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Numerical Integration: Msa / L-6 Cse-3512 - Numerical Methods 27 January, 2005

Numerical integration is used to approximate the value of definite integrals when a function is not explicitly known. It involves dividing the interval into subintervals, using interpolation formulas to approximate the function over each subinterval, and summing the areas. The document describes several quadrature rules for numerical integration, including the trapezoidal rule, Simpson's 1/3 rule, and Simpson's 3/8 rule. These rules replace the function with linear or parabolic segments over each subinterval and compute the integral as a weighted sum of the function values at the subinterval endpoints.
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0% found this document useful (0 votes)
71 views

Numerical Integration: Msa / L-6 Cse-3512 - Numerical Methods 27 January, 2005

Numerical integration is used to approximate the value of definite integrals when a function is not explicitly known. It involves dividing the interval into subintervals, using interpolation formulas to approximate the function over each subinterval, and summing the areas. The document describes several quadrature rules for numerical integration, including the trapezoidal rule, Simpson's 1/3 rule, and Simpson's 3/8 rule. These rules replace the function with linear or parabolic segments over each subinterval and compute the integral as a weighted sum of the function values at the subinterval endpoints.
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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MSA / L-6 CSE-3512 - Numerical Methods 27th January, 2005

Numerical Integration
Numerical integration is the process of finding the numerical value of a definite integral
b
I= 
a
f ( x) dx
when a function y = f (x) is not know explicitly. But we are given only a set of values of the function
y = f (x) corresponding to the same values of x.
 To evaluate the integral, we fit up a suitable interpolation polynomial to the given set of values of
f (x) and then integrate it within the desired limits. Here we integrate an approximate interpolation
formula instead of f (x). When this technique is applied on a function of single variable, the
process is called Quadrature.
b
 If f (x) is continuous over the closed interval [a, b], then the integral I = 
a
f ( x) dx represents the
area under the curve y = f (x) bounded by the ordinates x = a, x = b and the x-axis.

Y y = f (x)

a b X
Fig: Area under the curve y = f (x)

General Quadrature formula for equidistant ordinates


Suppose y = f(x) is a function whose values are known at equidistant values of x i.e. f(x0) = y0,
b
f(x0+h) = y1 , f(x0+2h) = y2 , ……., f(x0+nh) = yn. We have to evaluate I =  f ( x) dx.
a
To evaluate I, we have to replace f(x) by a suitable interpolation formula. Let the interval
[a, b] be divided into n subintervals with the division points a = x 0 < x0+h < …… < x0+nh = b
where h is the width of each subinterval.
Approximating f(x) by Newton’s forward interpolation formula we can write the integral as
x 0 nh
I = f (x) dx
x0
x 0 nh
=  x0
(y0 + u Δy0 + u (u-1) / 2! Δ2 y0 + u (u-1) (u-2) / 3! Δ3 y0 + …..) dx
Now, u = (x - x0) / h At x = x0
=> x = x0 +nh u=0
dx / du = h and at x = x0+nh
=> dx = h du u=n
Hence,
n
I = h (y0 + u Δy0 + u2-u / 2 Δ2y0 + u3-3u2+2u / 6 Δ3y0 +……….) dx
0
= h [u y0 + u2/2 Δy0 +( u3/3 - u2/2) Δ2y0 / 2 + (u4/4-3.u3 / 3 + 2.u2 / 2) Δ3y0 / 6 +…………]n
= h [n y0 + n2 / 2 Δy0 + ( n3 / 3 - n2 / 2 ) Δ2y0 / 2! + ( n4 / 4 - n3 + n2 ) Δ3y0 / 3! +…………]
The above equation is called the general quadrature formula or general Gauss Legendre
quadrature formula.
We can obtain different numerical integration formula by assigning n =1, 2, 3 etc in the above
formula.

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MSA / L-6 CSE-3512 - Numerical Methods 27th January, 2005

Trapezoidal Rule
Substituting n =1 in the general quadrature formula and neglecting all differences greater than
the first, we get
x 0 h
I1 =  x0
f (x) dx
= h [y0 + 1/2 Δy0] = h [y0 + 1/2 (y1-y0)] = h/2 (2y0 + y1 - y0)
= h/2 (y0 + y1) for the first sub interval [x0, x0+h]
Similarly, we get
x 0 2 h
I2 =  x 0 h
f (x) dx = h/2 (y1 + y2)
x 03h
I3 =  f (x) dx = h/2 (y2 + y3).
x 0 2 h
.
.
x 0  nh
In =  x 0  ( n 1) h
f (x) dx = h/2 (yn-1 + yn)

