OUTLINE

TRAPEZOID RULE

SIMPSON 'S RULE

ROMBERG ALGORITHM

GAUSSIAN QUADRATURE

NUNIERICAL INTEGRATION
text
a

Given f- Cx )
defined on [a, b ] ÷
.

Iff )
=/ fcxtdx-

I
a
→
o
←
b
' 2X

v
or
steps :

ein,
I in cut "
P [a ,
b] into smaller intervals •→
Numerical
-

Integration
in each sub interval find a
polynomial PiCxKf!x)
,

each sub interval

-

Integrate Pi Cx ) on & sum them

up
.

TRAPEZOID RULE

nfcxl
the rule : -
cut [ a
,
b ] to n sub intervals
[

•
I
Xo=oe Xi ( Xi in
- Xr = b , l
l
l
l
l
'

l l l' I 7
×
a Xi Xin
-
I -
 - On
Hi , Xin ] approximate f- Cx ) by a
poly of degree L

picxi )
-

fcxi )

picxi.in/--fCxite )

linear
spline
Area of trapezoid =
f- ( Xi ) -1 f- ( Xiii ) Hit ,
-
Xi)
2.
Xi in
-

! Picxtdx
I
ftcxrdx
Xi

intervals
-
sum
up for all

b) fan .dx= × ,#
I
!÷f" iiicxidx
xi

How to choose Xi 's within [a ,

b ] ?

UNIFORM GRID

Divide interval [a b] to uniform sub intervals

,
length .

b a
he
h Xi
-
=

Xiu
= -

← n
interval
length

b) fcxtdx E
!÷ 3. ffcxitfcxi
,
' .us ]

122 ! fcxo) tfcxdtfcxdtfcxdtfcx.lt - - - - - +

fkn)]

=
h .

? f- Cyo ) t f- Lxi ) t
fcxzn !
\ /

Tcf ; h )

'
[ ]
f ( x) = X I, I
-

en

12=5 intervals

-
2 -
 El )
12=1
-

afcxl 5
I Xi f- ( Xi )
h -

2/5=0.4 O -
1.0 -
1.0 yo

:&:/
-

y
-
0.6 -
0.276

2 -
0.2
-
0.008

i
'
" s

s
or
.
-

•
.
4 0.6

5 1.0

en
fcx ) =x2
1
fcxi )
i
O -
±
1.0 1.0 1×2" "
~
= C. 816.41=0.72

}
" " ° ° " -
" "

difference
'

2 -
0.2 0.04 -2=0 . g

!
J
t l
3 0.2 0.04
4
5
at

1.0
0.36 ¥ ,
=

Igt }- =
2/3=0.667
1.0

en
fcxI= Htt [ -
1,1 ]

MATLAB -

TBD

Error Estimate
for Tcf : h
)
n -
y Xi -11

fffcx
-

Etcfih ) =
Icf ) -

Tcfih ) =
) -

picx ) ] .dx
i -_ o

Xi
-

Et :( f. h)
,
'

Xith

Reminder
Epi ( fih )
-_/[fCx ) -
Pilx , ] .dx
i -_
91 ,
- - -

.
n -
1
.

c'III. Hit
'
Xi l l
'

xix xin
can
÷
, O 1

with
Error Beard
Poly interpolation.

12 f' CG;)
'

ecxt-fcxl-P.fi ) = (x -

Xi ) (x -

Xia) Xi
-
fifties

-
3 -
 h -
-

Xian
-
Xi

'

Epi Him (fan ] f' Cgi ) ) (x dx

Pilx , dx
Iz Xi Xin )
-
. = -
-

" '

E. ilfih ) =
.
f- Cgi ) h

Total Error is :

'

f' Cgi ) f' ( Gi )

'
' ' b
iz h
zh ÷ na
-

= - .
- . .

i -
. o -
-
average
"
n

f- CG)
'

fzh f' (9)(b

'

Et ( fin ) ) q E Ea BT
-

a
- - -
,

so
,
Max abs .
value
of Et Cf : h )

"

(b ) ti f- CE ) Olli)
Et Cf : h)
, za
-

.
Max
G E Corb]
second
-

order

"

eny f- Cx ) e [ 0,2 ]
-

What is the min . # of points

to be used in TR rule to make sure that

error
-
0.5154 ?
b. = 2
" -4
(b
'
be =D

-1412 Max f- CG ) Laslo

1h -
- 2-1=2 a
n ' '
-

4
fois
I. (Yn ) e lo

"
f- ( x ) = ex n 313.8 N
314 points
,
-

[0 ,
2 ]
Max f' Cx )
'
= ez

s
- -
 SIMPSON 'S RULE
fcx) fly
a

Higher order
poly .

