Tutorial ND and NA

NumericalDifferentiation&Integration 09102017
Numerical Differentiation
Forward Difference O(h)
Taylor expansion of f(x+h):
Backward difference: O(h)
Central difference: O(h2 )

ESO208A:AbhijeetSwain
Tutor(ESO208A):AbhijeetSwain,
SeniorResearchScholar,CivilEngineering
Department,IITKanpur. 1
Numerical Differentiation: Richardson Extrapolation

Richardsons extrapolation can be viewed as a general procedure for
improving the accuracy of approximations when the structure of the error is
known.
Taylor expansions:
General Term for: O( )
2
2
4 1
Forward Difference O :

. . .
2! 3!

. .
2! 3!
. . . .
2
2 . 2 . . .
2
. O
Forward Difference:
Error Order
Backward Difference:
Central Difference:
Q2) The velocity of an object, travelling along a straight line, was measured at various
times as follows:
Time (min) 0 1 2 3 4 5 6 7 8 9 10
Velocity 0.00 0.65 1.72 3.48 6.39 11.18 19.09 32.12 53.60 89.02 147.41
(cm/min)
Estimate the acceleration at 5 minutes using:

(i) forward difference, O(h2), with h=1 min,
(ii) backward difference, O(h2), with h=1 min, and
(iii) central difference O(h2) with h=1, 2, and 3 min. Use Richardson extrapolation to
obtain an O(h6) estimate from the three central difference estimates.
3 f i 4 f i 1 f i 2 3 f i 4 f i 1 f i 2 f f
f i f i f i i 1 i 1
2h 2h 2h
Numerical Integration
Newton-Cotes Formula that states if

one can approximate the integrand as an
nth order polynomial, then the integral
of that function is approximated by the
integral of that (n)th order polynomial.
b b
f ( x ) fn( x )
a a
Rectangle rule Mid-point rule
Trapezoidal rule
f (a) f (b)
b
f ( x)dx (b a)
a
2
Multiple segment Trapezoidal rule
ba
The integral I can be broken into h integrals as: h
n
b ah a 2h a ( n 1 ) h b
f ( x )dx f ( x )dx f ( x )dx ... f ( x )dx f ( x )dx

a a ah a ( n 2 )h a ( n 1 )h
ba n 1
f ( a ) 2 f ( a ih ) f ( b )
2n i 1
h n 1
b
f ( x) dx f ( a ) 2 f ( xi ) f (b)
a
2 i 1
Simpsons 1/3rd Rule

b b
I f ( x )dx f 2 ( x )dx
a a
f 2 ( x ) a0 a1 x a2 x 2
b
ba ab ba
f 2 ( x ) dx f (a ) 4 f f (b ) h
a
6 2 2
b
h ab
f 2 ( x )dx f ( a ) 4 f f ( b )
a 3 2
Multiple Segment Simpsons 1/3rd Rule

b x2 x4
f ( x )dx f ( x )dx f ( x )dx .....
a x0 x2
xn 2 xn
.... f ( x )dx f ( x )dx
xn 4 xn 2
Apply Simpsons 1/3rd Rule over each interval,
f ( x0 ) 4 f ( x1 ) f ( x2 ) f ( x2 ) 4 f ( x3 ) f ( x4 )
b
f ( x)dx ( x
a
2 x0 )
6 ... ( x4 x2 )
6 ...

f ( xn 4 ) 4 f ( x n 3 ) f ( xn 2 ) f ( xn 2 ) 4 f ( xn 1 ) f ( xn )
( xn 2 xn 4 ) ( xn xn 2 )
6 6
b n 1 n2

h
f ( x)dx f ( x0 ) 4 f ( xi ) 2 f ( xi ) f ( xn )
3 i 1 i 2

a
i odd i even
Simpsons 3/8 Rule

f 3 ( x) a0 a1 x a2 x 2 a3 x 3
x0 a
1 x0 x02 x03 a0 f x0 b a 2a b
x1 a h a
1 x1 x12 x13 a1 f x1 3 3

