CIS541 07 Integration

Numerical Integration
Roger Crawfis
Quadrature
We talk in terms of Quadrature Rules
1. The process of making something square. 2.
Mathematics The process of constructing a square
equal in area to a given surface. 3. Astronomy A
configuration in which the position of one celestial
body is 90 from another celestial body, as measured
from a third.
The American Heritage Dictionary: Fourth Edition. 2000
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Outline
Definite Integrals
Lower and Upper Sums
Reimann Integration or Reimann Sums
Uniformly-spaced samples
Trapezoid Rules
Romberg Integration
Simpsons Rules
Adaptive Simpsons Scheme
Non-uniformly spaced samples

Gaussian Quadrature Formulas
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Motivation
What does an integral represent?
f ( x)dx area
f ( x)dxdy volume
f(x)
Basic definition of an integral:
f ( x )dx lim f ( xk ) x
n
k 1
where x b a
n
sum of height width

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x
4
Motivation
b
I f ( x)dx
Evaluate the integral,

calculation analytically.
without doing the
Necessary when either:

Integrand is too complicated to integrate analytically
2 cos(1 x ) 0.5 x
e dx
1 0.5 x
Integrand is not precisely defined by an equation, i.e.,

we are given a set of data (xi, yi), i = 1, 2, 3, ,n
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Reimann Integral Theorem

Integration is a summing process. Thus virtually
all numerical approximations can be represented
by
n
I f ( x )dx wi f ( xi ) Et
b
i 1
in which wi are the weights, xi are the sampling

points, and Et is the truncation error
Valid for any function that is continuous on the
closed and bounded interval of integration.
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Partitioning the Integral

The most common numerical integration formula
is based on equally spaced data points.
xn
x0
f ( x)dx
Divide [x0 , xn] into n intervals (n1)
xn
x0
f ( x )dx
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x1
x2
f ( x) f ( x) L
x0
x1
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xn
f ( x)
xn1
Upper Sums
Assume that f(x)>0 everywhere.
If within each interval, we could determine
the maximum value of the function, then we
have:
xn
n 1
f ( x) M x
x0
i 0
i 1
xi
where
M i sup f ( x) : xi x xi 1
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Supremum - least
upper bound
8
Upper Sums
Graphically:
x0
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x1
x2
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x3
x4
9
Lower Sums
Likewise, still assuming that f(x)>0
everywhere.
If within each interval, we could determine
the minimum value of the function, then we
have: f ( x) m x x
xn
x0
where
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n 1
i 0
i 1
mi inf f ( x) : xi x xi 1
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Infimum - greatest
lower bound
10
Lower Sums
Graphically
x0
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x1
x2
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x3
x4
11
Finer Partitions
We now have a bound on the integral of the
function for some partition (x0,..,xn):
n 1
m x
i 0
i 1
xi
xn
n 1
f ( x) M x
x0
i 0
i 1
xi
As n, one would assume that the sum of the

upper bounds and the sum of the lower bounds
approach each other.
This is the case for most functions, and we call
these Riemann-integrable functions.
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12
Bounding the Integral

Graphically
x0
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x1
x2
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x3
x4
13

Halving each interval (much like Lab1):
x0
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x3
x5
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x7
x9
14

One more time:
x0
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x5
x7
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x9
x11
15
Monotonic Functions
Note that if a function is monotonically
increasing (or decreasing), then the lower
sum corresponds to the left partition values,
and the upper sum corresponds to the right
partition values.
x0
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x3
x5
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x7
x9
16
Lab1 and Integration

Thinking back to lab1, what were the limits
or the integration?
Is the sin function monotonic on this
interval?
Should the Reiman sum be an upper or
lower sum?
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17
Polynomial Approximation
Rather than search for the maximum or minimum,
we replace f(x) with a known and simple function.
Within each interval we approximate f(x) by an mth
order polynomial.
pm ( x) a0 a1 x a2 x 2 ... am x m
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18
Newton-Cotes Formulas
The ms (order of the polynomials) may be the
same or different.
xn
x0
f ( x)dx
x0m1
x0
pm1 ( x)dx
x0 m1m2
x0m1
pm2 ( x)dx ...
xn
xnmn
pmn ( x)dx
Different choices for ms lead to different

formulas: m Polynomial
Formula
1
2
3
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linear
quadratic
cubic
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Error
Trapezoid
O(h 2 )
Simpson' s 1/3 O(h 4 )
Simpson' s 3/8 O(h 4 )
19
Trapezoid Rule
Simplest way to approximate the area under a
curve using first order polynomial (a straight
line)
Using Newtons form of the interpolating
polynomial:
f b f a
p1 x f a
ba
x a
Now, solve for the integral:

I f x dx p1 x dx
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20
Trapezoid Rule
I
f b f a
x a dx
f a
ba
Trapezoid Rule
b a
f a f b
I
f(a)
f(b)
I width average height

a
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b
21
Trapezoid Rule
Improvement?
x0
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x1
x2
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x3
x4
22
Trapezoid Rule Error

The integration error is:
Et
1
(b a )
f h 3
f h 2
12
12
O(h 3 )
Where h = b - a and is an unknown point where

a < < b (intermediate value theorem)
You get exact integration if the function, f, is
linear (f = 0)
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23
Example
Integrate from f ( x ) e
x2
a = 0 to b = 2
Use trapezoidal rule:

2
I e
0
x2
dx
b a
( 2 0)
f a f b
f ( 2)
2
1 (e 4 e0 ) 1.0183
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f ( 0)
24
Example
Estimate error: Et 1 f h 3
12
Where h = b - a and a < < b

Dont know - use average value
f ( x ) ( 2 4 x )e
2
x2
h 20 2
f (0) 2
f ( 2) 0.2564
23 f 0 f 2
Et E a
0.58
12
2
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25
More intervals, better result [error O(h2)]

7
n=2
n=3
11
13
15
11
13
15
11
13
15
n=4
n=8
0
3
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11
13
15
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26
Composite Trapezoid Rule

If we do multiple intervals, we can avoid duplicate
function evaluations and operations:
Use n+1 equally spaced points.
Each interval has: h b n a
Break up the limits of integration and expand.
a h
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f x dx
a 2 h
a h
f x dx ...
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bh
f x dx
27

Substituting the trapezoid rule for each integral.
ah
a2h
b
I f x dx
ah f x dx ... bh f x dx
a
a h a
....
f a f a h
b b h
2
a 2h a h
2
f a h f a 2h
f b h f b
Results in the Composite Trapezoid Formula:

n 1
h
I f a 2 f a ih f b
2
i 1
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28

Think of this as the width times the average
height.
n 1
h
I f a 2 f a ih f b
2
i 1
n 1
b a
f a 2 f a ih f b
i 1
2n
width
Average height
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Error
The error can be estimated as:
Ea
b a h2
12
b a
f
12n
O(h )
Where, f is the average second derivative.

If n is doubled, h h/2 and Ea Ea/4
Note, that the error is dependent upon the
width of the area being integrated.
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30
Example
Integrate: f x 0.3 20 x 140 x 2 730 x 3 810 x 4 200 x 5
from
a=0.2
to
b=0.8
40
35
30
25
20
15
10
5
0
0
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0.2
0.4
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0.6
0.8
1.2
31
Example
A single application of the Trapezoid rule.
f a f b
I b a
2
34.22 3.81
0.8 0.2
2
11.26
Error:
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1
3
Et
f b a
12
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32
Example
We dont know so approximate with
average f
f x 20 280 x 2190 x 2 3240 x 3 1000 x 4
f x 280 4380 x 9720 x 2 4000 x 3
f x
0.8
0 .2
f dx
0.8 0.2
f (0.8) f (0.2)
131.6
0.8 0.2
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Example
The error can thus be estimated as:
Et
b a h
b a
f
2
12
12n
1
3
131.6 0.8 0.2 2.37
12
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34
True value of integral is 12.82. Trapezoid

rule is 11.26 - within approx error - Et is 12%
40
35
30
25
20
15
10
5
0
0
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0.2
0.4
0.6
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0.8
1.2
35
Using Three Intervals

Use intervals (0.2,0.4),(0.4,0.6),(0.6,0.8):
(n = 3, h = 0.2)
n 1
I b a
f a 2 f a ih f b
i 1
2n
f 0.2 2 f 0.4 f 0.6 f 0.8
0.8 0.2
( 2)(3)
3.31 213.93 30.16 34.22
0.6
6
12.57
True value of integral is 12.82
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36
Et is now 2%
40
35
30
25
20
15
10
5
0
0
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0.2
0.4
0.6
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0.8
1.2
37
Using Six Intervals

