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Numerical Integration

Quadrature

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Newton-Cotes Quadrature
(quadrature based on polynomial interpolation)

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Integration The process of measuring

the area under a curve.

b ∫ f ( x )dx
a
f(x)
I = ∫ f ( x )dx y

Where:
f(x) is the integrand
a= lower limit of integration
b= upper limit of integration

a b x

Approximate f (x) by a straight line

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Derivation of trapezoidal rule from Lagrange Polynomial

Integrate P1 to get trapezoidal rule

Integrate E1 to get the truncation error/degree of precision

Approximate f (x) by a quadratic curve

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Derivation of Simpson’s rule from Lagrange Polynomial

Integrate P2 to get Simpson’s rule

Integrate E2 to get the truncation error/degree of precision

Approximate f (x) by a cubic curve

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For a fair comparison of various methods use the same number of

function evaluations in each method.
E.g. Five evaluations in [x0,x4]

composite trapezoidal rule

composite Simpson’s rule

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Composite Simpson’s Rule

f(x)

b x2 x4
∫ f ( x )dx = ∫ f ( x )dx + ∫ f ( x )dx + .....
a x0 x2
. . .
x2 M

+ ∫ f ( x)dx x

. x 2 M −2 x0 x2 x2M x2M
-2

. Apply Simpson’s Rule over each interval,

b
⎡ f ( x0 ) + 4 f ( x1 ) + f ( x2 )⎤
∫ f ( x )dx = ( x2 − x0 )⎢ ⎥⎦ + ...
a ⎣ 6
⎡ f ( x2 M − 2 ) + 4 f ( x2 M −1 ) + f ( x2 M ) ⎤
+ ( x2 M − x 2 M − 2 ) ⎢ ⎥⎦
⎣ 6

xi − xi − 2 = 2 h

Composite Simpson’s Rule

Then
b
⎡ f ( x0 ) + 4 f ( x1 ) + f ( x2 )⎤
∫ f ( x )dx = 2h ⎢ ⎥⎦ + ...
a ⎣ 6
⎡ f ( x2 ) + 4 f ( x3 ) + f ( x4 )⎤
+ 2h ⎢ ⎥⎦ + ...
⎣ 6

⎡ f ( x2 M − 2 ) + 4 f ( x2 M −1 ) + f ( x2 M ) ⎤
+ 2h ⎢ ⎥⎦
⎣ 6
b
∫ f ( x )dx =
h
[ f ( x0 ) + 4{ f ( x1 ) + f ( x3 ) + ... + f ( x2 M −1 )}+ ...]
a 3
... + 2{ f ( x2 ) + f ( x4 ) + ... + f ( x2 M − 2 )}+ f ( x2 M )}]

⎡ ⎤
h⎢M
= ∑ ( f ( x2i −2 ) + 4 f ( x2i −1 ) + f ( x2i ) )⎥⎥
3 ⎢ i =1
⎣⎢ ⎦⎥

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Recursive Rules

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Romberg Integration

recall that

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Romberg Integration
The pattern for integration rules of increasing accuracy is of the form:

.....

Romberg Integration relies on

Richardson’s extrapolation

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Gauss Quadrature

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Basis of the Gaussian

Quadrature Rule
Previously, the Trapezoidal Rule can be developed by the method
of undetermined coefficients as:

b
∫ f ( x )dx ≅ c1 f ( a ) + c 2 f ( b )
a

b−a b−a
= f(a)+ f (b)
2 2

Basis of the Gaussian

Quadrature Rule

The two-point Gauss Quadrature Rule is an extension of the

Trapezoidal Rule approximation where the arguments of the
function are not predetermined as a and b but as unknowns
x1 and x2. In the two-point Gauss Quadrature Rule, the
integral is approximated as

b
I = ∫ f ( x )dx ≈ c1 f ( x1 ) + c 2 f ( x 2 )
a

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To find wi, xi we need four conditions

= find wi, xi so that the integration rule has degree of precision 3

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