is an adaptive
integrator, especially suited to oscillating, nonsingular
integrand&, which calculates an approximation to the
integral of a function F(x) over a finite interval (A,B).
D01ALF
D01ANF
D01APF
D01AQF
BQUAD
H2a2a2:
QC25C
QC25F
QC25S
QK15W
H2a2b1:
BSQAD
PPQAD Is a general purpose integrator which calculates an

approximation to the integral of a function F{x) over a
finite interval {A,B), where the integrand may have local
singular behavior at a finite number of points within the
integration interval. Calculates an approximation to the
cosine or the sine transform of a function G over {A,B},
i.e., the integral of G{x)cos{wx) or G{x)sin{wx) over
{A,B) {for a user-specified value of w). Is an adaptive
integrator which calculates an approximation to the
integral of a function G{x)W{x) over {A,B) where the weight
function W has end-point singularities of
algebraic-logarithmic type {see input parameter KEY).
Calculates an approximation to the Hilbert transform of a
function G{x) over {A,B), i.e., the integral of G{x)/{x-c)
over {A,B), for user-specified values of A,B,C. PORT
Subprogram Library Adaptively integrates functions which
have discontinuities in their derivatives. User can
specify these points. Nonautomatic 1-D finite interval
quadrature (special integrand including weight functions,
integrals, splines, etc.), integrand available via
user-defined procedure CMLIB Library (QUADPKS Sublibrary)
Uses 25 point Clenshaw-Curtis formula to estimate integral
of F{x)W{x) where W{x)=l/{x-c). ClenshawCurtis
integration rule for function with cos or sin factor, also
uses Gauss-Kronrod formula. Estimates integral of
function with algebraic-logarithmic singularities using 25
point Clenshaw-curtis formula and gives error estimate.
Evaluates integral of given function times arbitrary
weight function on interval with 15 point GaussKronrod
formula and gives error estimate. Automatic 1-D finite
interval quadrature (user need only specify required
accuracy) (special integrand including weight functions,
integrals, splines, etc.), integrand available only on a
grid CMLIB Library (BSPLINE Sublibrary) Computes the
integral of a B-spline from Xl to X2. The B-spline must
be in B representation. Computes the integral of a
B-spline from Xl to X2. The B-spline must be in piecewise
polynomial representation. 266 DCSQDU BSITG E02AJF
E02BDF BSPLI SPLNI E3HIN E31NT H2a3al: A614 A639
QAGI QAGIE V Numerical Methods: Concepts IMSL Subprogram
Library Cubic spline quadrature. IMSL MATH/LIBRARY
Subprogram Libmry Evaluate the integral of a spline, given
its B-spline representation. NAG Subprogram Library
Determines the coefficients in the Chebyshev series
representation of the indefinite integral of a polynomial
given in Chebyshev series form. Computes the definite
integral of a cubic spline from its B-spline
representation. PORT Subprogram Library Obtains the
integrals of basis splines, from the left-most mesh point
to a specified set of points. Integrates a function
described previously by an expansion in terms of
B-splines. Several integrations can be performed in one
call. Scientific Desk PC Subprogram Library Evaluates the
definite integral of a piecewise cubic Hermite function
over an arbitrary interval. Evaluates the definite
integral of a piecewise cubic Hermite function over an
interval whose endpoints are data points. Automatic 1-D
semi-infinite interval quadrature (user need only specify
required accuracy) (including e-•) weight function),
integrand available via user-defined procedure Collected
Algorithms of the ACM INTHP: a Fortran subroutine for
automatic numerical integration in Hp. The functions may
have singularities at one or both end-points of an
interval. Each of finite, semi-infinite, and infinite
intervals are admitted. (See K. Sikorski, F. Stenger, and
J. Schwing, ACM TOMS 10 (1984) pp. 152-160.) OSCINT: a
Fortran subprogram for the automatic integration of some
infinitely oscillating tails. That is, the evaluation of
the integral from a to infinity of h(x)j(x), where h(x)
is ultimately positive, and j(x) is either a circular
function (e.g., cosine) or a first-kind Bessel function
of fractional order. (See J . Lyness and G. Hines, ACM
TOMS 12 (1986) pp. 24-25.) CMLIB Library (QUADPKS
Sublibrary) Automatic adaptive integrator for
semi-infinite or infinite intervals. Uses nonlinear
transformation and extrapolation. Automatic integrator for
semi-infinite or infinite intervals and general
integrand&, provides more information than QAGI.
QAWF
QAWFE
QDAGI
QDAWF
DEHINT
D01AMF
QAGI
H2a3a2:
QK151
D01BAF
H2a4a1:
A614 Automatic integrator for Fourier integrals on (a,oo)

with factors sin(wx), cos(wx) by integrating between
zeros. Automatic integrator for Fourier integrals, with
sin(wx) factor on (a,oo), provides more information than
QAWF. IMSL MATH/LIBRARY Subprogram Library Integrate a
function over an infinite or semi-infinite interval.
Compute a Fourier integral. JCAM Software Library Uses
double exponential transformation ofMori to compute
semiinfinite range integral automatically to user
specified accuracy. NAG Subprogram Library Calculates an
approximation to the integral of a function F(x) over an
infinite or semi-infinite interval (A,B). NMS Subprogram
Library Automatic adaptive integrator for semi-infinite or
infinite intervals. Uses nonlinear transformation and
extrapolation. Nonautomatic 1-D semi-infinite interval
quadrature) (including e_,., weight function), integrand
available via user-defined procedure CMLIB Library
(QUADPKS Sublibrary) Evaluates integral of given function
on semi-infinite or infinite interval with a transformed
15 point Gauss-Kronrod formula and gives error estimate.
NAG Subprogram Library Computes an estimate of the
definite integral of a function of known analytical form,
using a Gaussian quadrature formula with a specified
number of abscissae. Formulae are provided for a finite
interval (Gauss-Legendre), a semi-infinite interval
(GaussLaguerre, Gauss-rational), and an infinite interval
(Gauss-Hermite). Automatic 1-D infinite interval
quadrature (user need only specify required accuracy)
(including e_,., 2 ) weight function), integrand available
via user-defined procedure Collected Algorithms of the
ACM INTHP: a Fortran subroutine for automatic numerical
integration in Hp. The functions may have singularities
at one or both end-points of an interval. Each of finite,
semi-infinite, and infinite intervals are admitted. (See K.
Sikorski, F. Stenger, and J. Schwing, ACM TOMS 10 (1984)
pp. 152-160.) 268 QAGI QAGIE DOlAMF QAGI H2a4a2:
QK151 DOlBAF H2blal: ADAPT DB LIN DMLIN V Numerical
Methods: Concepts CML/B Library (QUADPKS Sublibrary)
Automatic adaptive integrator for semi-infinite or infinite
intervals. Uses nonlinear transformation and extrapolation.
Automatic integrator for semi-infinite or infinite
intervals and general integrand&, provides more
information than QAGI. NAG Subprogram Library Calculates
an approximation to the integral of a function F{x) over
an infinite or semi-infinite interval {A,B). NMS
Subprogram Library Automatic adaptive integrator for
semi-infinite or infinite intervals. Uses nonlinear
transformation and extrapolation. Nonautomatic 1-D
infinite interval quadrature (including e-•') weight
function), integrand available via user-defined procedure
CMLIB Library (QUADPKS Sublibrary) Evaluates integral of
given function on semi-infinite or infinite interval with
a transformed 15 point Gauss-Kronrod formula and gives
error estimate. NAG Subprogram Library Computes an
estimate of the definite integral of a function of known
analytical form, using a Gaussian quadrature formula with
a specified number of abscissae. Formulae are provided for
a finite interval {Ga1188-Legendre), a semi-infinite
interval {GaussLaguerre, Ga1188-rational), and an infinite
interval {Gauss-Hermite). Automatic n-D quadrature (user
need only specify required accuracy) on one or more
hyper-rectangular regions, integrand available via
user-defined procedure CMLIB Library {ADAPT Sublibrary)
Computes the definite integral of a user specified function
over a hyper-rectangular region in 2 through 20
dimensions. User specifies tolerance. A restarting feature
is useful for continuing a computation without wasting
previous function values. IMSL Subprogram Library
Numerical integration of a function of two variables.
Numerical integration of a function of several variables
over a hyper-rectangle (Gaussian method).
QAND
TWODQ
DOlDAF
DO lEAF
DOlFCF
DOlGBF
H2bla2:
DOlFBF
DOlFDF
DOlGCF
H2blb2:
DBCQDU
BS2IG
BS3IG IMSL MATH/LIBRARY Subprogram Library Integrate a

function on a hyper-rectangle. Compute a two-dimensional
iterated integral using internal calls to a
one-dimensional automatic integrator. NAG Subprogram
Library Attempts to evaluate a double integral to a
specified absolute accuracy by repeated applications of
the method described by Patterson. Computes
approximations to the integrals of a vector of similar
functions, each defined over the same multi-dimensional
hyperrectangular region. The routine uses an adaptive
subdivision strategy, and also computes absolute error
estimates. Attempts to evaluate a multidimensional
integral (up to 15 dimensions}, with constant and finite
limits, to a specified relative accuracy, using an
adaptive subdivision strategy. Returns an approximation
to the integral of a function over a hyper-rectangular
region, using a Monte-Carlo method. An approximate
relative error estimate is also returned. This routine is
suitable for low accuracy work. Nonautomatic n-D
quadrature on one or more hyperrectangular regions,
integrand available via userdefined procedure NAG
Subprogram Library Computes an estimate of a
multidimensional integral (from 1 to 20 dimensions), given
the analytic form of the integrand and suitable Gaussian
weights and abscissae. Calculates an approximation to a
definite integral in up to 30 dimensions, using the method
of Sag and Szekeres. The region of integration is an
n-sphere, or by built-in transformation via the unit
n-cube, any product region. Calculates an approximation
to a definite integral in up to 20 dimensions, using the
Korobov-Conroy number theoretic method. Nonautomatic n-D
quadrature on one or more hyperrectangular regions,
integrand available only on a grid IMSL Subprogram
Library Bicubic spline quadrature. IMSL MATH/LIBRARY
Subprogram Library Evaluate the integral of a
tensor-product spline on a rectangular domain, given its
tensor-product B-spline representation. Evaluate the
integral of a tensor-product spline in three dimensions
over a three-dimensional rectangle, given its
tensor-product B-spline representation. 270 H2b2al:
A584 A612 TWOOQ OOlJAF H2B2A H2b2a2: OTRIA OOlPAF V
Numerical Methods: Concepts Automatic n-0 quadrature on a
nonrectangular region (user need only specify required
accuracy), integrand available via user-defined procedure
Collected Algorithfl&6 of the ACM CUBTRI: a Fortran
subroutine for adaptive cubature over a triangle. (See D.
P. Laurie, ACM TOMS 8 (1982) pp. 210 -218.) TRIEX: a
Fortran subroutine for integration over a triangle. Uses
an adaptive subdivisional strategy with global acceptance
criteria and incorporates the epsilon algorithm to speed
convergence. (see E. de Doncker and I. Robinson, ACM TOMS
10 (1984) pp. 1722.) CMLIB Lilwury (TWODQ Sublibrory)
Automatic (adaptive) integration of a user specified
function f(x,y) on one or more triangles to a prescribed
relative or absolute accuracy. Two different quadrature
formulas are available within TWODQ. This enables a user
to integrate functions with boundary singularities. NAG
Subprogram Lilwury Attempts to evaluate an integral over
an n-dimensional sphere (n=2, 3, or 4), to a user
specified absolute or relative accuracy, by means of a
modified Sag-Szekeres method. The routine can handle
singularities on the surface or at the center of the
sphere, and returns an error estimate. Scientific Desk PC
Subprogram Lilwury Computes the two-dimensional integral
of a function f over a region consisting of n triangles.
Nonautomatic n-0 quadrature on a nonrectangular region,
the integrand available via user-defined procedure JCAM
Software Lilwury Computes an approximation to the double
integral off(u,v) over a triangle in the uv-plane by
using an n 2 point, generalized GaussLegendre product rule
of polynomial degree precision 2n-2. From "Computation of
Double Integrals over a Triangle," by F. G. Lether,
Algorithm 007, J . Comp. Appl. Math. 2(1976), pp. 219224.
NAG Subprogram Library Returns a sequence of
approximations to the integral of a function over a
multi-dimensional simplex, together with an error estimate
for the last approximation.
H2c:
A647
A655
A659
FQRUL
GQRCF
GQRUL
RECCF
RECQR
DOlBBF
DOlBCF
GAUSQ
GQOIN
GQMll Service routines for quadrature (compute weight and

