GENG 300 NUMERICAL METHODS
Dr. Mohammad Aman Ullah
Numerical
Differentiation &
Integration
Topic 5
TOPICS COVERED: NUMERICAL
6/27/2016
INTEGRATION
1. Newton-Cotes Formulas
a) The Trapezoidal Rule
b) Composite Trapezoidal Rule
Numerical Methods
c) Simpson’s 1/3 Rule
d) Composite Simpson’s 1/3 Rule
e) Simpson’s 3/8 Rule
f) Higher-Order Formulas
g) Integration with Unequal Segments
2. Romberg Integration (Richardson Extrapolation)
Chapter Objectives
• Recognizing that Newton-Cotes integration formulas are based on the
strategy of replacing a complicated function or tabulated data with a
polynomial that is easy to integrate.
• Knowing how to implement the following single application Newton-Cotes
formulas:
• Trapezoidal rule
• Simpson’s 1/3 rule
• Simpson’s 3/8 rule
• Knowing how to implement the following composite Newton-Cotes
formulas:
• Trapezoidal rule
• Simpson’s 3/8 rule
• Recognizing that even-segment-odd-point formulas like Simpson’s 1/3 rule
achieve higher than expected accuracy.
• Knowing how to use the trapezoidal rule to integrate unequally spaced data.
• Understanding the difference between open and closed integration formulas.
Integration
³
b
• Integration: I f x dx
a
is the total value, or summation, of f(x) dx over the range from
a to b:
Newton-Cotes Formulas
• The Newton-Cotes formulas are the most common numerical
integration schemes.
• Generally, they are based on replacing a complicated
function or tabulated data with a polynomial that is easy to
integrate:
³ ³
b b
I f x dx # fn x dx
a a
• where fn(x) is an nth order interpolating polynomial.
f n ( x) a0 a1 x an x n
Newton-Cotes Examples
• The integrating function can be polynomials for any order -
for example, (a) 0 order, (b) 1st order, (c) 2nd order.
(a) (b) (c)
The integral
al can be approximated
ap in one
step or in a series of steps to improve
accuracy.
The Trapezoidal Rule
• The trapezoidal rule is the
first of the Newton-Cotes
closed integration
formulas; it uses a
straight-line approximation
for the function:
³
b
I fn x dx
a
Error:
bª f b f a º
I ³ a «¬f (a) b a x a »dx
¼ Et
1
f cc([ )(b a ) 3
12
f a f b where [ lies somewhere in the
I ba
2 interval from a to b
Example f(x) = 0.2 +25x – 200x2 + 675x3 – 900x4 + 400x5
Integrate f(x) from a=0 to b=0.8
b 0.8
True integral value : I ³ f ( x )dx
a 0
1.64053
Solution: f(a)=f(0) = 0.2 and f(b)=f(0.8) = 0.232
f (a ) f (b)
Trapezoidal Rule : I (b a )
2
0.2 0.232
0.8 0.1728
2
which represents an error of :
Et 1.64053 0.1728 1.46773 H t 89.5%
Composite Trapezoidal Rule
• Error can thus be reduced by
breaking the curve into parts.
• Assuming n+1 data points are
evenly spaced, there will be n
intervals over which to integrate.
• The total integral can be
calculated by integrating each
subinterval and then adding them
together:
³ ³ fn x dx ³ ³
xn x1 x2 xn
I fn x dx fn x dx fn x dx
x0 x0 x1 x n1
f x0 f x1 f x1 f x2 f xn1 f xn
I x1 x0 x2 x1 xn xn1
2 2 2
h ª n1 º
I «f x0 2¦ f xi f xn »
2 ¬ i 1 ¼
Example f(x) = 0.2 +25x – 200x2 + 675x3 – 900x4 + 400x5
Integrate f(x) from a=0 to b=0.8
Divide the total interval into two subintervals and use composite
Trapezoidal method:
Simpson’s Rules
• One drawback of the trapezoidal rule is that the error is
related to the second derivative of the function.
• More complicated approximation formulas can improve the
accuracy for curves - these include using (a) 2nd and (b) 3rd
order polynomials.
• The formulas that result from taking the integrals under these
polynomials are called Simpson’s rules.
Simpson’s 1/3 Rule
• Simpson’s 1/3 rule corresponds to using second-order
polynomials. Using the Lagrange form for a quadratic fit of
three points:
x x1 x x2 x x0 x x2 x x0 x x1
fn x f x0 f x1 f x2
x0 x1 x0 x 2 x1 x0 x1 x2 x2 x 0 x2 x1
• Integration over the three points simplifies to:
x2
I ³
x0
f n x dx
I
h
> f x0 4 f x1 f x2 @ , where h (b-a)/ 2
3
Example f(x) = 0.2 +25x – 200x2 + 675x3 – 900x4 + 400x5
Integrate f(x) from a=0 to b=0.8
Use Simpsons 1/3rd rule to integrate over 3 points.
Error of Simpson’s 1/3 Rule
• An estimate for the local truncation error of a single
application of Simpson’s 1/3 rule is:
1
[ ba
4 5
Et f
2880
where again [is somewhere between a and b.
• This formula indicates that the error is dependent upon the
fourth-derivative of the actual function as well as the distance
between the points.
• Note that the error is dependent on the fifth power of the step
size (rather than the third for the trapezoidal rule).
• Error can thus be reduced by breaking the curve into parts.
Composite Simpson’s 1/3 Rule
• Simpson’s 1/3 rule can be used on
a set of subintervals in much the
same way the trapezoidal rule was,
except there must be an odd
number of points.
