USC

Numerical Integration
Basic Numerical Integration
We want to find integration of functions of various
forms of the equation known as the Newton Cotes
integration formulas.
Trapezoidal Rule
Simpsons Rule
1/3 Rule
3/8 Rule
Midpoint
Gaussian Quadrature
USC
Basic Numerical Integration
Weighted sum of function values
) x ( f c ) x ( f c ) x ( f c
) x ( f c dx ) x ( f
n n 1 1 0 0
i
n
0 i
i
b
a
+ + + =
~
=

x
0
x
1
x
n
x
n-1

x
f(x)
USC
0
2
4
6
8
10
12
3 5 7 9 11 13 15
Numerical Integration
Idea is to do integral in small parts, like the way you first learned
integration - a summation
Numerical methods just try to make it faster and more accurate
USC
Numerical Integration
Newton-Cotes Closed Formulae -- Use
both end points
Trapezoidal Rule : Linear
Simpsons 1/3-Rule : Quadratic
Simpsons 3/8-Rule : Cubic
Booles Rule : Fourth-order
Newton-Cotes Open Formulae -- Use only
interior points
midpoint rule

USC
Trapezoid Rule
Straight-line approximation
| | ) x ( f ) x ( f
2
h
) x ( f c ) x ( f c ) x ( f c dx ) x ( f
1 0
1 1 0 0 i
1
0 i
i
b
a
+ =
+ = ~
=
x
0
x
1

x
f(x)
L(x)
USC
Trapezoid Rule
Lagrange interpolation
0 1
0 1
0 1 1 0
0 1
( ) ( ) ( )
dx
a x , b x , , d ;
h
0
( ) (1 ) ( ) ( ) ( )
1
x x x x
L x f x f x
x x x x
x a
let h b a
b a
x a
L f a f b
x b

= +

= = = = =

= =

= +
`
= =

)
USC
Trapezoid Rule
Integrate to obtain the rule
| |
1
0
1 1
0 0
1 1
2 2
0 0
( ) ( ) ( )
( ) (1 ) ( )
( ) ( ) ( ) ( ) ( )
2 2 2
b b
a a
f x dx L x dx h L d
f a h d f b h d
h
f a h f b h f a f b

~ =
= +
= + = +
} } }
} }
USC
Example:Trapezoid Rule
Evaluate the integral
Exact solution



Trapezoidal Rule
926477 . 5216 ) 1 x 2 ( e
4
1
e
4
1
e
2
x
dx xe
1
0
x 2
4
0
x 2 x 2
4
0
x 2
= =
(

=
dx xe
4
0
x 2
}
| |
% 12 . 357
926 . 5216
66 . 23847 926 . 5216
66 . 23847 ) e 4 0 ( 2 ) 4 ( f ) 0 ( f
2
0 4
dx xe I
8
4
0
x 2
=

=
= + = +

~ =
}
c
USC
Simpsons 1/3-Rule
Approximate the function by a parabola
| | ) x ( f ) x ( f 4 ) x ( f
3
h
) x ( f c ) x ( f c ) x ( f c ) x ( f c dx ) x ( f
2 1 0
2 2 1 1 0 0 i
2
0 i
i
b
a
+ + =
+ + = ~

}
=
x
0
x
1

x
f(x)
x
2
h h
L(x)
USC
Simpsons 1/3-Rule

= =
= =
= =
=

=
+
= = =


+


+


=
1 x x
0 x x
1 x x
h
dx
d ,
h
x x
,
2
a b
h
2
b a
x , b x , a x let
) x ( f
) x x )( x x (
) x x )( x x (

) x ( f
) x x )( x x (
) x x )( x x (
) x ( f
) x x )( x x (
) x x )( x x (
) x ( L
2
1
0
1
1 2 0
2
1 2 0 2
1 0
1
2 1 0 1
2 0
0
2 0 1 0
2 1

) x ( f
2
) 1 (
) x ( f ) 1 ( ) x ( f
2
) 1 (
) ( L
2 1
2
0
+
+ +

USC
Simpsons 1/3-Rule
1
1
2 3
2
1
1
3
1
1
1
2 3
0
1
1
2
1
0
2
1
1
1
0
1
1
b
a
)
2

