CH04 4a PDF

Numerical Differentiation & Integration
Composite Numerical Integration I

Numerical Analysis (9th Edition)
R L Burden & J D Faires
Beamer Presentation Slides
prepared by
John Carroll
Dublin City University
c 2011 Brooks/Cole, Cengage Learning

Example
Composite Simpson
Composite Trapezoidal
Example
Outline
A Motivating Example
Numerical Analysis (Chapter 4)
2 / 35
Example
Composite Simpson
Example
Outline
The Composite Simpsons Rule
2 / 35
Example
Composite Simpson
Example
Outline
The Composite Trapezoidal & Midpoint Rules
2 / 35
Example
Composite Simpson
Example
Outline
Comparing the Composite Simpson & Trapezoidal Rules
2 / 35
Example
Composite Simpson
Example
Outline
3 / 35
Example
Composite Simpson
Example
Composite Numerical Integration: Motivating Example

Application of Simpsons Rule
Use Simpsons rule to approximate
Z
ex dx
4 / 35
Example
Composite Simpson
Example

Z
ex dx
and compare this to the results obtained by adding the Simpsons rule
approximations for
Z
2
0
ex dx
and
ex dx
4 / 35
Example
Composite Simpson
Example

Z
ex dx
and compare this to the results obtained by adding the Simpsons rule
approximations for
Z
ex dx
and
ex dx
and adding those for

Z
e dx,
e dx,
1
e dx
and
ex dx
4 / 35
Example
Composite Simpson
Example
Solution (1/3)
Simpsons rule on [0, 4] uses h = 2
5 / 35
Example
Composite Simpson
Example
Solution (1/3)
Simpsons rule on [0, 4] uses h = 2 and gives
Z
ex dx
2 0
(e + 4e2 + e4 ) = 56.76958.
3
5 / 35
Example
Composite Simpson
Example
Solution (1/3)
Simpsons rule on [0, 4] uses h = 2 and gives
Z
ex dx
2 0
(e + 4e2 + e4 ) = 56.76958.
3
The exact answer in this case is e4 e0 = 53.59815, and the error

3.17143 is far larger than we would normally accept.
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Example
Composite Simpson
Example

Solution (2/3)
Applying Simpsons rule on each of the intervals [0, 2] and [2, 4] uses
h=1
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Example
Composite Simpson
Example

Solution (2/3)
h = 1 and gives
Z
e dx
e dx +
0
ex dx
6 / 35
Example
Composite Simpson
Example

Solution (2/3)
h = 1 and gives
Z
e dx
e dx +
0
ex dx
1

1 0
e + 4e + e2 +
e2 + 4e3 + e4
3
3
6 / 35
Example
Composite Simpson
Example

Solution (2/3)
h = 1 and gives
Z
e dx
e dx +
0
ex dx
1

1 0
e + 4e + e2 +
e2 + 4e3 + e4
3
3

1 0
e + 4e + 2e2 + 4e3 + e4
3
6 / 35
Example
Composite Simpson
Example

Solution (2/3)
h = 1 and gives
Z
e dx
e dx +
0
ex dx
1

1 0
e + 4e + e2 +
e2 + 4e3 + e4
3
3

1 0
=
e + 4e + 2e2 + 4e3 + e4
3
= 53.86385
The error has been reduced to 0.26570.

6 / 35
Example
Composite Simpson
Example

Solution (3/3)
For the integrals on [0, 1],[1, 2],[3, 4], and [3, 4] we use Simpsons rule
four times with h = 12
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Example
Composite Simpson
Example

Solution (3/3)
four times with h = 12 giving
Z
e dx =
0
e dx +
e dx +
e dx +
2
ex dx
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Example
Composite Simpson
Example

Solution (3/3)
Z
e dx =
0
e dx +
e dx +
e dx +
2
ex dx
1

1
e0 + 4e1/2 + e +
e + 4e3/2 + e2
6
6
1

1 2
+
e + 4e5/2 + e3 +
e3 + 4e7/2 + e4
6
6
7 / 35
Example
Composite Simpson
Example

Solution (3/3)
Z
e dx =
0
e dx +
e dx +
e dx +
2
ex dx
1

1
e0 + 4e1/2 + e +
e + 4e3/2 + e2
6
6
1

1 2
+
e + 4e5/2 + e3 +
e3 + 4e7/2 + e4
6
6

1 0
1/2
3/2
e + 4e + 2e + 4e + 2e2 + 4e5/2 + 2e3 + 4e7/2 + e4
6
7 / 35
Example
Composite Simpson
Example

Solution (3/3)
Z
e dx =
0
e dx +
e dx +
e dx +
2
ex dx
1

1
e0 + 4e1/2 + e +
e + 4e3/2 + e2
6
6
1

1 2
+
e + 4e5/2 + e3 +
e3 + 4e7/2 + e4
6
6

1 0
1/2
3/2
=
e + 4e + 2e + 4e + 2e2 + 4e5/2 + 2e3 + 4e7/2 + e4
6
= 53.61622.
The error for this approximation has been reduced to 0.01807.

