Numerical Integration

Fundamentals

Quadrature
ˆ 1 np
X
f (ξ) dξ ≈ Wi f (ξi )
−1 i=1

Different sets (families) of points ξi and weights Wi

Quadrature typically based on the assumption that f is a simple and
completed polynomial of order p

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 Numerical Integration (cont.)
Fundamentals

Change of Interval
b−a a+b
Change of variable x = ξ+
2 2
ˆ b ˆ 1
b−a a + b dx
f (x) dx = f( ξ+ ) dξ
a −1 2 2 dξ
|{z}
b−a
2

Quadrature formula on [a, b]

ˆ b np
b−a X b−a a+b
f (x) dx ≈ Wi f ( ξi + )
a 2 2 2
i=1

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 Some Quadratures

Newton-Cotes
Point locations are fixed a-priori (equally spaced n + 1), only the
weigthts need to be calculated
Based on Lagrange polynomials
Exact for polynomials of order n (if n is even of polynomials of order
n + 1)
Closed Newton-Cotes formulas (well known Trapezoidal rule, Simpson’s
rule, etc.) and Open Newton-Cotes formulas (rectangle -mid point- rule,
Milne’s rule, etc.)
Allows for nested quadrature schemes
For large n a Newton-Cotes rule can sometimes suffer from catastrophic
Runge’s phenomenon where the error grows exponentially for large n.

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 Some Quadratures (cont.)

Methods such as Gaussian quadrature and Clenshaw-Curtis quadrature with

unequally spaced points are stable and much more accurate, and are
normally preferred to Newton-Cotes

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 Some Quadratures (cont.)

Gaussian Quadrature
Point locations are NOT fixed a-priori
▶ Points are NOT equally spaced
▶ Points are weights need to be calculated
Exact for polynomials of order p = 2np − 1

It can be shown (see Press, et al., or Stoer and Bulirsch) that the
quadrature nodes ξi are the roots of a polynomial belonging to a class of
orthogonal polynomials (the class orthogonal with respect to a weighted
inner-product).

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 Some Quadratures (cont.)

Clenshaw-Curtis quadrature (Fejér quadrature)

Based on an expansion of the integrand in terms of Chebyshev
polynomials.
I.e., employ a change of variables x = cos θ and use a discrete cosine
transform (DCT) approximation for the cosine series.
Naturally leads to nested quadrature rules where different accuracy
orders share points
⇒ important for adaptive quadrature
It exactly integrates polynomials only up to degree n (with n + 1 points)
▶ Competitive with Gaussian-quadratures for non polynomial integrands

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 Gaussian Quadratures

Gauss-Legendre quadrature, or simply “Gauss quadrature”

▶ Not typically used for integrable functions with endpoint singularities.
▶ If end point singularities, depending on the integrand, Gauss-Jacobi
Gauss-Lobato:
▶ Includes integration points at ξ = ±1
▶ Requires an extra point with respect to Gauss-¿¿Legendre??
Our focus here is on definite integrals. When not
▶ Gauss-Laguerre: semi-infinite interval
▶ Gauss-Hermite: infinite intervals

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 Gauss-Legendre Quadrature
(*) Taken from G. Dhat et al., Finite Element Method

352
Maximum
degree of

FINITE ELEMENT METHOD

r ξi wi Error polynomials
inteegrated
precisely
2
1 0 2 1d y 1
3 dξ 2

( )
4
d y
2 ± 0.577350269189626 ± 1 3 1 ≈ 0.7 × 10 −2 3
dξ 4
0 0.888888888888889 ( 8 9 ) d6 y
3 ≈ 0.7 × 10 −4 5
(
± 0.774596669241483 ± 3 5 ) 0.555555555555556 ( 5 9 ) dξ 6
⎛ 3−2 6 5 ⎞ ⎛ ⎞
± 0.339981043584856 ⎜ ±
7
⎟ 0.652145154862546 ⎜ 1 + 1 ⎟
⎜⎝ ⎠⎟ ⎝ 2 6 6 5⎠ d8 y
≈ 0.3 × 10 −6 7
4 dξ 8
⎛ 3+2 6 5 ⎞ ⎛ ⎞
± 0.861136311594053 ⎜ ± ⎟ 0.347854845137454 ⎜ 1 − 1 ⎟
⎝⎜
7
⎠⎟ ⎝2 6 6 5⎠

1 r

∫ y (ξ ) dξ = ∑ w y (ξ )
−1
i =1
i i

Figure 5.2. One-dimensional Gaussian numerical integration

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 Gauss-Legendre Quadrature (cont.)
(*) Taken from G. Dhat et al., Finite Element Method

Maximum
degree of
r ξi wi Error polynomials
integratted
precisely
0.56888 88888 88889 (128 225)
0

