Romberg Rule of Integration
Major: All Engineering Majors
Authors: Autar Kaw, Charlie Barker
http://numericalmethods.eng.usf.edu
Transforming Numerical Methods Education for STEM
Undergraduates
1/10/2010 http://numericalmethods.eng.usf.edu 1
Romberg Rule of
Integration
http://numericalmethods.eng.usf.edu
Basis of Romberg Rule
b
Integration ∫ f ( x )dx
a
f(x)
y
The process of measuring
the area under a curve.
b
I = ∫ f ( x )dx
a
Where:
f(x) is the integrand
a= lower limit of integration
a b x
b= upper limit of integration
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What is The Romberg Rule?
Romberg Integration is an extrapolation formula of
the Trapezoidal Rule for integration. It provides a
better approximation of the integral by reducing the
True Error.
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Error in Multiple Segment
Trapezoidal Rule
The true error in a multiple segment Trapezoidal
Rule with n segments for an integral
b
I = ∫ f ( x )dx
a
Is given by n
∑ f ′′(ξi )
(b − a ) i =1
3
Et =
12n 2 n
where for each i, ξi is a point somewhere in the
domain , [a + (i − 1)h , a + ih] .
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Error in Multiple Segment
Trapezoidal Rule
n
The term ∑ f ′′(ξ i ) can be viewed as an
i =1
n
approximate average value of f ′′( x ) in [a ,b] .
This leads us to say that the true error, Et
previously defined can be approximated as
1
Et ≅ α
n2
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Error in Multiple Segment
Trapezoidal Rule
n Value Et ∈t % ∈a %
Table 1 shows the results 1 11868 807 7.296 ---
obtained for the integral 2 11266 205 1.854 5.343
using multiple segment
3 11153 91.4 0.8265 1.019
Trapezoidal rule for
4 11113 51.5 0.4655 0.3594
30
140000 5 11094 33.0 0.2981 0.1669
x = ∫ 2000 ln − 9 . 8t dt
8 140000 − 2100t
6 11084 22.9 0.2070 0.09082
7 11078 16.8 0.1521 0.05482
8 11074 12.9 0.1165 0.03560
Table 1: Multiple Segment Trapezoidal Rule Values
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Error in Multiple Segment
Trapezoidal Rule
The true error gets approximately quartered as
the number of segments is doubled. This
information is used to get a better approximation
of the integral, and is the basis of Richardson’s
extrapolation.
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Richardson’s Extrapolation for
Trapezoidal Rule
The true error, Et in the n-segment Trapezoidal rule
is estimated as
C
Et ≈ 2
n
where C is an approximate constant of
proportionality. Since
Et = TV − I n
Where TV = true value and I n = approx. value
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Richardson’s Extrapolation for
Trapezoidal Rule
From the previous development, it can be shown
that C
≈ TV − I 2 n
(2n )
2
when the segment size is doubled and that
I 2n − I n
TV ≈ I 2 n +
3
which is Richardson’s Extrapolation.
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Example 1
The vertical distance covered by a rocket from 8 to 30
seconds is given by
30
140000
x = ∫ 2000 ln − 9. 8t dt
8 140000 − 2100t
a) Use Richardson’s rule to find the distance covered.
Use the 2-segment and 4-segment Trapezoidal
rule results given in Table 1.
b) Find the true error, Et for part (a).
c) Find the absolute relative true error, ∈a for part (a).
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Solution
a) I 2 = 11266m I 4 = 11113m
Using Richardson’s extrapolation formula
for Trapezoidal rule
I 2n − I n and choosing n=2,
TV ≈ I 2 n +
3
TV ≈ I 4 +
I4 − I2 11113 − 11266
3
= 11113 +
3
= 11062m
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Solution (cont.)
b) The exact value of the above integral is
30
140000
x = ∫ 2000 ln − 9. 8t dt
8 140000 − 2100t
= 11061 m
Hence
Et = True Value − Approximate Value
= 11061 − 11062
= −1 m
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Solution (cont.)
c) The absolute relative true error ∈t would then be
11061 − 11062
∈t = × 100
11061
= 0.00904%
Table 2 shows the Richardson’s extrapolation
results using 1, 2, 4, 8 segments. Results are
compared with those of Trapezoidal rule.
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Solution (cont.)