Use intervals (0.2,0.3),(0.3,0,4), etc.
(n = 6, h = 0.1)
f 0.2 2 f 0.3 f 0.4 f 0.5 f 0.6 f 0.7 f 0.8
( 2)(6)
3.31 2 7.34 13.93 22.18 30.16 35.22 34.22
0.6
12
12.76
I 0.8 0.2
True value of integral is 12.82

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38
Et is now 0.5%
40
35
30
25
20
15
10
5
0
0
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0.2
0.4
0.6
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0.8
1.2
39
Multi-dimensional Integration
Consider a two-dimensional case.
1 1
0 0
i
f x, y dxdy Ai f , y dy
n
0 i 0
n
i
Ai f , y dy
n
i 0
0
n
i 0
j 0
i j
,
n n
Ai Aj f
i j
Ai Aj f ,
n n
i 0 j 0
n
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40
For the Trapezoid Rule, this leads to
weights in the following pattern:
1
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1 i 0, n
1 2 i 1, K , n 2
Aij 2
4n 2 i {1, n 1}
4 i 1, K , n 2
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j 0, n
j 1, n 1
j 1, K , n 1
j 1, K , n 2
41
If we use the weights from the Trapezoid
rule, the error is still O(h2).
However, there are now n2 function
evaluations.
Equally-spaced samples on a square region.
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42
In general, given k dimensions, we have
N= nk function evaluations:
O h
k
k
O n O n
2
2
k
O N
If the dimension is high, this leads to a

significant amount of additional work in
going from hh/2.
Remember this for Monte-Carlo Integration.
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43
Reducing the Error

To improve the estimate of the integral, we
can either:
Add more intervals
Use a higher order polynomial
Use Richardson Extrapolation to examine the
limit as h0.
Called Romberg Integration
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44
Adding More Intervals

If we have an estimate for one value of h,
do we need to recompute everything for a
value of h/2?
n 1
h
I h f a 2 f a ih f b
2
i 1
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45
Adding More Intervals

This is called the Recursive Trapezoid
Rule in the book.
We have n 2n and hh/2.
2 n 1
h
I h f (a) 2 f
4
i 1
2
a i f (b)
2
n 1
n 1
h
f (a ) 2 f a ih 2
4
i 1
i 0
I h h n 1
2
2 4 i 0
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h
f a ih
2
f a ih f (b)
2
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46
Recall Richardson Extrapolation

Given two numerical estimates obtained
using different hs, compute higher-order
estimate
Starting with a step size h1, the exact value is
n
A A( h1 ) O ( h1 )
Suppose we reduce step size to h2
n
A A( h2 ) O (h2 )
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47
Richardson Extrapolation
Multiplying the 2nd eqn by (h1/h2)n and
subtracting from the 1st eqn:
n
h1
A( h2 ) A(h1 )
h2
n
h1
1
h2
The new error term is generally O(h1n+1) or

O(h1n+2).
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The true integral value can be written
I I h E h
This is true for any iteration

I I h1 E h1 I h2 E h2
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49
For example: Using (n = 2)
E ch 2 f
[error = O(h2)]
where c is a constant
Therefore:
order of error in
trapezoidal rule
E h1 h1
2
E h2 h2
2
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50
This leads to:
2
1
2
2
h
E h1 E h2
h
For integration, we have:
2
1
2
2
h
I h1 E h2
I h2 E h2
h
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51
Solving for E(h2):
I h1 I h2
E h2
2
h1
1 2
h2
And plugging back into the estimated

integral.
I I h2 E h2
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52
Leads to:
1
I h2 I h1
I I h2
2
h1 / h2 1
Letting h2 = h1 /2
1
I h2 I h1
I I h2 2
2 1
4
1
I I h2 I h1
3
3
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53
Romberg Integration
We combined two O(h2) estimates to get an
O(h4) estimate.
Can also combine two O(h4) estimates to
get an O(h6) estimate.
16
1
I I hm I hl
15
15
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54
Romberg Integration
Greater weight is placed on the more
accurate estimate.
Weighting coefficients sum to unity
i.e, (16-1)/15=1
Can continue, by combining two O(h6)

estimates to get an O(h8) estimate.
64
1
I
I hm I hl
63
63
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55
Romberg Integration
General pattern is called Romberg Integration
4k I j ,k I j 1,k
1
I j ,k 1
I j ,k k
I j ,k I j 1,k
k
4 1
4 1
j : level of subdivision, j+1 has more intervals.
k : level of integration, k = 1 is original trapezoid
estimate [O(h2)], k = 2 is improved [O(h4)], etc.
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56
Romberg Integration
For example, j = 1, k = 1 leads to
I1,1
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4 I1,0 I 0,0
3
4 h1
1
I I h1
3 2
3
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57
Example
Consider the function:
f ( x ) 0.2 25 x 200 x 2 675 x 3 900 x 4 400 x 5
Integrate from a = 0 to b = 0.8

