CHAPTER-V

 
NUMERICAL DIFFERENTIATION
& INTEGRATION
CONTENTS:

• INTRODUCTION
• FORWARD DIFFERENCE FORMULA
• CENTRAL DIFFERENCE FORMULA
• NUMERICAL INTEGRATION
• TRAPEZOIDAL RULE
• SIMPSON’S RULE
5.1 Introduction:
 Calculus is mathematics of change. Because engineers must
continuously deal with systems and processes that change,
calculus is an essential tool of the engineering profession.

 Standing at the heart of calculus are the related mathematical

concepts of differentiation and integration.

 Mathematically, the derivative represents the rate of change of a

dependent variable with respect to an independent variable. If y is
the dependent variable and x is the independent variable, the first
derivative of y = f(x) w.r.t. to x, represented by dy/dx, is given by
 dy f xi  x   f x i 
 lim
dx x  0 x
 The inverse process to differentiation in calculus is
integration. Mathematically, integration is represented by

b
I   f x dx
a
 which stands for the integral of the function f(x) w.r.t. the
independent variable x, evaluated between the limits x = a
to x = b. The function f(x) is referred to as the integrand.
Non-Computer Methods for Differentiation and Integration
The function to be differentiated or integrated will typically be in one of the
following three forms:
1. A simple continuous function such as a polynomial, an exponential, or a
trigonometric function.
2. A complicated continuous function that is difficult or impossible to
differentiate or integrate directly.
3. A tabulated function where the values of x and f(x) are given at a number of
discrete points, as is often the case with experimental or field data.
 In the first case, the derivative or integral of a simple function may be
evaluated analytically using calculus.

 For the second case, analytical solutions are often impractical, and
sometimes impossible, to obtain. In these instances, as well as in the
third case of discrete data, approximate methods must be employed.
 In the non-computer method for determining derivatives from data, the
(x, y) data are tabulated and, for each interval, a simple divided
difference Δy/Δx is employed to estimate the slope.
 
 Then these values are plotted as a stepped curve versus x. Next a smooth
curve is drawn that attempts to approximate the area under the stepped
curve.

 That is, it is drawn so that visually, the positive and the negative areas are
balanced. The rates at given values of x can then be read from the curve.

 In the same spirit, visually oriented approaches were employed to integrate

tabulated data and complicated functions in the pre-computer era.

 A simple intuitive approach is to plot the function on a grid and count the
number of boxes that approximate the area. This number multiplied by the
area of each box provides a rough estimate of the total area under the curve.
 This estimate can be refined, at the expense of additional effort, by
using a finer grid.
 Another commonsense approach is to divide the area into vertical
segments, or strips, with a height equal to the function value at the
midpoint of each strip.
 The area of the rectangles can be then calculated and summed to
estimate the total area.
 In this approach, it is assumed that the value at the midpoint provides
a valid approximation of the average height of the function for each
strip.
 As with the grid method, refined estimates are possible by using more
(and thinner) strips to approximate the integral.
5.2 Numerical Differentiation :
An effective tool for Numerical Differentiation is the Taylor series
expansion of f (x) about the point xi. It has the advantage of providing
us with information about the error involved in the approximation.

Numerical differentiation is not a particularly accurate process. It

suffers from a conflict between round off errors (due to limited
machine precision) and errors inherent in interpolation. For this
reason, a derivative of a function can never be computed with the
same precision as the function itself
5.2.1 Lower Order Methods

By truncating the second- and higher-derivatives in the Taylor series

f xi  2
f xi 1   f xi   f xi h  h  ....
2

the following formula for approximating the first derivative, called the first
forward difference, is obtained

f xi 1   f xi  f i
f x    Oh    Oh 
h h

Where f i is referred to as the first forward difference and h is called the

step size. The entire term f h is referred to as a first finite divided
difference.
Similarly, by truncating the Taylor series between xi-1 and xi,
f xi  2
f xi   f xi 1   f xi h  h  ...
2!

the following formula for approximating the first derivative is obtained

f xi 1   f xi  f i
f xi    Oh    Oh 
h h

Where f i is referred to as the first backward difference.

A third way to approximate the first derivative is to subtract backward Taylor
series expansions (between xi-1 and xi ) from the forward Taylor series
expansion (between xi-1 and xi ) resulting in
f 3 x i  3
f xi 1   f xi 1   2 f xi h  h  ...
3!
from which we obtain

f xi 1   f xi 1 
f xi  
2h
 
 O h2

The above equation is a centered difference representation of the first

derivative.
 Example   Consider the function

Compute numerical approximations for using step sizes, h=0.1,0.01,0.001 

𝑓 ( 𝑥 )=𝑒− 𝑥 sin ⁡( 𝑥)
Using h=0.1 Using h=0.01
=((0.296657)-(0.318477))/(0.2) =((0.308432)-(0.310648))/(0.02)
=(-0.0218198)/(0.2) =(-0.000221587)/(0.002)
=-0.109099 =-0.110794
Using h=0.001
=((0.309449)-(0.30967))/(0.002)
=(-0.000221587)/(0.02)
=-0.110794

