Numerical

Integration:
Part A
Numerical Methods 2 presented by H Smith
Applied Mathematics
Nelson Mandela University
 Outcomes of this lecture

Approximation to definite integral

Derive and apply formulae with remainder term to approximate a

definite integral:
• Approximating the function by a polynomial of degree one leads to
Trapezoidal rule
• Extend approximation to form Composite Trapezoidal rule
• Apply to double integral
3 4
 Discussion

Weighted 𝛽𝛽
functional
Approximation values � 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑
to definite 𝛼𝛼

integral

𝛼𝛼 𝛽𝛽

Paired Data “Area” under

Points the curve
 Derivation of Trapezoidal rule

𝑥𝑥
Consider ∫𝑥𝑥 1 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 and approximate the integrand by a (NDD) polynomial of degree one:
0
𝑓𝑓 𝑥𝑥1 − 𝑓𝑓 𝑥𝑥0 𝑥𝑥 − 𝑥𝑥0 𝑥𝑥 − 𝑥𝑥1 2
𝑓𝑓 𝑥𝑥 = 𝑃𝑃1 𝑥𝑥 + 𝑅𝑅1 (𝜇𝜇) = 𝑓𝑓 𝑥𝑥0 + 𝑥𝑥 − 𝑥𝑥0 + 𝑓𝑓 (𝜇𝜇)
𝑥𝑥1 − 𝑥𝑥0 2
The integral becomes:
𝑥𝑥1 𝑥𝑥1 𝑥𝑥1
� 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 = � 𝑃𝑃1 𝑥𝑥 𝑑𝑑𝑑𝑑 + � 𝑅𝑅𝑑𝑑𝑑𝑑
𝑥𝑥0 𝑥𝑥0 𝑥𝑥0
𝑥𝑥 𝑥𝑥 𝑓𝑓 𝑥𝑥1 −𝑓𝑓 𝑥𝑥0
Consider the polynomial part : ∫𝑥𝑥 1 𝑃𝑃1 𝑥𝑥 𝑑𝑑𝑑𝑑 = ∫𝑥𝑥 1 𝑓𝑓 𝑥𝑥0 + 𝑥𝑥 − 𝑥𝑥0 𝑑𝑑𝑑𝑑
0 0 𝑥𝑥1 −𝑥𝑥0
𝑥𝑥1
𝑥𝑥1 𝑓𝑓(𝑥𝑥1 ) − 𝑓𝑓 𝑥𝑥0 1
𝑓𝑓 𝑥𝑥0 𝑥𝑥 � + 𝑥𝑥 − 𝑥𝑥0 2 �
𝑥𝑥0 (𝑥𝑥1 −𝑥𝑥0 ) 2 𝑥𝑥0
𝑓𝑓 𝑥𝑥1 − 𝑓𝑓 𝑥𝑥0
= 𝑓𝑓 𝑥𝑥0 𝑥𝑥1 − 𝑥𝑥0 + 𝑥𝑥1 − 𝑥𝑥0
2
𝑓𝑓 𝑥𝑥1 + 𝑓𝑓(𝑥𝑥0 )
= (𝑥𝑥1 − 𝑥𝑥0 )
2
 Derivation of remainder term

Consider the remainder part:

𝑥𝑥1 𝑥𝑥1
𝑥𝑥 − 𝑥𝑥0 𝑥𝑥 − 𝑥𝑥1 2
� 𝑅𝑅1 (𝜇𝜇)𝑑𝑑𝑑𝑑 = � 𝑓𝑓 (𝜇𝜇) 𝑑𝑑𝑑𝑑
𝑥𝑥0 𝑥𝑥0 2
2 𝑥𝑥1
𝑓𝑓 (𝜇𝜇)
= � 𝑥𝑥 2 − 𝑥𝑥 𝑥𝑥0 + 𝑥𝑥1 + 𝑥𝑥0 𝑥𝑥1 𝑑𝑑𝑑𝑑
2 𝑥𝑥0
𝑥𝑥1
𝑓𝑓 (2) (𝜇𝜇) 𝑥𝑥 3 𝑥𝑥 2
= − 𝑥𝑥1 + 𝑥𝑥0 + 𝑥𝑥𝑥𝑥1 𝑥𝑥0 �
2 3 2
𝑥𝑥0
𝑓𝑓 (2) 𝜇𝜇 3
=− 𝑥𝑥1 − 𝑥𝑥0
12
Finally, the Trapezoidal rule is given by:
𝑥𝑥 𝑓𝑓 𝑥𝑥1 +𝑓𝑓(𝑥𝑥0 ) 𝑓𝑓(2) 𝜇𝜇 3
∫𝑥𝑥 1 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 = (𝑥𝑥1 − 𝑥𝑥0 )
2
−
12
𝑥𝑥1 − 𝑥𝑥0
0
 Inspection of the formula