Pi CX)
• :
I
b] i
up [ a equal
'
-
Cut ,
into 212 i
'
i :
sub intervals I g
, i

k
b
king
't + z
Xo -_
or
Xzn =

b oh Xi =L
he Xiu
- -

2h
Lagrange form of Pi Cx)

:{
with uniform grid Picx )=fCXz ; ) . @ Xzits )(X
-
-
Kitz )

(ki Kita) -
i
-
Xzitz)

÷÷::÷÷:*:
""

÷ taxi .
"¥i:÷:c:* :÷¥i
ki ) H
zthfcxzitz) (X Xzi) @ Kiri ) tfcxzitz ) ( X Xzitr)
- -

+
-
-

(Xzitz -
Xzi) ite
-

Xzitr)

3
quadratic
Xzi
functions to integrate
-12

Jfx
's
I, Xzixn ) ( x Kita) DX
23h
= - - =

Xzi
X2i- 2

Iz -
-

J -

f -

Xzi ) Cx -

Xzitzjdx =

4zh3
Xzi
Xzi -12

ffx
'
Is = -

Xzi ) (x -

Xzitn) DX =

Ish
Xzi
Then ,

"

Pi Cx)
.dx=÷wfCXz ) Iet Lufkin ) Iz ÷ fcxzitc ) Is
+
; .

hjflxzi ) t
4hg-fcxzi.in ) thgfcxzitz )
=

Ig # ( Xz ; ) t 4 f- ( Kita ) t f- ( Kitz) )
5
 then them :
sun
up

b) xgzitep
n -
a

fcxtdx-scf.in/- !oilx7.dxXziSCf;h3- h-z.!Iof CXzilt4fCXei- n)tf( kind

"
④ ! !
far die
.

!
I $ 1

x :*
his kin , .

i
if
-

en
f- ( x ) = x' + I
compute §fCx7dx using Simpson 's
with n=5
rule

i-##u→ 212+1=11 points he 14-17=0 .

z
2h 2h 2h 2h 2h 10

i Xi fcxi )
Scf ;
)=hz[ fo -14 fit fztfztllfstfytfq 4*5
° -
1 0.2 '
-
"

I -0.8 I
~
? -0.6
2fz Zfg
: :
:
-

' it
=÷[ fo -14 # tfstfztfq )t2(fzttqtfotfs )
°

+ fro ]

Sff ; 0.2 ) =
2,2955778

Sff : h )=
ffcxo ) -14 ?÷fCxzi , ) -12 fcxzi ) 1- f- ( Xan ) )
Simpson 's
Error Estimate for Rule

"'

Es, Ash ) =

g-o.IE f' Cgi ) Git skin ]

6
 The total error :

Es Cf : h )
fo .tn?!fcYsi)Lbz-E
= -

average

Note " "

"
b
Es ( f : h ) ah f- (G ) g t [ b]
-

formula
a
error = ,

assumes that 180

futurist " 4
"
broker
Error Board ; ,
och ) i

If "kg )
b "
Eslfih ) -
h max

{ C- Lab]

"
em
fake [ 0,2]

of points needed
# when
using Simpson 's Rule
to ensure that 10.510-4
error

I # (G)
(4) " "
I
x Y
-

6=2 2. he Max 0.510

f
=
e .

a -0 180
' -
'"
maxlf I -

- e ere

hit
-
1.21810-3

→ h 10.18682

b
5.3 I 6 intervals
-
a
~= → n=
2h

Tcf : h ) → requires 314 points

=D
scfsh ) requires @ Holte
→

points

-
-
-
 RECURSIVE RULES

can be
applied to Tcf; h ) , Scf ;h ) or
any
other method .

