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Approximation of integrals over rectangular regions

In this document we consider extending Gaussian quadrature rules to a repeated integral1 of the
form.

(, ) .

(1)

wherein the domain of integration is the rectangular region illustrated in the following diagram.
y
d

A standard numerical integration method2 applied to a one-dimensional integral replaces the

integral equation by a summation of weights and function evaluations. For example let us
presume that the following integration rule is applied in the y-direction

() ( ) .

=1

Applying this to the inner integral of (1) gives the following approximation.

(, ) (, ) = (, ) .

=1

=1

Applying the following quadrature rule in the x-direction, ()

=1 ( ) ,completes
the quadrature rule for the original integral (1),

(, ) ( , ) = ( , ) = ( , ) ,
=1

=1

=1

=1

=1

=1 =1

(2)
which has mn quadrature points ( , ) and weights for = 1 . . , = 1 . . .

1
2

Repeated Integration
Numerical Integration or Quadrature

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There are a variety of quadrature or numerical integraton3 rules that can be applied and the rule
applied in the x-direction does not need to be the same or the same type as the rule that is applied
in the y-direction. The spreadsheet4 demonstrates three methods applied to the following integral
2

.
1 0

The exact solution to this integral can be determined analytically as follows using repeated
integration5:
2

= [ ]10 = 1 = [ + ]21 = 3 + 2
1 0

= 0.4170534548 to 10 decimal places.

Three examples of numerical integration over a rectangle are shown on the spreadsheet4. In the
first example on page one of the spreadsheet, Simpsons rule6 is applied in both the x and ydirection. The spread of points is the same in both directions; five in the y-direction and 13 in
the x-directions, and hence a total of 65 points. The integration weightings and y-values are
listed in the first two columns. The weightings and x-values are listed below the first table. In
the table the integrand is evaluated at the integration points. In the table below the individual
weightings are multiplied by the evaluations of the integrand, to show all the individual
components of the summation. The components are summed to give the approximation to the
integral and for this method the result is 0.4171011408, an error of 0.00004768602616 .
In the second example, on page two of the spreadsheet, the layout is the same as described in the
previous paragraph. However in this case Gaussian quadrature rules are used in both directions.
Gaussian quadrature rules with three and four points 7 are used. The three point rule is usd in the
y-direction and a composite four point rule is used twice in the x-direction. Thats 24 points in
total and the error is 0.000006586670634 .
In the third example on sheet 3 of the spreadsheet a mixture of rules in the x- and y-directions is
demonstrated. The composite Gaussian 4-point rule as described in the previous paragraph is
applied in the x-direction. In the y-direction a mid-point rule8 is used, with five equally-spaced
points. Thats 40 points in total and the error is 0.002715644388.
In terms of the computational efficiency, it is often the case that a balance is achieved in terms of
the accuracy or number of points in the x- or y- directions is achieved, taking into account the
dimensions of the rectangular domain and the possible differences in the variation of the
integrand in the x- and y-directions.
The method described in this document can be applied similarly for integration over threedimensional domains or to higher dimensions.

Numerical Integration
Quadrature in a rectangular domain
5 Repeated Integation
6 Simpsons Rule
7 Gausssian quadrature
8 Midpoint Integration rule
3
4