Lecture Note by S.

M Alay-e-Abbas: Numerical Integration

Numerical Quadrature: In its simplest from an integral can be written as

Where we need to find the area under the curve defined by the function f(x). These methods of finding the area under the curve are commonly referred to as integration by quadrature. Which means that area under the curve can be thought of as the process of finding the edge length of a regular square whose area is the same as that of the area lying under the curve. Thus we seek a quadrature formula of the form

Where xi are the evaluated points giving f(xi) and Wi are the weights given to the i-th point with N+1 points. Consider the simplest form for the integral as f(x) = x. In such case if we evaluate the integral using above formula on the two end points xo = a and x1 = b, we get the analytical solution as.

And the weighted formula gives us

Comparing these two equations we get

Taking

we can write the result of the integral as

Lecture Note by S.M Alay-e-Abbas: Numerical Integration

This is the Trapezoidal rule. The error can be subtracted from the above equation to get the equality

In its composite form when we divide the integral into many such two points we get

Which is the Trapezoidal formula. Similarly for three points x0 = a, x1 = a+h and x2 = b, we get

Solving for Ws gives the Simpsons rule as

And its composite form is

Continuing with four and five points we get the Simpsons 3/8 and Booles rules as

And

A Taylor expansion of the function in the integrand also gives a formula of the form

Lecture Note by S.M Alay-e-Abbas: Numerical Integration

Whose first part in just the Trapezoidal formula whereas the remaining term is due to the derivation of Euler and McClaurin and hence is called EulerMcClaurin formula and gives very accurate results if the 1st and 3rd derivatives of the function are known. Exercise 1:

Exercise 2: The Intensity of light varies at the edges according to the formula

Where C and S are the Fresnel Integrals given by

and

Numerically solve these integrals and thus evaluate I/Io as a function of v and plot your results. Exercise 3: Integrate numerically the integral

And also perform the integration by changing its variables. Why changing the variables is required?

Lecture Note by S.M Alay-e-Abbas: Numerical Integration

Gaussian Quadrature: Integrals of the form

Lecture Note by S.M Alay-e-Abbas: Numerical Integration

Improper Integration: Integrals of the form

Are often encountered in physics. We must solve this integral numerically only if converges to a value. Many techniques are available for numerical integration of such integrals but none of these tries to evaluate the integral to infinity. pleasant.