nodes for quadrature formulaa) Collected Algorithms of the
ACM Fortran subprograms for the generation of sequences of
quasirandom vectors with low discrepancy. Such sequences
may be used to reduce error bounds for multidimensional
integration and global optimization. (See B. L. Fox, ACM
TOMS 12 (1986) pp. 362376.) IQPACK: Fortran routines for
the stable evaluation of the weights and nodes of
interpolatory and Gaussian quadratures with prescribed
simple or multiple knots. (SeeS. Elhay and J. Kautsky, ACM
TOMS 13 (1987) pp. 399-415.) A Fortran implementation of
Sobol's quasirandom sequence generator for multivariate
quadrature and optimization. (See P. Bratley and B. L. Fox,
ACM TOMS 14 (1988) pp. 88-100.) IMSL MATH/LIBRARY
Subprogram Library Compute a Fejer quadrature rule with
various classical weight functions. Compute a Gauss,
GaussRadeau or GaussLobatto quadrature rule given the
recurrence coefficients for the monic polynomials
orthogonal with respect to the weight function. Compute a
Gauss, Gauss-Radeau or Gauss-Lobatto quadrature rule with
various classical weight functions. Compute recurrence
coefficients for various monic polynomials. Compute
recurrence coefficients for monic polynomials given a
quadrature rule. NAG Subprogram Library Returns the
weights and abscissae appropriate to a Gaussian quadrature
formula with a specified number of abscissae. The formulae
provided are Gauss-Legendre, Gauss-rational, GaussLaguerre
and GaussHermite. Returns the weights (normal or adjusted)
and abscissae for a Gaussian integration rule with a
specified number of abscissae. Six different types of
Gauss rule are allowed. PORT Subprogram Library Finds the
abscissae and weights for Gauss quadrature on the interval
(a,b) for a general weight function with known moments.
Finds the abscissae and weights for Gauss-Laguerre
quadrature on the interval (O,+oo). Finds the abscissae
and weights for Gauss-Legendre quadrature on the interval
( -1,1).
60 Chapter 60 Testing Quadrature Rules
60. Testing Quadrature Rules 273
Procedure As new quadrature rules are developed, they are

compared to existing
quadrature rules in terms of accuracy and efficiency. Many

authors have in
troduced example integrals to indicate the performance of

their algorithms
and implementations. We tabulate some of those integrals.
• Lyness [4] uses the test integral 1(.\) = ( 2 ( 0 ); 1

dx. 11 1-.\ + 0.01
• Piessens et al. [5] uses the test integrals (the numbers

correspond to
their original numbering, numbers 4-6 represent previous

integrals with
different parameters):
1)
2)
3)
7)
8)
9)
10)
11)
12)
13)
14)
15)
16) 1 \:a log (!) dx = 1 2 0 x (1 +a) 1 1 4 -a
--....:.....,2.....---dx = tan1 {(4 -11')4°1 ) + tan1
{r4°1 ) 0 ( x i) + 16-a 274 V Numerical Methods:
Concepts 17) • Berntsen et al. [1) uses the test
integrals: 1) Iollx~~a~ dx 2) I 0 1 h(x)dx 3 > I:
e-aslz-~' dx (2 100· 4) Jl (x~)2 + 102a. dx feature:
singularity feature: discontinuous feature: Co function
feature: one peak 5) 1 2 4 10aa "" dx feature: four
peaks 1 {;t(x~,) 2 + 1~~ 6) I: 2B(x~) cos(B(x~) 2 ) dx
feature: nonlinear oscillation 10° 8 {0 ifx<>. where B =
max(~2, (1~)2) and h(x) = exp(a2x) othe~ise . • Hunter and
Smith [3) use the principal-value integrals: 1•/ 2
cos(cost) 1) lo k2 sin2 t dt 00 _,2 2) i t2e.>,2 dt
where 0 < k < 1 and >. > 0. • Corliss and Rall [2) have a
collection of test problems that exercise their interval
analysis integration package: l (3.1,3.2) 1) sinxdx
(0,0.1) 2) I:(Bsin(Bx)Asin(Ax))dx ,0.7~ a) Jo.e 1x 4)
Io4 ..fidx 5) I: f(x) dx 6) I:. 3 1 dx 7) I:(x2) dx fl
dx B) Jo 1 +x 4
61 Chapter 61 Truncating an Infinite
Interval
[1] J. Berntsen, T. 0. Espelid, and T. S0revik, "On the

Subdivision Strategy in Adaptive Quadrature Algorithms,"
J. Comput. Appl. Math., 35, 1991, pages 119-132.
[2] G. F. Corliss and L. B. Rail, "Adaptive,

Self-Validating Numerical Quadrature," SIAM J. Sci. Stat.
Comput., 8, No.5, 1987, pages 831-847.
[3] D. B. Hunter and H. V. Smith, "The Evaluation of Cauchy

Principal Value Integrals Involving Unknown Poles," BIT,
29, No.3, 1989, pages 512-517.
[4] J. N. Lyness, "When Not to Use an Automatic Quadrature

Routine," SIAM Review, 25, No. 1, January 1983, pages
63-87.
[5] R. Piessens, E. de Doncker-Kapenga, C. W. Uberhuber,

and D. K. Kahaner, Quadpack, Springer-Verlag, New York,
1983, pages 83-84.
[6] I. Robinson, "A Comparison of Numerical Integration

Programs," J. Comput. Appl. Math., 2, 1979, pages 207-223.
61. Truncating an Infinite Interval
Applicable to Integrals that have an infinite limit of

integration.
Yields An approximating integral, with a bound on the

error.
Idea By truncating an infinite integral, a numerical

routine may have an
easier computation.
Procedure An infinite integral can always be truncated to

a finite interval. Esti
mating the error made in the truncation process

establishes the usefulness
of the truncation.
Example Consider the integral!= 1 00 1 x e-• 2 dx. If we

truncate the upper o +x
limit of integration to be, say, a, then we have 1 a X -•,
I::::: Ja = --e dx. 0 1 +x 276 V Numerical Methods:
Concepts In this case we can estimate the error made in
the truncation process: where we have used the
approximation 1 x < x for x > 0. +x (61.1} If we were
to approximate I by numerically approximating J 0 , then
we would need a 2: 4.3 to insure that I J 0 ~ 108 •
Reference (1] P. J. Davis and P. Rabinowitz, Methods of
Numerical Integration, Second Edition, Academic Press,
Orlando, Florida, 1984, page 205.
62 Chapter 62 Adaptive Quadrature
[1] J. Berntsen, "Practical Error Estimation in Adaptive

Multidimensional Quadrature Routines," J. Comput. Appl.
Math., 25, No.3, 1989, pages 327340.
[2] J. Berntsen, T. 0. Espelid, and T. 80revik, "On the

Subdivision Strategy in Adaptive Quadrature Algorithms,"
J. Comput. Appl. Math., 35, 1991, pages 119--132.
[3] J. Berntsen, T. 0. Espelid, and A. Genz, "An Adaptive

Algorithm for the Approximate Calculation of Multiple
Integrals," ACM 7huas. Math. Software, 17, No.4, December
1991, pages 437--451.
[4] G. F. Corliss and L. B. Rall, "Adaptive Self-Validating

Numerical Quadrature," SIAM J. Sci. Stat. Comput., 8, No.
5, 1987, pages 831-847.
[5] M. C. Eiermann, "Automatic, Guaranteed Integration of

Analytic Functions," BIT, 29, 1989, pages 27o--282.

Florida, 1984, 418--434.
[7) T. 0. Espelid and T. Sorevik, "A Discussion of a New

Error Estimate for Adaptive Quadrature," BIT, 29, No.2,
1989, pages 283-294.
63 Chapter 63 Clenshaw-Curtis Rules
(1] C. W. Clenshaw and A. R. Curtis, "A Method for

Numerical Integration on an Automatic Computer," Numer.
Math., 2, 1960, pages 197-205.
(2] P. J. Davis and P. Rabinowitz, Methods of Numerical

Florida, 1984, pages 86-87, 193-196, and 446-449.
(3] R. B. Kearfott, "A Sine Approximation for the

Indefinite Integral," Math. of Comp., 41, 1983, pages
559--572.
(4] R. Piessens, E. de DonckerKapenga, C. W. Uberhuber, and

D. K. Kahaner, Quadpack, Springer-Verlag, New York, 1983,
Section 2.2.3, pages 28-39.
65 Chapter 65 Cubic Splipes
[1] P. J . Davis and P. Rabinowitz, Methods of Numerical

[2] E. De Doncker, "New Euler-Maclaurin Expansions and

Their Application to Quadrature Over the a-Dimensional
Simplex," Math. of Comp., 33, 1978, pages 1003-1018.
[3] J. M. Lyness, "Quadrature over a Simplex: Part 1. A

Representation for the Integrand Function," and
"Quadrature over a Simplex: Part 2. A Representation for
the Error Functional," SIAM J. Numer. Anal., 15, 1978,
pages 122-133 and 87Q-887.
[4] J. N. Lyness and A. C. Genz, "On Simplex Trapezoidal

Rule Families," SIAM J. Numer. Anal., 17, 1980, pages
126-147.
[5] A. Ralston, "A Family of Quadrature Formulas which

Achieve High Accuracy in Composite Rules," J. ACM, 6,
1959, pages 384-394.
65. Cubic Splines
Applicable to One-dimensional definite integrals.
Yields A numerical quadrature scheme.
Idea Given data values of a function (not necessarily

equally spaced), a
cubic spline can be fit to those values, and then the

integral of the cubic
spline can be determined.
Procedure Let [a, b] be a finite interval and assume that

we have the points {xi}
with a $ Xt < X2 < · · · < Xn+t $ b and n ~ 2. Given the

data values
{f(x,)}, let S(x) be the natural cubic spline which

interpolates those data
values. That is,
• S(x) is a cubic polynomial in every interval [x,, Xi+t]

(say this polynomial is Si(x)).
• S(x) matches the data values at the nodes Si(xi) = f(x,)

for i = 1, ... , n, and Sn(Xn+t) = /(Xn+t)·
• At the nodes, S and its first and second derivatives are

continuous: Si-t(Xi) = Si(Xi). s~-l(xi) = SHxi), and
s~~l(xi) = S~'(xi) fori= 2, ... ,n.
• There is no curvature as the ends of the spline: S"(a) =

S"(b) = 0 (this is what makes the spline "natural").
(In this definition we have implicitly assumed that a= Xt

and b = Xn+l•
ifthis is not the case, then the range fori changes.) See
Figure 65. 286 VI Numerical Methods: Techniques Sn-1 Sn
M U U K Zn-1 Zn Zn+1 Figure 65. Location oC the nodes
{z•} and the cubic polynomials {S,}. We can now
approximate the integral of J by the integral of S and
introduce an error E in doing so: [ /(z) dz = 1" S(z) dz
+E. (65.1) Example Consider approximating the integral I
= J: sin TrZ dz. We choose to use the equally-spaced
points { Zi} = { 0, i, l, f, 1}. Hence, we have the data
values {(0,0), (!, llf>, (!, 1), (~, Yj), (1,0)}. We
choose to represent the cubic on the interval [zi, Zi+l] in
the form Si(z) = ~(zz,) 3 + bi(zz,) 2 + Ci(Zz,) + ~.
Using this notation the first few equations for the
unknowns { tli, ~, Ci, ~ I i = 1, ... , 4} are
Sl(0)=/(0)=0 => d1=0 Sf(O) =0 => liJ. =0 sl (U =I (l) =
Yf => t.al + 1 1 ebl + icl + dl = Yf sl(U = s, (U => l.a1
+ 1 ~61 + ic1 + d1 = d, s; (i) = S2 u) => foal + tfiJ. +
Cl = C2 Sf {i) = s: (i) => Ja1 +IIJ. = 26, s, (l) = S:s
(j) => => Completing this list of equations, and solving
the resulting linear system, results in the approximation
interval (o, ~]: -4.8960(z0) 3 + 3.1340(zO) interval [~,
j] : -2.0288(zi>'3.6720(z~) 2 + 2.2164(zl> + 0.7071
interval [f, !]: 2.0288(zj) 3 5.1936(zj) 2 + 1 interval
[!, 1]: 4.8960(z!>'3.6720(z!) 2 2.2164(z!> + 0.7071.
(65.2) Now we can determine the approximation to the
integral: (65.3) Evaluating (65.3), when the
coefficients are given in (65.2), results in the
approximation I~ 0.6362. (Note that the exact value is
I=!~ 0.6366.)
66 Chapter 66 Using Derivative Information
[1) G. H. Behforooz and N. Papamichael, "End Conditions for