Using the trapezoidal rule yields the
following results:
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58
Example
Trapezoid Rules:
k
j
intervals
j=0
1
j=1
j=2
2
4
k=0
h
0.8
Integral
0.1728
0.4
0.2
1.0688
1.4848
k=1
4
1
I (1.0688) (0.1728) 1.3674667
(j=1, k=1)
3
3
Exact integral is 1.64053334
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59
Example
k
j
k=0
k=1
O(h 4 )
segments
O( h 2 )
0.8
0.1728
2
4
0.4
0.2
1.0688
1.4848
1.3674667
4
1
I (1.4848) (1.0688) 1.62346667
3
3
(j=2, k=1)

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60
Example
k
j
k=1
k=2
O (h 4 )
segments
O( h 2 )
0.8
0.1728
0.4
1.0688
1.3674667
0.2
1.4848
1.62346667
16
1
(j=2, k=2) I 15 (1.62346667) 15 (1.3674667) 1.64053334
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61
Example
k
j
k=1
k=2
segments
1
h
0.8
O( h 2 )
0.1728
0.4
1.0688
1.3674667
0.2
1.4848
1.62346667
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O (h 4 )
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k=3
O( h 6 )
1.64053334
62
Example
Better and better results can be obtained by
continuing this
k
j
segments
1
h
0.8
O( h 2 )
0.1728
O(h 4 )
2
4
8
0.4
0.2
0.1
1.0688
1.4848
??
1.3674667
1.62346667
??
I
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O( h 6 )
O( h8 )
1.64053334
??
64
1
(??) (1.64053334) ??
63
63
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k=3
??
(j=3, k=3)
63
Romberg Integration
Is this that significant?
Consider the cost of computing the
Trapezoid Rule for 1000 data points.
Refinement would lead to 2000 data points.
Implies an additional 1003 operations using the
Recursive Trapezoid Rule.
Not to mention the 1000 (expensive) function evals.
Romberg Integration cost:

Three additional operations no function evals!!!
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64
Higher-Order Polynomials
Recall:
xn
x0
f ( x )dx
x0 m1
x0
pm1 ( x)dx
x0m1 m2
x0m1
pm2 ( x )dx ...
m Polynomial
Formula
1
linear
Trapezoid
2 quadratic Simpson' s 1/3
3
cubic
Simpson' s 3/8
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xn
xnmn
pmn ( x )dx
Error
O(h 2 )
O(h 4 )
O(h 4 )
65
Simpsons 1/3 Rule

If we use a 2nd order polynomial (need 3
points or 2 intervals):
Lagrange form.
x1
x0 x2
x x1 x x2 f x x x0 x x2 f x
I
0
1
x0 x x x x
x
x
x
2
1
0
1
2
0 1 0
x2
x x0 x x1
f x2
x2 x0 x2 x1
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dx
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Simpsons 1/3 Rule

Requiring equally-spaced intervals:
x x0 h x x0 2h
x2
I
x
0
h 2 h
x x0 x x0 h
f x2
2h h
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x x0 x x0 2h
f x0
f x1
h h
dx
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67
Simpsons 1/3 Rule

Integrate and simplify:
ba
h
2
h
I f x0 4 f x1 f x2
3
12
10
Quadratic
Polynomial
0
3
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11
13
15
68
Simpsons 1/3 Rule

If we use a = x0 and b = x2, and
x1 = (b+a)/2
f x0 4 f x1 f x2
I b a
6
width
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average height
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Simpsons 1/3 Rule

Error for Simpsons 1/3 rule
h5 4
b a 4
Et
f
f
90
2880
5
O(h )
ba
h
2
4
0
f
Integrates a cubic exactly:
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70
Composite Simpsons 1/3 Rule

As with Trapezoidal rule, can use multiple
applications of Simpsons 1/3 rule.
Need even number of intervals
An odd number of points are required.
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71

Example: 9 points, 4 intervals
25
20
15
10
0
0
0.5
1.5
2.5
3.5
4.5
-5
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72