( )
⎛ ⎞ d10 y
5 ± 0.53846 93101 05683 ± 1 5 − 4 5 14 0.47862 86704 99366 ⎜ 161 + 13
⎟ ≈ 0.8 × 10 −9 9
3 ⎝ 450 180 5 14 ⎠ dξ 10

(
± 0.90617 98459 38664 ± 1 5 + 4 5 14
3 ) ⎛
0.23692 68850 56189 ⎜ 161 − 13
⎞
⎟
⎝ 450 180 5 14 ⎠
± 0.23861 91860 83197 0.46791 39345 72691
d12 y
6 ± 0.66120 93864 66265 0.36076 15730 48139 ≈ 1.5 × 10 −12 11
dξ 12
± 0.93246 95142 03152 0.17132 44923 79170

5 – NUMERICAL METHODS
0 0.41795 91836 73469
± 0.40584 51513 77397 0.38183 00505 05119 d14 y
7 ≈ 2.1 × 10 −15 13
± 0.74153 11855 99394 0.27970 53914 89277 dξ 14
± 0.94910 79123 42759 0.12948 49661 68870

Figure 5.2. (Continued)

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 Gauss-Legendre Quadrature (cont.)
CEM v1.18 (*) Taken from G. Dhat et al., Finite Element Method

2021-01-19 Issues related to Numerical Analysis (contr. by Adrián r ξi wi Error

Maximum
degree of
polynomials
integratted
precisely

Amor) 5
0

(
± 0.53846 93101 05683 ± 1 5 − 4 5 14
3 )
0.56888 88888 88889 (128 225)
⎛
0.47862 86704 99366 ⎜ 161 + 13
⎞
⎟
⎝ 450 180 5 14 ⎠
≈ 0.8 × 10 −9
d10 y
dξ 10
9

(
± 0.90617 98459 38664 ± 1 5 + 4 5 14
3 ) ⎛
0.23692 68850 56189 ⎜ 161 − 13
⎞
⎟

Numerical Integration 6
± 0.23861 91860 83197
± 0.66120 93864 66265
± 0.93246 95142 03152
⎝ 450 180 5 14 ⎠
0.46791 39345 72691
0.36076 15730 48139
0.17132 44923 79170
≈ 1.5 × 10 −12
d12 y
dξ 12
11

5 – NUMERICAL METHODS
0 0.41795 91836 73469

Gauss-Legendre Quadrature 7
± 0.40584 51513 77397
± 0.74153 11855 99394
± 0.94910 79123 42759
0.38183 00505 05119
0.27970 53914 89277
0.12948 49661 68870
≈ 2.1 × 10 −15
d14 y
dξ 14
13

Figure 5.2. (Continued)

353
• NUMERICAL INTEGRATION IN HIGHER DIMENSIONS:
• Presentamos el quad como productor tensorial 1D x 1D
• Luego el triangulo como transformación del quad
• Finalmente, formulas “simétricas” para el triangulo (coordenadas afines)
• Same ideas pretty much hold in 3D (hexas and tetra)
 Integration in Higher Dimensions

“Product” methods
Direct methods

“Product” methods
1D quadrature in both directions ξ and η
With npξ , npη points Gaussian method uses np = npξ npη and it
integrates exactly monomials

0 ≤ i ≤ 2npξ − 1
ξi ηj such that
0 ≤ j ≤ 2npη − 1

Often used with quads, hexas

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 Integration in Higher Dimensions (cont.)

Direct methods
Extend 1D quadrature to higher dimensional space, i.e.,
ˆ np
X
dΩ ≈
f (ξ, η, . . .) |{z} Wi f (ξi , ηi , . . .)
Ω i=1
dξdη...

With Gaussian method it integrates exactly m-order monomials

ξi ηj such that i +j ≤m

Often used with simplices (triangles, tetras)

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 Gauss-Legendre on Quads
(*) Taken from G. Dhat et al., Finite Element Method

Product Method Direct Method 5 – NUMERICAL METHODS 363

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 Gauss-Legendre on Triangles
(*) Taken from G. Dhat et al., Finite Element Method

Product Method (Gauss-Radau)

366 FINITE ELEMENT METHOD

Figure 5.6. “Product” formula for integration on a triangle (Gauss–Radau)

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 Gauss-Legendre on Triangles
(*) Taken from G. Dhat et al., Finite Element Method

Direct Method ✔
5 – NUMERICAL METHODS 367 368 FINITE ELEMENT METHOD

Order Number Coordinates Weight

m of points r ξi ηi wi
η
4 6 a a ⎫ 0. 111690794839005
6
a = 0 .445948490915965 1–2a a ⎬
a 1–2a
⎭
2 1 b b
b = 0 .091576213509771 1–2b b ⎫ 0. 054975871827661
b 1–2b ⎬
4 3 5 ⎭
ξ