Interpolatory Cubic Splines with Unequally Spaced Knots,"
J. Comput. Appl. Math., 6, 1980, pages 59-65.
[2) P. J. Davis and P. Rabinowitz, Methods of Numerical

Florida, 1984, 62-70.
[3) P. Dierckx, "Algorithm 003. An Algorithm for Smoothing,

Differentiation and Integration of Experimental Data
Using Spline Functions," J. Comput. Appl. Math., 1, 1975,
pages 165-184.
[4) D. Kahaner, C. Moler, and S. Nash, Numerical Methods

and Software, Prentice-Hall Inc., Englewood Cliffs, NJ,
1989.
[5) W. H. Press, B. P. Flannery, S. Teukolsky, and W. T.

Vetterling, Numerical Recipes, Cambridge University
Press, New York, 1986.
[6) P. Rabinowitz, "Numerical Integration Based on

Approximating Splines," J. Comput. Appl. Math., 33,No. 1,
1990, pages 73-83.
[7) M. N. El Tarazi and S. Sallam, "On Quartic Splines with

Application to Quadratures," Computing, 38, 1987, pages
355-361.
66. Using Derivative Information
Applicable to Definite integrals.
Idea A quadrature rule can use the value of the integrand

at the nodes, and
it can also use the value of the derivative of the

integrand at the nodes.
Procedure A quadrature rule in the form b N M 1 f(x) dz

~ L w;f(x;) + L v;/'(x~c) Q j=l lc=l
can often be determined by making the rule exact for the

polynomials
{l,x,x 2 , ••• }. 288 VI Numerical Methods: Techniques

Example Consider an integration rule of the form 1" f(x)
dx ~ a/{0) + P/(1) + -y/'(0) + 6/'(1). Making this rule be
exact for /(x) = {1,x,x 2 ,x 3 }, we obtain the following
set of simultaneous equations: /(x) = 1 ==* 1=a+P /(x)
= x ==* l=P+-y+6 /{x) = x 2 ==* l =P+26 f(x) = x 3
==* 1 = P+:M. These equations can be solved to obtain the
approximation: k 1 f(x) dx ~ ~ [/(0) + /(1)] + fi [/'(0)
-/'{1)]. This rule is known as the corrected trapezoidal
rule. Notes [1] Some of the common quadrature rules can
be improved by including derivative terms. The corrected
trapezoidal rule is given in the example. The corrected
midterm rule is 1 1 /(z)dx ~ /(!) + 2 ~ (/'(1)/'{0)] .
[2] When either the corrected midterm rule or the corrected
trapezoidal rule is compounded (see page 282), the
derivative at the nodes in common cancel, so that only
the derivatives at the end points remain. For example, the
compounded corrected trapezoidal rule is 1 . h ~ •
/(z)dx = 2[/o+2/1+2/2+ ... +2/,.-t+/,.]+ 12 (/'(o) f(b)]+E
where /i = /(a+ ih) and h = (bo)/n. It can be shown that
the error is bounded by lEI ~ 720 1 h•(bo) max lf•>(z)l
(Davis and Rabinowitz [2], o:S.,:SII page 132). [3] The
trapezoidal rule, corrected by using both /' and /" terms,
takes the form 1.• /(z)dx= ~[/(o)+/(b)]+~: (/'(o)-/'(b)]+
1 ~ 3 0 (/"(o)+f'{b)]+E where E = 10 ~~ 00 f 8 >(() and o
< ( < b (Davis and Rabinowitz [2], page 133).
67 Chapter 67 Gaussian Quadrature
[1] R. A. Cicenia, "Numerical Integration Formulae

Involving Derivatives," J. Inst. Math. Appl6., 24, 1979,
347-352.

Florida, 1984, pages 132134.
[3] J.D. Lambert and A. R. Mitchell, "The Use of Higher

Derivatives in Quadrature Formulae," Comput. J., 5,
1962-1963, pages 322-327.
67. Gaussian Quadrature
Applicable to One-dimensional definite integrals.
Yields Integration rules on a finite interval using

non-uniformly spaced nodes.
Idea A general expression for approximating an integral is

proposed. The
unknown constants in this expression are determined by

making the quadra
ture rule exact for polynomials of low degree.
Procedure Given the integral I= J: g(.x) d.x we first map

it to the interval [-1, 1];
this will minimize the algebra later. We have I= lb

g(.x)d.x = ba 11 g ((ba)t+ (b+a)) dt = 11 f(t)dt, G 2 -1 2
-1
so that we can now focus on I = J~ 1 f(t) dt. Now we

search for an
approximate integration rule of the form n I~ I= L

ad(t.). (67.1) i=1
Since this integration rule has 2n unknown constants (the

weights {a,}
and the nodes { ti}), we can hope to choose these constants

so that the
integration rule is exact for all polynomials of degree

less than or equal to
2n 1. It turns out this is always possible. For example,
with n = 2 we have
If this formula is to be exact for polynomials of degree

less than or equal
to 3, then {at,a2} and {t11t2} must satisfy the

simultaneous algebraic
equations: 290 VI Numerical Methods: Techniques Table 67.

Values used in Gaussian quadrature formulas. Number of
terms 2 3 4 f(t) = 1 f(t) = t f(t) = t 2 f(t) = t 3
Nodes{~} -0.57735027 0.57735027 -0.77459667 0
0.77459667 -0.86113631 -0.33998104 0.33998104
0.86113631 ==> 1 1 0.55555855 0.88888889 0.55555555
0.34785485 0.65214515 0.65214515 0.34785485 Valid for
polynomials up to degree 3 5 7 These equations have
the unique solution { a1 = a2 = 1, t 1 = -t2 = 1/../3 ~
0.5773}. Hence, we have the approximation ill f(t) dt ~ !(
-0.5773) + /(0.5773). To obtain Gaussian quadrature
formulas for larger values of n, we must find the
solutions to a large set of nonlinear algebraic equations.
The results of such a calculation are shown in Table 67.
Example Consider the integral J = 2 ~ 1 j 1 cos x dx =
1. We represent the sm _ 1 numerical approximation
obtained by using Gaussian quadrature with n nodes by
J.,.. Using 2, 3, and 4 nodes we obtain the approximations
J ~ J2 = 0.9957702972 J ~ J3 = 1.0000365711 J ~ J. =
0.9999998148.
61. Gaussian Quadrature 291
Notes
[1) The values of the {to} in (67.1) turn out to be roots

of the Legendre polynomial Pn(z). These polynomials are
defined by the recurrence relation (n + 1)Pn+l(Z) = (2n +
1)zPn(Z)nPn-l(Z) with the initial conditions: Po(z) = 1
and P 1 (z) = z. Then, for example, we can calculate P2(z)
= !z 2 ~· The roots of P 2 (z) are at z = ±1/-/3 ~
±0.5773. The next Legendre polynomial is P3(z) = lz 3 -fz;
its roots are at z = 0 and z = ±v'f ~ ±0.7746.
[2) The values of the weights {a•} in (67.1) are also

functions of Legendre polynomials. If z, is the i-th root
of Pn(z), then the corresponding weight, a,, is given by
a, = ( 2 2 2 . For example, when n = 2 we find 1z,)
(~(z,)) a,= ( ~ 2 • When Zs = ±1/-/3 this results in a,
= 1. 1z, {3z,)
[3] See the section on generalized Gaussian quadrature
(page 291) for the analogous technique applied to integrals
of the form J: w(z)/(z) dz, when w(z) is a positive
weighting function.
[4) Newton-cotes rules (see page 319) are also

interpolatory, but the nodes are chosen to be equidistant
from one another.
[5] Several modifications of the Gaussian principle have

been developed, in which some of the nodes or weights, or
both, are specified in advance. The Radeau formulas use
one of the endpoints, the Lobatto formulas use both of the
endpoints. The simplest Radeau formula has the form J 0 1
/(z) dz ~ w1 /(zl) + W2 /{0), for some unknown {z1,w1,w2}·
Making this quadrature rule exact for /(z) = z• (for k =
0, 1, 2) results in the quadrature rule J 0 1 /(z) d:J: ~
! /(f)+ 1 /{0).
[6] The Tschebyscheff weight function w(z) = (1 z 2 )1 1 2

is the only weight function (up to a linear
transformation) for which all the weights in an-point
Gauss quadrature formula are equal. See Peherstorfer [5]
and the section on Tschebyscheff rules (page 331).
[1) M. Abramowitz and I. A. Stegun, Handbook of

Mathematical JUnctions, National Bureau of Standards,
Washington, DC, 1964, Table 25.4, page 919.
[2] W. Cheney and D. Kincaid, Numerical Mathematics and

Computing, Second Edition, Brooks/Cole Pub. Co., Monterey,
CA, pages 193-197.

Florida, 1984, Section 2.7, pages 95-132.
[4] W. Gautschi, E. Tychopoulos, and R. S. Varga, "A Note

on the Contour Integral Representation of the Remainder
Term for a Gauss-chebyshev Quadrature Rule," SIAM J.
Numer. Anal., 27, No. 1, 1990, pages 219-224.
[5] F. Peherstorfer, "Gauss-Tschebyschefl'Quadrature

Formulas," Numer. Math., 58, 1990, pages 273286.
68 Chapter 68 Gaussian Quadrature:
Generalized

Mathematical .FUnctions, National Bureau of Standards,
[2] W. H. Press and S. A. Teukolsky, "Orthogonal

Polynomials and Gaussian Quadrature with Nonclassical
Weight Functions," Comp. in Phy~iC!, Jul/ Aug 1990, pages
423-426.
[3] J. Stoer and R. Bulirsch, Introduction to Numerical

Analym, translated by R. Bartels, W. Gautschi, and C.
Witzgall, SpringerVerlag, New York, 1976, pages 142151.
[4] A. H. Stroud and D. Secrest, Gaw~ian Quadmture

Formula&, Prentice-Hall Inc., Englewood Clift's, NJ,
1966.
69 Chapter 69 Gaussian Quadrature:
Kronrod's Extension
!1] P. J. Davis and P. Rabinowitz, Methods of Numerical

!2] F. Calio and W. Gautschi, "On Computing GaUBB-Kronrod

Quadrature Formula," Math. of Comp., 47, No. 176, 1986,
pages 63!Hi50, S57S63.
!3] P. Favati, G. Lotti, and F. Romani, "Interpolatory

Integration Formulas for Optimal Composition," and
"Algorithm 691: Improving QUADPACK Automatic Integration
Routines," ACM 'lhms. Math. Software, 17, No. 2, June
1991, pages 207217 and 218232.
71 Chapter 71 Monte Carlo Method
11. Monte Carlo Method 305
Idea Random numbers may be used to approximate the value

of a definite
integral.
Procedure 1 Suppose we wish to approximate numerically the

value of the definite
integral I= L g(x)dx, (71.1)
where B is some bounded region. Since B is bounded, it may

be enclosed
in some rectangular parallelepiped R. Let 1s{x) represent

the indicator
function of B, that is 1 ( ) = { 1 if X E B, B X 0 if X
f/. B.
Then the integral I may be written in the form I= L