Recursive Rule
# trapezoid
"

Divide [ a
,
b ] into 2
equal sub intervals

m
-
- O l l
17=1 1 a l
b -
or

M =L 1 a a a 1 him =

2pm
IN / t a b s u r u f
=3

I ' i ' ' ' ' ' ' ' ' ' ' ' '
m=y
s '

12pm 12 hm
=
,

Rule
Trapezoid
.
n

Tcf ; nm ) him . foosttzfcbs teach ) .

Xi

Tff : hmu )
=

h.nu?tzfCaItIz.fCb3t??!!tfCatihm+n )
.

We the terms in Tcf; hmu ) as :

can
rearrange

Tcf ; hmu ) =

hey II. feast Izfcb ) flat item ) -1 f- Catkin ,

hmm !
I 1 LE
indices
TC film )

M - I
2
-

Tcf ; hmm )= Tcfihm ) t hmm .

f- Catkin ) hmu )
Z i -
- o

This has a

recursive
similar form can be
applied to Sff, hem) form

Given Tlfih ) → Tlfih 2) →

Tcf .lk/4 ) . - - - n

rule with
a
sequence of approximations by trapezoid
Corny method )
different values of h .

8
 associated with the
Trapezoid
the error rule can be
written as :

"
proof "
htt
>
Eff ; h ) Icf ) Ilf : h
) aah 't aah ta tanh
- -
= - -
=
can ,
be
achieved
by the derivatives
Taylor series are
depends on

" '
f-
When we half the
grid size
,
error becomes

Elf : h/z)= Icf ) -

Tcf ;h/z ) -
-
ok @12140441214
- - - -

Taufik
"
' "
(1) Icf ) =
Tcf, h ) 1- aah t aah t - - - - -

tanh

"

(2) Icf ) =
Tcf ; h 12 ) -192425-1944/25 't - - -
tan@ 12 )
eliminate
Goal the
leading term to
get higher order
: error a

approximation .

22 get
Multiply 12)
by and subtract CI ) we :

(22 -
1) Icf ) = 22 Tcf ; h z ) -

Tlfihjtaqhtagh 't - - - -

Ict ) =
Tcf: h z
) -

Ig Tff ;h ) taghhtah 't - - -

>
, , -

Uch) "
)
och

Idea is called Richardson Entre

4th order

potation approximation

ROMBERG ALGORITHM

Given tlfih ) ,
Tltshl 2) , compute :

Ilf ; h )
Uch ) -
Tcf .in/zy+TCfih/2 )

22 -
1
"

tag h ta htt tanh

't
Then (f) Uch )
- - - -

I =
,

g
 we can iterate this idea .

Assume we've computed Uch ) and Uch 12)

(3) Iff ) = Uch ) tac h

"
ta h 't - - - -
tank
,

"

(4) Ict ) =
uchlz )ta4④zj' tao @ 12ft - - - -
tan @ 121

cancel the leading error term

by 4) 24 -

(3)
( %) Uch )
24 12 ) Uch )
" -

Uch
Uch 2)
-

Let ch ) =
=
+
24 -
y 24 -
y

the"
Icf , = ✓ ch ) + E hb + Tight
,
- - -
tank
-

6th order
approximation '
och
)
keep this until
one can
doing
desired is reached
a
accuracy
.

STEPS of ROMBERG ALGORITHM

set h = b -
a

Rico ) Tcf 's ) )

Iz ( fla )
h Cb )
o
f-
=
,
=
-1

1211,0 ) =
Tcf .
'
HII )

R ( 2,0 ) =
Tcf ; h/z2 )
:
Rlm ,
o ) =
Tcf; hlzm )

10
 Romberg Triangle
1210,0 )
>

1211,0 ) S RCI , t )
j

1212,0 ) -512141 ) >

1212,2 )
- .
→ }
: : → :
(
! I

-
i
> u 3

1242,0 ) > 12141 ) s Rin, 2 ) s - - - - - -

Rcn , n )

in
> ✓ >
U

Rch, m -
7 ) Rch -

bin -
1 )
Rcn , m ) = Rcn , in -1 ) t

22M -
1

01¥ )
" "
h

Accuracy : Ict ) = Rcn , m ) t it

m
2.

f- Cx ) .

