Convergence Analysis of Newton-Cotes Methods
Convergence Analysis of Newton-Cotes Methods
ABSTRACT
This study explored the piecewise approach of the closed Newton-Cotes quadrature formulas
(Trapezoidal, Simpson’s 1/3, and 3/8 rules) and how well they work with different kinds of functions in
terms of convergence and accuracy. MATHEMATICA software was used to approximate the integrals
and determine their errors, allowing for a comparison of convergence and accuracy. Simpson’s 1/3 and
3/8 rules consistently outperformed the trapezoidal rule, demonstrating faster convergence and greater
accuracy across a wide range of functions. However, as tolerance levels increased to a considerable
magnitude, Simpson’s 3/8 rule emerged as the most robust among the three methods. We recommend
investigating various domains to substantiate the findings of this study including a comprehensive error
analysis that includes truncation error, round-off error, and error bounds to provide a more detailed
understanding of the sources and magnitude of errors and to include higher-dimensional integrals to
provide valuable insights into the robustness of these methods.
KEYWORDS
Numerical Quadrature, Newton-Cotes, Trapezoidal Rule, Simpson’s 1/3 rule, Simpson’s 3/8 rule
1. INTRODUCTION
The Newton-Cotes quadrature methods are a class of numerical integration techniques based on
polynomial interpolation over a set of equally spaced nodes [1]. These techniques provide a
direct approximation of definite integral . However, they can quickly become
unstable when applied to functions with distinct characteristics specially those that are not well-
approximated by low-degree polynomials over large intervals. This leads to a substantial
increase of error, as the polynomial interpolant may not accurately capture the behaviour of the
integrand over a large interval.
The Newton-Cotes formulas are obtained by interpolating polynomials which approximate the
tabulated function . Then integrating the function over some interval divided
into equal sub-intervals such that and [2]. The two types of Newton-
Cotes quadrature methods are open and closed. The -point closed Newton-Cotes
method includes endpoints of the closed interval as nodes. It uses nodes
[3]. Unlike
closed Newton-Cotes, open Newton-Cotes formulas do not include the endpoints of .
The most recognized closed Newton-Cotes formulas are the trapezoidal rule and Simpson’s 1/3
and 3/8 rules, mainly because of their balance of simplicity and preciseness. These methods are
widely applied across various areas of study, such as engineering, economics and finance,
computational science, and more [4]. Trapezoidal rule and Simpson’s rule are interpolatory
quadrature based on linear and quadratic interpolants, respectively [5]. These low-order rules
are often slow to converge and return inaccurate results over large intervals due to the
oscillatory nature of high-degree polynomials.
High-order quadrature techniques would be necessary to integrate high-degree polynomials,
however the values of the coefficients in these techniques are difficult to obtain and often
numerically unstable [1][3]. Alternatively, the Composite Quadrature rules for trapezoidal and
Simpson’s are simpler approach and considered an effective way to increase the accuracy of the
result when integrating high-degree polynomials. These rules involve partitioning the interval
into subintervals then using low-order interpolants (e.g. Trapezoidal and Simpson) to
approximate the integrals in each subinterval.
The composite approach in numerical quadrature, particularly, using low-order Newton-Cotes
methods like the trapezoidal rule and Simpson's rule has been extensively studied due to its
practical advantages in improving accuracy and managing the convergence of integral
approximations. The study by Udin, M.J.et al evaluated and compared the performance of
Trapezoidal, Simpson’s 1/3, and 3/8 rules in terms of accuracy and efficiency, utilizing error
analysis to determine which method performs better in providing accurate results [6]. Daan
Huybrechs, reviewed and presented the difference between the low-order variants of the class of
Newton-Cotes quadrature and the high-order quadrature (Least-Square quadrature) in terms of
numerical stability and convergence properties [1]. Yalda Qani used the advanced family of
closed Newton–Cotes numerical composite formulas to demonstrate some of the computational
capabilities of the Maple package [7]. In the A.H. Nzokem study, he implemented both
analytical and numerical methods (composite Newton-Cotes quadrature formulas) in solving the
Gamma Distribution Hazard function [8]. Sheehan Olver investigated and explored the
numerical integration of highly oscillatory functions, over both univariate and multivariate
domains, using the combination of Filon-type methods and Levin-type methods [9].