(g(x)1s{x)) dx = vtR) L (g(x)1s(x)V(R)) dx (71.2)
where V(R) represents the volume of the region R. Equation

{71.2) may be
interpreted as the expectation of the function h(X) =

g(X)1s(X)V(R) of
the random variable X, which is uniformly distributed in

the parallelepiped
R (i.e., it has the density function 1/V(R)). The

expectation of h(X) can be obtained by simulating random
devi
ates from X, determining h at these points, and then

taking the average of
the h values. Hence, simulation of the random variable X

will lead to an
approximate numerical value of the integral I. If N trials

are taken, then
the following estimate is obtained: {71.3)

where each Xi is uniformly distributed in R. Another way
to think about {71.3) is that g(ei), where ei is chosen
uniformly in B, is an independent random variable with

expectation I.
Averaging several of these estimates together, which is

what {71.3) does,
results in an unbiased estimator of I. 306 VI Numerical

Methods: Techniques Procedure 2 Importance sampling is
the term given to sampling from a non-uniform distribution
so as to minimize the variance of the estimate for I.
Consider writing (71.1) as I= Eu[g(x)] (71.4) where
Eu[·] denotes the expectation taken with respect to the
uniform distribution on B. In other words, I is the mean
of g(x) with respect to the uniform distribution.
Associated with this mean is a variance, defined by
(71.5) Approximations to I obtained by sampling from the
uniform distribution will have errors that scale with
lTu. If J(x) represents a different density function to
sample from, then we may write I= L (~~:D J<x> dx = E,
[~~:n where EJ(·] denotes the expectation taken with
respect to the density J(x). In other words, I is the mean
of g(x)/ J(x) with respect to the distribution J(x).
Associated with this mean is a variance; defined by q} :=
EJ ({ g(x) I}2) = EJ [g:] I2 = f g2(x) dxI2 f(x) f ls f(x)
Approximations to I obtained by sampling from f(x) will
have errors that scale with lTJ· A minimum variance
estimator may be obtained by finding the f(x) such that q}
is minimal. Using the calculus of variations the density
function for the minimal estimator is determined to be
lg(x)l /opt(x) = Clg(x)l = fslg(x)l dx (71.6) where the
constant C has been chosen so that /opt(x) is
appropriately normalized. (Since /opt(x) is a density
function, it must integrate to unity.) Clearly, finding
/opt(x) is as difficult as determining the original
integral I! However, (71.6) indicates that /opt(x) should
have the same general behavior as lg(x)j. As Example 2
shows, sometimes an approximate f(x) ~ /opt(x) can be
chosen.
Procedure 3 Another type of Monte Carlo method is the

bit-or-miss Monte Carlo
method (see Hammersley and Handscomb [6]). It is very

inefficient but
is very easy to understand; it was the first application of
Monte Carlo
methods. Suppose that 0 $ f(x) $ 1 when 0 $ x $ 1. If we

define { 0 if f(x) < y, g(x, y) = 1 if f(x) > y ,
then we may write I= I 0 1 f(x) dx =I: I: g(x, y) dydx.

This integral may
be estimated by 1 n • ..... ~ n I~ I=L..Ju<e2i-l.e2i)

=n i=l n (71.7)
where the {ei} are chosen independently and uniformly from

the interval
[0, 1). The summation in (71.7) counts the number of points

in the unit
square which are below the curve y = f(x) (this defines

n•), and divides
by the total number of sample points (i.e., n). We

emphasize again that
the hit-or-miss method is computationally very inefficient.
Example 1 We choose to approximate the integral I = I 0 1

3x 2 dx, whose value is 1.
To implement the method in (71.3), N ..... 1 ~ 2 I ~ I =

N L..J 3xi , i=l for Xi uniformly distributed on [0, 1)
the FORTRAN program in Program 71 was constructed. The

program
takes the results of many trials and averages these values

together. Note
that the program uses a routine called RANDOM, whose source

code is not
shown, which returns a random value uniformly distributed

on the interval
from zero to one. The result of the program is as

follows: AFTER 100 TRIALS, THE AVERAGE IS 1.006 AFTER 200
TRIALS, THE AVERAGE IS 1.084 AFTER 300 TRIALS, THE AVERAGE
IS 1.046 AFTER 400 TRIALS, THE AVERAGE IS 1.033 AFTER 600
IS 1.028 AFTER 700 TRIALS, THE AVERAGE IS 1.036 AFTER 800
IS 1.032 AFTER 1000 TRIALS, THE AVERAGE IS 1.038 We can
also approximate I by using hit-or-miss Monte Carlo.
(First,
we scale the integrand by a factor of 3, to be fe (x) = x 2

, so that it is in the
range [0, 1].) Now random deviates Xi and Yi (both obtained

uniformly from 308 VI Numerical Methods: Techniques 1 y
o~~~~~~~~ 0 X 1 Figure 71. The 323 points (out of 1000}
below the curve 71 = x 2 • the interval [0, 1]) are
obtained. For each pair of values, n is incremented by
one; If, for that pair of values, Yi ~ /.(xi) = x~, then
n• is also incremented by one. Use of (71.7) then results
in an estimate for I. Performing this algorithm 1000
times, we obtained 323 instances when the Yi was less than
Yl (Figure 11 shows the locations of these points). Hence,
the estimate of I becomes ~ 1 N 3 I = 3. -"' 1B(Xi) = .
323 = 0.969. N !1000 •=1 Example 2 Consider the
integral J = 1 1 cos (1r;) dx = ~· If we let ei
represent a sample from the uniform distribution from (0,
1] then J may be approximated by Ju N 1 "' 7r{· J~ Ju =
N L...Jcos-;j. i=l The variance of this estimator for J
is 2 r 2 (1rX) 2 1 4 uu = lo cos 2 dxJ = 2 1r 2 ~
.0947 .... Now we want to obtain a density function that
more closely approxi2 mates the integrand. Since cos (1r 2
x) = 1~ x 2 + O(x 4 ) for small values of x, we choose a
f(x) that has a similar form. We take (71.8)
(The factor ~ arises from the normalization J:(1x 2 ) dx =

~-) Using this
new density function we find (see the Notes for how to

generate deviates
from this distribution) J = {1 (~cos(~)) f(x) dx. lo 3 1x

(71.9)
If we let (i represent a random variable coming from a

distribution that has
the density f(x), then (71.9) may be sampled to yield an

approximation
to J:
The variance of this second estimator for J is ( 1rX) 2 2

_ r (2cos 2 ) 2 _ u 1 Jo '3 1 _x 2 f(x)dx-J _.00099 ....
Since uu is approximately 10 times larger than u I> the
errors in using
J1 to approximate J will be about 10 times smaller than

using Ju to
approximate J, for the same number of trials. Of course, in

practical cases
it will not generally be possible to exactly determine the

variances uu and
Uf. However, estimates can be obtained for the variances by

approximating
the defining integrals.
Program 71 SUM"'O DO 10 J•1,1000 X•RANDOM(T)

VAL•3.•X••2 SUM•SUM+VAL IF( MOD(J,100) .NE. 0 ) GOTO 10
AVERAG-SUM/FLOAT(J) WRITE(6,6) J,AVERAG 6 FORMAT('
AFTER',I6, 'TRIALS, THE AVERAGE IS',F7.3) 10 CONTINUE END
310 VI Numerical Methods: Techniques Notes [1] This
method is of particular importance when multi-dimensional
integrals are to be approximated numerically. For
multi-dimensional integrals, Monte Carlo teclmiques may be
the only techniques that will obtain an estimate in a
reasonable amount of computer time. This is because the
error in a Monte Carlo computation scales with uf./N,
where N is the number of samples of the integrand
(trials), independent of dimension. For traditional
methods, the number of samples of the integrand varies
exponentially with the dimension (i.e., scales as aN for
some a). [2] While the classical Monte Carlo method
converges with order 1/./N, where N is the number of
samples, the quasi-Monte Carlo method can achieve an order
of (logN) 0 /N for some a > 0. See Niederreiter [10]-[11]
and Wozniakowski's method on page 333. [3] For some
integrals, the variance in (71.5) may not exist. For
example, with I= Io 1 dzf,j'i, the variance is computed
to be u~ =I: dz/zI 2 , and the first term is infinite.
Use of importance sampling can result in a new integral
that has a finite variance. See Kalos and Whitlock [7].
[4] Masry and Cambanis [8] discuss how the trapezoidal rule
can be used in the Monte Carlo computation of the
integral I= I: /(z) dz. Choose n random deviates
independently and uniformly on the interval [0, 1].
Numerically order these deviates to form the sequence
t,.,l < t,.,2 < · · · < t,.,,., and then add the points
t,.,o := 0 and t,.,,.+t := 1. The sequence of {t,.,i}, used
in the trapezoidal rule, produces an estimate of I: I~
I,.= 4 t [/(t,.,i) + /(t,.,i+t)] (t,.,i+tt,.,i) . ... o
If J has a continuous second derivative on the interval [0,
1], then it can be shown that 2 [/'(1) -/'(0)) 2 + o(1)
E [II,.] = 4(n + 1)(n + 2)(n +3)(n + 4) · Hence, the error
varies as 0 (n4 } for large n. [5] The integral I= fo 1
g(z) dx may be written as I= I: l (g(z) + g(1z)) dz.
Hence, the estimator 7 = ~ t 4 (g(zi) + g(1 Zi)) , ••1
(71.10) where the Zi are chosen from the uniform
distribution, can be used to approximate I. When g(:.r:)
is linear, this approximator gives the exact answer. (See
Siegel and O'Brien [15] for teclmiques that are exact for
other polynomials.) In cases where the function is nearly
linear, the variance can be substantially reduced. This is
known as the method of antithetic variatu. For example,
consider the integral I = I 0 1 e"' dz = e1. Using a
straightforward Monte Carlo evaluation the variance is
found to be u 2 = I 0 1 (e"' (e 1)] 2 dz = (3e)(e1)/2
:::! 0.242 .... Using (71.10) reduces the variance to
0.0039, a substantial reduction.
[6) Error estimates are available for many different

approximation schemes (see Cambanis and Masry [2]).
Consider the mtegral J(g) = I 0 1 g(t) dt, and let each
U. below represent an independent random variable,
uniformly distributed over the interval [0, 1). For the
approximation J(g):::::: J1(g) = .!. ~~ 1 g(Ui), the
mean-square n L..,,= error is given by: E [(l(g)h(g)) 2 )
= [I(g 2 )I 2 (g)l fn. In the stratified sampling scheme
the interval [0,1J is partitioned into n subintervals of
equal length and the point Un,i is chosen uniformly in the
i-th interval. For the approximation I(g):::::: I2(g) =
..!_ E~1 g(Un,i), the meann •square error is given by: lim
n 3 E [(I(g)I 2 (g)) 2 ) = f2 I: [g'(t)) 2 dt. (See n-oo
also Press and Farrar [13).) In the stratified and
symmetrized scheme the interval [0, 1) is partitioned into
n subintervals of equal length and the point Un,i is chosen
uniformly in the i-th interval. Let U~,i represent the
symmetrically opposite point to Un,i in the i-th interval.
H g has a continuous second derivative, then for the
approximation I(g) :::::: /3(g) = ;n E~,., 1 (g{Un,i) +
g(U~,i)), the meansquare error is given by: lim (2n) 6 E
[(I(g)I3(g)) 2 ] = /5 Io 1 [g"(t)] 2 dt. n-oo
[7) There are many other variance reduction techniques that

are sometimes used in Monte Carlo calculations. These
include the use of (see Hammersley and Handscomb [6]}:
control variates, regression methods, orthonormal
functions, and group sampling.
[8) Suppose that I= I /(:t) d:t is approximated by a Monte

Carlo computation. Suppose also that the integrals of some
"reference functions" (functions which can be analytically
integrated) are also approximated using the same set of
Monte Carlo points. Then the accuracy of the estimate of I
can be improved by using the estimated integrals of the
reference functions. See Eberhard and Schneider [5) for
details.
[9) Ogata [12) investigates the two test integrals: Io 1

I: ... Io 1 e" 1 e" 2 ••• e"t dx and I~oo I:.. ... I~oo
e-xsxT dx where B is a specific Toeplitz matrix.
[10) Details on how to simulate a random variable from

different distributions may be found in Devroye [3JFor
example, random deviates from the density in (71.8), /(z)
= ~(1 z ) for z in the range [0, 1], may be obtained as
follows: • Generate {1 and {2 independently and uniformly
on the interval [0, 1). • If { 2 ~ { 1 ( 3 ; { 1 ), then
x = 1-{1; otherwise, x = ~ {~ -1).
[1) G. Bhanot, "The Metropolis Algorithm," Rep. Progr.