Combining all these expressions, we obtain


I = I1 + I2 + …………. + In
= h/2 (y0 + y1) + h/2 (y1 + y2) + ……….. + h/2 (yn-1 + yn)
= h/2 [y0 + 2 (y1 + y2 + ………. + yn-1) + yn]
The above formula is known as the trapezoidal rule for numerical integration.
 The geometrical significance of this rule is that the curve y = f(x) is replaced by n straight line
joining the points (x0, y0) and (x1, y1), (x1, y1) and (x2, y2), …. , (xn-1, yn-1) and (xn, yn).
 The area bounded by the curve y = f(x), the ordinates x = x0 and x = xn and the x axis is then
approximately equivalent to the sum of the areas of the n trapezium obtained.
1
Example: Calculate the value 0
x / (1 + x) dx correct up to 3 significant figures taking six
intervals by trapezoidal rule.
Solution: Here we have, f(x) = x / (1 + x) a = 0 b = 1 n = 6
 h = (b - a) / n = (1 – 0) / 6 = 1 / 6
X 0 1/6 2/6 3/6 4/6 5/6 6/6
y = f(x) 0.0 0.14286 0.25000 0.33333 0.40000 0.45454 0.50000
y0 y1 y2 y3 y4 y5 y6
The trapezoidal rule can be written as
I = h/2 [(y0 + y6) + 2 (y1 + y2 + y3 + y4 + y5)]
= 1/12 [ (0.0 + 0.5) + 2 (0.14286 + 0.25 + 0.33333 + 0.4 + 0.45454) ]
= 0.30512
 I = 0.305, correct to 3 significant figures.

Simpon’s 1/3 (One-third) Rule


Substituting n = 2 in the general quadrature formula and neglecting the third and other higher
order differences, we get
x 0 2 h
I1 = 
x0
f (x) dx
= h [2y0 + 2Δy0 + (8 / 3 - 2) Δ2y0 / 2] = h [2y0 + 2Δy0 + 1/3 Δ2y0]
= h [2y0 + 2 (y1 - y0) + 1/3 (y2 - 2y1 + y0)]
= 1/3 h [6y0 + 6y1 - 6y0 + y2 - 2y1 + y0]
= h/3 (y0 + 4y1 + y2)

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MSA / L-6 CSE-3512 - Numerical Methods 27th January, 2005

Similarly, we get
x 0 4 h
I2 =  x 0 2 h
f (x) dx = h/3 (y2 + 4y3 + y4)
x 06 h
I3 =  f (x) dx = h/3 (y4 + 4y5 + y6)
x 0 4 h
.
.
x 0  nh
In/2 =  x 0( n 2) h
f (x) dx = h/3 (yn-2 + 4yn-1 + yn)

Combining all these expressions, we obtain


I = I1 + I2 + …………. + In/2
= h/3 [(y0+4y1+y2) + (y2+4y3+y4) +……… + (yn-2+4yn-1+y2)]
= h/3 [y0 + 4 (y1 + y3 + y5 +....+ yn-1) + 2 ( y2 + y4 +.…+ yn-2) + yn]
The above formula is known as Simpson’s one-third rule on simply Simpson’s rule.
 It should be noted that this rule requires the division the whole range into an even number
of subintervals of width h.
Example 4, 5: See Page – 171 [G. Shanker Rao].

Simpson’s 3/8 (Three-eight) Rule


Substituting n = 3 in the general quadrature formula and neglecting all the differences above
Δ3, we get
x 03h
I1 =  x0
f (x) dx
= h [3y0 + 9/2 Δy0 + (9 - 9/2) Δ2y0 / 2 + (81/4 – 27 + 9) Δ3y0 / 6]
= 3h [y0 + 3/2 Δy0 + 3/4 Δ2y0 + 1/8 Δ3y0]
= 3h [y0 + 3/2 (y1-y0) + 3/4 (y2-2y1+y0) + 1/8 (y3-3y2+3y1-y0)]
= 3h/8 [y0 + 3y1 + 3y2 + y3]
Similarly, we get
x 06 h
I2 =  x 03h
f (x) dx = 3h/8 (y3 + 3y4 + 3y5 + y6)
x 09 h
I3 =  f (x) dx = 3h/8 (y6 + 3y7 + 3y8 + y9)
x 06 h
.
.
x 0  nh
In/3 =  x 0  ( n  3) h
f (x) dx = 3h/8 (yn-3 + 3yn-2 + 3yn-1 + yn)

Combining all these expressions, we obtain


I = I1 + I2 + …………. + In/2
= 3h/8 [(y0+3y1+3y2+y3) + (y3+3y4+3y5+y6) + …………+ (yn-3+3yn-2+3yn-1+yn)]
= 3h/8 [(y0 + yn) + 3 (y1 + y2 + y4 + y5 + …+ yn-2 + yn-1) + 2 (y3 + y6 + … + yn-3)]
 Simpson’s 3/8 rule can be applied when the range [a, b] is divided into a number of
subintervals, which must be a multiple of 3.
Example 8: See Page – 174 [G. Shanker Rao].

Weddle’s rule:
Substituting n = 6 in the general quadrature formula and neglecting all differences above Δ6, we get
I = 3h/10 [(y0+yn) + (y2+y4+y8+y10+……+yn-4+yn-2) + 5 (y1+y5+y7+y11+…… +yn-5+yn-4)
+ 6 (y3+y9+y15+ …… +yn-3) + 2 (y6+y12+ …………. +yn-6)]
 Substituting n = 4 in the general quadrature formula and neglecting all differences above Δ 4, we
get the Boole’s rule.

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