The true value is:

=
=-0.110794
 5.2.2 High-Accuracy Differentiation Formulas

High-accuracy divided difference formulas can be generated by including

additional terms from the Taylor series expansion. For example, the
forward Taylor series expansion can be written as
f xi  2
f xi 1   f xi   f xi h  h  ...
2
which can be solved for
f xi 1   f xi  f xi  2
f xi    h  O h 2 
h 2

The result can be truncated by excluding the second- and higher-

derivative terms and were thus left with a final result
 f xi 1   f xi 
f xi    Oh 
h
We can retain the second-derivative term by substituting the following approximation of the
second derivative

f xi  2   2 f xi 1   f xi 

f xi   2
 Oh 
h
into Eq. 2 to yield

f xi 1   f xi  f xi  2   2 f xi 1   f xi 

f xi    h  O 
h 2

h 2h 2
collecting terms

 f xi  2   4 f xi 1   3 f xi 

f xi    Oh 2 
2h
 Notice that the inclusion of the second-derivative term has improved the
accuracy to O (h2).
 Similar improved versions can be developed for the backward and
centered formulas as well as for the approximations of the higher
derivatives. The formulas are given below.
Forward Finite-divided Difference Formulas
First Derivative Error
f xi 1   f xi  Oh 
f xi  
h
 f xi  2   4 f xi 1   3 f xi   
O h2
f xi  
2h
Second Derivative
f xi  2   2 f xi 1   f xi  Oh 2 
f x i   2
h
 f xi 3   4 f xi  2   5 f xi 1   2 f xi 
f xi    
O h2
h2
Third Derivative
f xi 3   3 f xi  2   3 f xi 1   f xi 
f xi  
h3
 3 f xi  4   14 f xi 3   24 f xi  2   18 f xi 1   5 f xi 
f xi  
2h 3

Fourth Derivative
f xi  4   4 f xi 3   6 f xi  2   4 f xi 1   f xi 
f x i  
4 
h4
 2 f xi 5   11 f xi  4   24 f xi 3   26 f xi  2   14 f xi 1   3 f xi 
f 4 
x i  
h4
Look on the handout for
•Backward Finite-divided Difference Formulas
•Centered Finite-divided Difference Formulas
 Numerical Integration
5.3 Newton-Cotes integration formulas
The Newton-Cotes formulas are the most common numerical
integration schemes. They are based on the strategy of
replacing a complicated function or tabulated data with an
approximating function that is easy to integrate:
b b
I   f x dx   f x dx
n
a a

where fn(x) = a polynomial of the form

f n x   a 0  a1 x  ...  a n 1 x n 1
 an x n

where n is the order of the polynomial.

The integral can be approximated by one polynomial or using a
series of polynomials applied piecewise to the function or date
over segments of constant length.

Closed and open forms of the Newton-Cotes formulas are

available. The closed forms are those where the data points at
the beginning and end of the limits of integration are known.
The open forms have integration limits that extend beyond the
range of the data.
 1.The Trapezoidal Rule

The trapezoidal rule is the first of the Newton-Cotes closed

integration formulas. It corresponds to the case where the
polynomial in Eq. is first-order:
b b
I   f x dx   f1 x dx
a a

The straight line passing through the two points (a, f(a)) and (b, f(b)) is
given by
f b   f a 
f 1 x   f a   x  a 
ba
The area under this straight line is an estimate of the integral of f(x)
between the limits a and b:

f b   f a 
b
 
I    f a   x  a dx
a 
ba 

The result of the integration is

f a   f b 
I  b  a 
2
which is called the trapezoidal rule.
Error of the Trapezoidal Rule

When we employ the integral under a straight line to

approximate the integral under the curve, we obviously can incur
an error that may be substantial. An estimate of the local
truncation error of a single application of the trapezoidal rule is

1
f  b  a 
3
Et   
12

where ξ lies somewhere in the interval from a to b.

the exact value of the integral can be determined analytically to be 1.640533.
Multiple-Application of Trapezoidal Rule

One way to improve the accuracy of the trapezoidal rule is to

divide the integration interval from a to b into a number of
segments and apply the method to each segment. The areas
of the individual segments can then be added to yield the
integral for the entire interval. The resulting equations are
called multiple-application, or composite, integration
formulas.

Considering n + 1 equally spaced base points (x0, x1,

x2, ..., xn), and n segments of equal width:
 
 ba
h 
n
If a and b are designated as x0 and xn, respectively, the total
integral can be represented as
x1 x2 xn

I   f x dx   f x dx  ...   f x dx

x0 x1 x n 1

Substituting the trapezoidal rule for each interval yields

f x0   f x1  f x1   f x 2  f x n 1   f x n 
I h h  ...  h
2 2 2
or, grouping terms,

h n 1

I   f x 0   2 f xi   f x n 
2 i 1 
or, It can be expressed in the following form,
n 1
f x 0   2 f xi   f x n 
I  b  a  i 1

2n
An error for the multiple-application trapezoidal rule can be obtained
by summing the individual errors for each segment to give
b  a n
Et 
12n 3  f  
i 1
i

where f"(ξi) is the second derivative at a point ξi located in segment i.

