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Numerical Integration

Y = f(x)

Numerical Integration
y0 y1 y2 y3 yn

October, 2020 h

a = x0 x1 x2 x3 b = x0+nh=xn x

Newton – Cote Quadrature Formula

1. Trapezoidal rule. Given a set of data points (xi, yi), i = 0, 1, 2, …., n
2. Simpson’s 1/3 rule. of a function y = f (x), where f (x) is not explicitly
3. Simpson’s 3/8 rule. known.
4. Romberg's Method. Let 𝐼 = ∫ 𝑦𝑑𝑥 − (1)
5. Gaussian Quadrature Formula where y = f(x) takes the values y0, y1, y2, … , yn
for x0, x1, x2, … xn. Let us divide the interval (a,b)
into n equal parts of width h so that a = x0, x1 =
x0 +h, x2 = x0 + 2h, … , xn = x0 +nh = b
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Newton – Cote Quadrature Formula Newton – Cote Quadrature Formula

Clearly, Since 𝑥 = 𝑥 + 𝑝ℎ, 𝑑𝑥 = ℎ𝑑𝑝 and the above integration
becomes
x0 = a and xn = x0+nh = b, the integral becomes 𝑝(𝑝 − 1) 𝑝 𝑝 − 1 (𝑝 − 2)
𝐼=ℎ 𝑦 + 𝑝∆𝑦 + ∆ 𝑦 + ∆ 𝑦 + ⋯ 𝑑𝑝
2! 3!
𝐼= 𝑦𝑑𝑥 𝐼
𝑛 𝑛
𝑛 3 − 2 ∆ 𝑦
Approximating y by Newton’s forward interpolation formula = ℎ 𝑛𝑦 + ∆𝑦 +
𝑝(𝑝 − 1) 𝑝 𝑝 − 1 (𝑝 − 2)
2 2!
𝐼= 𝑦 + 𝑝∆𝑦 + ∆ 𝑦 + ∆ 𝑦 + ⋯ 𝑑𝑥 𝑛
2! 3! −𝑛 +𝑛 ∆ 𝑦
4
+ +⋯ 2
3!
The equation no (2) is a general equation for numerical
integration, also know as Newton – Cote quadrature formula.

TRAPEZOIDAL RULE TRAPEZOIDAL RULE

Putting n = 1 in eqn( 2 ) and taking curve through (x0,y0) and (x1,y1) as a
straight line, i.e. higher than first differences becomes zero. We get, Again, for the next interval [𝑥 , 𝑥 ], we get,

𝐼 = 𝑦𝑑𝑥 𝐼 = 𝑦𝑑𝑥

1 = ℎ(𝑦 + ∆𝑦 )
= ℎ(𝑦 + ∆𝑦 )
2
= (2𝑦 + 𝑦 − 𝑦 ) = (2𝑦 + 𝑦 − 𝑦 )

= (𝑦 + 𝑦 ) = (𝑦 + 𝑦 )
= area of Trapezium
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TRAPEZOIDAL RULE TRAPEZOIDAL RULE

Similarly, for the next interval [𝑥 , 𝑥 ], we get, Combining all these terms, we get,
I = I1 + I2 + I3 + … … … + In
𝐼 = 𝑦𝑑𝑥
𝑦𝑑𝑥 = 𝑦𝑑𝑥 + 𝑦𝑑𝑥 + 𝑦𝑑𝑥 + ⋯ + 𝑦𝑑𝑥
= (𝑦 + 𝑦 )
= 𝑦 +𝑦 + (𝑦 + 𝑦 )+ 𝑦 +𝑦 + ⋯ + (𝑦 +𝑦 )
Similarly, for the last interval [𝑥 , 𝑥 ], we get,
= 𝑦 +𝑦 + 𝑦 +𝑦 + 𝑦 +𝑦 + ⋯ + (𝑦 +𝑦 )
𝐼 = 𝑦𝑑𝑥
( ) = 𝑦 +𝑦 + 2(𝑦 + 𝑦 + 𝑦 + ⋯ + 𝑦 )
= (𝑦 +𝑦 ) This is called the composite Trapezoidal rule.

SIMPSON’S RULE SIMPSON’S RULE

Putting n = 2 in eqn ( 2 ) and taking curve through (x0,y0), (x1,y1) and (x2,y2) as Again, for the next interval [𝑥 , 𝑥 ], we get,
parabola. i.e. higher than second order becomes zero. We get,

𝐼 = 𝑦𝑑𝑥
𝐼 = 𝑦𝑑𝑥

= 2ℎ 𝑦 + ∆𝑦 + ∆ 𝑦
= 2ℎ 𝑦 + ∆𝑦 + ∆ 𝑦

= 2ℎ 𝑦 + (𝑦 − 𝑦 ) + ∆𝑦 − ∆𝑦
= 2ℎ 𝑦 + (𝑦 − 𝑦 ) + ∆𝑦 − ∆𝑦

= 𝑦 + 4𝑦 + 𝑦 = 𝑦 + 4𝑦 + 𝑦
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SIMPSON’S RULE SIMPSON’S RULE