Phys., 51, No.3, 1988, pages 429-457.
[2) S. Cambanis and E. Masry, "Trapezoidal Stratified Monte

Carlo Integration," SIAM J. Numer. Anal., 29, No. 1,
February 1992, pages 284301.
[3) L. Devroye, Non-Uniform Random Variate Generation,

73 Chapter 73 Parallel Computer Methods
[1] R. Cranley and T. N. L. Patterson, "Randomization of

Number Theoretic Methods for Multiple Integration," SIAM
J. Numer. Anal., 13, No. 6, December 1976, pages 904-914.
[2) P. J. Davis and P. Rabinowitz, Methods of Numerical

Florida, 1984, Section 5.9.3, pages 396-410.
[3) L. K. Hua and Y. Wang, Application of Number Theory to

Numerical Analysis, SpringerVerlag, New York, 1981.
[4] N. M. Korobov, "The Approximate Computation of Multiple

Integrals," Dokl. Akad. Nauk SSSR, 124, 1959, pages
12071210. (Russian)
[5) A. H. Stroud, Approximate Calculation of Multiple

Integrals, Prentice-Hall Inc., Englewood Cliffs, NJ,
1971, Section 6.3, pages 198-208.
73. Parallel Computer Methods
Yields Ways in which a parallel computer may be used.
Idea Parallel computers can sometimes speed up the

numerical computation
of an integral.
74 Chapter 74 Polyhedral Symmetry Rules
74. Polyhedral Symmetry Rules 317
Procedure Consider the construction of a quadrature rule

of the form N I I w(x)f(x) dx :::: L w~cf(x~c), B k=l
(74.1)
where w(x) is a specific weight function. Generally, it is

required that a
quadrature rule be exact for all polynomials below some

degree. Forcing
(74.1) to be exact for low degree polynomials results in a

large system of
nonlinear algebraic equations that must be solved for the

nodes {x~c}, the
weights {w~c}, or both. To reduce the number of

equations, we can impose full polyhedral
symmetry on the formula. This may result in a formula that

is not of the
highest order, but it sometimes allows a formula to be

quickly developed.
Example Consider devising a 4-node quadrature rule on the

square: 1 1 4 11 f(x,y)dxdy:::: L:wd(x,,y,). -1 -1 i=l
(74.2)
To completely specify the quadrature rule we require 12

values, { w,, x,, Yi I
i = 1, ... , 4}. To force (74.2) to be exact for all

polynomials of degree 0, 1,
and 2, the unknowns must satisfy f(x,y) = 1: Wt + W2 +

W3 + W4 =4 f(x,y)=x: WtXl + W2X2 + W3X3 + W4X4 =0
f(x,y)=y: Wtfll + W2Y2 + W3Y3 + W4f/4 =0 (74.3) f(x,y)
= x 2 : 2+ 2+ 2+ 2 =~ W1X1 W2X2 W3X3 W4X4 f(x,y) = y 2
: 2+ 2+ 2 2 W1Y1 W2Y2 W3f13 + W4f14 =~ f(x,y) = xy:
WtXlfll + W2X2f12 + W3X3Y3 + W4X4f14 =0.
Solving these nonlinear algebraic equations is a

non-trivial task. Even
determining the number of solutions to these equations is

difficult. Suppose, however, that we require the
quadrature formula to be sym
metric under rotation. That is, whenever the node (x 1 , y

1 ) is in (74.2), then
the nodes ( -x,, y,), (x,, -y,), and ( -x,, -y,) should
also be in (74.2). This
constraint adds the following restrictions to (74.3): w1 =

w2 = w3 = w4,
x1 = x2 = -x3 = -x4, and f/1 = -y2 = -y3 = f/4· With these

constraints,
76 Chapter 76 Product Rules
[1] P. J. Davis and P. Rabinowitz, Methods of NumeriC4l

[2] F . B. Hiderbrand, Introduction to NumeriC4l Analysis,

McGraw-Hill Book Company, New York, 1974.
[3] P. Kohler, "On a Generalization of Compound

Newton-Cotes Quadrature Formulas," BIT, 31, 1991, pages
54~544.
[4] H. De Meyer, G. VandenBerghe, and J. Vanthournout,

"Numerical Quadrature Based on an Exponential Type
oflnterpolation," Int. J. Comp. Math., 38, 1991, pages
193--209.
[5] I. P. Mysovskikh, "On Cubature Formulas that Are Exact

for Trigonometric Polynomials," Soviet Math. Dokl., 36,
No. 2, 1988, pages 229--232.
[6] J. Stoer and R. Bulirsch, Introduction to NumeriC4l

Analysis, translated by R. Bartels, W. Gautschi, and C.
Witzgall, Springer-Verlag, New York, 1976, pages 118-123.
[7] G. Vanden Berghe, H. De Meyer, and J. Vanthournout, "On

a Class of Modified Newton-cotes Quadrature Formulae Based
Upon Mixed-type Interpolation," J. Comput. Appl. Math., 31,
1991, pages 331-349.
76. Product Rules
Applicable to Multidimensional integrals.
Idea Suppose two numerical quadrature schemes are known,

one for r
dimensional Euclidean space and one for s-dimensional

Euclidean space.
The "product" of these two rules can be used to formulate

a numerical
quadrature scheme for (r + s)-dimensional Euclidean space.
Procedure Let R (S) be a region in r-dimensional

(s-dimensional) Euclidean
space. Suppose we have then-node and m-node quadrature
rules h f(x) dx ~ t w;f(x;), R j=l 1 g(y) dy ~ f: v~:g(y
11 J. s k = l (76.1.a-b)
Then an (n + m)-node quadrature rule for the region B = R

x S, in an
(r + s)-dimensionalspace, is given by l h(x,y) dxdy ~ t. ~

w;v~:h(x;,Y~:)· (76.2) 324 VI Numerical Methods:
Techniques Example On the interval [a, b], Simpson's rule
with three nodes approximates an integral by 1 b h 0
/(x)dx ~ 3 (/o +4ft+ /2) (76.3) where /n = J(a + nh) and
h = (ba)/2. Likewise, on the interval [c, d), Simpson's
rule with five nodes approximates an integral by LtJ g(y)
dy ~ ~ (go+ 4g1 + 2g2 + 4ga + 94) where Um = g(c + mk) and
k = (dc)/4. {76.4) Taking the product of the rules in
{76.3) and {76.4) results in the following approximation
of a tw~dimensional integral 1b LtJ h(x, y) dx dy ~ h 9 k
(ho,o + 4ho,l + 2ho,2 + 4ho,3 + ho,4 + 4h1,0 + 16h1,1 +
8h1,2 + 16h1,3 + 4h1,4 + h2,0 + 4h2,1 + 2h2,2 + 4h2,3 +
h2,4) where hn,m = h(a+nh,c+mk). Notes (1] If (76.1.a)
exactly integrates f(x), and if (76.1.b) exactly integrates
g(y), and h(x,y) = /(x)g(y), then (76.2) will exactly
integrate h(x,y). (2] This technique can be used for
general Cartesian product regions, not just
parallelpipeds; for instance, circular cylinders, circular
cylindrical shell, and triangular prisms. (3] Stroud (3]
analyzes product rules by use of transformations. Suppose
the region of integration is S, and the integrals of
interest have the weight function w(x). If the quadrature
rule is to be exact for polynomials, then I = If ... J
w(x) xr 1 x;a ... x~· dx must be integrated exactly for
some set s of {a,}. If there exists a transformation of
the form x = x( u) that turns I into the product I= (f
w1(u1)91(Ul) clu1) ... (f w,.(u,.)g,.(u,.) du,.), and if
suitable formulas are known for these single integrals,
then one has obtained a product rule. (4] Using product
rules, the number of nodes at which the integrand must be
evaluated grows exponentially with the dimension of the
integration. If a one-dimensional quadrature rule that
uses 19 nodes is the basis for a 7-dimensional quadrature
rule, then 19 7 ~ 10 11 integrand evaluations are
required. (5] The rules devised by this technique are
often not the most efficient in terms of number of
integrand evaluations.
77 Chapter 77 Recurrence Relations
[1] B. P. Acharya and T. Mohapatra, "Approximations of

Double Integrals of Analytic Functions of Two Complex
Variables," Computing, 37, 1986, pages 357364.

Florida, 1984, pages 354363.
[3] A. H. Stroud, Approximate Calculation of Multiple

Integrals, Prentice-Hall Inc., Englewood Cliffs, NJ,
1971, Chapter 2, pages 2347.
77. Recurrence Relations
Applicable to Integrals for which a recurrence relation can

be found.
Yields An asymptotic approximation, or a numerical

computation scheme.
Idea If a recurrence relation can be found for an

integral, then it may be
used to determine an asymptotic approximation, or it can

form the basis
of a numerical computation. 326 VI Numerical Methods:

Techniques Procedure Often, an integral can be written in
terms of a recurrence relation and some initial (or
boundary) condition(s). (This is frequently accomplished
by integration by parts.) This recurrence relation can be
used to obtain asymptotic information about the integral.
Or, the recurrence relation can be iteratively applied to
determine numerical values for the integral. These
numerical computations should only be performed after an
asymptotic analysis has been performed, to prevent
roundoff errors from ruining the numerical accuracy.
Consider the three term recurrence relation tln+l + Ontln
+ bntltl-1 = 0, n= 1,2, ... , (77.1) where {an} and
{bn} are given sequences ofreal or complex numbers, and bn
:f:. 0. From Van der Laan and Temme (6) we have the
following theorem: Let a,. and b,. have the asymptotic
behavior with ab :F 0 and both of a and fJ real. Let t 1
and t 2 be roots of the characteristic polynomial t 2 +
at + b = 0, with !ttl~ 1121. Then there are three cases:
(1) If a > !fJ then (77.1) has two linearly independent
solutions u,. and v,. for which Un+l a --N-an, Un
11n+l b fl-a -"' -n as n -+ oo. "" a (2) If a = !fJ then
(77.1) has two linearly independent solutions u,. and
11,. for which Un+l t a --"' tn, u,. provided that lhl
> lt2l· If ltd= lt2l then lim sup (ltlnl (nl)-a) 11 " =
ltd ft-+00 for all non-trivial solutions of (77.1). (3)
If a < !fJ then lim sup (ltlnl (nl)-/11 2 ) 11 " = lbl 1
' 2 ft-+00 for all non-trivial solutions of (77.1).
(77.2) (77.3) (77.4) (77.5) (77.6) The solution of the
recurrence relation in (77.1) can be written in the form
tin = AUra + Bv", where A and B are constants.
77. Recurrence Relations 327
Table 77.1. A recursion computation of the Bessel functions

{Yn} using {77.7).
This computation is stable. Ill = 0.1478631434 Y2 =

0.3676628826 Y5 = -0.4536948225 Y10 = -25.129110 Yn =
-382.9821416 Y14 = -8693.938814 Yl& = -272949.0350 Y2o =
-593396529.7 Y30 = -4.028568418 X 10 18
Example Yn(5) Y1(S) = 0.1478631434 Y2{5) = 0.3676628826

Y5{5) = -0.4536948225 Ylo{5) = -25.129110 y12{5) =
-382.9821416 Ya{5) = -8693.938814 Yls(5) = -272949.0350
Y2o{5) = -593396529.7 Y3o{5) = -4.028568418 x 10 18 The
Bessel functions Yn(z), when n is an integer, are defined
by (see
page 174):
Yn(z) = .!.1"" sin(zsinOnO) dO.!..1 00 [e"t + ( -1)"e-"']

e-uinht dt. 71" 0 71" 0
From this, or otherwise (see Abramowitz and Stegun [1]

9.1.27.a), it can
be shown that these Bessel functions satisfy the

recurrence relation (using
Yn = Yn(z)) 2n Yn+l -Yn + Yn-1 = 0. z (77.7)
The above theorem can be used on this recurrence relation

with a= -2/z,
a = 1, b = 1, and {J = 0. We find that case (1) applies and

results in
U.+t/U. ""2nfz and tJn+t/tJn ""zf2n. This implies that (

2n)" ( z )" Yn(z) ""A -;+ B 2 n ,
as n-+ oo, for some values of A and B. Note that if A -::f;

0, then the first
term dominates the asymptotic expansion. It can be shown

that Yn(z) ""n! (2/z)" as n-+ oo (see Abramowitz
and Stegun [1], 9.1.8). This asymptotic expansion agrees

with the results of
the theorem; here we have A'# 0. If (77.7) is used to

compute {Yn(z}}, then
roundoff errors will result in { tJn} terms. Since the

evolution of these terms
is much smaller than the {Yn(z)} terms, this will be stable

computation.
Table 77.1 shows the computation of {Yn(5)} using (77.7).