Consider the Trapezoidal rule is given by:

𝑥𝑥1
𝑓𝑓 𝑥𝑥1 + 𝑓𝑓(𝑥𝑥0 )
� 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 ≈ (𝑥𝑥1 − 𝑥𝑥0 )
𝑥𝑥0 2

From the formula, we see that it consists of

the width between the two integration limits
∆𝑥𝑥 = (𝑥𝑥1 − 𝑥𝑥0 )
and multiplied by the average of the functional
values of these limits
𝑓𝑓 𝑥𝑥1 + 𝑓𝑓 𝑥𝑥0
2

This leads to the impression of determining

the area of a rectangle or trapezium.
 Approximating definite integral

0.8 𝑥𝑥
Example 1: ∫0.4 𝑒𝑒 𝑑𝑑𝑑𝑑
Use Trapezoidal rule:
𝑥𝑥1
𝑓𝑓 𝑥𝑥1 + 𝑓𝑓(𝑥𝑥0 ) x F(x)
� 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 ≈ (𝑥𝑥1 − 𝑥𝑥0 )
𝑥𝑥0 2 0.4 1.49182
0.5 1.64872
0.8 − 0.4 2.22554 + 1.49182 0.6 1.82212
𝑇𝑇1 = = 0.743472
2 0.7 2.01375
True result: 0.733716 0.8 2.22554
 Extension of Trapezoidal rule

From calculus we have

𝑥𝑥 𝑥𝑥 𝑥𝑥
∫𝑥𝑥 1 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 = ∫𝑥𝑥 𝑗𝑗 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 + ∫𝑥𝑥 1 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑
0 0 𝑗𝑗
where 𝑥𝑥𝑗𝑗 ∈ 𝑥𝑥0 , 𝑥𝑥1 .
Divide interval into multiple equally spaced
subintervals and apply Trapezoidal rule to each
subinterval.
For two equally spaced subintervals:
𝑇𝑇2
𝑥𝑥1/2 − 𝑥𝑥0
= 𝑓𝑓(𝑥𝑥1/2 ) + 𝑓𝑓(𝑥𝑥0 )
2
𝑥𝑥1 − 𝑥𝑥1/2
+ 𝑓𝑓(𝑥𝑥1/2 ) + 𝑓𝑓(𝑥𝑥1 )
2
𝑇𝑇2 = ℎ 𝟎𝟎. 𝟓𝟓𝑓𝑓 𝑥𝑥0 + 𝟏𝟏𝑓𝑓 𝑥𝑥1/2 + 𝟎𝟎. 𝟓𝟓𝑓𝑓(𝑥𝑥1 )
Where ℎ = 𝑥𝑥1 − 𝑥𝑥1/2 or ℎ = 𝑥𝑥1/2 − 𝑥𝑥0
 Remainder term for two subintervals

The remainder term for interval 𝑥𝑥0 , 𝑥𝑥1/2 :

