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Chapter 17

Numerical Integration

Formulas

All images copyright The McGraw-Hill Companies, Inc. Permission required for reproduction or display.

Chapter Objectives

Recognizing that Newton-Cotes integration formulas are

based on the strategy of replacing a complicated function

or tabulated data with a polynomial that is easy to integrate.

Knowing how to implement the following single application

Newton-Cotes formulas:

Trapezoidal rule

Simpsons 1/3 rule

Simpsons 3/8 rule

Newton-Cotes formulas:

Trapezoidal rule

Simpsons 3/8 rule

Objectives (cont)

Recognizing that even-segment-odd-point

formulas like Simpsons 1/3 rule achieve

higher than expected accuracy.

Knowing how to use the trapezoidal rule to

integrate unequally spaced data.

Understanding the difference between open

and closed integration formulas.

Integration

Integration:

f xdx

b

from a to b:

Newton-Cotes Formulas

The Newton-Cotes formulas are the most

common numerical integration schemes.

Generally, they are based on replacing a

complicated function or tabulated data with a

polynomial that is easy to integrate:

I

f xdx f xdx

b

polynomial.

Newton-Cotes Examples

The integrating function

can be polynomials for

any order - for example,

(a) straight lines or (b)

parabolas.

The integral can be

approximated in one step

or in a series of steps to

improve accuracy.

The trapezoidal rule is

the first of the NewtonCotes closed integration

formulas; it uses a

straight-line

approximation for the

function:

b

I fn x dx

a

f b f a

I a f (a)

x a dx

ba

f a f b

I b a

2

truncation error of a single

application of the trapezoidal rule

is:

Et

1

3

f b a

12

a and b.

This formula indicates that the

error is dependent upon the

curvature of the actual function

as well as the distance between

the points.

Error can thus be reduced by

breaking the curve into parts.

Assuming n+1 data points are evenly

spaced, there will be n intervals over

which to integrate.

The total integral can be calculated

by integrating each subinterval and

then adding them together:

I

xn

x0

fn xdx

x1

x0

fn xdx

x2

x1

fn xdx L

xn

x n1

fn xdx

f x0 f x1

f x1 f x2

f xn1 f xn

I x1 x0

x2 x1

L xn xn1

2

2

2

n1

h

I f x0 2 f xi f xn

2

i 1

MATLAB Program

Simpsons Rules

One drawback of the trapezoidal rule is that the error is

related to the second derivative of the function.

More complicated approximation formulas can improve the

accuracy for curves - these include using (a) 2nd and (b) 3rd

order polynomials.

The formulas that result from taking the integrals under

these polynomials are called Simpsons rules.

Simpsons 1/3 rule corresponds to using

second-order polynomials. Using the

Lagrange form for a quadratic fit of three

points:

fn x

x x1 x x2 f x x x0 x x2 f x x x0 x x1 f x

x0 x1 x0 x2 0 x1 x0 x1 x2 1 x2 x0 x2 x1 2

I f xdx

x2

x0

h

f x0 4 f x1 f x2

An estimate for the local truncation error of a single

application of Simpsons 1/3 rule is:

1

5

4

Et

f b a

2880

where again is somewhere between a and b.

This formula indicates that the error is dependent upon the

fourth-derivative

of the actual function as well as the

distance between the points.

Note that the error is dependent on the fifth power of the

step size (rather than the third for the trapezoidal rule).

Error can thus be reduced by breaking the curve into parts.

on a set of subintervals in much

the same way the trapezoidal rule

was, except there must be an odd

number of points.

Because of the heavy weighting of

the internal points, the formula is a

little more complicated than for the

trapezoidal rule:

I

xn

x0

fn xdx

x2

x0

fn x dx

x4

x2

fn x dx L

xn

x n2

fn xdx

h

h

h

f

x

4

f

x

f

x

f

x

4

f

x

f

x

L

f xn2 4 f xn1 f xn

0

1 2 2

3 4

3

3

3

n1

n2

h

I f x0 4 f xi 2 f xi f xn

3

i1

j2

i,odd

j,even

I

Simpsons 3/8 rule corresponds

to using third-order polynomials

to fit four points. Integration over

the four points simplifies to:

I

x3

x0

fn xdx

3h

I f x0 3 f x1 3 f x2 f x3

8

used in concert with Simpsons

1/3 rule when the number of

segments is odd.

Higher-Order Formulas

Higher-order Newton-Cotes formulas may also be

used - in general, the higher the order of the

polynomial used, the higher the derivative of the

function in the error estimate and the higher the

power of the step size.

As in Simpsons 1/3 and 3/8 rule, the evensegment-odd-point formulas have truncation errors

that are the same order as formulas adding one

more point. For this reason, the even-segmentodd-point formulas are usually the methods of

preference.

Previous formulas were simplified based on

equispaced data points - though this is not

always the case.

The trapezoidal rule may be used with data

containing unequal segments:

I

xn

x0

fn xdx

x1

x0

fn x dx

x2

x1

fn x dx L

xn

x n1

fn xdx

f x0 f x1

f x1 f x2

f xn1 f xn

I x1 x0

x2 x1

L xn xn1

2

2

2

Segments

MATLAB Functions

MATLAB has built-in functions to evaluate integrals

based on the trapezoidal rule

z=trapz(y)

z=trapz(x,y)

produces the integral of y with respect to x. If x is

omitted, the program assumes h=1.

z=cumtrapz(y)

z=cumtrapz(x,y)

produces the cumulative integral of y with respect

to x. If x is omitted, the program assumes h=1.

Multiple Integrals

Multiple integrals can be

determined numerically by first

integrating in one dimension,

then a second, and so on for all

dimensions of the problem.

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