As in composite trapezoid, break integral up
into n/2 sub-integrals:
x
x
x
I f x dx f x dx ... f x dx
x
x
x
2
n 2
Substitute Simpsons 1/3 rule for each

integral and collect terms.
I b a
f x0 4
n 1
n2
f x 2 f x f x
i 1,3,5
j 2,4,6
3n
n+1 data points, an odd number
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Odd coefficients receive a weight of 4, even
receive a weight of 2.
Doesnt seem very fair, does it?
1
1
1
1
1
i=n
coefficients on
numerator
i=0
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74
Error Estimate
The error can be estimated by:
nh 5 ( 4 ) b a h 4 ( 4 )
4
O(h )
Ea
f
f
180
180
If n is doubled, h h/2 and Ea Ea/16
f ( 4 ) is the average 4th derivative
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75
Example
x2
Integrate f ( x ) e from a = 0 to b = 2.
Use Simpsons 1/3 rule:
ba
h
1
2
2
I e
0
x2
x0 a 0
ab
x1
1
2
x2 b 2
1
dx h f x0 4 f ( x1 ) f x2
3
1
f 0 4 f (1) f 2
3
1 0
(e 4e 1 e 4 ) 0.82994
3
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76
Example
Error estimate:
h5 4
Et
f
90
Where h = b - a and a < < b

Dont know
use average value
Et Ea
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1 4
f
90
4
4
4
f
x
f
x
x2
0
1
1
90
3
5
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77
Another Example
Lets look at the polynomial again:
f ( x ) 0.2 25 x 200 x 2 675 x 3 900 x 4 400 x 5
From a = 0 to b = 0.8
h
ba
0.4
2
x0 a 0
x1
ab
0.4
2
x2 b 0.8
1
I f ( x )dx h f x0 4 f ( x1 ) f x2
0
3
(0.4)
f 0 4 f ( 0 .4 ) f 0 .8
3
1.36746667
2
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Error
Actual Error: (using the known exact value)
E 1.64053334 - 1.36746667 0.27306666 16%
Estimate error: (if the exact value is not

available)
h5 4
Et
f
90
Where a < < b.

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Error
Compute the fourth-derivative
f
(4)
Et Ea
( x ) 21600 48000 x
0.4 5
f
90
x1
0.4 5
f
90
0.4
0.27306667
middle point
Matches actual error pretty well.

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Example Continued
If we use 4 segments instead of 1:
x = [0.0 0.2 0.4 0.6 0.8]
f (0) 0.2
f (0.2) 1.288
f (0.6) 3.464
f (0.8) 0.232
I b a
f x0 4
n 1
ba
0.2
n
f (0.4) 2.456
n 2
f x 2 f x f x
i 1, 3,5
j 2, 4,6
3n
f (0) 4 f (0.2) 2 f (0.4) 4 f (0.6) f (0.8)
0.8 0
(3)( 4)
0.2 4(1.288 3.464) 2( 2.456) 0.232
0.8
12
1.6234667
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Error
Actual Error: (using the known exact value)
E 1.64053334 - 1.6234667 0.01706667
1%
Estimate error: (if the exact value is not

available)
0.25 4
0.25 4
Et Ea
f x2
f 0.4 0.0085
90
90
middle point
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Error
Actual is twice the estimated, why?
Recall:
f
(4)
max
x 0,0.8
( 4)
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( x ) 21600 48000 x
( 4)
( x)
( 4)
(0) 21600
(0.4) 2400
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Error
Rather than estimate, we can bound the
absolute value of the error:
0.25 4
0.25 4
Ea
f
f 0 0.0768
90
90
Five times the actual, but provides a safer

error metric.
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Simpons 1/3 Rule
Simpsons 1/3 rule uses a 2nd order polynomial
need 3 points or 2 intervals

This implies we need an even number of intervals.
What if you dont have an even number of

intervals? Two choices:
1. Use Simpsons 1/3 on all the segments except the last
(or first) one, and use trapezoidal rule on the one left.
Pitfall - larger error on the segment using trapezoid
2. Use Simpsons 3/8 rule.