Again, for the next interval [𝑥 , 𝑥 ], we get, Combining all these terms, we get,
I = I1 + I2 + I3 + … … … In-2
𝐼 = 𝑦𝑑𝑥
𝑦𝑑𝑥 = 𝑦𝑑𝑥 + 𝑦𝑑𝑥 + 𝑦𝑑𝑥 + ⋯ + 𝑦𝑑𝑥
= 𝑦 + 4𝑦 + 𝑦
= 𝑦 + 4𝑦 + 𝑦 + 𝑦 + 4𝑦 + 𝑦 + 𝑦 + 4𝑦 + 𝑦 + ⋯ + (𝑦 +
Similarly, for the last interval [𝑥 , 𝑥 ], we get, 4𝑦 +𝑦 )

𝐼 = 𝑦𝑑𝑥 = [ 𝑦 + 4𝑦 + 𝑦 + 𝑦 + 4𝑦 + 𝑦 + 𝑦 + 4𝑦 + 𝑦 + ⋯ + (𝑦 +
( ) 4𝑦 + 𝑦 )]
= 𝑦 + 4𝑦 +𝑦

SIMPSON’S RULE SIMPSON’S RULE

= [ 𝑦 +𝑦 +4 𝑦 +𝑦 +𝑦 +𝑦 +⋯+𝑦 + 2(𝑦 + 𝑦 + 𝑦 + 𝑦𝑑𝑥
⋯ + 𝑦 )] 3ℎ
= [ 𝑦 +𝑦 +3 𝑦 + 𝑦 +𝑦 + 𝑦 + 𝑦 +⋯+𝑦 + 2(𝑦 + 𝑦 + 𝑦 + ⋯
8
= 𝑦 +𝑦 + 4 ∗ 𝑆𝑢𝑚 𝑜𝑓 𝑜𝑑𝑑 𝑜𝑟𝑑𝑖𝑛𝑎𝑡𝑒𝑠 + 2 ∗ (𝑆𝑢𝑚 𝑜𝑓 𝑒𝑣𝑒𝑛 𝑜𝑟𝑑𝑖𝑛𝑎𝑡𝑒𝑠) + 𝑦 )]

This is called composite Simpson 1/3 – rule. 3ℎ

= 𝐹𝑖𝑟𝑠𝑡 + 𝑙𝑎𝑠𝑡 + 3 𝑚𝑜𝑑 𝑜𝑓 3 + 2(𝑚𝑢𝑙𝑡𝑖𝑝𝑙𝑒 𝑜𝑓 3)
8

This is called Simpson’s 3/8 – Rule.

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Example Solution
Evaluate Solution:
1
𝑑𝑥 Given,
1+𝑥
a=0
By using i) Trapezoidal Rule, ii) Simpson’s 1/3 – rule and
iii) Simpson’s 3/8 – Rule. [Take n = 6] b=6
n=6
𝑏 −𝑎
∴ℎ=
𝑛
h=1

Cont’d… Exercise
The values of y = are given below: a) Evaluate the integral
x 0 1 2 3 4 5 6 1+𝑒
y 1 0.5 0.2 0.1 0.0588 0.0385 0.027
𝐼= 𝑑𝑥
𝑠𝑖𝑛 𝑥 + cos 𝑥
y0 y1 y2 y3 y4 y5 y6
Using Simpson’s 1/3 – rule. [take n = 6]
i) By using Trapezoidal Rule. We have,
∫ 𝑑𝑥 = 𝑦 + 𝑦 + 2(𝑦 + 𝑦 + 𝑦 + 𝑦 + 𝑦 )
= 1.4108 x 1 2 3 4 6 8 10 12 14
ii) Simpson’s one – third rule = 1.3662 y -10 2 3 59 56 4 3 2 4
ii) Simpson’s three – eighth rule = 1.3571
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Exercise Exercise
# Evaluate the integral # Evaluate the integral
1 1
𝐼= 𝑑𝑥 𝐼= 𝑑𝑥
1+𝑥 1+𝑥
Using Simpson’s one – third rule. Taking h = 0.1. Using Simpson’s one – third rule. Taking h = 0.1.
Hence Evaluate the approximate value of 𝜋 (pie) Hence Evaluate the approximate value of 𝜋 (pie)
correct to 3 decimal places. correct to 3 decimal places.

