10/19/2011

PGE 310: Formulation and Solution in Geosystems Engineering

Dr. Balhoff

Numerical Integration
Numerical Methods with MATLAB,

Recktenwald, Chapter 11
and
Numerical Methods for Engineers, Chapra and Canale, 5th Ed., Part Six, Chapters 21 and 22
and
Applied Numerical Methods with MATLAB, Chapra, 2nd Ed., Part Five, Chapters 17 and 18
1

Numerical Integration

Definition: Area underneath the curve

Basic Idea: Approximate continuous function with discrete points to

approximate integral

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Methods for Numerical Integration

Curve-Fitting

Newton-Coates

Fit a curve to the discrete data

Analytically integrate curve

Complicated function or tabulated data

Replace with approximating function that is easy to integrate
Single function OR piecewise polynomials can be used
Trapezoidal, Simpsons rules

Other methods where the function is given

Gauss quadrature Integration

Newton-Coates Integration Examples

Integration by (a) single straight line and (b) parabola

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Trapezoidal Rule Simplest Newton-Coates

Integral is the Area under the Curve

Width b a
I (b a)

H 1 f (a)
f ( a) f (b)
2

H 2 f (b )
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Trapezoidal Rule

First of the Newton-Coates formulas; corresponds to 1st order

polynomial
b

I f ( x ) dx f1 ( x ) dx

Recall from INTERPOLATION that a straight line can be represented:

f1 ( x) f (a )

Area under line is an estimate of the integral b/w the limits a and b
b

I [ f (a )
a

f (b) f (a )
x
ba

f (b) f (a)
x] dx
ba

Result of the integration is called the trapezoidal rule

I (b a)

f ( a) f (b)
2

Error of the Trapezoidal Rule

Straight line segment to approximate integral results in error (which may be

substantial)

Et

1
f ( )(b a ) 3
12

or
Et

(b a )3
f ( )
12

Constant

a< <b

Second derivation of the function at a

point in between a and b

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What does this error mean?

y

Et k f ( )

f(x) is a line (1st order)

f ( ) 0
Zero for all : a < < b

x
y

Error of using Trapezoidal method = 0

It is exact.

f(x) is 2nd order

f ( ) const ant
Constant for all : a < < b

Error of using Trapezoidal method is

a constant value.

x
y

f(x) is a 3rd order or higher

f( is not constant.
f( is a function of 1st or higher order.
The value of f( changes for different
functions and different . ( a < < b)

Error of using Trapezoidal method for 3rd or higher order

functions changes from case to case.

Multiple Application Trapezoidal Rule

Improve accuracy by using multiple segments

n+1 equally spaced data, so n segments of equal width
ba
h
n
The total integral can be represented by:

x2

x1

x3

xn1

x2

xn

f1 ( x)dx f 2 ( x)dx

f n ( x)dx

Substituting the trapezoidal rule yields

f ( x2 ) f ( x3 )
f ( xn ) f ( xn 1 )
f ( x1 ) f ( x2 )
h
h
2
2
2
Grouping terms:
I h

f ( x1 ) 2 f ( xi ) f ( xn 1 )

n
h

I b a
f ( x1 ) 2 f ( xi ) f ( xn 1 )

2n
i2

2
i2

Width

10

Average Height

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Simpsons Rules

Higher-order polynomials another way to get more accurate estimate

Three points make a parabola, 4 points make a cubic

11

Simpsons 1/3 Rule

b

I f ( x)dx f 2 ( x)dx

Second-order Lagrange polynomial, in the integral becomes

x3
x x2 x x3
x x1 x x3 f x x x1 x x2 f x dx
I
f ( x1 )


x x2 x1 x3
x2 x1 x3 x2 2 x3 x1 x3 x2 3
x1 1

After the integration and algebraic manipulation:

f ( x1 ) 4 f ( x2 ) f ( x3 )
h
a
f ( x1 ) 4 f ( x2 ) f ( x3 ) b

3
6

width

Average

Height

12

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Error estimate of Simpsons 1/3 rule

Single segment application of Simpsons 1/3 rule has truncation

error:

Et

1 5 (4)
(b a )5 (4)
h f ( )
f ( )
90
2880

4th derivation of the function at a point in

between a and b

Constant

Simpsons rule is more accurate than the trapezoidal rule

Its actually more accurate than expected:

Expect proportional to third derivative, but instead is proportional to

the 4th derivative
Yields an exact result for cubic polynomials even though its derived
from a parabola!