The values of
Y1(S} and Y2(S) were used to initialize the recurrence

relation. For large
value of n, the computation is accurate to all decimal

places. 328 VI Numerical Methods: Techniques Table 77.2.
A recursion computation of the Bessel functions {J,.} using
(77.7). This computation is not stable. Ill =
-0.3275791376 1/2 = 0.04656511628 7/5 = 0.2611405461
7/10 = 0.00146780258 1/12 = 0.0000762771 7/14 =
0.000002778 J/18 = -0.00000065 1/20 = -0.0016 7/30 = -10
7 J,.(5) Jt{5)-0.3275791376 J2(5) = 0.04656511628 J5(5)
= 0.2611405461 J1o(S) = 0.00146780265 J12(5) =
0.0000762781 J1o&(5) = 0.000002801 J1e(5) = -0.000000077
J2o(5) = 2.7 x 1011 Jso(5) = 2.7 x 1021 There are other
Bessel functions that satisfies the recursion in (77.7),
the {J,.(z)}. It can be shown that J,.(z) "' ~! (~)" as n
oo (see Abramowitz and Stegun [1], 9.1.7), which
indicates that J,.(z)"' B (z/2n)". If (77.7) is used to
compute {J,.(z)}, then roundoff errors will result in {
u,.} terms. Since the evolution of these terms is much
greater than the {J,.(z)} terms, this will be an unstable
computation. Table 77.2 shows the computation of {J,.(5)}
using (77.7). The values of Jt(5) and Jz(5) were used to
initialize the recurrence relation. For a few values of n,
the computation is accurate. For n above about 10,
however, the computational values are not meaningful.
Notes (1) Van der Laan and Temme (6) indicate the results
of applying the above theorem to Bessel functions (as we
have), confluent hypergeometric functions (two different
recursions), incomplete beta functions, Legendre functions
(recursion with respect to order and with respect to
degree), Jacobi polynomials. and repeated integrals of the
error function. All cases of the theorem are illustrated.
(2) The exponential integrals E,.(z) = J 1 00 t-"e-•• dt
have the recurrence relation nEn+t(z) = e-• zE,.(z), n =
1, 2,.... This relation is studied in Gautschi (3). (3)
For the integrals J,., J,., and K,. 1 00 te-et ( t2 )"
J,.(c) := 2 .Ji -2 dt, 0 (1 + t ) t 1 + t 1 00 e-ee (
t2 )" J,.(c) := o (1 + t 2 )./i 1 + t 2 dt, 1 00 e-ee (
t2 )" K,.(c) := . r.. -2 dt, 0 vt 1 + t
78 Chapter 78 Symbolic Methods
[1)

Washington, DC, 1964. 1 00 (-ct)dt F. S. Acton,
"Recurrence Relations for the Fresnel Integral 7, 2 0 t(1
+ t ) and Similar Integrals," Comm. ACM, 17, No.8, 1974,
pages 48()-481.
[3) W. Gautschi, "Recursive Computation of Certain

Integrals," J. ACM, 8, 1961, pages 21--40.
[4) W. Gautschi, "Computational Aspects of Three-terms

Recurrence Relations," SIAM Review, 9, 1967, pages 24-82.
[5) W. Gautschi, "Recursive Computation of the Repeated

Integrals of the Error Function," Math. of Comp., 15,
1961, pages 227232.
[6) C. G. VanderLaan and N. M. Temme, Calculation of

Special Functions: The Gamma Function, the Exponential
Integrals and Error-like Functions, Centrum voor Wiskunde
en Informatica, Amsterdam, 1984.
(7) E. W.-K. Ng, "Recursive Formulae for the Computation of

Certain Integrals of Bessel Functions," J. Math. and
Physics, 46, 1967, pages 223-224.
(8) J. Wimp, Computations with Recummce Relations, Pitman

Publishing Co., Marshfield, MA, 1984.
78. Symbolic Methods
Idea Using symbolic operators, quadrature rules can be

devised. 330 VI Numerical Methods: Techniques Procedure
Define the following operators: • The forward-differencing
operator~: Al(xo) = l(xo +h) l(xo) A 2 l(xo) = A(AI(xo)]
= Al(xo +h)Al(xo) • The backward-differencing operator V:
V l(xo) = l(xo)l(xoh) V 2 l(xo) = V(V l(xo)] = V l(xo) V
l(xo h) • The stepping operator E: El(xo) = l(xo +h) E 2
1(xo) = E(EI(xo)] = l(xo + 2h) En l(xo) = l(xo + nh).
The obvious relationships among these operators are A = E 1
and V = 1 E1 . Since the above operators are linear
operators, the usual laws of algebra can be applied.
Hence, several other relationships between the operators
can be developed, such as: EV = A, envn = An, and Anlo =
vn In (where In= l(xn) = l(xo + nh)). Since tin = Enyo and
x = nh, we have 1 d 1 d 1 tin = dx (en yo) = h dn (E"Yo)
= h(log E)(entlo), or D = k logE, where D denotes the
differentiation operator. This is equivalent to E = ehD.
The integration operation, which is the inverse operator
to D, can be represented as f = n1 = h/ log E . Example
Using the above operators, we can derive many quadrature
rules. Start with 1, = l(x.) = E• lo, multiply by dx = h
ds, and then integrate from xo to x1 (i.e., from 8 = 0 to
8 = 1) to obtain 1 ~~, r ( h ) 1 .=l h(E 1) •o l(x)dx=hj
0 E 8 lod8= logEE•Io •=0 = log~ lo· Using E = 1+A, the
expression log(1+A) may be formally expanded in a power
series to obtain log(1 +A)= AiA 2 + iA 3 !A"+ ....
Dividing A = E 1 by this last expression results in
(78.1)
78. Symbolic Methods 331 If n terms of this formula are

used, then a polynomial of degree n is
being fit to the points xo, Xt. ••• , Xni this

interpolating polynomial is then
integrated between xo and x1. If only the first two terms

are used, then
the trapezoidal rule is obtained in the form 1 ~ 1 1 f(x)

dx ~ /o + 2(/1 -/o) = 2Uo + /1). so
Notes
[1] Analogous to the result in the example, we can obtain

1 "'a _ (~ )1•= 2 _ h(E 2 -1) f(:r:)dxlo E/ 0 l E /o
co g •=0 og = h (2/o + 2tl./o + jtl. 2 /o + ... ) .
[2] If we define the central-differencing operator 6 by

6/{:r:o) = f(:r:o + ih)/(:r:oih), then the following
integration rules can be found (see Beyer [1]): 1 1/2
/(:r:)dx = (1 + f.62~~~!o~ +~;:so~-···) /o -1/2 1 1
/(:r:) dx = 2 ( 1 + t621~~ + 1;12~... ) /o -1 L: f(x)dx =
4 (1 + }6 2 + -/o~9 ! 5 ~ + ... ) fo.
[3] The operators defined above can also be used in some

clever manipulations 1 1 p,m(:r:)P."(:r:) of integrals.
For example, Ullah [4] evaluates I = ' 2 )~>+ 1 dx, -1
(1:r: (with some restrictions on l, m, k, n, and p), in
closed form, by first writing it in the form: I= 11
(1:r:2)-n/2-p-1 P,m(:r:)e(1-c2)D;.. >.."/2 Pt (~I ' -1
11.=0 where D>. = ofo>..
[1] W. H. Beyer (ed.), CRC Standard Mathematical Tables and
Formulae, 29th Edition, CRC Press, Boca Raton, Florida,
1991.
[2] C. F. Gerald and P. 0. Wheatley, Applied Numerical

Analysis, AddisonWesley Publishing Co., Reading, MA, 1984,
pages 256-257.
[3] F. B. Hiderbrand, Introduction to Numerical Analysis,

McGrawHill Book Company, New York, 1974.
[4] N. Ullah, "Evaluation of an Integral Involving

Associated Legendre Polynomials and Inverse Powers of {1:r:
2 )," J. Math. Physics, 4, No. 4, April 1984, pages
872-873.
80 Chapter 80 Wozniakowski's Method

Mathematics, MIT Press, Cambridge, MA, 1980, page 929.
[2] K.-J. Forster, "On Chebyshev Quadrature for a Special

Class of Weight Functions," BIT, 26, No. 3, 1986, pages
327332.
[3] K.-J. Forster, "On Weight Functions Admitting Chebyshev

Quadrature," Math. of Comp., 49, No. 179, 1987, pages
251-258.
[4] K.-J. Forster, "On Chebyshev Quadrature and Variance of

Quadrature Formulas," BIT, 28, No.2, 1988, pages 360-363.
[5] K.-J. Forster and G. P. Ostermeyer, "On Weighted

Chebyshev-type Quadrature Formulas," Math. of Comp., 46,
No. 174, 1986, pages 591599, S21S27.
[6] S. Guerra and G. Vincenti, "The Chebyshev Problem for

Quadrature Formulas with Derivatives of the Integrand,"
22, No. 3, 1985, pages 335-349.
[7] D. K. Kahaner, "On Equal and Almost Equal Weight

Quadrature Formulas," SIAM J. Numer. Anal., 6, 1968, pages
551-556.