(
2
h
) f(x
)
3

( )h f(x )
2

(
2
h
) f(x
)d 1 (
2
h
) f(x )d 1 ( )h f(x
)d 1 (
2
h
) f(x d ) ( L h f(x)dx

+ +
+ =
+ + +
= ~
) f(x ) 4f(x ) f(x
3
h
f(x)dx
2 1 0
b
a
+ + =
Integrate the Lagrange interpolation
USC
Simpsons 3/8-Rule
Approximate by a cubic polynomial
| | ) x ( f ) x ( f 3 ) x ( f 3 ) x ( f
8
h 3
) f(x c ) f(x c ) f(x c ) f(x c ) x ( f c dx ) x ( f
3 2 1 0
3 3 2 2 1 1 0 0 i
3
0 i
i
b
a
+ + + =
+ + + = ~

}
=
x
0
x
1

x
f(x)
x
2
h h
L(x)
x
3
h
USC
Simpsons 3/8-Rule
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( f
) x x )( x x )( x x (
) x x )( x x )( x x (
) x ( L
3
2 3 1 3 0 3
2 1 0
2
3 2 1 2 0 2
3 1 0
1
3 1 2 1 0 1
3 2 0
0
3 0 2 0 1 0
3 2 1


+


+


+


=
| | ) x ( f ) x ( f 3 ) x ( f 3 ) x ( f
8
h 3
3
a - b
h ; L(x)dx f(x)dx
3 2 1 0
b
a
b
a
+ + + =
= ~
USC
Example: Simpsons Rules
Evaluate the integral
Simpsons 1/3-Rule



Simpsons 3/8-Rule
dx xe
4
0
x 2
}
| |
4
2
0
4 8
(0) 4 (2) (4)
3
2
0 4(2 ) 4 8240.411
3
5216.926 8240.411
57.96%
5216.926
x
h
I xe dx f f f
e e
c
= ~ + +
( = + + =

= =
}
| |
4
2
0
3 4 8
(0) 3 ( ) 3 ( ) (4)
8 3 3
3(4/3)
0 3(19.18922) 3(552.33933) 11923.832 6819.209
8
5216.926 6819.209
30.71%
5216.926
x
h
I xe dx f f f f
c
(
= ~ + + +
(

= + + + =

= =
}
USC
Midpoint Rule
Newton-Cotes Open Formula
) ( f
24
) a b (
)
2
b a
( f ) a b (
) x ( f ) a b ( dx ) x ( f
3
m
b
a
q
' '

+
+
=
~
a b
x
f(x)
x
m

USC
Two-point Newton-Cotes
Open Formula
Approximate by a straight line
| | ) ( f
108
) a b (
) x ( f ) x ( f
2
a b
dx ) x ( f
3
2 1
b
a
q
' '

+ +

~
}
x
0
x
1

x
f(x)
x
2
h h x
3
h
USC
Three-point Newton-Cotes Open
Formula
Approximate by a parabola
| |
) ( f
23040
) a b ( 7
) x ( f 2 ) x ( f ) x ( f 2
3
a b
dx ) x ( f
5
3 2 1
b
a
q
' ' ' '

+
+

~
}
x
0
x
1

x
f(x)
x
2
h h x
3
h h x
4

USC
Better Numerical Integration
Composite integration
Composite Trapezoidal Rule
Composite Simpsons Rule
Richardson Extrapolation
Romberg integration
USC
Apply trapezoid rule to multiple segments over
integration limits
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Two segments
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Four segments
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Many segments
0
1
2
3
4
5
6
7
3 5 7 9 11 13 15
Three segments
USC
Composite Trapezoid Rule
| | | | | |
| | ) x ( f ) x ( f 2 ) 2f(x ) f(x 2 ) f(x
2
h
) f(x ) f(x
2
h
) f(x ) f(x
2
h
) f(x ) f(x
2
h
f(x)dx f(x)dx f(x)dx f(x)dx
n 1 n i 1 0
n 1 n 2 1 1 0
x
x
x
x
x
x
b
a
n
1 n
2
1
1
0
+ + + + + + =
+ + + + + + =
+ + + =