Error in Simpsons 1/3 rule

y

Et m f ( 4) ( )

f(x) is from 1st order to 3rd order

f ( 4 ) ( ) 0
x
y

a< <b

Error of using Simpsons 1/3 method = 0

It is exact.

Zero for all : a < < b

f(x) is 4th order

f ( 4 ) ( ) const ant
Constant for all : a < < b

Error of using Simpsons 1/3 method

is a constant value.

x
y

f(x) is a 5th order or higher

f( is not constant.
f( is a function of 1st or higher order.
The value of f( changes for different
functions and different . ( a < < b)
x
Error of using Simpsons 1/3 method for 5th or higher order
functions changes from case to case.

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Multiple Application 1/3 Rule

h

ba
n

n segments of equal width

Total integral can be represented by:

I

x2

x1

xn1

x2

xn

f n ( x)dx

Substituting the Simpsons 1/3 rule yields

I 2h

x3

f1 ( x)dx f 2 ( x)dx

f ( x1 ) 4 f ( x2 ) f ( x3 )
f ( x3 ) 4 f ( x4 ) f ( x5 )
f ( xn 1 ) 4 f ( xn ) f ( xn 1 )
2h
2h
6
6
6

Grouping terms

f ( x1 ) 4

f ( xi ) 2

n 1

f ( x j ) f ( xn 1 )
n
n 1

h
f ( x1 ) 4 f ( xi ) 2 f ( x j ) f ( xn 1 )
I b a

3n
3
i

2,4,6
j

3,5,7

Width
i 2,4,6

j 3,5,7

Average Height

15

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Simpsons 3/8 Rule

b

I f ( x)dx f3 ( x) dx

Integration and algebraic manipulation of the Lagrange Polynomials:

f ( x1 ) 3 f ( x2 ) 3 f ( x3 ) f ( x4 )
3h
f ( x1 ) 3 f ( x2 ) 3 f ( x3 ) f x4 b a

8
8

width

Average

Height

Error:

Same order accuracy as Simpson 1/3 rule so 1/3 rule is usually desired
Sometimes combine 1/3 and 3/8 rule when the segments are odd

Et

3 5 (4)
(b a )5 (4)
h f ( )
f ( )
80
6480

17

Integration with Unequal Segments

Until now all formulas have been based on equally spaced data

In practice, there are many situations where this does not hold

Trapezoid rule for example:

I h1

f ( x2 ) f ( x3 )
f ( xn ) f ( xn 1 )
f ( x1 ) f ( x2 )
h2
hn
2
2
2

Program can easily be created to accommodate unequal sized

segments

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Use of the Trapezoidal rule to determine the integral of unevenly spaced data.
Notice how the shaded segments could be evaluated with Simpsons rule to attain
19
higher accuracy

Comparison of Methods
Method

I f ( x)dx f1 ( x)dx

Equation
(b a)

Trapezoid

Error

f x1 f x2
2

Et

1
3
f " b a
12

(b a )

1/3 Simpsons
Rule

(b a )

f x1 2 f xi f xn 1

3/8 Simpsons
Rule

2n

f x1 4 f x2 f x3
6

f x1 4
(b a )

Ea

i2

Et

j 3,5,7

n 1

3n

f x1 3 f x2 3 f x3 f x4
(b a )
8

2880

Ea

Et

12n

b a 5

n 1

f x 2 f x f x

i 2,4,6

b a 3

b a 5
180n

b a
6480

f"
i 1

f ( 4 )

( 4)

f
i 1

f (4)

20

10

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Higher Order Newton-Coates

* To keep consistent notation in the above table replace x0 with x1, x1 with
x2, etc.

21

True Percent Relative Error

22

11

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Gauss Quadrature

Newton-Coates uses predetermined or fixed base points

Suppose we could evaluate the area under a straight line joining any
two points on the curve

We could balance the positive and negative errors if chosen wisely

Gauss Quadrature: class of techniques that implements this strategy

Particular Formulas discussed here a Gauss Legendre

Trapezoidal Rule

Gauss Quadrature

23

Method of Undetermined Coefficients:

2-Point Gauss-Legendre
This is another approach for calculating integrals. Not using before-mentioned
methods such as Trapezoidal and Simpsons.
In this method, for whatever function it is the integral expressed as:
y

Constant Coefficients

I c1 f ( x1 ) c2 f ( x2 )
Value of the function at two indicative
points within the interval
a <x1 & x2 < b

a x1

x2 b

So, the question is what are these 4 unknowns (c1, c2, x1 & x2) such that:
b

I f ( x )dx c1 f ( x1 ) c2 f ( x2 )
a

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Solve it for a Special Case:

What special?
Want to have exact solution for any 3rd order function
Integral limits are -1 to +1

We solve for this special case and generalize it

General 3rd order
function

g ( x) a0 a1 x a2 x 2 a3 x 3
1

I g ( x )dx (a0 a1 x a2 x 2 a3 x 3 )dx

1

a0 1 dx a1 x dx a2 x 2 dx a3 x 3 dx
So, if the Gauss-Quadrature formula (c1x1+c2x2) can calculate exact solution for
these 4 components, it can find exact solution for the whole function.