𝑓𝑓(2) 𝜇𝜇0 3
𝑅𝑅1 (𝜇𝜇0 ) = − 𝑥𝑥1/2 − 𝑥𝑥0 where 𝜇𝜇0 ∈ 𝑥𝑥0 , 𝑥𝑥1/2
12
The remainder term for interval 𝑥𝑥1/2 , 𝑥𝑥1 :
𝑓𝑓(2) 𝜇𝜇1 3
𝑅𝑅1 (𝜇𝜇1 ) = − 𝑥𝑥1 − 𝑥𝑥1/2 where 𝜇𝜇1 ∈ 𝑥𝑥1 , 𝑥𝑥1
12 2
Since the intervals are equal in length, let ℎ = 𝑥𝑥1/2 − 𝑥𝑥0 = (𝑥𝑥1 − 𝑥𝑥1/2 )
ℎ3 (2)
𝑅𝑅1 = − 𝑓𝑓 𝜇𝜇0 + 𝑓𝑓 (2) 𝜇𝜇1/2
12
Using the Intermediate value theorem:
𝑓𝑓 (2) 𝜇𝜇0 + 𝑓𝑓 (2) 𝜇𝜇1 = 2𝑓𝑓 (2) 𝜇𝜇 where 𝜇𝜇 ∈ 𝑥𝑥0 , 𝑥𝑥1
ℎ3 ℎ2
Note 2ℎ = (𝑥𝑥1 − 𝑥𝑥0 ), thus, 𝑅𝑅1 = − 2𝑓𝑓 2 𝜇𝜇 = − (𝑥𝑥1 − 𝑥𝑥0 )𝑓𝑓 (2) 𝜇𝜇
12 12
 Approximating definite integral

0.8 𝑥𝑥
Example 1: ∫0.4 𝑒𝑒 𝑑𝑑𝑑𝑑
Use Trapezoidal rule:
𝑥𝑥1
𝑓𝑓 𝑥𝑥0 𝑓𝑓 𝑥𝑥1 x F(x)
� 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑 ≈ ℎ( + 𝑓𝑓 𝑥𝑥1/2 + )
𝑥𝑥0 2 2 0.4 1.49182
0.5 1.64872
1.49182 2.22554
𝑇𝑇2 = (0.8 − 0.6)( + 1.82212 + ) = 0.736160 0.6 1.82212
2 2
0.7 2.01375
True result: 0.733716 0.8 2.22554

Class: Determine 𝑇𝑇4

 Composite Trapezoidal rule
𝑏𝑏
Consider the definite integral: ∫𝑎𝑎 𝑓𝑓 𝑥𝑥 𝑑𝑑𝑑𝑑
The interval [𝑎𝑎, 𝑏𝑏] is subdivided into 𝑛𝑛 subintervals with (𝑛𝑛 + 1) equally
𝑥𝑥 −𝑥𝑥
spaced points. Let ℎ = 𝑥𝑥𝑗𝑗+1 − 𝑥𝑥𝑗𝑗 = 𝑛𝑛 0 where 𝑎𝑎 = 𝑥𝑥0 and 𝑏𝑏 = 𝑥𝑥𝑛𝑛
𝑛𝑛
The Composite Trapezoidal rule is then given by:
(𝑛𝑛−1)
𝑓𝑓(𝑥𝑥0 ) 𝑓𝑓(𝑥𝑥𝑛𝑛 )
𝑇𝑇 = ℎ + � 𝑓𝑓(𝑥𝑥𝑗𝑗 ) +
2 2
𝑗𝑗=1
With remainder term:
ℎ2
𝑅𝑅1 = − (𝑥𝑥𝑛𝑛 − 𝑥𝑥0 )𝑓𝑓 (2) 𝜇𝜇 where μ ∈ 𝑥𝑥0 , 𝑥𝑥𝑛𝑛
12
 𝑦𝑦𝑏𝑏 𝑥𝑥𝑏𝑏
Double Integrals: ∫𝑦𝑦 ∫𝑥𝑥 𝑓𝑓(𝑥𝑥, 𝑦𝑦)𝑑𝑑𝑑𝑑 𝑑𝑑𝑑𝑑
𝑎𝑎 𝑎𝑎

(𝑥𝑥𝑏𝑏 −𝑥𝑥𝑎𝑎 ) (𝑦𝑦𝑏𝑏 −𝑦𝑦𝑎𝑎 )