} } } }

x
0
x
1

x
f(x)
x
2
h h x
3
h h x
4

n
a b
h

=
USC
Composite Trapezoid Rule
Evaluate the integral
dx xe I
4
0
x 2
}
=
| |
| |
|
|
|
|
|
|
% 66 . 2 95 . 5355
) 4 ( f ) 75 . 3 ( f 2 ) 5 . 3 ( f 2
) 5 . 0 ( f 2 ) 25 . 0 ( f 2 ) 0 ( f
2
h
I 25 . 0 h , 16 n
% 50 . 10 76 . 5764 ) 4 ( f ) 5 . 3 ( f 2
) 3 ( f 2 ) 5 . 2 ( f 2 ) 2 ( f 2 ) 5 . 1 ( f 2
) 1 ( f 2 ) 5 . 0 ( f 2 ) 0 ( f
2
h
I 5 . 0 h , 8 n
% 71 . 39 79 . 7288 ) 4 ( f ) 3 ( f 2
) 2 ( f 2 ) 1 ( f 2 ) 0 ( f
2
h
I 1 h , 4 n
% 75 . 132 23 . 12142 ) 4 ( f ) 2 ( f 2 ) 0 ( f
2
h
I 2 h , 2 n
% 12 . 357 66 . 23847 ) 4 ( f ) 0 ( f
2
h
I 4 h , 1 n
= =
+ + +
+ + + = = =
= = + +
+ + + +
+ + = = =
= = + +
+ + = = =
= = + + = = =
= = + = = =
c
c
c
c
c

USC
Composite Trapezoid
Example
}
+
2
1
1
1
dx
x
x f(x)
1.00 0.5000
1.25 0.4444
1.50 0.4000
1.75 0.3636
2.00 0.3333
USC
Composite Trapezoid Rule with
Unequal Segments
Evaluate the integral
h
1
= 2, h
2
= 1, h
3
= 0.5, h
4
= 0.5
dx xe I
4
0
x 2
}
=
| | | |
| | | |
| | | | | |
| | % 45 . 14 58 . 5971 4 5 . 3
2
0.5

5 . 3 3e
2
0.5
3 2
2
1
2 0
2
2

) 4 ( ) 5 . 3 (
2
) 5 . 3 ( ) 3 (
2

) 3 ( ) 2 (
2
) 2 ( ) 0 (
2

) ( ) ( ) ( ) (
8 7
7 6 6 4 4
4 3
2 1
4
5 . 3
5 . 3
3
3
2
2
0
= = + +
+ + + + + =
+ + + +
+ + + =
+ + + =
} } } }
c e e
e e e e
f f
h
f f
h
f f
h
f f
h
dx x f dx x f dx x f dx x f I
USC
Composite Simpsons Rule
x
0
x
2

x
f(x)
x
4
h h x
n-2
h x
n

n
a b
h

=
...
Piecewise Quadratic approximations
h x
3
x
1
x
n-1

USC
| | | |
| |
|
| ) x ( f ) x ( f 4 ) x ( f 2
) 4f(x ) x ( f 2 ) f(x 4
) 2f(x ) f(x 4 ) 2f(x ) f(x 4 ) f(x
3
h
) f(x ) 4f(x ) f(x
3
h
) f(x ) f(x 4 ) f(x
3
h
) f(x ) f(x 4 ) f(x
3
h
f(x)dx f(x)dx f(x)dx f(x)dx
n 1 n 2 n
1 2i i 2 1 - 2i
4 3 2 1 0
n 1 n 2 n
4 3 2 2 1 0
x
x
x
x
x
x
b
a
n
2 n
4
2
2
0
+ + +
+ + + +
+ + + + + =
+ + + +
+ + + + + =
+ + + =

+

} } } }

Composite Simpsons Rule

Multiple applications of Simpsons rule
USC
Composite Simpsons Rule
Evaluate the integral
n = 2, h = 2



n = 4, h = 1
dx xe I
4
0
x 2
}
=
| |
% 70 . 8 975 . 5670
e 4 ) e 3 ( 4 ) e 2 ( 2 ) e ( 4 0
3
1
) 4 ( f ) 3 ( f 4 ) 2 ( f 2 ) 1 ( f 4 ) 0 ( f
3
h
I
8 6 4 2
= =
+ + + + =
+ + + + =
c
| |
| | % 96 . 57 411 . 8240 e 4 ) e 2 ( 4 0
3
2
) 4 ( f ) 2 ( f 4 ) 0 ( f
3
h
I
8 4
= = + + =
+ + =
c
USC
Composite Simpsons
Example
}
+
2
1
1
1
dx
x
x f(x)
1.00 0.5000
1.25 0.4444
1.50 0.4000
1.75 0.3636
2.00 0.3333
USC
Composite Simpsons Rule with
Unequal Segments
Evaluate the integral
h
1
= 1.5, h
2
= 0.5
dx xe I
4
0
x 2
}
=
| |
| |
| | | |
% 76 . 3 23 . 5413
4 ) 5 . 3 ( 4 3
3
5 . 0
3 ) 5 . 1 ( 4 0
3
5 . 1
) 4 ( 2 ) 5 . 3 ( 4 ) 3 (
3
) 3 ( 2 ) 5 . 1 ( 4 ) 0 (
3
) ( ) (
8 7 6 6 3
2
1
4
3
3
0
= =
+ + + + + =
+ + +
+ + =
+ =
} }
c
e e e e e
f f f
h
f f f
h
dx x f dx x f I
USC
Richardson Extrapolation
Use trapezoidal rule as an example
subintervals: n = 2
j
= 1, 2, 4, 8, 16, .
| |
j 2
1 j
j n 1 n 1 0
b
a
h c ) x ( f ) x ( f 2 ) f(x 2 ) f(x
2
h
f(x)dx

