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Numerical Integration or Quadrature

Integration1 is the measure of the accumulation of the value of a function. Analytic integration can be carried out on an indefinite integral resulting in a functional solution, or a definite integral which results in a numerical value. Numerical integration is only concerned with determining an approximation to definite integrals. For a one dimensional function a definite integral sets limits on the domain of integration. The integral sign is written

and it is evaluated as a numeric value, rather than a function. The value of the integral is equal to the area illustrated in the following diagram:

The term quadrature is synonymous with numerical integration and it highlights that numerical integration (for a one dimensional function) is a process than can be viewed as simply finding an area. For functions of two variables, numerical integration is equivalent to approximating a volume and this process is often termed cubature. The terms quadrature and cubature are also synonymous with numerical integration of functions of three or more variables. Analytic techniques exist for the exact evaluation of integrals of functions of one varialble1 or of two or more variables 2. However in many cases integrals are difficult or impossible to solve analytically and hence numerical methods are not only useful, but are necessary techniques for the evaluation of integrals. In order to introduce numerical integration techniques, the most common and simplest case of the evaluation of an integral of a function of one variable is given the most attention initially. Those techniques also form the concepts that need to be taken on board in order to progress to techniques for the integration of functions of two or more variables.
1 2

Integration Repeated Integration

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A numerical integration method always replaces the integral equation by a summation of weights and function evaluations

(1) In computational terms we note that the evaluation of the integral requires n evaluation of the function f(x), a set of n multiplications and a summation. There are a wide range of numerical integration methods. Often the method of choice is constrained by the data point that are available on the one hand or whether we can choose the points. The issue of efficiency may have to be considered; the accuracy obtained versus the time taken to find the integral, which is usually proportional to the number of function evaluations. If data values are coming in real time then the integration can be carried out on the fly or also in real time. The most simple methods are based on approximating by a piecewise polynomial and integrating the piecewise polynomial. These methods are collectively termed the mid-point rule, the trapezoidal rule and Simpsons rule. If the integration points can be selected then a set of methods termed Gaussian quadrature are optimised for efficiency. Often integrals can be classified by having a particular weighting function within the integral and the quadrature rule (1), so that it is written in a more general form:

(2)