Course 9 CHAPTER 6-NUMERICAL INTEGRATION Let f : [ a, b ] R a continuous function and : [ a, b ] R a strictly positive continuous function called ponderosity.

ty. The question arises to calculate the approximative value of the integral

f ( x) ( x)dx
a

and for this we consider n + 1 distinct points of the interval

[ a, b ] ,

x0 , x1 , x2 ,..., xn for which we note yi = f ( xi ), i = 0, n . Let Ln be the polynomial Lagrange associated to the function f and to the considered points n ( x x0 )( x x1 )...( x xi 1 )( x xi +1 )...( x xn ) Ln ( x) = yi . ( xi x0 )( xi x1 )...( xi xi 1 )( xi xi +1 )...( xi xn ) i =0 Replacing the function f with Ln we obtain the formula of approximation:

f ( x) ( x)dx Ln ( x) ( x)dx =
a a

y
i =0

( x x0 )( x x1 )...( x xi 1 )( x xi +1 )...( x xn ) ( x)dx ( xi x0 )( xi x1 )...( xi xi 1 )( xi xi +1 )...( xi xn )

( x x0 )( x x1 )...( x xi 1 )( x xi +1 )...( x xn ) dx . ( xi x0 )( xi x1 )...( xi xi 1 )( xi xi +1 )...( xi xn ) i =0 a a+b ba ba + t with dx = dt and representing the points Changing the variable x = 2 2 2 a+b ba + ti , t , ti [ 1,1] we obtain: in the form xi = 2 2 = yi ( x)
n

f ( x)( x)dx
a

(t t )...(t t )(t t )...(t t ) b a n a +b b a yi ( 2 + 2 t ) (t t 0)...(t ti 1 )(t ti +1 )...(t nt )dt 2 i =0 i 0 i i 1 i i +1 i n 1

which is called the general formula of squaring. We assume that f is of class C n +1 and to evaluate the rest of the formula we consider that the error with which the polynomial of interpolation approximates the function is given by: ( n +1) M ( x) , where f ( x) Ln ( x) ( x x0 )( x x1 )...( x xn ) , where M = sup f x[ a ,b ] ( n + 1)! Rn ( x) =

f ( x ) ( x) dx Ln ( x) ( x)dx = ( f ( x) Ln ( x)) ( x) dx f ( x) Ln ( x ) ( x) dx .
a a a

Proceeding as above, we obtain the rest of general formula of squaring:

Rn ( f ) M b a (n +1)! 2
n +2 1 1

a +b b a + t ) (t t 0 )(t t1 )...(t t n ) dt 2 2

ba i, i = 0, n , n approximating under the integral the function with the Lagrange interpolation polynomial and ba t ,we obtain the formula of approximation Newton-Ctes : changing the variable x = a + n We assume that 1 , the points are equidistant x0 = a, xn = b , xi = a +

f ( x) ( x)dx (b a)H
a i =0

(n) i

f ( xi ) =(b a )H i ( n ) f (a +
i =0

b a i) n

and the numbers H i

(n)

given by:

Hi(n) =

1 ( 1) n i 1 ( 1) n i t (t 1)...(t n) t (t 1)...(t i +1)(t i 1)...(t n )dt = dt n ( n i )! i! 0 n ( n i )! i! t i 0

are called coefficients Newton-Ctes, for which we have the relations

H
If f is a function of class C
i =0 n +1

(n) i

(n) = 1,H i ( n ) = H n i , i = 0, n .

occurs the following formula of evaluation the rest:

x[ a ,b ]

ba f ( x) ( x)dx (b a) H i( n ) f (a + i) n i=0
n

sup f ( n +1) ( x ) (n + 1)!

