3. Numerical integration (Numerical quadrature) .
Given the continuous function f(x) on [a,b], approximate
Newton-Cotes Formulas:
For the given abscissas, approximate the integral I(f)
by the integral of interpolating formula with degree n, I(p
n
) .
Formulas that use end points a, and b as data points are called closed formulas.
Those not use the end points called open (semi-open) formulas.
Rectangle and Mid point rules are the (semi-)open formulas.
Rectangle rule
Mid point rule.
Trapezoidal rule
Simpsons rule
Simpsons 3/8 rule
Bodes rule
Newton-Cotes formula for with equally spaced abscissas .
Definition: Degree of Precision (or Accuracy) of a quadrature rule I
n
(f) is the
positive integer D, if
I(x
k
) = I
n
(x
k
) for the degree k D, and
I(x
k
) I
n
(x
k
) for the degree k = D + 1.
Weights w
i
contain some negative coefficients.
Closed Newton-Cotes formula of degree D=n=8.
This thorem suggests that the higher order Newton-Cotes formula wouldnt
be useful for practical numerical computations.
Piecewise composite rules.
Optimize data points A family of Gauss formulas.
n=even cases are generally better in the degree of precision.
Constants c, c depend on n and type of formula open or closed.
For a given n, c of the closed formulas are typically smaller than the open
formula. The closed formulas are more used in practice.
If the function has a singularity at the end point, open formulas can be
useful.
Theorem: (The error associated with Newton-Cotes formulas.)
For Newton-Cotes formula with n+1 abscissas
(open or closed)
a) For even n, and f(x) C
(n+2)
(a,b), (a,b) such that,
b) For odd n, and f(x) C
(n+1)
(a,b), (a,b) such that,
The above theorem is used to determine the error of a Newton_Cotes formula.
Ex) Trapezoidal formula.
Theorem: (Weighted Mean-Value Theorem for Integrals.)
Exc. 3-1) Prove this.
Exc 3-4) Derive the error term for the mid-point rule and Simpsons rule.
Exc 3-5) Derive the error associated with Newton-Cotes formulas.
Exc. 3-2) Verify Booles rule using an algebraic computing software.
Exc. 3-3) Derive the error term for the Simplsons rule using the interpolation
error formula,
Trapezoidal formula
Extended (composite, compound) formula.
Simpson formula
For the composite trapezoidal rule,
Theorem: (Euler-Maclaurin Sum Formula).
If the f(x) has odd derivatives that are equal at the end points of interval
[a,b], such as a periodic function on [a,b], the composite trapezoidal rule
becomes more accurate. (Also extended mid-point rule.)
Romberg integration.
Extrapolation applied to the composite trapezoidal rule.
Euler-Maclaurin summation formula,
Romberg approximations is written R
k,j
,
Level of extrapolation
S
t
e
p
s
i
z
e
Exc 3-6) Using Romberg integration, calculate the definite integral
and estimate the error up to R
4,4
.
Gaussian quadratures.
Approximating the integral in the form,
optimize the location of data points and the associated weights,
in the way that the integrals of polynomials
have exact value,
(From 2 n parameters w
i
and x
i
, a quadrature formula with the degree of
precision 2n-1 can be constructed at best.)
Exc 3-7) Prove the above theorem.
Exc 3-8) Prove the above theorem.
hint) show the following facts.
More topics for the numerical integration.
Higher precision integration formulas.
ex) IMT type formula, (DE formula.)
Integration of improper integrals.
(i.e. infinite integral region, or discontinuity of integrand.)
Integration of multivariate functions.
ex) Monte-Carlo. Multivariate Gauss formulas.
Exc 3-9) Try some of the above.
