Lecture No.

14 Numerical Differentiation and Integration

Numerical Differentiation and Integration

INTRODUCTION
DIFFERENTIATION USING DIFFERENCE OPREATORS
DIFFERENTIATION USING INTERPOLATION
RICHARDSON’S EXTRAPOLATION METHOD
NUMERICAL INTEGRATION
NEWTON-COTES INTEGRATION FORMULAE
THE TRAPEZOIDAL RULE ( COMPOSITE FORM)
SIMPSON’S RULES (COMPOSITE FORM)
ROMBERG’S INTEGRATION
DOUBLE INTEGRATION
Basic Issues in Integration What does an integral represent?

AREA =

VOLUME=
VOLUME=
Basic definition of an integral::
integral::

Sum of Height x Width

Objective:

Evaluate I = without doing calculation analytically.

When would we want to do this?
1. Integrand is too complicated to integrate analytically.

2. Integrand is not precisely defined by an equation,i.e., we are given a set of data (x ,ƒ(x )),
i i
i=1,...,n.
All methods are applicable to integrands that are functions.
Some are applicable to tabulated values.
Key concepts:
1. Integration is a summing process. Thus virtually all numerical approximations
can be represented by
 I= =

Where:
x = weights
x = sampling points
i
E = truncation error
t
2. Closed & Open forms:

Closed forms include the end points a & b in x . Open forms do not.
i
NUMERICAL INTEGRATION
Consider the definite integral

Where f (x) is known either explicitly or is given as a table of values corresponding to some
values of x, whether equispaced or not. Integration of such functions can be carried out using
numerical techniques.
Of course, we assume that the function to be integrated is smooth and Riemann integrable in the
interval of integration. In the following section, we shall develop Newton-Cotes
formulae based on interpolation which form the basis for trapezoidal rule and Simpson’s rule of
numerical integration.
NEWTON-COTES INTERGRATION FORMULAE
In this method, as in the case of numerical differentiation, we shall approximate the given
tabulated function, by a polynomial P (x) and then integrate this polynomial.
n
Suppose, we are given the data (x , y ), i = 0(1)n, at equispaced points with spacing h = x –x,
i i i+1 i
we can represent the polynomial by any standard interpolation polynomial. Suppose, we use
Lagrangian approximation, then we have

With associated error given by

Where

And

Then, we obtain an equivalent integration formula to the definite integral in the form
Where c are the weighting coefficients given by
k

Which are also called Cotes numbers. Let the equispaced nodes are defined by

So that x – x = ( k – 1)h etc. Now, we shall change the variable x to p such that,
k 1
x = x + ph, then we can rewrite equations.
0

As

And

Or

Also, noting that dx = h dp. The limits of the integral in Equation

change from 0 to n and equation reduces to

The error in approximating the integral can be obtained from

Where x < ξ < x . For illustration, consider the cases for n = 1, 2; For which we get
0 n
And

Thus, the integration formula is found to be

This equation represents the Trapezoidal rule in the interval [x , x ] with error term.
0 1
Geometrically, it represents an area between the curve y = f (x), the x-axis and the ordinates
erected at x = x ( = a) and x = x as shown in the figure.
0 1
Y

y = f(x)

(x1, y1) (x2, y2)

(x0, y0)

y0 y1 y2 y3 yn-1 yn

O X
x0 = a x1 x2 x3 xn-1 xn = b

This area is approximated by the trapezium formed by replacing the curve with its secant line
drawn between the end points (x , y ) and (x , y ).
0 0 1 1
For n =2, We have
and the error term is given by

Thus, for n = 2, the integration takes the form

This is known as Simpson’s 1/3 rule. Geometrically, this equation represents the area between
the curve y = f (x), the x-axis and the ordinates at x = x and x after replacing the arc of the
0 2
curve between (x , y ) and (x , y ) by an arc of a quadratic polynomial as in the figure
0 0 2 2
Y

y = f(x)

(x2, y2)

(x0, y0)

y0 y1 y2

O X
x0 = a x1 x2 x3 xn-1 xn = b

Thus Simpson’s 1/3 rule is based on fitting three points with a quadratic.
Similarly, for n = 3, the integration is found to be

This is known as Simpson’s 3/8 rule, which is based on fitting four points by a cubic. Still higher
order Newton-Cotes integration formulae can be derived for large values of n.
But for all practical purposes, Simpson’s 1/3 rule is found to be sufficiently accurate.