Furthermore, Hamid Mottaghi Golshan proposed a numerical iterative method based on Picard
iterations and Newton-Cotes rules that can be used to approximate the multidimensional
Fredholm–Urysohn integral equation of the second kind [10]. The study of Magalhaes, P. et al.
discussed and compared the closed and open Newton-Cotes quadrature formula, utilizing
twenty segments to assess the accuracy and convergence of the two methods [11]. In the work
of Ali, A. J. et al, they utilized error and stability analysis to evaluate the degree of accuracy of
analytical, numerical (Trapezoidal and Simpson’s 1/3 and 3/8 rules), and software-assisted
(MatLab) methods [12]. Likewise, Erme Sermutlu conducted a study utilizing MatLab and
error analysis to compare Newton-Cotes and Gauss quadrature methods over the same number
of intervals for diverse types of functions [13]. Additionally, John Roumeliotis used the
software-assisted method (Maple) to prove the Ostrowski and corrected Trapezoidal inequalities
and stated two new fourth-order quadrature formula [14]. Wu, J et. Al. explored and used the
composite Newton-Cotes methods for computation of Hadamard finite-part integral with the
second order singularity focusing on their pointwise superconvergence properties [15]. And, in
the study conducted by Clarence Burg, he presented a new closed Newton–Cotes type of
quadrature formula that uses first and higher order derivatives to increase the order of accuracy
of the numerical approximations of definite integrals [16].
This paper, like the cited studies, aims to investigate the Newton-Cotes quadrature methods
(Trapezoidal and Simpson’s rules) for approximating definite integrals and analyse their
convergence and accuracy. However, it will focus on the piecewise approach (composite rules)
of the closed Newton-Cotes quadrature methods and explore their applicability to various
special function types. It will also determine how the selection of sub-intervals affects the
accuracy and convergence of these approaches.
2. MATERIALS AND METHODS
Presented in this section is the piecewise approach of the three commonly used closed Newton-
Cotes quadrature formulas.
(2.1)
where the weight
(2.2)
Using the first order Lagrange interpolating polynomial, (2.1) and (2.2) return
with,
and
(2.3)
Since (2.3) can also be expressed as
In a similar manner, using the second-order Lagrange interpolating polynomials, (2.1) and (2.2)
give
with,
We obtain the standard 1/3 Simpson’s rule, which is one of the most recognized closed Newton-
Cotes quadrature approaches in practice.
(2.4)
with
Combining and simplifying, we obtain the 3/8 Simpson’s rule
(2.5)
The definition indicates that a degree- quadrature method has a degree of exactness
This further implies that it can exactly integrate . However, there are exceptional cases
wherein a degree- interpolant can also exactly integrate higher degree polynomials.
Consequently, the degree of precision of trapezoidal rule and Simpson’s rules are one and three,
respectively.
(2.6)
From this formula follows a bound for the worst error over :
Furthermore,
Theorem 2.2 [3, p. 198] Suppose that denotes The -point closed
Newton-Cotes formula with . There exist for which
(2.7)
If is even and and
(2.8)
If is odd and
Using this theorem with (2.8) returns
(2.9)
where .
Similarly, we obtain the standard Simpson’s 1/3 rule with its error term using (2.4) with
and (2.7) becomes,
(2.10)
where .
Simpson’s 3/8 rule with its error term is obtained using (2.5) with
and (2.8) yields,
(2.11)
where
These indicates that the degree of precision of (2.7) is and (2.8) is although the
interpolation polynomial is of degree at most .
(2.12)
(2.13)
Theorem2.3 [3, p. 206]Let , and .
There exists for which the Composite Trapezoidal rule for subintervals can be
written with its error term as
(2.14)
The error term in (2.14) can be derived from the summation of all errors in the application of
standard trapezoidal rule on each subinterval. Thus,
for .
we have, n
and,
Hence,
It is intriguing to note that the error term for the composite trapezoidal rule is not
that we have in (2.9). These are not comparable because for standard trapezoidal rule is fixed
at since , but for composite trapezoidal rule for positive integer .
(2.15)
(2.16)
Similarly, the error term in (2.16) can be derived from the summation of all errors in the
application of standard Simpson’s rule on each consecutive pair of subintervals. Thus,
for for .
we have,
and
We can also observe that the error term for the Composite Simpson’s rule is , instead of
which was the error in the standard Simpson’s rule (2.10). This is simply because the
in standard Simpson’s rule is fixed at rule while in composite Simpson’s rule it is rule
for an even integer
Although both Simpson’s 1/3 and 3/8 rules require the same number of subintervals to achieve
convergence, a closer examination reveals that the Simpson’s 3/8 rule yields a smaller absolute
error before reaching convergence with the true value. It can be noted in Figure. 1 that there is a
significant difference of the absolute error of the trapezoidal Rule compared to the other
methods. A large gap of the errors is observed on the initial subintervals until the desired
tolerance level is attained. On the other hand, there is a marginal difference between the errors
of 1/3 rule and 3/8 rule.