Romberg’s Method Romberg’s Method

1 𝐼 ℎ 4 Romberg’s Formula:
𝐼 ℎ, ⁄ 6 𝐼 ℎ, ⁄ = 4𝐼 ℎ/2 − 𝐼(ℎ)
2 𝐼 ℎ 2 𝐼 ℎ, ℎ 2 , ℎ 4
5 𝐼 ⁄ , ⁄ = 4𝐼 ℎ/4 − 𝐼(ℎ/2)
𝐼 ⁄ , ⁄ 1
3 𝐼 ℎ 4 𝐼 ℎ, ℎ 2 , ℎ 4 = 4𝐼 ℎ/2, ℎ/4 − 𝐼(ℎ, ℎ/2)
3

1 1
𝐼= (4I − I ) 𝐼= (4I − I )
3 3
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Romberg’s Method:: Example Romberg’s Method:: Example

Use Romberg’s method to compute Solution:
1 First we take h = 0.5, 0.25 and 0.125 successively
dx and evaluate the integral using Trapezoidal rule.
1+𝑥
i) When h = 0.5, the value of y = 1/(1+x2) are
Correct to 3 decimal places.
x 0 0.5 1
y 1 0.8 0.5
y0 y1 y2

Trapezoidal rule we have,

I(h) = h/2[(y0+y2)+2y1) ]= 0.7750

Romberg’s Method:: Example Romberg’s Method:: Example

ii) When h = 0.25, the value of y = 1/(1+x2) are Now, Romberg’s formula,
Do yourself 𝐼 ℎ, ⁄ = 4𝐼 ℎ/2 − 𝐼(ℎ)
= 0.7854
I(h/2) = 0.7828
𝐼 ⁄ , ⁄ = 4𝐼 ℎ/4 − 𝐼(ℎ/2)
iii) When h = 0.125, the value of y = 1/(1+x2) are = 0.7855
1
Do yourself 𝐼 ℎ, ℎ 2 , ℎ 4 = 4𝐼 ℎ/2, ℎ/4 − 𝐼(𝐼 ℎ , ℎ/2)
3
= 0.7855
I(h/4) = 0.7848
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Romberg’s Method:: Example Assignment - II

The table of these values is a) Evaluate the integral
.
𝑥
0.7750 sin 𝑥
𝑑𝑥
0.7854
0.7828 0.7855 using Romberg’s method, correct to 3 decimal
0.7855 places.
0.7848

Hence, the value of the integral ∫ = 0.7855

Gaussian Integration Cont’d…..

n i wi xi Gauss - Legendre Formula (n = 2)
𝐼= 𝑓 𝑥 𝑑𝑥 1 1 1
−
3
This formula will give correct value for integral
Ig = Gauss integration assumes 2 of f(x) in the range (-1, 1) for any function.
2 1 1
an approximation of the form
3
1 5
𝐼 = 𝑓 𝑥 𝑑𝑥 3
9 −
5 # Compute ∫ 𝑒 𝑑𝑥 using 2 – point Gauss –
3 2 8 0
Legendre formula.
= 𝑊 𝑓(𝑥 ) 9
3 5
3
9
5
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Example Example
Solution: Ig = 1*exp(-1/sqrt(3))+1*exp(1/sqrt(3))
𝑓(𝑥) = 𝑒𝑥 Ig = 2.3426
w1 = w2 = 1, Hence, the integral value of ∫ 𝑒 𝑑𝑥 = 2.3426
1
𝑥 =−
3
# Compute ∫ 𝑒 𝑑𝑥 using Gaussian 3 – point
x2 = formula.
Gauss formula for n = 2, we have
Ig =∫ 𝑓(𝑥) 𝑑𝑥 # Compute ∫ (3𝑥 + 2𝑥 + 8)𝑑𝑥 Gaussian 2 –
= ∑ 𝑤 𝑓(𝑥 ) point formula.
=𝑤 𝑓 𝑥 +𝑤 𝑓 𝑥

Gaussian Integration Cont’d…

Changing the limits of integration Thus, the integral becomes,
𝑏−𝑎
𝑓 𝑥 𝑑𝑥 = 𝑐 𝑔 𝑧 𝑑𝑧 𝑓 𝑥 𝑑𝑥 = 𝑔 𝑧 𝑑𝑧
2
𝑏−𝑎 𝑎+𝑏
𝑥= 𝑧+ =𝑐 𝑤 𝑔(𝑧 )
2 2
𝑏−𝑎 𝑏−𝑎
𝑑𝑥 = 𝑑𝑧 𝑐=
2 2
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# Compute the integral Solution:

We first change the limits of the integration (-2,2) to (-
𝑒 𝑑𝑥 1,1) by transformation. We have,
a = -2, b = 2, 𝑓 𝑥 = 𝑒
Using Gaussian 2 – point formula. Therefore,
𝑏−𝑎 𝑎+𝑏
𝑥= 𝑧+
2 2
𝑥 = 2𝑧 + 0
𝑑𝑥 = 2𝑑𝑧
∴𝑐=2

For Gaussian 2 – point formula, we have

Now, n = 2, 𝑤 = 𝑤 = 1
𝑔 𝑧 =𝑓 𝑥 𝑧 =− ,𝑧 =
𝑏−𝑎
𝑐= =2
=𝑒 2

Then, the integral becomes,

=𝑒 𝐼 =𝑐 𝑤 𝑔(𝑧 )
=𝑒
=𝑐 𝑤 𝑔(𝑧 )

= 𝑐[𝑤 𝑔 𝑧 +𝑤 𝑔 𝑧 ]
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Exercise
# Use Gauss – Legendre 2 – point formula to
evaluate

𝑥 + 1 𝑑𝑥