The formula of the rectangles: If f : [ a, b ] R is a function of class C 1 . We apply the a+b , t0 = 0 and obtain: general formula generala of squaring for 1, n = 0, x0 = 2 b a+b (b a ) 2 f ( x ) dx ( b a ) f ( ) sup f ' ( x) . (1) with an error 2 4 x[ a ,b] a

ba n

n+2 n

t (t 1)(t 2)...(t n) dt
0

We consider a division ( x0 , x1 , x2 ,..., xn ) of the interval [ a, b ] with equidistant points ba xi = a + i, i = 0, n and apply on each subinterval [ xi , xi +1 ] the formula of approximation n

(1) and taking into account that

f ( x)dx =

n 1 xi+1 i = 0 xi

f ( x) dx , we obtain the following formula of

squaring also called formula of the rectangles:

f ( x)dx

x + xi +1 b a n 1 f( i ) n i =0 2

The rest or the error is given by: b b a n 1 xi + xi +1 (b a) 2 f ( x ) dx f ( ) sup f ' ( x) . n 2 4 n x [ a ,b ] i =0 a Observation: The geometric interpretation of the formula of the rectangles is given by: if the rectangle Di with a quantity given by the length of the interval [ xi , xi +1 ] and with the other quantity given by the value f ( xi + xi +1 ) , then the area of the rectangle Di is 2 x +x b a xi + xi +1 ( xi +1 xi ) f ( i i +1 ) = f( ) and the formula of the rectangles implies the 2 n 2

approximation of the integral Di , i = 0, n 1 .

f ( x)dx
a

through the sum of areas of the rectangles

The formula of the trapezoids: It is given f : [ a, b ] R as a function of class C 2 . We apply the general formula of squaring for 1, n = 1, x0 = a, x1 = b, t0 = 1, t1 = 1 and obtain: (2)

f ( x)dx

ba (b a )3 ( f ( a) + f (b)) with an error sup f ''( x ) . 2 12 x[ a ,b]

We consider a division ( x0 , x1 , x2 ,..., xn ) of the interval [ a, b ] with equidistant points ba xi = a + i, i = 0, n and we apply on each subinterval [ xi , xi +1 ] the formula of approximation n (2) and taking into account that

f ( x)dx =

n 1 xi+1 i = 0 xi

f ( x) dx , we obtain the following formula of

squaring also called the formula of the trapezoids:

f ( x ) dx

b a f ( a) + f (b) n 1 ( + f ( xi )) n 2 i =1

The rest or the error is given by: b b a f (a ) + f (b) n 1 (b a)3 f ( x ) dx ( + f ( x )) sup f ''( x) . i n 2 12n 2 x[ a ,b] i =1 a Observation: The geometric interpretation of the formula of the trapezoids is given by: if there is a right-angled trapezoid Ti with the height equal to the lenght of the interval [ xi , xi +1 ] and to the bases given by f ( xi ) si f ( xi +1 ) , then the area of the trapezoid Ti is xi +1 xi ba ( f ( xi ) + f ( xi +1 )) = ( f ( xi ) + f ( xi +1 )) and the formula of the trapezoids shows that 2 2n the approximation of the integral trapezoids Ti , i = 0, n 1 . The Simpsons formula: Let f : [ a, b ] R be a function of class C 4 . We apply the general a+b , x2 = b, t0 = 1, t1 = 0, t2 = 1 and obtain: formula of squaring for 1, n = 2, x0 = a, x1 = 2 b ba a+b ( f ( a) + 4 f ( ) + f (b)) . (3) f ( x)dx 6 2 a We consider a division ( x0 , x1 , x2 ,..., x2 n ) of the interval [ a, b ] with equidistant points ba xi = a + i, i = 0, 2n and apply on each subinterval [ xi , xi + 2 ] with i even formula of 2n approximation (3) and taking into account that

f ( x)dx
a

it can be done through the sum of the areas of the

f ( x)dx =
a i =0 xi i = par

2 n 2 xi+2

f ( x) dx , we obtain the

following formula of squaring also called the Simpsons formula:

f ( x)dx
a

n 1 n 1 b a ( f (a ) + f (b ) + 2 f ( x2 i ) + 4 f ( x2i 1 )) 6n i =1 i =1

Formulas for the approximate count of a double integral: Let 1 , 2 : [ a, b ] R be two

2 functions of class C 1 and simple domain D = { ( x, y ) R / a x b, 1 ( x) y 2 ( x)} on which we consider the continuous function f : D R .