Figure 1. Absolute Error Graphs
The Fresnel sine integral, is widely used in the field of optics and
used in the calculation of electromagnetic field density. The approximation of the function at
is scrutinized in this study. The results in Table 2 indicates that there is a lesser variation
in terms of the convergence behaviour across the 3 methods in approximating the definite
integral considering the tolerance level of . It can be observed from the results that it only
requires fewer subintervals of the intervals to achieve an approximation that closely aligns with
the true value. The trapezoidal rule necessitated the use of 6 subintervals to produce an
approximate value that converged with the exact value. In contrast, both Simpson’s 1/3 and 3/8
rules only required 4 to reach a similar level of accuracy.
Table 2. Approximation of within
Additionally, the comparative analysis of the absolute errors across the three methods displayed
in Figure 2 reveals that the Simpson's 3/8 rule consistently yields the minimal magnitudes of
absolute errors until the desired precision is achieved. The first subinterval signifies larger
disproportions on the absolute errors. The gaps are minimized when the succeeding subintervals
are considered.
There is an exceptionally large discrepancy in terms of the robustness of the trapezoidal rule as
compared to Simpson’s 1/8 and 3/8 rules. To arrive at the desired accuracy level, the trapezoidal
rule required more than 20 times the number of subintervals of the Simpsons rules, and
subintervals for the 1/3 rule and and for the 3/8 rule.
When the tolerance level is increased to it can be observed from Table 8 that trapezoidal
rule requires 9000 subintervals to achieve convergence. This is comparable to the outcomes of
the incomplete gamma function and standard normal distribution function. Simpson’s 3/8 Rule
has the fastest convergence which necessitates the use of 75 subintervals while the 1/3 Rule
requires 92 subintervals.
Absolute error set to be below:1.*10^-10
Searching for n that satisfies absolute error less than:1.*10^-10
**********************TRAPEZOIDAL RULE****************************
TOL at n=9000, Absolute error at:2.057612525*10^-9
n=9000 approx: 0.538079509 exact: 0.5380795069 Abs error : 2.057612525*10^-9
**********************SIMPSONS 1/3 RULE****************************
TOL met at n=184, Absolute error at:9.693024161*10^-11
n=184 approx: 0.538079509 exact: 0.5380795069 Abs error : 9.693024161*10^-11
**********************SIMPSONS 3/8 RULE****************************
TOL met at n=225, Absolute error at:9.753819974*10^-11
n=225, approx: 0.538079509 exact: 0.5380795069 Abs error: 9.753819974*10^-11
4. CONCLUSIONS
The results in the preceding section reveal distinct patterns regarding the efficiency and
accuracy of various numerical integration methods across different classes of functions.
Simpson’s 1/3 and 3/8 rules consistently surpass the trapezoidal rule. The two methods show
faster convergence and higher level of accuracy. However, when the tolerance level is increased
to a considerable magnitude, the Simpson’s 3/8 rule emerged as the most robust among the
three methods. Moreover, comparative analysis of absolute errors reveals that the Simpson’s 3/8
rule yields smaller magnitudes of absolute errors. Conversely, the trapezoidal rule consistently
exhibits a slower convergence rate, which requires larger number of subintervals to attain the
desired level of accuracy.
The four functions utilized a common interval for estimating the definite integral, thus it
is recommended to investigate various domains to substantiate the findings and to gain a deeper
understanding on the numerical methods utilized in the study. In addition to examining absolute
error, future research should incorporate a comprehensive error analysis that includes relative
error, truncation error, and round-off error and error bound. This can provide a more detailed
understanding of the sources and magnitudes of errors in numerical integration. Furthermore,
we recommend extending the research to include higher-dimensional integrals could provide
valuable insights into the robustness of these numerical methods.
ACKNOWLEDGEMENTS
The authors would like to express their deepest gratitude to Dr Rito Opol Jr. for his valuable
suggestions during the course this work. Thank you, Dr Rito, for your unwavering support.
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Authors
Lea A. Catapang is a seasoned mathematics
educator with a Master of Science in
Mathematics degree. She is currently teaching
mathematics and IT courses at Bahrain
Polytechnic's School of Foundation. She has
dedicated fourteen years to university-level
education and twelve years to a polytechnic
setting. Her experience in both academic
environments made her a more versatile and
effective educator.