2b 2a a 2b
1 x2 x22 x23 a2 f x2 x2 a 2 h a
3

3

1 x3 x32 x33 a3 f x3 x3 a 3h a
3b 3a
b

3
Method 2: Using Lagrange interpolation
f 3 x
x x1 x x2 x x3 f x x x0 x x2 x x3 f x
x0 x1 x0 x2 x0 x3 0
x1 x0 x1 x2 x1 x3 1

x x0 x x1 x x3 f x x x0 x x1 x x2 f x
x2 x0 x2 x1 x2 x3 3
x3 x0 x3 x1 x3 x2 3
Simpsons 3/8 Rule

3h
I f x0 3 f x1 3 f x2 f x3
8
Multi-Segment Simpsons 3/8 Rule

3h n2 n 1 n 3
I 0
f x 3 f xi 3 f xi 2 f xi f xn
8 i 1, 4, 7,.. i 2,5,8,.. i 3, 6,9,..
Romberg Integration 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.
The true error in a multiple segment Trapezoidal Rule with n segments for
an integral I, is given by:
n

b b b a 3 f i
Et f ( x) dx f1 ( x)dx i 1

12n
2
a a
n

1 C
Et 2 Et 2 TV I n
n n
Applying Richardsons Extrapolation :
C C I 2n I n
TV I n TV I 2 n TV I 2 n
n2 ( 2n) 2 3
Gauss Quadrature Integration

Previously, the Trapezoidal Rule was developed by the method
of undetermined coefficients.
b
f ( x)dx c f (a) c
a
1 2 f (b)
ba ba
f (a) f (b)
2 2
The two-point Gauss Quadrature Rule is an extension of the
Trapezoidal Rule approximation where the arguments of the
function are not predetermined as a and b but as unknowns
x1 and x2. In the two-point Gauss Quadrature Rule, the integral is
approximated as
b
I f ( x )dx c1 f ( x1 ) c 2 f ( x 2 )
a
b
x4
f ( x )dx a0 a1 x a 2 x a3 x dx
b b
x2 x3
2 3
a0 x a1 a 2 a3
a a 2 3 4 a
b2 a2 b3 a3 b4 a4
a0 b a a1 a 2 a3
2 3 4
It follows that:
f ( x )dx c1 a0 a1 x1 a 2 x1 a3 x1 c2 a0 a1 x2 a 2 x2 a3 x2
b
2 3 2 3
Since the constants a0, a1, a2, a3 are arbitrary
b2 a2
b a c1 c2 c1 x1 c2 x2
2
b3 a 3 b4 a4
c1 x1 c2 x2
2 2
c1 x1 c 2 x 2
3 3
3 4
The previous four simultaneous nonlinear Equations

have only one acceptable solution,
b a 1 b a ba
x1 c1
2 3 2 2
b a 1 b a ba
x2 c2
2 3 2 2
Hence Two-Point Gaussian Quadrature Rule:

b
f (x)dx c f x c f x
a
1 1 2 2
ba ba 1 ba ba ba 1 ba
f f
2 2 3 2 2 2 3 2
Three-point Gauss Quadrature
f ( x)dx c f ( x ) c
a
1 1 2 f ( x2 ) c3 f ( x3 )
a0 a1 x a 2 x a3 x a 4 x a5 x dx
b
2 3 4 5

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NumericalDifferentiation&Integration 09102017

Forward Difference O(h)

Taylor expansion of f(x+h):

Backward difference: O(h)

Central difference: O(h2 )

Numerical Differentiation: Richardson Extrapolation

General Term for: O( )

Estimate the acceleration at 5 minutes using:

Newton-Cotes Formula that states if

Rectangle rule Mid-point rule

Multiple segment Trapezoidal rule

f ( x )dx f ( x )dx f ( x )dx ... f ( x )dx f ( x )dx

Simpsons 1/3rd Rule

Multiple Segment Simpsons 1/3rd Rule

Apply Simpsons 1/3rd Rule over each interval,

Simpsons 3/8 Rule

Method 2: Using Lagrange interpolation

Simpsons 3/8 Rule

Multi-Segment Simpsons 3/8 Rule

Romberg Integration Rule

Applying Richardsons Extrapolation :

Gauss Quadrature Integration

Since the constants a0, a1, a2, a3 are arbitrary

The previous four simultaneous nonlinear Equations

Hence Two-Point Gaussian Quadrature Rule:

Three-point Gauss Quadrature

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