The rest or the error is given by: b n 1 n 1 ba (b a )5 f ( x ) dx ( f ( a ) + f ( b ) + 2 f ( x ) + 4 f ( x )) sup f (4) ( x) . 2i 2 i 1 4 6n 2880n x[ a ,b] i =1 i =1 a

The question of the approximation of the double integral arises f ( x, y )dxdy , and D
D

being a simple domain we can pass to the repeated integrals b 2 ( x ) b f ( x , y ) dxdy = f ( x , y ) dy dx = F ( x)dx . D a 1 ( x ) a We consider a network of nodes ( xi , y j ) , i = 0, n, j = 0, m and applying to the integral

F ( x)dx a formula of squaring it is obtained

a

f ( x, y )dxdy Ai F ( xi ) , where
i =0

F ( xi ) =

2 ( xi ) 1 ( xi )

f ( xi , y )dy . Applying also to this last integral a formula of squaring

F ( xi ) Bij f ( xi , y j ) it results the approximation

j =0

mi

f ( x, y )dxdy Ai Bij f ( xi , y j )
i =0 j =0

mi

2 Considering the case in which D is a rectangular D = { ( x, y ) R / a x b, c y d }

ba d c , y j = c + jk , j = 0, m, k = n m we obtain the approximate value of the integral of the function f on the rectangular of angles ( xi , yi ), ( xi , yi +1 ), ( xi +1 , yi ), ( xi +1 , yi +1 ) through the repeated application of the formula of the trapezoids: xi +1 y j +1 xi+1 x xi+1 k k i+1 I ij = f ( x, y )dy dx ( f ( x, y j ) + f ( x, y j +1 ) ) dx = f ( x, y j )dx + f ( x, y j +1 )dx 2 2 xi y j xi xi xi kh I ij ( f ( xi , y j ) + f ( xi +1 , y j ) + f ( xi , y j +1 ) + f ( xi+1, y j +1 ) ) . 22 Thus the approximate value of the integral is: and the network is made of points xi = a + ih, i = 0, n, h =

f ( x, y)dxdy = I
D i =0 j =0

n 1 m 1

ij

n 1 m 1 kh ( f ( xi , y j ) + f ( xi +1 , y j ) + f ( xi , y j +1 ) + f ( xi +1 , y j +1 ) ) i =0 j =0 4

ba d c , y j = c + jk , j = 0, 2m, k = . 2n 2m If for the calculation of the integral I ij with i and j even we apply repeatedly the Simpsons formula we have: xi +2 y j + 2 xi +2 2k I ij = f ( x, y )dy dx ( f ( x, y j ) + 4 f ( x, y j +1 ) + f ( x, y j + 2 ) ) dx = 6 xi y j xi x xi+2 xi+ 2 k i+2 = f ( x, y j )dx + 4 f ( x, y j +1 )dx + f ( x, y j + 2 )dx = 3 xi xi xi kh = ( f ( xi , y j ) + f ( xi + 2 , y j ) + f ( xi , y j + 2 ) + f ( xi + 2 , y j + 2 ) + 33 We assume that xi = a + ih, i = 0, 2n, h =
+4( f ( xi +1 , y j ) + f ( xi , y j +1 ) + f ( xi + 2 , y j +1 ) + f ( xi +1 , y j + 2 )) + 16 f ( xi +1 , y j +1 )) = Fij
not

and after notation we obtain: f ( x, y )dxdy = I 2i ,2 j i =0 j =0

D

n 1 m 1

F2i ,2 j
i =0 j =0

n 1 m 1