}

=

+ + + + + =
| |
| |
| |
| |
| | ) ( ) ( ) ( ) (
) ( ) ( ) ( ) (
) ( ) ( ) ( ) ( ) (
) ( ) ( ) (
) ( ) (
b f x f 2 x f 2 a f
2
h
I 2 j
b f x f 2 x f 2 a f
16
h
I 8 3
b f x f 2 x f 2 x f 2 a f
8
h
I 4 2
b f x f 2 a f
4
h
I 2 1
b f a f
2
h
I 1 0
Formula n j
1 n 1
j
j
j
7 1 3
3 2 1 2
1 1
0
+ + + + =
+ + + + =
+ + + + =
+ + =
+ =

USC
Richardson Extrapolation
For trapezoidal rule






k
th
level of extrapolation
(

+ + =
+ =
+ + = +
(

+ + + =
+ + =
+ + = =
}
) h ( B )
2
h
( B 16
15
1
) h ( C
)
2
h
( b )
2
h
( B A
h b ) h ( B A
h b ) h ( B h
4
c
) h ( A )
2
h
( A 4
3
1
A
)
2
h
( c )
2
h
( c )
2
h
( A A
h c h c ) h ( A A
h c ) h ( A dx ) x ( f A
4
2
4
2
4
2
4 2
4
2
2
1
4
2
2
1
2
1
b
a

1 4
) h ( C h/2) ( C 4
) h ( D
k
k

=
USC
255
I I 256
63
I I 64
15
I I 16
3
I I 4
I 16 h
I I 8 h
I I I 4 h
I I I I 2 h
I I I I I h
h O h O h O h O h O
4 k 3 k 2 k 1 k 0 k
s Boole s Simpson Trapezoid
3 j 3 1 j 2 j 2 1 j 1 j 1 1 j 0 j 0 1 j
0 4
1 3 0 3
2 2 1 2 0 2
3 1 2 1 1 1 0 1
4 0 3 0 2 0 1 0 0 0
10 8 6 4 2
, , , , , , , ,
,
, ,
, , ,
, , , ,
, , , , ,
/
/
/
/
) ( ) ( ) ( ) ( ) (
' '

= = = = =
+ + + +
3, 2, 1, k ;
1 4
I I 4
I
k
k , j k , 1 j
k
k , j
=

=
+
Romberg Integration
Accelerated Trapezoid Rule

USC
Romberg Integration
Accelerated Trapezoid Rule

926477 . 5216 dx xe I
4
0
x 2
= =
% 00050 . 0 % 00168 . 0 % 0053 . 0 % 0527 . 0 % 66 . 2
95 . 5355 25 . 0 h
68 . 5219 76 . 5764 5 . 0 h
20 . 5217 75 . 5256 79 . 7288 1 h
01 . 5217 14 . 5229 98 . 5670 2 . 12142 2 h
95 . 5216 84 . 5224 68 . 5499 41 . 8240 7 . 23847 4 h
) h ( O ) h ( O ) h ( O ) h ( O ) h ( O
4 k 3 k 2 k 1 k 0 k
s ' Boole s ' Simpson Trapezoid
10 8 6 4 2
=
=
=
=
=
=
= = = = =
c
USC
Romberg Integration
Example
}
+
2
1
1
1
dx
x
x f(x)
1.00 0.5000
1.25 0.4444
1.50 0.4000
1.75 0.3636
2.00 0.3333
USC
Gaussian Quadratures
Newton-Cotes Formulae
use evenly-spaced functional values

Gaussian Quadratures
select functional values at non-uniformly
distributed points to achieve higher accuracy
change of variables so that the interval of
integration is [-1,1]
Gauss-Legendre formulae
USC
Gaussian Quadrature on [-1, 1]
Choose (c
1
, c
2
, x
1
, x
2
) such that the method
yields exact integral for f(x) = x
0
, x
1
, x
2
, x
3

) x ( f c ) x ( f c ) x ( f c ) x ( f c dx ) x ( f
n n 2 2 1 1 i
1
1
n
1 i
i
+ + + = ~
}