This result can be simplified by estimating the mean or the average
value of the second derivative for the entire interval as
 n

 f  i 
f   i 1

n
Therefore  f    nf 
i and Eq. 5.25 can be rewritten as

Ea 
b  a
3
f 
2
12n
Thus, if the number of segment is doubled, the truncation error will
be quartered.
Example   Numerically approximate the integral    

 by using the trapezoidal rule with  m = 1, 2, 4, 8, and

16  subintervals.
For m = 1
For m = 2

For m = 4

follow the same procedure for m = 8 and 16

5.3.2 Simpson's Rules
Aside from applying the trapezoidal rule with finer
segmentation, another way to obtain a more accurate
estimate of an integral is to use higher-order polynomial to
connect the points.
For example, if there is an extra point midway between f(a)
and f(b), the three points can be connected with a parabola.
If there are two points equally spaced between f(a) and f(b),
the four points can be connected with a third-order
polynomial.
The formulas that result from taking the integrals under
these polynomials are called Simpson's rules.

i) Simpson's 1/3 Rule

Simpson's 1/3 rule results when a second-order

interpolating polynomial is substituted into Eq. 5.13:
b b
I   f x dx   f x dx
a a
2

If a and b are designated as x0 and x2 and f2(x) is

represented by a second-order Lagrange polynomial, the
integral becomes
 x2
 x  x1 x  x2  x  x0 x  x2   x  x1 x  x2  
I   f x 0   f x1   f x 2 dx
x  x1 x0  x2 
x  0
x0  x1 x0  x2  x0  x1 x0  x2  

After integration and algebraic manipulation, the following

formula results
h
I   f x0   4 f x1   f x 2 
3

where, for this case, . This equation is known as Simpson's

1/3 rule.
Simpson's 1/3 rule can also be expressed in the following format

f x0   4 f x1   f x 2 
I  b  a 
6
Where a=x0, b=x2 and x1= the point midway between a and b,
which is given by (b+a)/2.

Notice that, according to the above equation, the middle

point is weighted two-thirds and the two end points by one-
sixth.
 It can be shown that a single-segment application of Simpson's
1/3 rule has a truncation error of
1 5 4 
Et   h f  
90
because h  b  a  2

Et 
b  a
5
f 4 
 
2880
where ξ lies somewhere in the interval from a to b. Thus,
Simpson's 1/3 rule is more accurate that the trapezoidal rule.
Multiple Application of Simpson's 1/3 Rule
Just as with the trapezoidal rule, Simpson's rule can be
improved by dividing the integration interval into a number of
segments of equal width:
ba
h
n
The total integration can be represented as
x2 x4 xn

I   f x dx   f x dx  ...   f x dx

x0 x2 xn  2
Substituting Simpson's 1/3 rule for the individual integral yields

f x0   4 f x1   f x 2  f x 2   4 f x 3   f x 4 
I  2h  2h  ...
6 6
f x n  2   4 f x n 1   f x n 
 2h
6
combining terms,
n 1 n2
f x 0   4  f x   2  f x   f x 
i j n

I  b  a 
i 1, 3, 5 j  2, 4, 6

3n
An error estimate for the multiple-application Simpson's rule is
obtained in the same fashion as for the trapezoidal rule by
summing the individual errors for the segments and averaging
the derivative to yield

Ea 
ba 5
f 4 
4
180n

4 
Where f is the average fourth derivative for the interval.
Ea 
b  a
5
f 4 
180n 4
 Example  Numerically approximate the integral   

by using Simpson's rule with  m = 1, 2, 4, and 8.

f x0   4 f x1   f x 2 
For m = 1 I  b  a 
6
 n 1 n2
f x 0   4  f x   2  f x   f x 
i j n

I  b  a 
i 1, 3, 5 j  2, 4, 6

3n
For m = 2

For m = 4
For m = 8
Simpson's 3/8 Rule

In a similar manner to the derivation of the trapezoidal and

Simpson's 1/3 rule, a third-order Lagrange polynomial can be
fit to four points and integrated:
b b
I   f x dx   f 3 x dx
a a

to yield 3h f x 0   3 f x1   3 f x 2   f x3 

I 
8 8

Where h  b  a  3
This equation is called Simpson's 3/8 rule because h is
multiplied by 3/8. It is the third Newton-Cotes closed
integration formula.

The 3/8 rule can also be expressed in the following form:

f x0   3 f x1   3 f x 2   f x3 

I  b  a 
8
Thus, the two interior points are given weight's are given
weights of three-eighths, whereas the end points are weighted
with one-eighth.

Simpson's 3/8 rule has an error of

Et 
b  a
5
f 4 
 
6480
Simpson's 1/3 rule is usually the method of preference
because it attains third-order accuracy with three points
rather than the four points required for the 3/8 version.

However, the 3/8 rule has utility when the number of

segments is odd.
Example Numerically approximate the integral 

by using Simpson's 3/8 rule with  m = 1, 2, 4.

  
For m = 1

For m = 2
For m = 3