Construct a two-dimensional grid with ℎ𝑥𝑥 = and ℎ𝑦𝑦 = .
𝑛𝑛𝑥𝑥 𝑛𝑛𝑦𝑦

Note that 𝑥𝑥𝑎𝑎 = 𝑥𝑥0 ; 𝑥𝑥𝑏𝑏 = 𝑥𝑥𝑛𝑛𝑥𝑥 ; 𝑦𝑦𝑎𝑎 = 𝑦𝑦0 and 𝑦𝑦𝑏𝑏 = 𝑦𝑦𝑛𝑛𝑦𝑦
Apply Composite Trapezoidal Rule first for say 𝑥𝑥 domain:
𝑦𝑦𝑏𝑏 𝑥𝑥𝑏𝑏 𝑦𝑦𝑏𝑏 𝑛𝑛𝑥𝑥 −1

� � 𝑓𝑓(𝑥𝑥, 𝑦𝑦)𝑑𝑑𝑑𝑑 𝑑𝑑𝑑𝑑 ≈ � ℎ𝑥𝑥 0.5𝑓𝑓 𝑥𝑥0 , 𝑦𝑦 + 1 � 𝑓𝑓(𝑥𝑥𝑗𝑗 , 𝑦𝑦) + 0.5𝑓𝑓(𝑥𝑥𝑛𝑛𝑥𝑥 , 𝑦𝑦) 𝑑𝑑𝑑𝑑
𝑦𝑦𝑎𝑎 𝑥𝑥𝑎𝑎 𝑦𝑦𝑎𝑎 𝑗𝑗=1
1
Factorize from the approximation i.e
2
𝑦𝑦𝑏𝑏 𝑥𝑥𝑏𝑏 𝑦𝑦𝑏𝑏 𝑛𝑛𝑥𝑥 −1
ℎ𝑥𝑥
� � 𝑓𝑓(𝑥𝑥, 𝑦𝑦)𝑑𝑑𝑑𝑑 𝑑𝑑𝑑𝑑 ≈ � 1𝑓𝑓 𝑥𝑥0 , 𝑦𝑦 + 2 � 𝑓𝑓(𝑥𝑥𝑗𝑗 , 𝑦𝑦) + 1𝑓𝑓(𝑥𝑥𝑛𝑛𝑥𝑥 , 𝑦𝑦) 𝑑𝑑𝑑𝑑
𝑦𝑦𝑎𝑎 𝑥𝑥𝑎𝑎 𝑦𝑦𝑎𝑎 2
𝑗𝑗=1

Note: the variable 𝑦𝑦 is treated independent to 𝑥𝑥.

 𝑦𝑦𝑏𝑏 𝑥𝑥𝑏𝑏
Double Integrals: ∫𝑦𝑦 ∫𝑥𝑥 𝑓𝑓(𝑥𝑥, 𝑦𝑦)𝑑𝑑𝑑𝑑 𝑑𝑑𝑑𝑑
𝑎𝑎 𝑎𝑎

Then 𝑦𝑦 domain. We have three integrals:

𝑛𝑛𝑦𝑦 −1
𝑦𝑦𝑏𝑏
ℎ𝑥𝑥 ℎ𝑥𝑥 ℎ𝑦𝑦
� 1𝑓𝑓(𝒙𝒙𝟎𝟎 , 𝑦𝑦) 𝑑𝑑𝑑𝑑 ≈ 1 𝒇𝒇 𝒙𝒙𝟎𝟎 , 𝒚𝒚𝟎𝟎 + 2 � 𝑓𝑓(𝑥𝑥0 , 𝑦𝑦𝑘𝑘 ) + 𝒇𝒇(𝒙𝒙𝟎𝟎 , 𝒚𝒚𝒏𝒏𝒚𝒚 )
2 𝑦𝑦𝑎𝑎 2 2
𝑘𝑘=1
Integral of a summation = summation of integral
𝑛𝑛𝑥𝑥 −1 𝑛𝑛𝑥𝑥 −1 𝑛𝑛𝑦𝑦 −1
𝑦𝑦𝑏𝑏
ℎ𝑥𝑥 ℎ𝑥𝑥 ℎ𝑦𝑦
� ( � 2𝑓𝑓(𝒙𝒙𝒋𝒋 , 𝑦𝑦) 𝑑𝑑𝑑𝑑) ≈ � 2 𝑓𝑓 𝑥𝑥𝑗𝑗 , 𝑦𝑦0 + 2 � 𝑓𝑓(𝑥𝑥𝑗𝑗 , 𝑦𝑦𝑘𝑘 ) + 𝑓𝑓(𝑥𝑥𝑗𝑗 , 𝑦𝑦𝑛𝑛𝑦𝑦 )
2 𝑦𝑦𝑎𝑎 2 2
𝑗𝑗=1 𝑗𝑗=1 𝑘𝑘=1
and
𝑛𝑛𝑦𝑦 −1
𝑦𝑦𝑏𝑏
ℎ𝑥𝑥 ℎ𝑥𝑥 ℎ𝑦𝑦
� 1𝑓𝑓(𝒙𝒙𝒏𝒏𝒙𝒙 , 𝑦𝑦) 𝑑𝑑𝑑𝑑 ≈ 1 𝒇𝒇 𝒙𝒙𝒏𝒏𝒙𝒙 , 𝒚𝒚𝟎𝟎 + 2 � 𝑓𝑓 𝑥𝑥𝑛𝑛𝑥𝑥 , 𝑦𝑦𝑘𝑘 + 𝒇𝒇 𝒙𝒙𝒏𝒏𝒙𝒙 , 𝒚𝒚𝒏𝒏𝒚𝒚
2 𝑦𝑦𝑎𝑎 2 2
𝑘𝑘=1
 𝑦𝑦𝑏𝑏 𝑥𝑥𝑏𝑏
Double Integrals: ∫𝑦𝑦 ∫𝑥𝑥 𝑓𝑓(𝑥𝑥, 𝑦𝑦)𝑑𝑑𝑑𝑑 𝑑𝑑𝑑𝑑
𝑎𝑎 𝑎𝑎