7 / 35
Example
Composite Simpson
Example
Outline
8 / 35
Example
Composite Simpson
Example
Composite Numerical Integration: Simpsons Rule

To generalize this procedure for an arbitrary integral
f (x) dx,
choose an even integer n. Subdivide the interval [a, b] into n

subintervals, and apply Simpsons rule on each consecutive pair of
subintervals.
y
y 5 f (x)
a 5 x0
x2
x2j22 x2j21
x2j
b 5 xn
9 / 35
Example
Composite Simpson
Example
Construct the Formula & Error Term

With h = (b a)/n and xj = a + jh, for each j = 0, 1, . . . , n,
10 / 35
Example
Composite Simpson
Example
Construct the Formula & Error Term

With h = (b a)/n and xj = a + jh, for each j = 0, 1, . . . , n, we have
Z
f (x) dx =
n/2 Z
X
j=1
x2j
f (x) dx
x2j2
n/2
X
h
j=1

h5 (4)
[f (x2j2 ) + 4f (x2j1 ) + f (x2j )]
f (j )
3
90
for some j with x2j2 < j < x2j , provided that f C 4 [a, b].
10 / 35
Example
Composite Simpson
Example

Z
f (x) dx =
n/2
X
h
j=1

h5 (4)
[f (x2j2 ) + 4f (x2j1 ) + f (x2j )]
f (j )
3
90
Construct the Formula & Error Term (Contd)

Using the fact that for each j = 1, 2, . . . , (n/2) 1 we have f (x2j )
appearing in the term corresponding to the interval [x2j2 , x2j ]
11 / 35
Example
Composite Simpson
Example

Z
f (x) dx =
n/2
X
h
j=1

h5 (4)
[f (x2j2 ) + 4f (x2j1 ) + f (x2j )]
f (j )
3
90

appearing in the term corresponding to the interval [x2j2 , x2j ] and also
in the term corresponding to the interval [x2j , x2j+2 ],
11 / 35
Example
Composite Simpson
Example

Z
f (x) dx =
n/2
X
h
j=1

h5 (4)
[f (x2j2 ) + 4f (x2j1 ) + f (x2j )]
f (j )
3
90

appearing in the term corresponding to the interval [x2j2 , x2j ] and also
in the term corresponding to the interval [x2j , x2j+2 ], we can reduce this
sum to
Z b
(n/2)1
n/2
X
X
h
f (x) dx =
f (x0 ) + 2
f (x2j ) + 4
f (x2j1 ) + f (xn )
3
a
j=1
j=1
n/2
h5 X (4)
f (j )
90
j=1
11 / 35
Example
Composite Simpson
Example

The error associated with this approximation is
n/2
E (f ) =
h5 X (4)
f (j )
90
j=1
where x2j2 < j < x2j , for each j = 1, 2, . . . , n/2. If f C 4 [a, b], the
Extreme Value Theorem See Theorem implies that f (4) assumes its
maximum and minimum in [a, b].
12 / 35
Example
Composite Simpson
Example

Since
min f (4) (x) f (4) (j ) max f (4) (x)
x[a,b]
x[a,b]
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Example
Composite Simpson
Example

Since
min f (4) (x) f (4) (j ) max f (4) (x)
x[a,b]
x[a,b]
we have
n/2
X
n
n
min f (4) (x)
f (4) (j )
max f (4) (x)
2 x[a,b]
2 x[a,b]
j=1
13 / 35
Example
Composite Simpson
Example

Since
min f (4) (x) f (4) (j ) max f (4) (x)
x[a,b]
x[a,b]
we have
n/2
X
n
n
min f (4) (x)
f (4) (j )
max f (4) (x)
2 x[a,b]
2 x[a,b]
j=1
and
n/2
min f
x[a,b]
(4)
2 X (4)
(x)
f (j ) max f (4) (x)
n
x[a,b]
j=1
13 / 35
Example
Composite Simpson
Example

By the Intermediate Value Theorem
See Theorem
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Example
Composite Simpson
Example