American Elsevier Publishing Company, New York, 1970,
pages 132-135.
80. Wozniakowski's Method
Applicable to Multidimensional integrals on a hypercube.
Yields A numerical approximation scheme which uses the

smallest number o£
nodes for a specified average error. 334 VI Numerical

Methods: Techniques Idea Wozniakowski has devised a way
to choose nodes optimally to approximate a multidimensional
integral numerically. Procedure Wozniakowski's technique
applies to an integral over the d-dimensional unit
hypercube tl where x = (z 1 , z 2 , ... , z.,). Given a
(small) value of E, we would like to approximate this
integral by the formula I::::: ~ E:= 1 /(x~c), and have the
"average error" be less than E. This requires determining
the number of nodes n and determining the location of the
nodes { x1c}. If we restrict ourselves to integrands that
are real and continuous (some class must be specified for
an average error to make sense), then Wozniakowski finds
that as e 0, the number of nodes needed is n = 0
(;llogel<ct-l)/ 2 ). (80.1) Note that the number of nodes
required to obtain the same accuracy using Monte Carlo
techniques { ny 08 ~ulcu see page 304) or using a uniform
grid ( nuniform, see page 323) are nMon~atlo = 0 (?) ,
nuniform = 0 ( £ 1 11 ) • Hence, the number of integrand
evaluations in {80.1) is far less than the number of
evaluations needed by these other two methods.
Wozniakowski does not give formulae on how to determine
the optimal nodes {x.} exactly, but he does give formulae
for determining nodes {x~c} and { i1c} that are "nearly as
good." That is, more of these nodes are required for the
same average accuracy, but the number of nodes required
only increases a little (the exponent (d1)/2 in {80.1)
changes to (d1) or d). Even with this many nodes, it
represents a substantial improvement over using Monte
Carlo methods or a uniform grid. The procedure for
determining the node locations is straightforward. For
each value of k, start by writing kin base 2, then in base
3, then base 5, etc., using the first d1 primes as the
bases. As an example, we choose d = 6 and k = 42. Then we
find: 42 = (101010)2 = (1120)3 = (132)& = (60)7 = (39)n.
80. Wozniakowski's Method 335
Now, for each of these primes p, calculate the "radical

inverse" for k, 4>, ( k),
which is obtained by reversing the digits of the base-p

representation of k,
then dividing the result by pi, where i is the number of

digits in that
representation. We have: (80.2)
Finally, the { x1c} are determined by
where t is some constant which Wozniakowski does not

evaluate. Since this
constant is unknown, we could delete it and use instead

i~c = (1, 1, ... , 1)( ~ ~ r/>2(k), 4>3(k), . . . , r/>,,_
1 (k)) . {80.3)
If we do this, then the number of nodes needed varies as

!llog£19 with £
q = d 1 rather than the optimal q = (d 1)/2. Observe that,
ford = 6,
this results in (using the values in (80.2)) ~ _ (n-42 43

59 59 43 19) X42 -n-, 64' 81' 125' 49 1 ffi ·
Note that we will have to recalculate the first component

of each x1c if we
decide to increase n. We can avoid this recalculation by

using the first d
primes (rather than the first d 1) and instead of the x1c

or the XA: above,
choose the nodes to be ilc = (1, 1, ... , 1) (4>2(k),

rP3(k), ... , r/>,, (k)).
This results in the error estimate !pogelq with q =d.

Observe that, for e
d = 6, this produces the 42nd node ::::: (43 59 59 43 19

127) X42 64, 81, 125' 49, 121, 169 • 336 VI Numerical
Methods: Techniques y ---:~.7, ••. . . . . 'I .: · .•
•. • ........... 1 • • • • • • • • 1 0 ••••• •••• ... ,
.: ... ·. :. · ... : ·.·•. · ..: ·~ .. · ....... . X
Figure 80. The first 100 i nodes in two dimensions.
Example If 100 nodes are be used in an integration
routine, then the (nearly) "optimal nodes," the {i~c}
nodes, are shown Figure 80. Notes [1] The technique
presented in this section comes with two obvious caveats:
(A) There is no estimate of the overall multiplicative
constants needed to find the requisite n from the desired
error £, nor do we know how small E must be before we get
into the asymptotic regime where the expressions for n are
valid. (B) This technique is based on the average error,
not the worst-case error, so we could be unlucky and do
very badly for the integrand we are really interested in.
[2] In one dimension, the number of nodes needed to obtain
a minimal average error has a more concise answer. For
the class of r times continuously
differ::::::::::::·(r:~;;l~)~=r ~:::: is a Bernoulli
number. See Traub et al. [4] for details. [3] Writing the
nodes in (80.3) as i• = (1, 1, ... , 1)Zt, we recognize the
{zt} to be Hammer&ley points (see Davis and Rabinowitz
[2]). Removing the first component from {••} results in
the Halton points. Berblinger and Schlier [1] used the
Halton points as a "quasi-random" sequence of nodes in a
Monte Carlo type computation. [4] In this section we have
chosen nodes to minimize the average error. Many results
are known for the number of nodes needed to minimize the
maximum error. For example, considering the Sobolev class
of real functions defined on the d-dimensional unit
hypercube whose r-th distribution derivatives exist and
are bounded by one in the Lp norm, the number of nodes
required is 0 (t_.,,,.} when pr > d. See Novak [3] for
details.
81 Chapter 81 Tables: Numerical Methods
[1] M. Berblinger and C. Schlier, "Monte Carlo Integration

with Quasi-random Numbers: Some Experience," Comput.
Physics Comm., 66, 1991, pages 157166.

Florida, 1984, pages 35Q-354.
[3] E. Novak, Detenninistic and Stochastic Error Bounds in

Numerical Analysis, Lecture Notes in Mathematics #1349,
[4] J. F. Traub, G. W. Wasilkowski, and H. Wozniakowski,

Infonnation-based Complexity, Academic Press, New York,
1988.
[5] H. Wozniakowski, "Average Case Complexity of

Multivariate Integration," Bull. Amer. Math. Soc., January
1991, 24, No. 1, pages 185-194.
81. Tables: Numerical Methods
Yields Quadrature rules.
Idea Many tables of numerical methods for integrals have

been created.
Procedure As indicated in this book, there are many ways

in which to derive a
scheme that will evaluate an integral numerically. Many

books and papers
have tabulated schemes for numerically evaluating

integrals. While these
are not adaptive schemes, they are useful because they may
be directly
entered into a computer. In this section we merely

reference where collections of quadrature
rules may be found. Some one-dimensional and

two-dimensional quadra
ture rules may be found starting on page 340.

Example 1 The book by Stroud [8] is perhaps the most
comprehensive book on
quadrature rules. It contains rules for the following

regions:
[1] then-dimensional cube: Cn
[2] the n-dimensional cubical shell: c:,heU
[3] the n-dimensional sphere: Sn
[4] the n-dimensionalspherical shell: S:.hell
[5] the surface of Sn: Un
[6] then-dimensional octahedron: Gn
[7] the n-dimensional simplex: Tn
[8] entire n-dimensionalspace with weight function exp {

-zf... z!) 338 VI Numerical Methods: Techniques (9)
entire n-dimensionalspace with weight function exp ( -v'%f
+ ... + %~) [10) the tw<Hiimensional hexagon: H2 (11) the
tw<Hiimensional ellipse with weight £unction [(zc) 2 + 11
2 r 112 [ (z + c)2 + Jl2rl/2: ELP (12) the parabolic
region bounded by z = a 2 -11 2 /4a 2 and z = 11 2 /4b
2 b 2 : PAR (13) the parabolic region bounded by 11 = bbz
2 /a 2 and the %-axis.: PAR, (14) the parabolic region
bounded by 11 = bbz 2 /a 2 and 11 = bz 2 /a 2 b: PAR:J
(15) a three dimensional pyramid: CN:C2 [16) a
three-dimensional cone: CN:S2 (17) a three-dimensional
torus with circular cross section: TOR:J : S2 [18) a
three-dimensional torus with square cross section: TOR:J :
C2 where Stroud's notation for some of the regions has
been used. For each of these regions, quadrature rules of
varying degree and with a varying number of nodes are
given. For example, Stroud reports the following
quadrature rules for the n-dimensional cube (the numbering
of the methods is his): 1-1 Degree 1, 1 Node (Centroid
formula) Node (0, 0, ... ,0) Weight v where V
represents the volume of C,, that is V = 2". 1-2 Degree 1,
2" Nodes (Product trapezoidal rule) Nodes Weights (±1,±1,
... ,±1) V/2" where the symbol (±s, ±s, ... , ±s) denotes
a set of 2" nodes, the n signs ± are assumed independent.
2-2 Degree 2, 2n + 1 Nodes Nodes Weights (2r, 2r, .. . ,
2r, 2r) V (1, r, ... , r, r)s -rV ( -1, r, ... , r, r)s
rV where r = .f3/6 and a subscript of S indicates a
symmetric set (i.e., all permutations) of nodes. For
example: (1, r, ... , r, r)s denotes then nodes: {(1, r,
r, ... , r), (r, 1, r, ... , r), (r, r,1, ... , r), ... ,
(r,r,r, ... ,1)}. 3-4 Degree 3, 2" Nodes (Product Gauss
rule) Nodes Weights (±r, ±r, ... , ±r) V/2" where r =
1/.;3.
81. Tables: Numerical Methods 339
5-9 Degree 5, 3" Nodes (Product Gauss formula) Nodes

Weights (ri 11 ri 2 , ... ,riJ (Ai 1 Ai 2 ···Ai") where
each of the subscripts i 1 , i2, ... , in ranges
independently over the integer 1, 2, 3 and r1 = ..j315, r2
= 0, r3 = ..j315, A1 = 5/9, A2 = 8/9, A3 = 5/9.
Example 2 The book by Stroud and Secrest [9] contains

tables of Gaussian quadra
ture rules for the following types of integrals:
[1] J~ 1 /(x) dx ~ E! 1 Ai/(:ti}
[2] J~ 1 (1x 2 ) 0 /(x) dx ~ E! 1 Ai/(:ti}
[3] J~ 1 (1 + x)~ /(x) dx ~ E~ 1 Aif(xi)
[4] J~ 1 lxla /(x) dx ~ E! 1 Ai/(:ti}
[5] J~oo e-• 2 /(x) dx ~ E! 1 Aif(xi)
[6] J 0 00 e-"' /(z) dx ~ E! 1 Ai/(zi)
[7] J~oo lzlae-• 2 /(z) dx ~ E! 1 Ai/(zi)
[8] J:C, lzlae-1"'1/(z) dx ~ L~ 1 Ai/(:ti}
[9] J 0 1 log (1/z) /(z) dx ~ E~ 1 Ai/(:ti}
[10] 2~i J:~i: p1 el' F(p} dp ~ E!l Ai/(Zi)
[11) t 1 /(x) dx ~ Af( -1} + E! 1 Ai/(zi) +A/( +1)
[12] J~ 1 /(x) dx ~A/( -1} + E~ 1 Aif(xi)
[13] J~ 1 /(z) dx ~ E! 1 Ai/(zi) + E!o Bu/< 211 >(0}
[14] J~oo e-• 2 /(z) dx ~ E! 1 Ai/(zi) + E!o B2~cJ< 2

">(o).
Example 3 The book by Krylov and Pal'tsev [5] contains

tables of quadrature
rules for the following types of integrals:
[1] rz 0 log~/(z}dx~ tAi/(xi) lo i•l
[2] r X~ log~ log 1 ~ z/(z) dx ~ tAd(xi) ~ i=l 1 1 1 n
[3] log(;) /(z}dx ~ LAi/(zi) 0 i=l 1 00 1 n [4] x~ e-"'

log ( 1 + ; ) f(z) dx ~ ~Ad(xi). 0 i=l
82 Chapter 82 Tables: Formulas for
Integrals
82. Tables: Formulas for Integrals 341
Procedure There exist standard quadrature rules for

numerically integrating dif
ferent types of integrands. In this ~ction are quadrature

rules for nu
merically integrating one-dimensional and two-dimensional

integrals, these
formulas are organized by geometric shape. Most of the

two-dimensional
quadrature rules are from Abramowitz and Stegun [1].
Notes
[1] For Gaussian quadrature rules, see the tables on pages

290 and 298.
[2] For Newton-Cotes rules, see the table on page 320. For
open Newton-Cotes rules, see the table on page 321.
One Dimensional Integration Rules In the following, e is

some number between Xo and Xn, and /; = J(x;) =
f(xo + jh) where h = (xn xo)/n.
(A) Trapezoidal Rule
(B) Modified Trapezoidal Rule 1 ... (1 1 ) J(x)dx =h 2/o

+ /1 + ... + /n-1 + 2/m IOO h lln 5 (4) + 24 (-/-1 +
/1 + /n-1 /n1) + 720 h I (e).
(C) Simpson's rule
(D) Extended Simpson's rule 1 102 " h [ eo J(x) dx = 3 /o