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Simpsons 3/8 Rule

Simpsons 3/8 rule uses a third order polynomial
need 3 intervals (4 data points)
f ( x) p3 ( x) a0 a1 x a2 x 2 a3 x 3
I f x dx p3 x dx
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x3
x3
x0
x0
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Simpsons 3/8 Rule

Determine as with Lagrange polynomial
For evenly spaced points
3
I h f x0 3 x1 3 f x2 f x3
8
ba
h
3
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Error
Same order as 1/3 Rule.
More function evaluations.
Interval width, h, is smaller.
3 5 4
Et h f
80
O(h 4 )
Integrates a cubic exactly:
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f 4 0
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Comparison
Simpsons 1/3 rule and Simpsons 3/8 rule have the
same order of error
O(h4)
trapezoidal rule has an error of O(h2)
Simpsons 1/3 rule requires even number of

segments.
Simpsons 3/8 rule requires multiples of three
segments.
Both Simpsons methods require evenly spaced data
points
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Mixing Techniques
n = 10 points 9 intervals
First 6 intervals - Simpsons 1/3
Last 3 intervals - Simpsons 3/8
Simpsons 1/3
Simpsons 3/8
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Newton-Cotes Formulas
We can examine even higher-order
polynomials.
Simpsons 1/3 - 2nd order Lagrange (3 pts)
Simpsons 3/8 - 3rd order Lagrange (4 pts)
Usually do not go higher.

Use multiple segments.
But only where needed.
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Recall Simpsons 1/3 Rule:
h
I f x0 4 f x1 f x2
3
Where initially, we have a=x0 and b=x2.

Subdividing the integral into two:
h
I f a 4 f x1 2 f x2 4 f x3 f b
6
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We want to keep subdividing, until we
reach a desired error tolerance, .
Mathematically:
b
f x dx f a 4 f x1 f b
3
f x dx f a 4 f x1 2 f x2 4 f x3 f b
6
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This will be satisfied if:
c
f x dx f a 4 f x1 f x2
6
f x2 4 f x3 f b
6
f x dx
, and
2
, where
2
ab
c x2
2
The left and the right are within one-half of the

error.
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Okay, now we have two separate intervals
to integrate.
What if one can be solved accurately with
an h=10-3, but the other requires many,
many more intervals, h=10-6?
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Adaptive Simpsons method provides a
divide and conquer scheme until the
appropriate error is satisfied everywhere.
Very popular method in practice.
Problem:
We do not know the exact value, and hence do
not know the error.
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How do we know whether to continue to
subdivide or terminate?
b
I f x dx S a, b E a, b , where
a
ba
S a, b
f a 4 f
6
1 b a
E a, b
90 2
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a b
f b , and
2
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The first iteration can then be defined as:
I S E , where
1
S S a, b , E E a, b
1
Subsequent subdivision can be defined as:

S
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S a , c S c, b
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98

Now, since
E
E a , c E c, b
We can solve for E(2) in terms of E(1).

E
1 h / 2

90 2
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1
1

4
2
90
1 h / 2

90
2
1 1
E
16
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99

Finally, using the identity:
I S
We have:
E E
E
2
15E
Plugging into our definition:
I S
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1 2
1
S S
15
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100

Our error criteria is thus:
1 2
2
1
I S
S S
15
Simplifying leads to the termination

formula:
2
1
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15
101

What happens graphically:
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102
S 2 S1 15 subdivide
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103
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104

S 2 S1 15 subdivide
2
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S 2 S1 15 done
4
I S2
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1
S2 S1
15
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S2 S1 15 subdivide
4
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107
I S2
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1
S2 S1
15
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108
I S2
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1
S2 S1
15
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109
Iright =Ileft + Iright

I=Ileft + Iright
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112

We gradually capture the difficult spots.
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Adaptive Simpsons Code

Simple Recursive Program
static const int m_nMaximum_Divisions = 1000;
Real IntegrationSimpson( const Real (*f) (Real x), const Real start, const Real end, const Real
error_tolerance, int &level )
{
level += 1;
Real h = (end start);
Real midpoint = (start + end) / 2.0;
Real f_start = f(start);
Real f_end = f(end);
Real f_mid = f(midpoint );
oneLevel = h*( f_start + 4.0*f_mid + f_end) / 6.0;
Real leftMidpoint = (start+ midpoint ) / 2.0;
Real rightMidpoint = (end+ midpoint ) / 2.0
Real f_midLeft = f(leftMidpoint );
Real f_midRight = f(rightMidpoint );
twoLevel = h*(f_start + 4.0* f_midLeft + 2.0* f_mid + 4.0* f_midRight + f_end) / 12.0;
if( level >= m_nMax_Divisions ) // Terminate the process, converging too slow
return twoLevel;
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Adaptive Simpsons Code
if( absf( twoLevel oneLevel) < 15.0*error_tolerance) // Desired solution reached