Finally, we combine to obtain:

𝑦𝑦𝑏𝑏 𝑥𝑥𝑏𝑏 ℎ𝑦𝑦 ℎ𝑥𝑥

� � 𝑓𝑓 𝑥𝑥, 𝑦𝑦 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 ≈ 𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 + 𝑬𝑬𝑬𝑬𝑬𝑬𝑬𝑬𝑬𝑬 + 𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰𝑰
𝑦𝑦𝑎𝑎 𝑥𝑥𝑎𝑎 4
Where,
𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 = 𝑓𝑓 𝑥𝑥0 , 𝑦𝑦0 + 𝑓𝑓 𝑥𝑥𝑛𝑛𝑥𝑥 , 𝑦𝑦0 + 𝑓𝑓 𝑥𝑥𝑛𝑛𝑥𝑥 , 𝑦𝑦𝑛𝑛𝑦𝑦 + 𝑓𝑓 𝑥𝑥0 , 𝑦𝑦𝑛𝑛𝑦𝑦
𝑛𝑛𝑦𝑦 −1 𝑛𝑛𝑥𝑥 −1

𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸 = 2 � (𝑓𝑓 𝑥𝑥0 , 𝑦𝑦𝑘𝑘 + 𝑓𝑓(𝑥𝑥𝑛𝑛𝑥𝑥 , 𝑦𝑦𝑘𝑘 )) + 2 � (𝑓𝑓 𝑥𝑥𝑗𝑗 , 𝑦𝑦0 + 𝑓𝑓(𝑥𝑥𝑗𝑗 , 𝑦𝑦𝑛𝑛𝑦𝑦 ))
𝑘𝑘=1 𝑗𝑗=1
𝑛𝑛𝑦𝑦 −1 𝑛𝑛𝑥𝑥 −1

𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 = 4 � � 𝑓𝑓(𝑥𝑥𝑗𝑗 , 𝑦𝑦𝑘𝑘 )

𝑘𝑘=1 𝑗𝑗=1
The grid for Composite Trapezoidal

Corner point Edge point Internal point

 𝑦𝑦𝑏𝑏 𝑥𝑥𝑏𝑏
Double Integrals: ∫𝑦𝑦 ∫𝑥𝑥 𝑓𝑓(𝑥𝑥, 𝑦𝑦)𝑑𝑑𝑑𝑑 𝑑𝑑𝑑𝑑
𝑎𝑎 𝑎𝑎

With ℎ𝑥𝑥 = 0.2 and ℎ𝑦𝑦 = 0.1 we obtain: 𝑇𝑇𝑥𝑥𝑥𝑥 = 0.466402246

Numerical
Integration:
Part B