By the Intermediate Value Theorem See Theorem there is a (a, b)
such that
n/2
2 X (4)
(4)
f () =
f (j )
n
j=1
14 / 35
Example
Composite Simpson
Example

such that
n/2
2 X (4)
(4)
f () =
f (j )
n
j=1
Thus
n/2
h5 X (4)
h5 (4)
E (f ) =
f (j ) =
nf ()
90
180
j=1
14 / 35
Example
Composite Simpson
Example

such that
n/2
2 X (4)
(4)
f () =
f (j )
n
j=1
Thus
n/2
h5 X (4)
h5 (4)
E (f ) =
f (j ) =
nf ()
90
180
j=1
or, since h = (b a)/n,

E (f ) =
(b a) 4 (4)
h f ()
180
14 / 35
Example
Composite Simpson
Example

These observations produce the following result.
15 / 35
Example
Composite Simpson
Example

Theorem: Composite Simpsons Rule

Let f C 4 [a, b], n be even, h = (b a)/n, and xj = a + jh, for each
j = 0, 1, . . . , n.
15 / 35
Example
Composite Simpson
Example

Theorem: Composite Simpsons Rule

Let f C 4 [a, b], n be even, h = (b a)/n, and xj = a + jh, for each
j = 0, 1, . . . , n. There exists a (a, b) for which the Composite
Simpsons rule for n subintervals can be written with its error term as
Z b
(n/2)1
n/2
X
X
h
f (x) dx =
f (a) + 2
f (x2j ) + 4
f (x2j1 ) + f (b)
3
a
j=1
j=1
b a 4 (4)
h f ()
180
15 / 35
Example
Composite Simpson
Example

Comments on the Formula & Error Term
16 / 35
Example
Composite Simpson
Example

Notice that the error term for the Composite Simpsons rule is
O(h4 ), whereas it was O(h5 ) for the standard Simpsons rule.
16 / 35
Example
Composite Simpson
Example

However, these rates are not comparable because, for the
standard Simpsons rule, we have h fixed at h = (b a)/2, but for
Composite Simpsons rule we have h = (b a)/n, for n an even
integer.
16 / 35
Example
Composite Simpson
Example

integer.
This permits us to considerably reduce the value of h.
16 / 35
Example
Composite Simpson
Example

integer.
This permits us to considerably reduce the value of h.
The following algorithm uses the Composite Simpsons rule on n
subintervals. It is the most frequently-used general-purpose
quadrature algorithm.
16 / 35
Example
Composite Simpson
Example
Composite Integration: Simpsons Rule Algorithm

To approximate the integral I =
Rb
a
f (x) dx:
17 / 35
Example
Composite Simpson
Example

INPUT
Rb
a
f (x) dx:
endpoints a, b; even positive integer n
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Rb
a
f (x) dx:

approximation XI to I
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Step 1
Rb
a
f (x) dx:

Set h = (b a)/n
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Step 1
Step 2
Rb
a
f (x) dx:

Set h = (b a)/n
Set XI0 = f (a) + f (b)
XI1 = 0; (Summation of f (x2i1 )
XI2 = 0. (Summation of f (x2i ))
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Step 1
Step 2
Step 3
Rb
a
f (x) dx:

Set h = (b a)/n
Set XI0 = f (a) + f (b)
For i = 1, . . . , n 1 do Steps 4 and 5:
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Step 1
Step 2
Step 3
Rb
a
f (x) dx:

Set h = (b a)/n
Set XI0 = f (a) + f (b)
Step 4: Set X = a + ih
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Step 1
Step 2
Step 3
Rb
a
f (x) dx:

Set h = (b a)/n
Set XI0 = f (a) + f (b)
Step 5: If i is even then set XI2 = XI2 + f (X )
else set XI1 = XI1 + f (X )
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Step 1
Step 2
Step 3
Step 6
Rb
a
f (x) dx:

Set h = (b a)/n
Set XI0 = f (a) + f (b)
Set XI = h(XI0 + 2 XI2 + 4 XI1)/3
17 / 35
Example
Composite Simpson
Example

INPUT
OUTPUT
Step 1
Step 2
Step 3
Step 6
Step 7
Rb
a
f (x) dx:

Set h = (b a)/n
Set XI0 = f (a) + f (b)
Set XI = h(XI0 + 2 XI2 + 4 XI1)/3
OUTPUT (XI)
STOP
17 / 35
Example
Composite Simpson
Example
Outline
18 / 35
Example
Composite Simpson
Example
Composite Integration: Trapezoidal & Midpoint Rules
Preamble
The subdivision approach can be applied to any of the
Newton-Cotes formulas.
19 / 35
Example
Composite Simpson
Example
Preamble
The extensions of the Trapezoidal and Midpoint rules will be
presented without proof.
19 / 35
Example
Composite Simpson
Example
Preamble
The Trapezoidal rule requires only one interval for each
application, so the integer n can be either odd or even.
19 / 35
Example
Composite Simpson
Example
Preamble
The Trapezoidal rule requires only one interval for each
For the Midpoint rule, however, the integer n must be even.
19 / 35
Example
Composite Simpson
Example
Numerical Integration: Composite Trapezoidal Rule

y
y 5 f (x)
a 5 x0 x1
x j21
xj
x n21
b 5 xn
Note: The Trapezoidal rule requires only one interval for each
20 / 35
Example
Composite Simpson
Example
Theorem: Composite Trapezoidal Rule

Let f C 2 [a, b], h = (b a)/n, and xj = a + jh, for each j = 0, 1, . . . , n.
21 / 35
Example
Composite Simpson
Example
Theorem: Composite Trapezoidal Rule

Let f C 2 [a, b], h = (b a)/n, and xj = a + jh, for each j = 0, 1, . . . , n.
There exists a (a, b) for which the Composite Trapezoidal Rule for
n subintervals can be written with its error term as
Z b
n1
X
h
b a 2
f (x) dx = f (a) + 2
f (xj ) + f (b)
h f ()
2
12
a
j=1
21 / 35
Example
Composite Simpson
Example
Numerical Integration: Composite Midpoint Rule

Midpoint Rule (1-point open Newton-Cotes formula)
Z
x1
f (x) dx = 2hf (x0 ) +
x1
h3
f (),
3
where x1 < < x1
Theorem: Composite Midpoint Rule
22 / 35
Example
Composite Simpson
Example

Z
x1
f (x) dx = 2hf (x0 ) +
x1
h3
f (),
3
where x1 < < x1

Let f C 2 [a, b], n be even, h = (b a)/(n + 2), and xj = a + (j + 1)h
for each j = 1, 0, . . . , n + 1.
22 / 35
Example
Composite Simpson
Example

Z
x1
f (x) dx = 2hf (x0 ) +
x1
h3
f (),
3
where x1 < < x1

Let f C 2 [a, b], n be even, h = (b a)/(n + 2), and xj = a + (j + 1)h
for each j = 1, 0, . . . , n + 1. There exists a (a, b) for which the
Composite Midpoint rule for n + 2 subintervals can be written with its
error term as
Z
f (x) dx = 2h
a
n/2
X
j=0
f (x2j ) +
b a 2
h f ()
6
22 / 35
Example
Composite Simpson
Example

y
y 5 f (x)
a 5 x21 x 0
x1
x2j21 x2j x2j11
xn21 x n b 5 x n11
Note: The Midpoint Rule requires two intervals for each application, so
the integer n must be even.
23 / 35
Example
Composite Simpson
Example
Outline
24 / 35
Example
Composite Simpson
Example
Composite Numerical Integration: Example
Example: Trapezoidal .v. Simpsons Rules

Determine values of h that will ensure
R an approximation error of less
than 0.00002 when approximating 0 sin x dx and employing:
25 / 35
Example
Composite Simpson
Example

(a) Composite Trapezoidal rule and
25 / 35
Example
Composite Simpson
Example

(a) Composite Trapezoidal rule and
(b) Composite Simpsons rule.
25 / 35
Example
Composite Simpson
Example
Solution (1/5)
The error form for the Composite Trapezoidal rule for f (x) = sin x on
[0, ] is
26 / 35
Example
Composite Simpson
Example
Solution (1/5)
[0, ] is
2

h h2
h2

=
f
(
sin
)
| sin |.
()
=
12

12
12
26 / 35
Example
Composite Simpson
Example
Solution (1/5)
[0, ] is
2

h h2
h2

=
f
(
sin
)
| sin |.
()
=
12

12
12
To ensure sufficient accuracy with this technique, we need to have

h2
h2
| sin |
< 0.00002.
12
12
26 / 35
Example
Composite Simpson
Example

h2
h2
| sin |
< 0.00002
12
12
Solution (2/5)
27 / 35
Example
Composite Simpson
Example

h2
h2
| sin |
< 0.00002
12
12
Solution (2/5)
Since h = /n implies that n = /h, we need
3
12n2
< 0.00002
27 / 35
Example
Composite Simpson
Example

h2
h2
| sin |
< 0.00002
12
12
Solution (2/5)
Since h = /n implies that n = /h, we need
3
12n2
< 0.00002