η 5 7 1 3 1 3 9 80
a a
⎪⎫ A =
6 + 15 155 + 15
7 a= 1–2a a
21 ⎬ 2 400
= 0 . 470142064105115 a 1–2a
a 3 2
b b ⎭⎪ = 0 . 0661970763942530
1–2b b ⎫⎪ 31 − A =
1
b= 4 −a b 1–2b
7 ⎬ 240
b
5 4 6
b a ξ = 0 . 101286507323456 ⎪⎭ = 0 . 0629695902724135
6 12 a a
1–2a a ⎫ 0 . 025422453185103
a = 0 . 063089014491502 ⎬
a 1–2a ⎭
b = 0 . 249286745170910 b b
1–2b b ⎫ 0 . 058393137863189
⎬
b 1–2b ⎭
c = 0 . 310352451033785 c d
d c ⎫
⎪
d = 0 . 053145049844816 1 – (c + d) c
⎬ 0 . 041425537809187
1 – (c + d) c
c 1 – (c + d) ⎪
d 1 – (c + d) ⎭

Figure 5.7. (Continued)

5.1.4 NUMERICAL INTEGRATION IN THREE DIMENSIONS [STR 71;

HAM 56; IRO 71; HEL 72]

5.1.4.1 Cubic reference element

The “product” method is written as:
r1 r2 r3
1 1 1

Figure 5.7. Direct formulae for integration over a triangle (Hammer) ∫ ∫ ∫

−1 −1 −1
y(ξ , η, ζ ) dξ dη dζ = ∑ ∑ ∑w i w j w k y (ξ i , η j , ζ k ) (5.20)
i =1 j =1 k =1

where w i, wj and w k are the coefficients from Figure 5.2 (Gauss) or 5.3
(Newton–Cotes);

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 Gauss-Legendre on Triangles (cont.)
(*) Taken from G. Dhat et al., Finite Element Method

Introduce now barycentric (affine) coordinates

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 Gauss-Legendre on Triangles (cont.)
(*) Taken from G. Dhat et al., Finite Element Method

Direct Method ✔

function liref=lligauss(npointeg)

# +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
# calculo de puntos de integracion para formula de gauss sobre triangulos.
# distintas cuadraturas dependiendo de parametro npointeg
# +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++

liref=zeros(3,npointeg);

if (npointeg == 3)# hasta orden 2

liref(1:3,1)=[2/3 1/6 1/6]’;

liref(1:3,2)=[1/6 2/3 1/6]’;
liref(1:3,3)=[1/6 1/6 2/3]’;

elseif (npointeg == 4)# hasta orden 3

liref(1:3,1)=[1/3 1/3 1/3]’;

liref(1:3,2)=[3/5 1/5 1/5]’;
liref(1:3,3)=[1/5 3/5 1/5]’;
liref(1:3,4)=[1/5 1/5 3/5]’;

elseif (npointeg == 6)# hasta orden 4

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 Gauss-Legendre on Triangles (cont.)
(*) Taken from G. Dhat et al., Finite Element Method

a=0.445948490915965;
liref(1:3,1)=[1-2*a a a ]’;
liref(1:3,2)=[ a 1-2*a a ]’;
liref(1:3,3)=[ a a 1-2*a]’;

b=0.091576213509771;
liref(1:3,4)=[1-2*b b b ]’;
liref(1:3,5)=[ b 1-2*b b ]’;
liref(1:3,6)=[ b b 1-2*b]’;

else
.
.
.

endfunction

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 Gauss-Legendre on Triangles (cont.)
(*) Taken from G. Dhat et al., Finite Element Method

Direct Method ✔

function Wi=lwigauss(npointeg)

# +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
# calculo de pesos de integracion para formula de gauss sobre triangulos.
# distintas cuadraturas dependiendo de parametro npointeg
#
# NORMALIZACION: area unidad
# +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++

Wi=zeros(1,npointeg);

if (npointeg == 3) # hasta orden 2

Wi(1:3)=1/3;

elseif (npointeg == 4)# hasta orden 3

Wi(1:4)=[-27/96 25/96 25/96 25/96]*2;

elseif (npointeg == 6)# hasta orden 4

Wi(1:6)=[0.223381589678011*[1 1 1] 0.109951743655322*[1 1 1]];

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 Gauss-Legendre on Triangles (cont.)
(*) Taken from G. Dhat et al., Finite Element Method

elseif (npointeg == 7)# hasta orden 5

Wi(1)=9/80;

A=(155+sqrt(15))/2400;

Wi(2:4)=A;
Wi(5:7)=31/240-A;

Wi=Wi*2;

elseif
.
.
.

else
disp (’ valor de npointeg incorrecto, npointeg: ’), disp (npointeg);
return
endif

endfunction

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Assignment