return twoLevel + (twoLevel-oneLevel) / 15.0;
//
// Otherwise, split the interval in two and recursively evaluate each half.
//
leftIntegral = IntegrationSimpson( f, start, midpoint , error_tolerance/2.0, level );
rightIntegral = IntegrationSimpson( f, midpoint , end, error_tolerance/2.0, level );
return leftIntegral + rightIntegral;
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Guassian Quadrature
Idea is that if we evaluate the function at certain
points, and sum with certain weights, we will get a
more accurate integral
Evaluation points and weights are pre-computed
and tabulated
n
1
Basic form: I f ( x)dx c f ( x )
i
i
i 1
ci : weighting factors
xi : sampling points selected optimally
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New!!
116
Guassian Quadrature
Note that the interval is between 1 and 1
For other intervals, a change of variables is used to
transfer the problem so that it utilizes the interval
[-1, 1]
This is a linear transform, such that for t[a,b]:
f (t )dt
We have for x[-1,1]:

(b a ) x b a
t
2
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2t b a
x
ba
117
Guassian Quadrature
As t = a x = -1
As t = b x = 1
(b a )
dt
dx
2
(b a ) x b a
f (t ) f
(b a ) 1 (b a ) x b a
f (t )dt
f
dx
1
2
2
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118
Guassian Quadrature
Basic form of Gaussian quadrature:
n
I f ( x)dx ci f ( xi )
1
i 1
For n=2, we have:

I c1 f x1 c2 f x2
This leads to 4 unknowns: c1, c2, x1, and x2
two unknown weights (c1, c2)
two unknown sampling points (x1, x2)
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Guassian Quadrature
What we need now, are four known values
for the equation.
If we had these, we could then attempt to
solve for the four unknowns.
Lets make it work for polynomials!!!
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120
Guassian Quadrature
In particular, lets look at these simple
polynomials:
Constant
f(x)=1
Linear
f(x)=x
Quadratic
f(x)=x2
Cubic
f(x)=x3
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Guassian Quadrature
Recalling the formula: I c1 f x1 c2 f x2
Constant
f(x)=1
Linear
f(x)=x
Quadratic
f(x)=x2
Cubic
f(x)=x3
March 24, 2015
1dx 2
xdx 0
1
1
c1 f x1 c2 f x2 c1 c2
c1 f x1 c2 f x2 c1 x1 c2 x2
2
2
2
x
dx
c
f
x
c
f
x
c
x
c
x
1
1
2
2
1 1
2 2
1
3
1
x 3 dx 0 c1 f x1 c2 f x2 c1 x1 c2 x2
3
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Guassian Quadrature
We can now solve for our unknowns:
Note, this is not an easy problem and will not be
covered in this class.
c1 c2 1
1
x1
0.577
3
1
x2
0.577
3
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123
Guassian Quadrature
This yields the two point Gauss-Legendre
formula
1
1
I f
f
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124
Guassian Quadrature
This is exact for all polynomials up to and
including degree 3 (cubics).
1
ax
1
a
3
bx cx d dx a x dx b x dx c xdx d dx
2
1
b
3

ax bx cxd
3
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1
d 1 1
3
1
3
1
3
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Guassian Quadrature
1
f ( x)dx f (0.577) f (0.577)
f(x)
f(-0.577)
f(0.577)
-1
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-0.577
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0.577
x
126
Example
Integrate f(x) from a = 0 to b = 0.8
f ( x ) 0.2 25 x 200 x 2 675 x 3 900 x 4 400 x 5
Transform from [0, 0.8] to [-1, 1]
(b a ) 1 (b a ) x b a
f (t )dt
f
dx
1
2
2
0 .8
(0.8 0) 1 (0.8 0)t 0.8 0

f ( x )dx
f
dt
1
2
2
0.4 f 0.4t 0.4 dt

1
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Example
Solving
I 0.4 f 0.4t 0.4 dt
1
0.2 25(0.4t 0.4) 200(0.4t 0.4) 2
0.4
1
dt
675(0.4t 0.4) 900(0.4t 0.4) 400(0.4t 0.4)

3
And substituting for the 2-point formula:

I 0.4 f t dt
1
t 1 / 3
I 0.51674055 1.30583723 1.82257778
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Higher-order Gaussian Quadrature

Recall the basic form:
n
I f ( x)dx ci f ( xi )
1
i 1
Lets look at n=3.

