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Ch3 Numerical Integration

The document discusses numerical integration techniques including Simpson’s rule, Weddle’s rule, and the trapezoidal rule, highlighting their applications in various fields such as econometrics and biomedicine. It explains the derivation and error analysis of these methods, emphasizing the importance of polynomial approximation and the handling of piecewise functions. Additionally, it introduces Richardson’s extrapolation for improving accuracy in numerical results.

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mahrabkabir041
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7 views30 pages

Ch3 Numerical Integration

The document discusses numerical integration techniques including Simpson’s rule, Weddle’s rule, and the trapezoidal rule, highlighting their applications in various fields such as econometrics and biomedicine. It explains the derivation and error analysis of these methods, emphasizing the importance of polynomial approximation and the handling of piecewise functions. Additionally, it introduces Richardson’s extrapolation for improving accuracy in numerical results.

Uploaded by

mahrabkabir041
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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"In the name of Almighty Allah (God), Most Gracious, Most Merciful"

Numerical Integration
Dr. Md. Kamrujjaman
Department of Mathematics
University of Dhaka, Bangladesh
Email: kamrujjaman@gmail.com

Syllabus: Numerical integration: Simpson’s rule; Weddle’s rule; trapezoidal rule; Gauss’s quadratic
formulae and proper examples from the applications to econometric, meteorology and biomedicine;
Euler’s formula of summation and quadrature.

Numerical Integration:
We use numerical integration to find the definite integrals of expressions that look like:

We also resort to numerical integration when an integral has no elementary antiderivative. For
instance, there is no formula for

Numerical integration yields numbers rather than analytical expressions.

We’ll talk about different techniques for numerical integration: Riemann sums, the trapezoidal
rule, Simpson’s rule, and Weddle’s rule.

Riemann Sum
Trapezoidal Rule
The trapezoidal rule divides up the area under the function into trapezoids, rather
than rectangles.
The area of a trapezoid is the height times the average of the parallel bases:
Note: The trapezoidal rule gives a more symmetric treatment of the two
ends (a and b) than a Riemann sum does — the average of left and right
Riemann sums.

Simpson’s Rule
This approach often yields much more accurate results than the trapezoidal
rule does. Here, we match quadratics (i.e. parabolas), instead of straight or
slanted lines, to the graph. This approach requires an even number of intervals.

Simpson’s rule for n intervals (n must be even!)

Notice the following pattern in the coefficients:


Derivation of Trapezoidal method:

The error term for quadratic polynomial after linear poly.

The product (x − x0)(x − x1) does not change sign on [x0, x1], so the Weighted
Mean Value Theorem for Integrals can be applied to the error term to give, for
some ξ in (x0, x1),
It should be emphasized that to economize the amount of arithmetic, the
computationally preferable formula for the composite trapezoid rule is
Remark:

This is easily established with the aid of the error formula for polynomial
interpolation. To use this formula, let p be the polynomial of degree 1 that
interpolates f at 0 and 1. Then p is given by
f(0)[1-0]+[f(1)-f(0)](x^2/2) in [0,1]

By the error formula that governs polynomial interpolation, we have (here, of


course, n = 1, x0 = 0, and x1 = 1) (x-x0)(x-x1)

and verifying the continuity. Notice that x(x − 1) does not change sign in the
interval [0, 1]. Hence, by the Mean-Value Theorem for Integrals, there is a point
x= s for which
Note that we obtain the basic trapezoid rule with its error term:
Derivation of Simpson’s rule:

Lagrange quadratic polynomial at 3 points

The error term in Simpson’s rule can be established by using the Taylor
series such that
Many formulas for numerical integration have error estimates that involve
derivatives of the function being integrated. An important point that is frequently
overlooked is that such error estimates depend on the function having derivatives.
So if a piecewise function is being integrated, the numerical integration should be
broken up over the region to coincide with the regions of smoothness of the
function. Another important point is that no polynomial ever becomes infinite in
the finite plane, so any integration technique that uses polynomials to approximate
the integrand will fail to give good results without extra work at integrable
singularities.
The following theorem details the error analysis associated with the closed
Newton-Cotes formulas.
Composite Simpson’s 3/8 rule:
Where do formulas such as Formula (1) come from? One major source is the
theory of polynomial interpolation as presented in the previous lectures. If the
nodes have been fixed, then there is a corresponding Lagrange interpolation
formula:

This formula provides a polynomial p of degree at most n that interpolates f at


the nodes; that is,

If the circumstances are favorable, p will be a good approximation to f , and


𝑏𝑏 𝑏𝑏
∫𝑎𝑎 𝑝𝑝(𝑥𝑥)𝑑𝑑𝑑𝑑 will be a good approximation to ∫𝑎𝑎 𝑓𝑓(𝑥𝑥)𝑑𝑑𝑑𝑑. Therefore,
Richardson’s extrapolation:
Richardson’s extrapolation is used to generate high-accuracy results while using
low-order formulas. Extrapolation can be applied whenever it is known that an
approximation technique has an error term with a predictable form, one that
depends on a parameter, usually the step size h. Suppose that for each number h ≠
0 we have a formula N1(h) that approximates an unknown constant M, and that the
truncation error involved with the approximation has the form
Assignment
Question-1:

Question-2:

Question-3:

Question-4:

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