+ 4 (/1 + /3 + ... + hn-1) ] nh 5 + 2 (h + '" + ... +
hn-2} 00 J<">(e).
342 VI Numerical Methods: Techniques (E) Euler-Maclaurin

summation formula (also known as the composite trapezoidal
rule) 1 •• /(z)dz •o = h [4 /o + /1 + h + ... +/tt-l + 4
f,.] _ B2 h2 (J,' _ '') _ _ Bu hu ( z<2•-1) _ 1 (211-1))
+ R 21 n 10 • • • (2k)l lil 10 211 8nBn+2h 2 H 3 2H2 ·
where Ru = ( 2 k 2 ) 1 max If >(z)l, w1th -1 ~ 9 ~ 1.
Here, + •oS•S•" the B,.'s are Bernoulli numbers (see (1],
25.4.7). (F) Five-point rule for analytic functions(/
must be analytic) l ao+'h [ f(z) dz = 15 24/(z:o) +
4/(z:o +h)+ 4/(z:o -h) ao-t. 4/(z:o + ih) + 4/(z:oih)] +
R where IRI ~ ~:~ ~ lf•>(z)l and S is the square with
vertices at {zo + i.hlk=0,1,2,3}.
Integration Formulae for Different Geometric Shapes
Circumference of a circle If r represents the circumference

of the circle
z 2 + 1i = h 2 , then we have the approximate integration

rules (see (1], equation
25.4.60)
where m ~ 1. The following figure indicates the location of

the 12 points when
m=6. h
82. Tables: Formulas for Integrals 343
Circular region If C represents the circle with radius h (x

2 + y 2 ~ h 2 ), then
we have the approximate integration rules (see (i],

equation 25.4.61) (A) n = 4, R = O(h 4 ) (x,,y,) w; 1
i (B) n = 5, R = O(h 4 ) (x,, y;) W; (0,0) 1 2 (±h,O)
1 i (0, ±h) 1 i (C) n = 7, R = O(h 4 ) (x,,y,) (0,0)
(±h,O) ( ±ih, ±:1!-h) (D) n = 7, R = O(h 6 ) (x;, y,)
(0,0) _(±V1h,o) ( ±-j;h,±-j;h) h h W; 1 2 h 1 i2
1 i2 w, 1 i h 1 i 1 i 344 VI Numerical Methods:
Techniques (E) n = 9, R = O(h 6 ) (.2:,, 1/i) Wi (0,0)
1 i h (±h,O) 1 2i (O,±h) 1 2i (±ih,±ih) 1 i
Squares If S represents a square with each side oflength 2h
(l.2:l ~ h, lfll ~ h), then we have the approximate
integration rules (see [1], equation 25.4.62 and Stroud
[3]) ~If /(.2:,y)dxdy = t wi/(.2:i,fli) + R: 4h . 1 S IE
(A) n = 3, R = O(h 3 ) (.2:,, y,) Wi ( v'Jh,o) 1 i (
--jeh, ~h) 1 i • h ..... ... .... • -1rh,-~h) l 3
• (B) n = 3, R = O(h 3 ) (.2:,, fli) Wi (h,h) t • h
<lh,-lh> 3 i <lh, ih) 27 6i •
82. Tables: Formulas for Integrals 345 (C) n = 3, R = O(h

3 } • (z,, y,) Wi (h, ~h) 3 28 (jh,O) 3 i (h, -h)
1 7 (D) n = 4, R = O(h 4 } (z,, y,) w, (h,h) 1 il •
h (-h,-h) 1 il • ( --jsh,-jsh) 8 il (-jsh,--jsh) 8
il (E) n = 4, R = O(h 4 ) (Zi, !/i) Wj (±h,O) 1 8
(o,±~h) 1 3 •••••••• 0 • •• 0 h ' (z,, !li) Wi
(±~h,±~hJ 1 i • • h ••• •• , • •••• 0 . • • 346 VI
Numerical Methods: Techniques (G) n = 9, R = O(h 4 ) (z,,
fli) Wi {0,0) 4 jj h (±h,±h) 1 3i . .... ·• .....
{±h,O) 1 jj {O,±h) 1 i (H) n = 9, R = O(h 6 ) (z,,
fli) Wi • • (0,0) 18 81 ( ±v'lh, ±v'lh) 25 m h
.... ·• ... • (o,±v'lh} 10 ii • • • ±v'lh,O) 10 ii
Equilateral triangle If T represents an equilateral
triangle, then we have the approximate integration rules
(see [1), equation 25.4.63) ! ~ 2 // /(z, y) dz dy = t
wif(zi, fli) + R: 4 v3h ._ 1 T ,_ (A) n = 4, R = O(h 3 )
(z,, fli) Wi {0,0) 3 i {h,O) 1 12 ( -th,±~h) 1 12
{I>·
82. Tables: Formulas for Integrals 347 (B) n = 7, R = O(h

4 ) (Zi, Jli) Wi (0,0) 27 iiii (h,O) 3 iiii (
-jh,±~h) 3 iiii (-jh,O) 8 iiii ( th,±Yj.h) 8 iiii
(C) n = 7, R = O(h 6 ) (:r:,, !li) Wi (0,0) 270 1200
(i¥h,o) 1511-,/U 1200 (.::Jill±! h ±.ill±! V§h)
11111-,/U 14 ' 14 1200 ·8>· ..... .. • _(~h,o)
.!lli..3c1I 1200 ( "'1\-1 h, ± v'll.-1 V§h) .!lli..3c1I
1200
Regular hexagon If H represents a regular hexagon, then we

have the
approximate integration rules (see [1], equation 25.4.64)

! ~ 2 // f(:r:, y) d:r: dy = t Wi/(:r:,, !li) + R: 2 v3h
._ 1 H •(A) n = 7, R = O(h 4 ) (:r:,, !li) Wi (0,0) 21
3ii h (±h,O) 5 72 (±jh,±~h) 5 72
83 Chapter 83 Tables: Numerically
Evaluated Integrals
83. Tables: Numerically Evaluated Integrals 349
(D) For tables of elliptic functions, see Abramowitz and

Stegun [2], Belyakov et al. [4], Fettis and Caslin [8], or
Selfridge and Maxfield [13].
(E) For tables of the Fresnel integral, see Abramowitz and

Stegun [2], Martz [10], or Pearcey [11].
(F) For tables of the Gamma function, see Abramov [1] or

Pearson [12].
(G) For tables of the sine integral, see Abramowitz and

Stegun [2], or reference [15]. 1 :~: e•zndz (H) For a
table of the transport integral ( • ) 2 , see Rogers and
0 e -1 Powell [14].
(I) For a table of the function 1:~: -y(~ {) d{, see Anker
and Gafarian [3].
Example 2
(A) For a computation method for computing the polygamma

function, see DiMarzio [7].
Notes
[1] Abramowitz and Stegun [2] also have tables of Clausen's

integral, Debye function, dilogarithm, exponential
integral, Sievert integral, and Struve functions.
[2] Many of the tables referenced in this section are now

superfluous as the numerical values of the integrals can
be readily computed. For example, Mathematica [16) has
special commands for computing elliptic integrals, Fresnel
integrals, dilogarithms, and many other functions. Also,
for those functions for which a single command does not
exist, the numerical integration routine can be used.
[1) A. A. Abramov, Tables ofLn r[z) for Complex Arguments,

translated by D. G. Fry, Pergamon Press, New York, 1960.

[3) C. J. Anker, Jr. and A. V. Gafarian, The Function

J(z,y) = 1z'Y(~{) d{; Some Properties and a Table, System
Development Corporation, 2500 Colorado Ave, Sanata Monica,
CA, April1962.
[4) V. M. Belyakov, P. I. Kravtsova, and M. G. Rappoport,

Tables of Elliptic Integrals, translated by P. Basu, The
MacMillan Company, New York, 1965.
[5) 0. S. Berlyand, R.I. Gavrilova, and A. P. Prudnikov,

Tables of Integral Error Functions and Hermite
Polynomials, translated by P. Basu, The MacMillan Company,
New York, 1962.
[6) G. D. Bernard and A. Ishimaru, Tables of the Anger and

LommelWeber Functions, University of Washington Press,
Seattle, 1962.
[7] F. DiMarzio, "An Improved Procedure for the Accurate

Evaluation of Polygamma Functions with Integer and
Half-Integer Argument," Comput. Physics Comm., 39, 1986,
pages 343345. 350 VI Numerical Methods: Techniques [8)
H. E. Fettis and J. C. Caslin, A Table of the Complete
Elliptic Integral of the Fir~t Kind for Complez Valuu of
the Modulw. Part I, ARL 69-0172, 1969, A Table of the
Complete Elliptic Integral of the Fir~t Kind for Complez
Valuu of the Modulw. II, ARL 69-0173, 1969, A Table of the
Complete Elliptic Integral of the Fir~t Kind for Comple:t:
Valuu of the Modulw: III. Aw:ilia'l' Tablu, ARL 70-0081,
1970, United States Air Force, Wright-Patterson Air Force
Base, OH. [9) W. L. Haberman and E. E. Harley, NumeriC4l
Evaluation of IntegraZ., Containing Modified Bu~el
JiUnction.t, Hydromechanics Laboratory, Research and
Development Report 1580, March 1964, Department of the
Navy, Washington, DC. [10) C. W. Martz, "Tables of the
Complex Fresnel Integral," NASA SP-3010, NASA, Washington,
DC, 1964. [11] T. Pearcey, "Table ofthe Fresnel Integral
to Six Decimal Places," Cambridge University Press, New
York, 1956. [12] K. Pearson, Tablu of the Incomplete
r-JiUnction, Cambridge University Press, 1934. (13] R. G.
Selfridge and J. E. Maxfield, A Table of the Incomplete
Elliptic Integral of the Third Kind, Dover Publications,
Inc., New York, 1958. (14] W. M. Rogers and R. L. Powell,
Tablu of Thm~port IntegraZ., J,.(z) = 1 • e•z"dz • 2 ,
National Bureau of Standards Circular 595, July 3, 1958,
0 (e -1) Natiooal Bureau of Standards, Washington, DC.
[15] Staff of the Computation Laboratory, Tablu of
Generalized Sineand ConneIntegml JiUnctioM: Part I,
Harvard University Press, Cambridge, MA, 1949. [16) S.
Wolfram, Mathematioo: A Sy~tem of Doing Mathematic~ by
Computer, Second Edition, Addison-Wesley Publishing Co.,
Reading, MA, 1991.

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Gleason, A., Fundmnentals of Abstract Analysis

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© 1992 by Taylor & Francis Group, LLC

No claim to original U.S. Government works

and the CRC Press Web site at

II Concepts and Definitions

III Exact Analytical Methods

IV Approximate Analytical Methods

V Numerical Methods: Concepts

VI Numerical Methods: Techniques

Mathematical Nomenclature 351

This book is a compilation of the most important and widely applicable

calculations necessary to analyze integrals. Examples of several symbolic

Looking for an Exact Evaluation

Looking for an Approximate Evaluation

... method may be used (see page 221).

Looking for a Numerical Evaluation

Other Things to Consider

Euler kernel: K(z, ~) = (z- ~)n

1 L,[K(z, e))v(e) de = 0. (1.3)

Now we must (conceptually) find a linear differential operator AF.(·], oper-

Now we integrate (1.4) by parts. The resulting expression will be a dif-

L,[u) = u"(z)- zu(z) = 0. (1.5)

We assume that the solution of (1.5) has the form

The second term in (1. 7) can be integrated by parts to obtain

Figure 1. A solution to {1.5) is determined by any contour C that starts and

and the boundary conditions

Using (1.11) in (1.10) we must choose the contour C so that

Asymptotic methods can be applied to (1.13) to determine information

1 /(1+.•+> ((2 - 1)"

where the integration contour in (1.14.a) is a closed curve with positive

[6] Pfaffian differential equations, which are equations of the form

[1] C. M. Bender and S. A. Orszag, Advanced Mathematical

(2] P. J. Davis and P. Rabinowitz, Methods of Numerical

(3] W. Squire, Integration for Engineer& and Scientists,

[1] A. W. Babister, 'lhlnscendental Functions Satisfying

[2] H. Bateman, Differential Equations, Longmans, Green and

[3] R. G. Buschman, "Simple contiguous function relations

[4] G. F. Carrier, M. Krook, and C. E. Pearson, Functions

[5] B. Davies, Integral 'lhlnsforms and Their Applications

[6] J. D. Dollard and C. N. Friedman, Product Integration

[7] R. A. Gustafson, "Some Q-Beta and Mellin-Barnes

[8] E. L. Ince, Ordinary Differential Equations, Dover

[9] F. W. J. Olver, Asymptotics and Special Functions,

[10] D. Zwillinger, Handbook of Differential Equations,

[1] M. Abramowitz and I. A. Stegun, Handbook of