=

) f(x c ) f(x c
f(x)dx : 2 n
2 2 1 1
1
1
+ =
=

x
2
x
1

-1 1
USC
Gaussian Quadrature on [-1, 1]
Exact integral for f = x
0
, x
1
, x
2
, x
3
Four equations for four unknowns
) f(x c ) f(x c f(x)dx : 2 n
2 2 1 1
1
1
+ = =

=
=
=

+ = = =
+ = = =
+ = = =
+ = = =
}
}
}
}

3
1
x
3
1
x
1 c
1 c

x c x c 0 dx x x f
x c x c
3
2
dx x x f
x c x c 0 xdx x f
c c 2 dx 1 1 f
2
1
2
1
3
2 2
3
1
1
1
1
3 3
2
2 2
2
1
1
1
1
2 2
2 2 1
1
1
1
2
1
1
1
)
3
1
( f )
3
1
( f dx ) x ( f I
1
1
+ = =
}

USC
Gaussian Quadrature on [-1, 1]
Choose (c
1
, c
2
, c
3
, x
1
, x
2
,

x
3
) such that
the method yields exact integral for
f(x) = x
0
, x
1
, x
2
, x
3
,x
4
, x
5

) x ( f c ) x ( f c ) x ( f c dx ) x ( f : 3 n
3 3 2 2 1 1
1
1
+ + = =
}

x
3
x
1

-1 1
x
2

USC
Gaussian Quadrature on [-1, 1]
5
3 3
5
2 2
5
1 1
1
1
5 5
4
3 3
4
2 2
4
1 1
1
1
4 4
3
3 3
3
2 2
3
1 1
1
1
3 3
2
3 3
2
2 2
2
1 1
1
1
2 2
3 3 2 2 1 1
1
1
3 2 1
1
1
0
5
2
0
3
2
0
2 1
x c x c x c dx x x f
x c x c x c dx x x f
x c x c x c dx x x f
x c x c x c dx x x f
x c x c x c xdx x f
c c c xdx f
+ + = = =
+ + = = =
+ + = = =
+ + = = =
+ + = = =
+ + = = =
}
}
}
}
}
}

=
=
=
=
=
=

5 / 3
0
5 / 3
9 / 5
9 / 8
9 / 5
3
2
1
3
2
1
x
x
x
c
c
c
USC
Gaussian Quadrature on [-1, 1]
Exact integral for f = x
0
, x
1
, x
2
, x
3,
x
4
, x
5
)
5
3
( f
9
5
) 0 ( f
9
8
)
5
3
( f
9
5
dx ) x ( f I
1
1
+ + = =

USC
Gaussian Quadrature on [a, b]
Coordinate transformation from [a,b] to [-1,1]
t
2
t
1
a b
} } }

=
+
+

=
1
1
1
1
b
a
dx ) x ( g dx )
2
a b
)(
2
a b
x
2
a b
( f dt ) t ( f

= =
= =
+
+

=
b t 1 x
a t 1 x
2
a b
x
2
a b
t
USC
Example: Gaussian Quadrature
Evaluate
Coordinate transformation




Two-point formula

33.34%) ( 543936 . 3477 376279 . 3468 167657324 . 9
e )
3
4
4 ( e )
3
4
4 ( )
3
1
( f )
3
1
( f dx ) x ( f I
3
4
4
3
4
4
1
1
= = + =
+ + = +

= =
+

}
c
926477 . 5216 dt te I
4
0
t 2
= =

+
= + = =
= + =
+
+

=
1
1
1
1
4 x 4
4
0
t 2
dx ) x ( f dx e ) 4 x 4 ( dt te I
2dx dt ; 2 x 2
2
a b
x
2
a b
t
USC
Example: Gaussian Quadrature
Three-point formula





Four-point formula

4.79%) ( 106689 . 4967
) 142689 . 8589 (
9
5
) 3926001 . 218 (
9
8
) 221191545 . 2 (
9
5
e ) 6 . 0 4 4 (
9
5
e ) 4 (
9
8
e ) 6 . 0 4 4 (
9
5
) 6 . 0 ( f
9
5
) 0 ( f
9
8
) 6 . 0 ( f
9
5
dx ) x ( f I
6 . 0 4 4 6 . 0 4
1
1
= =
+ + =
+ + + =
+ + = =
+

}
c
| |
| |
%) 37 . 0 ( 54375 . 5197
) 339981 . 0 ( f ) 339981 . 0 ( f 652145 . 0
) 861136 . 0 ( f ) 861136 . 0 ( f 34785 . 0 dx ) x ( f I
1
1
= =
+ +
+ = =
}