Table 2: The values obtained using Richardson’s
extrapolation formula for Trapezoidal rule for
30
140000
x = ∫ 2000 ln − 9 . 8t dt
8 140000 − 2100t
n Trapezoidal ∈t for Trapezoidal Richardson’s ∈t for Richardson’s
Rule Rule Extrapolation Extrapolation
1 11868 7.296 -- --
2 11266 1.854 11065 0.03616
4 11113 0.4655 11062 0.009041
8 11074 0.1165 11061 0.0000
Table 2: Richardson’s Extrapolation Values
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Romberg Integration
Romberg integration is same as Richardson’s
extrapolation formula as given previously. However,
Romberg used a recursive algorithm for the
extrapolation. Recall
I 2n − I n
TV ≈ I 2 n +
3
This can alternately be written as
I 2n − I n I 2n − I n
(I 2n )R = I 2n + = I 2n + 2−1
3 4 −1
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Romberg Integration
Note that the variable TVis replaced by ( I 2 n ) Ras the
value obtained using Richardson’s extrapolation formula.
Note also that the sign ≈ is replaced by = sign.
Hence the estimate of the true value now is
TV ≈ (I 2 n )R + Ch 4
Where Ch4 is an approximation of the true error.
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Romberg Integration
Determine another integral value with further halving
the step size (doubling the number of segments),
I 4n − I 2n
(I 4n )R = I 4n +
3
It follows from the two previous expressions
that the true value TV can be written as
(I 4 n )R − (I 2 n )R
TV ≈ (I 4 n )R +
15
( I 4 n )R − ( I 2 n )R
= I 4n +
43−1 − 1
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Romberg Integration
A general expression for Romberg integration can be
written as
I k −1, j +1 − I k −1, j
I k , j = I k −1, j +1 + k −1
,k ≥ 2
4 −1
The index k represents the order of extrapolation.
k=1 represents the values obtained from the regular
Trapezoidal rule, k=2 represents values obtained using the
true estimate as O(h2). The index j represents the more and
less accurate estimate of the integral.
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Example 2
The vertical distance covered by a rocket from
t = 8 to t = 30 seconds is given by
30
140000
x = ∫ 2000 ln − 9. 8t dt
8 140000 − 2100t
Use Romberg’s rule to find the distance covered. Use
the 1, 2, 4, and 8-segment Trapezoidal rule results as
given in the Table 1.
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Solution
From Table 1, the needed values from original
Trapezoidal rule are
I1,1 = 11868 I1,2 = 11266
I 1,3 = 11113 I1,4 = 11074
where the above four values correspond to using 1, 2,
4 and 8 segment Trapezoidal rule, respectively.
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Solution (cont.)
To get the first order extrapolation values,
I1, 2 − I1,1
I 2,1 = I1, 2 +
3
11266 − 11868
= 11266 +
3
= 11065
Similarly,
I1,3 − I1, 2 I1, 4 − I1,3
I 2, 2 = I1,3 + I 2,3 = I1, 4 +
3 3
11113 − 11266 11074 − 11113
= 11113 + = 11074 +
3 3
= 11062 = 11061
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Solution (cont.)
For the second order extrapolation values,
I 2, 2 − I 2,1
I 3,1 = I 2, 2 +
15
11062 − 11065
= 11062 +
15
= 11062
Similarly,
I 2,3 − I 2, 2
I 3, 2 = I 2 , 3 +
15
11061 − 11062
= 11061 +
15
= 11061
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Solution (cont.)
For the third order extrapolation values,
I 3 ,2 − I 3 ,1
I 4 ,1 = I 3,2 +
63
11061 − 11062
= 11061 +
63
= 11061m
Table 3 shows these increased correct values in a tree
graph.
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Solution (cont.)
Table 3: Improved estimates of the integral value using Romberg Integration
First Order Second Order Third Order
1-segment 11868
11065
2-segment 1126 11062
11062 11061
4-segment 11113 11061
11061
8-segment 11074
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Additional Resources
For all resources on this topic such as digital audiovisual
lectures, primers, textbook chapters, multiple-choice
tests, worksheets in MATLAB, MATHEMATICA, MathCad
and MAPLE, blogs, related physical problems, please
visit
http://numericalmethods.eng.usf.edu/topics/romberg_
method.html
THE END
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