• Because of the heavy weighting of
the internal points, the formula is a
little more complicated than for the
trapezoidal rule:
³ ³ ³ ³
xn x2 x4 xn
I
x0
fn x dx fn x dx fn x dx fn x dx
x0 x2 x n2
h h h
I
3
> f x 0 4 f x 1 f x 2 @
3
> f x2 4 f x3 f x4 @
3
> f xn2 4 f xn1 f xn @
ª º
h « »
n1 n2
I
3 «
f x 0 4 ¦ i ¦ i
f x 2 f x f x n »
«
¬
i 1
i, odd
j 2
j, even »
¼
Simpson’s 3/8 Rule
• Simpson’s 3/8 rule corresponds
to using third-order polynomials
to fit four points. Integration over
the four points simplifies to:
³
x3
I x0
fn x dx
3h
I
8
> f x0 3 f x1 3 f x2 f x3 @
• Simpson’s 3/8 rule is generally
used in concert with Simpson’s
1/3 rule when the number of
segments is odd.
Higher-Order Formulas
• Higher-order Newton-Cotes formulas may also be used - in general, the
higher the order of the polynomial used, the higher the derivative of the
function in the error estimate and the higher the power of the step size.
• As in Simpson’s 1/3 and 3/8 rule, the even-segment-odd-point formulas
have truncation errors that are the same order as formulas adding one
more point. For this reason, the even-segment-odd-point formulas are
usually the methods of preference.
Segments Points Name Formula Truncation
(n) Error
1 2 Trapezoidal (b-a) * (f(x0)+ f(x1))/2 -(1/12)(b-a)3f”(ȟ)
2 3 Simpson’s (b-a) * (f(x0)+ 4f(x1)+f(x2))/6 -(1/2880)(b-a)5f(4)(ȟ)
1/3
3 4 Simpson’s (b-a) * (f(x0)+ 3f(x1)+ 3f(x2)+ f(x3))/8 -(1/6480)(b-a)5f(4)(ȟ)
3/8
4 5 Boole’s (b-a) * (7f(x0) + 32f(x1) + 12f(x2) + 32f(x3) proportional with (b-a)7
+ 7f(x4))/90
Integration with Unequal Segments
• Previous formulas were simplified based on equispaced data
points - though this is not always the case.
• The trapezoidal rule may be used with data containing
unequal segments:
³ ³ ³ ³
xn x1 x2 xn
I fn x dx fn x dx fn x dx fn x dx
x0 x0 x1 x n1
f x0 f x1 f x1 f x2 f xn1 f xn
I x1 x0 x2 x1 xn xn1
2 2 2
MATLAB Functions
• MATLAB has built-in functions to evaluate integrals
based on the trapezoidal rule
• z = trapz(y)
z = trapz(x, y)
produces the integral of y with respect to x. If x is
omitted, the program assumes h=1.
• z = cumtrapz(y)
z = cumtrapz(x, y)
produces the cumulative integral of y with respect to
x. If x is omitted, the program assumes h=1.
Multiple Integrals
• Multiple integrals can be
determined numerically by first
integrating in one dimension,
then a second, and so on for all
dimensions of the problem.
6/27/2016
TOPICS COVERED
2. Romberg Integration (Richardson Extrapolation)
Objective:
Numerical Methods
Understanding how Richardson extrapolation
provides a means to create a more accurate
integral estimate by combining two less accurate
estimates.
Romberg Integration
Successive application of the trapezoidal rule to attain efficient
numerical integrals of functions.
Richardson Extrapolation
• Richard extrapolation methods use two estimates of an integral to
compute a third, more accurate approximation.
• If two O(h2) estimates I(h1) and I(h2) are calculated for an integral using
step sizes of h1 and h2, respectively, an improved O(h4) estimate may be
formed using:
1
I I(h2 ) >I(h2 ) I (h1 )@
(h1 / h2 ) 1
2
• For the special case where the interval is halved (h2=h1/2), this becomes:
4 1
I I(h2 ) I (h1 )
3 3
I I ( h2 ) E ( h2 )
4 1
I I(h2 ) I (h1 )
I # I ( h2 )
1
>I (h2 ) I (h1 )@ 3 3
h1 / h2 1
2
Example
Evaluate the integral of f(x) = 0.2 +25x – 200x2 + 675x3 – 900x4 + 400x5
from a=0 to b=0.8. I (True Integral value) = 1.6405
Segments h Integral İtr% Segments 1 & 2 combined to give :
4 1
1 0.8 0.1728 89.5 I# (1.0688) (0.1728) 1.3675
3 3
E t 1.6405 1.3675 0.273 (H t 16.6%)
2 0.4 1.0688 34.9
Segments 2 & 4 combined to give :
4 0.2 1.4848 9.5 4 1
I# (1.4848) (1.0688) 1.6234
3 3
In each case, two estimates with E t 1.6405 1.6234 0.0171 (H t 1%)
error O(h2) are combined to give
a third estimate with error O(h4) 4
Richardson Extrapolation (cont.)
• For the cases where there are two O(h4) estimates
and the interval is halved (hm=hl/2), an improved
O(h6) estimate may be formed using:
16 1
I I m Il
15 15
• For the cases where there are two O(h6) estimates
and the interval is halved (hm=hl/2), an improved
O(h8) estimate may be formed using:
64 1
I I m Il
63 63
The Romberg Integration Algorithm
4 k 1 I j 1,k 1 I j ,k 1
I j ,k #
4 k 1 1
k=1 refers to trapezoidal rule, hence O(h2) accuracy.
k=2 refers to O(h4) and k=3 Î O(h6)
Index j is used to distinguish between the more (j+1) and the less (j) accurate estimates.