Solve it for a Special Case:

If f(x)=1:

x2

x1

x12

0 c1 x1 c2 x2

x22

2
2
2
c1 x1 c2 x2
3

x 2 dx c1 f ( x1 ) c2 f ( x2 )

If f(x)=x3:

2 c1 1 c2 1

x dx c1 f ( x1 ) c2 f ( x2 )

If f(x)=x2:

1 dx c1 f ( x1 ) c2 f ( x2 )

If f(x)=x:
1

x13

x23

x 3 dx c1 f ( x1 ) c2 f ( x2 )

4 Equations and 4 unknowns:

When solved:

0 c1 x1 c2 x2

c1 1
x1

c2 1

1
0.5773503
3

x2

1
0.5773503
3

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Method of Undetermined Coefficients:

2-Point Gauss-Legendre

y
f(x)=1

So, we found two points (x1=-0.5773503 &

x2=+0.5773503) and two constants (c1=1 & c2=1)
such that they can return Exact Integral Value for
these four functions.

-1

x1

x2 +1
y

f(x)=x
-1 x1

x2 +1

For these four functions:

y

f ( x ) dx c1 f ( x1 ) c2 f ( x2 )

1 f (

1
1
) 1 f (
)
3
3

f(x)=x2
x

x2 +1

-1 x1
y

f(x)=x3
-1 x1

x2 +1

Method of Undetermined Coefficients:

2-Point Gauss-Legendre
Any general 3rd order function composed of the four mentioned functions (go back to
two last slide).
So, by using 2-Point Gauss-Legendre method we can find the Exact Solution for the integral of
any 3rd function:

For these any 3rd (or lower) order functions:

f ( x) dx c1 f ( x1 ) c2 f ( x2 ) 1 f (

1
1
) 1 f (
)
3
3

For any higher order (4th order or higher) polynomial, or any non-polynomial function 2-Point
Gauss-Legendre method does not return the Exact Solution. It will have some errors and returns
Approximate Solution.

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Method of Undetermined Coefficients:

Multiple-Point Gauss-Legendre
We can use even more points
In general form:
n-Point Gauss-Legendre formula:

Method

f ( x ) dx c1 f ( x1 ) c2 f ( x2 ) ... cn f ( xn )

Exact answer for functions:

Error on the order of :

3rd

2-Point Gauss-Legendre
3-Point Gauss-Legendre
4-Point Gauss-Legendre
.
n-Point Gauss-Legendre

~f(4)()
~f(6)()
~f(8)()
.
~f(2n)()

up to
order
up to 5th order
up to 7th order
.
up to (2n-1)th order

What about the Integration Limits?

Integration limits: -1 to 1; change of variables can be made to translate the

limits of integration from a to b

Introduce new variable xd related to original variable x in a linear fashion

x a0 a1 xd

Limits: x = a and x = b corresponds to xd=-1 and xd=1

a a0 a1 (1)

Equations can be solved simultaneously for:

a0

b a0 a1 (1)

ba
2

a1

ba
2

They can substituted into equation and differentiated to yield:

b a b a xd
2

dx

b a dx
2

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General Form of Using Gauss-Quadrature Method Using

Higher-Point Formulas

g(xd)

ba
f ( x) dx f (a0 a1 xd ) (
)dxd
1
2
1
g ( xd )dxd c1 g ( xd 1 ) c2 g ( xd 2 ) ... cn g ( xdn )
1

xd i

Error:
~f 4()
~f 6()
~f 8()

~f 10()

~f 12()

In summary

Numerical Integration necessary for discrete data, complicated functions, etc.

Newton-Coates (good for predetermined and/or equally spaced data)

Trapezoid Rule (1st order accurate i.e. 2nd derivative error)

Simpsons 1/3 (3rd order accurate i.e. 4th derivative error)
Simpsons 3/8 (3rd order accurate i.e. 4th derivative error)

Gauss Quadrature/Gauss Legendre

More accurate, but requires us to be able to evaluate function at specific points

2-point Legendre is 3rd order accurate (Truncation error is proportional to 4th derivative)
Higher-Point Formulas Available

32

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