Adoptive Simpson 's

'
Quadrature
1
1
Idea Desired
11
:
accuracy
!'_ '
check error within each sub interval
, I >x
b
or
if E desired

[
-
error

else divide
further

Gaussian quadrature

All numerical
integration rules
follow the form :

b) fcxlidx I

x; t
wo.fcx.lt
[ a,b ]
Wifcx ) twzfcxz )

called nodes
,

,
Wi 's
t - -

are
- -
1-

the
Anfcxn )

weights

11 -
 .
W l r

+
Wo

,
l
For
enauple , trapezoid rule :

b or
b
-

Xo Xy w =
l l - a =
Wo =
,

or b 2

Icf ) I b-g.fi a) t
b -

g fcb )
= Cb a) -

LIED tzfcb!
/ Simpson 's rule :

Xo = a
,
X
,
=

atzb , Xz = b

Wo =
Wz = b -
a
w
,
= (b - a ) .

23
6

's
We fix the
points adjust , wi

Idea ! Allow Xi & wi to be

adjusted for higher accuracy .

Question Slnteior

What's the minimum

points
number
of Xi Is required
to
exactly integrate
what should
a
polynomial ,

be their locations & weights ?

will enact ly
integrate
No
, points
a
polynomial of degree 2kg I
-

Focus →
t.pt 69 .

ff
or
Cx) . dx I w
, f- Lxi ) a LX , lb

if f- Cx) is a
poly of .
degree 1
,
i. e. a line

f- (x)

oeotan.xga@o.ianxsdx-Ia.x! EEE
=

' " I " ' "

eines:
Wy f- ( Xy )
.
= Wei Cao + an X1 ) =
ao We .
tan (w Xp)
,

12
 so
, Wy = b - a

W Xp = b2_a2
,

bta
×, -_

so
,
baffcx ) .dx=

=
Wyfcxy )

@ a) f- (
-

atzb)
we use

pore
only one
trapezoid point
Rule
to
exactly
integrate

boffin .dx -
- Cb a) -

f- Khatib ) ) poly of degree L

.

no
,
-19
using Zno
,
-1=10
2
pts .

"
en
f Cx )
- e [ 0,2 ]

§exd× =
et -

I =
6.38905609
f CX ) = 2X

Ipt 69 = (2-0) f- ( 2¥ ) .

"
= (2) e = 5.4365636

# tzfco )
=

TR rule = @ - o ) 2) )

=(2 )
e2 = e 't
error
1

CH

2.
pt GQ →
f
or
@ ota ,
x -192×2) DX =
witch ) twzflxz)
X, C- Ca, b )
C- Ce, b)
+ will have
Xz

4 egs 24 unknowns

3
 GR for interval [-1 ,
I] C can be extended to
any
)
b)
interval [ a,

start with net i. e 2 nodes Xo Xp and weights

'

Wo Wr
, ,

rule satisfies
genaetlyeqwh
[ f- Cx) .dx =
Wo .

fcxo) t wa f- ( xn )

then
f C- Pm

if enact
for degree of in

the rule must be exact for functions

1,1×4×3 . - -
Xm

pts )
g
4 unknowns Xo , Xp , Wo
,
we nu (2

I
Need i
4 egs .

(2.) (2) - I =P
:#
-143=1 :
!fedx=z= wo.aitw.ci ,

f- Cx) -
-
X i
IX. dx=0 =
Wo . Xo t wi Xp -

Ix ?dx=%= #+
'

fCxI=x2 :
Wo .
w
,
.x
,

! XP
'

f- Cx ) -_x3 :
x ?dx= O =
Wo .
Xo -1W ,

fax )=x3
I
4 eqs 4 unknowns Xo= jz
-

, ,

Xp =
1/5

Wo =
Wy = 1. O
'
1B
Fs Note the
symmetry
CS fl yrs )
.
-
-11 f- ( Yrs )
try N=2 Xo , X , , Xz 213) T
-

i ,

1×3.44=0 '
Wo , Wi ,
wz

l for any other

ffcxs.ch/=wofCxoltWsfCxeltwzflxzj
-

(1) f} ) -141431=0 function

I
c-
-

14 -
f degrees for poly .
-
 fix ) -_x4
if I! =
}

¥1 ;
'
fcxtx -

- 213

(1) fg) -1141=2/3

interval [ a ,b]
For a
general ,
use

transformation

t-2lxf@tbJb-oex-IzCb-eD.t +
Izcatb )

so
for -
I t 1 we have a x (b

15