1/2
3
n >
359.44
12(0.00002)
and the Composite Trapezoidal rule requires n 360.
27 / 35
Example
Composite Simpson
Example
Solution (3/5)
The error form for the Composite Simpsons rule for f (x) = sin x on
[0, ] is
28 / 35
Example
Composite Simpson
Example
Solution (3/5)
[0, ] is
4

h4
h (4) h4

=
f
sin
()
=
180
180
180 | sin |
28 / 35
Example
Composite Simpson
Example
Solution (3/5)
[0, ] is
4

h4
h (4) h4

=
f
sin
()
=
180
180
180 | sin |
To ensure sufficient accuracy with this technique we need to have
h4
h4
| sin |
< 0.00002
180
180
28 / 35
Example
Composite Simpson
Example
h4
h4
| sin |
< 0.00002
180
180
Solution (4/5)
29 / 35
Example
Composite Simpson
Example
h4
h4
| sin |
< 0.00002
180
180
Solution (4/5)
Using again the fact that n = /h gives
5
< 0.00002
180n4
29 / 35
Example
Composite Simpson
Example
h4
h4
| sin |
< 0.00002
180
180
Solution (4/5)
Using again the fact that n = /h gives
5
< 0.00002
180n4
n>
5
180(0.00002)
1/4
17.07
So Composite Simpsons rule requires only n 18.
29 / 35
Example
Composite Simpson
Example
Solution (5/5)
Composite Simpsons rule with n = 18 gives

Z
8
9
X
X

j
(2j 1)
sin x dx
2
sin
+4
sin
54
9
18
0
j=1
j=1
= 2.0000104
30 / 35
Example
Composite Simpson
Example
Solution (5/5)
Composite Simpsons rule with n = 18 gives

Z
8
9
X
X

j
(2j 1)
sin x dx
2
sin
+4
sin
54
9
18
0
j=1
j=1
= 2.0000104
This is accurate to within about 105 because the true value is

cos() ( cos(0)) = 2.
30 / 35
Example
Composite Simpson
Example
Composite Numerical Integration: Conclusion

Composite Simpsons rule is the clear choice if you wish to
minimize computation.
31 / 35
Example
Composite Simpson
Example

For comparison purposes, consider the Composite Trapezoidal
rule using h = /18 for the integral in the previous example.
31 / 35
Example
Composite Simpson
Example

This approximation uses the same function evaluations as
Composite Simpsons rule but the approximation in this case

Z
17
X
j
sin x dx
2
sin
+ sin 0 + sin
36
18
0
j=1
31 / 35
Example
Composite Simpson
Example

This approximation uses the same function evaluations as
Composite Simpsons rule but the approximation in this case

Z
17
X
j
sin x dx
2
sin
+ sin 0 + sin
36
18
0
j=1

17
X
j
=
2
sin
= 1.9949205
36
18
j=1
is accurate only to about 5 103 .

31 / 35
Questions?
Reference Material
The Extreme Value Theorem

If f C[a, b], then c1 , c2 [a, b] exist with f (c1 ) f (x) f (c2 ), for all
x [a, b]. In addition, if f is differentiable on (a, b), then the numbers
c1 and c2 occur either at the endpoints of [a, b] or where f is zero.
Return to Derivation of the Composite Simpsons Rule
y 5 f (x)
c2
c1
Intermediate Value Theorem

If f C[a, b] and K is any number between f (a) and f (b), then there
exists a number c (a, b) for which f (c) = K .
y
(a, f (a))
f (a)
y 5 f (x)
K
f (b)
(b, f (b))
(The diagram shows one of 3 possibilities for this function and interval.)
Return to Derivation of the Composite Simpsons Rule

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Numerical Differentiation & Integration

Composite Numerical Integration I

c 2011 Brooks/Cole, Cengage Learning

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

The Composite Simpsons Rule

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

The Composite Simpsons Rule

The Composite Trapezoidal & Midpoint Rules

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

The Composite Simpsons Rule

The Composite Trapezoidal & Midpoint Rules

Comparing the Composite Simpson & Trapezoidal Rules

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

The Composite Simpsons Rule

The Composite Trapezoidal & Midpoint Rules

Comparing the Composite Simpson & Trapezoidal Rules

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

and adding those for

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

The exact answer in this case is e4 e0 = 53.59815, and the error

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

Numerical Analysis (Chapter 4)

Composite Numerical Integration I

R L Burden & J D Faires

Composite Numerical Integration: Motivating Example

Numerical Analysis (Chapter 4)