I c1 f x1 c2 f x2 c3 f x3
We now have 6 unknowns: c1, c2, c3,x1, x2, and x3
three unknown weights (c1, c2 , c3)
three unknown sampling points (x1, x2 , x3)
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Use 6 equations - constant, linear, quadratic, cubic,

4th order and 5th order to find those unknowns
1
1dx 2
1
1
xdx 0
1
c1 f x1 c2 f x2 c3 f x3 c1 c2 c3
c1 f x1 c2 f x2 c3 f x3 c1 x1 c2 x2 c3 x3
2
2
2
2
x
dx
c
f
x
c
f
x
c
f
x
c
x
c
x
c
x
1
1
2
2
3
3
1 1
2 2
3 3
1
3
1
x 3dx 0 c1 f x1 c2 f x2 c3 f x3 c1 x1 c2 x2 c3 x3
3
2
4
4
4
x
dx
c
f
x
c
f
x
c
f
x
c
x
c
x
c
x
1
1
2
2
3
3
1 1
2 2
3 3
1
5
1
x 5dx 0 c1 f x1 c2 f x2 c3 f x3 c1 x1 c2 x2 c3 x3
5
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130

Can solve these equations (or have some one
smarter than us, like Guass solve them).
c1 5 / 9
c2 8 / 9
x1 3 / 5 0.77459669
c3 5 / 9
x2 0
x2 3 / 5 0.77459669
Produces the three point Gauss-Legendre formula
I c1 f x1 c2 f x2 c3 f x3
Exact for polynomials up to and including degree 5

(because using 5th degree polynomial)
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131

5
8
5
1 f ( x )dx 9 f (0.775) 9 f (0.0) 9 f (0.775)
1
f(-0.775)
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-1
f(0)
-0.775
f(0.775)
0.775
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x
1
132
Example
f ( x ) 0.2 25 x 200 x 2 675 x 3 900 x 4 400 x 5
Integrate from a = 0 to b = 0.8

Transform from [0, 0.8] to [-1, 1]
I
0.8
f x dx
replace -0.4 with +0.4
0.2 25(0.4t 0.4) 200(0.4t 0.4) 2
dt
675(0.4t 0.4) 900(0.4t 0.4) 400(0.4t 0.4)
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Example
Using the 3-point Gauss-Legendre formula:
5
I
9
3 8
5
f 0
f
9
5
9
Substitute into the transform equation and get

I 0.281301290 0.873244444 0.485987599
1.64053334
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134
Gaussian Quadrature
Can develop higher order Gauss-Legendre forms
using
I c1 f x1 c2 f x2 ... cn f xn
Values for cs and xs are tabulated
Use the same transformation to map interval onto
[-1, 1]
March 24, 2015
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135
I f ( x)dx c1 f x1 c2 f x2 ... cn f xn
1
n
ci
2
1.0
1.0
0.5555555556
0.8888888889
0.3478548451
0.6521451549
0.2369268850
0.4786286705
0.1713245
0.3607616
0.5555555556
0.6521451549
0.5688888889
0.4679139
0.3478548451
0.4786286705
0.2369268850
0.4679139
0.3607616
0.1713245
xi
0.5773502692
0.7745966692
0.8611363116
0.9061798459
0.932469514
0.5773502692
0.0000000000
0.3399810436
0.5384693101
0.661209386
0.7745966692
0.3399810436
0.0000000000
0.238619186
0.8611363116
0.5384693101
0.238619186
0.9061798459
0.661209386
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0.932469514
136
Gaussian Quadrature
Requires function evaluations at nonuniformly spaced points within the
integration interval
not appropriate for cases where the function is
unknown
not suited for dealing with tabulated data that
appear in many engineering problems
If the function is known, its efficiency can

be a decided advantage
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137
Gaussian Quadrature
Problems:
If we add more data points, like doubling the
number of sample points.
March 24, 2015
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138

CIS541 07 Integration

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Numerical Integration

March 24, 2015

Non-uniformly spaced samples

Basic definition of an integral:

sum of height width

Evaluate the integral,

without doing the

Necessary when either:

Integrand is not precisely defined by an equation, i.e.,

Reimann Integral Theorem

in which wi are the weights, xi are the sampling

Partitioning the Integral

Divide [x0 , xn] into n intervals (n1)

March 24, 2015

As n, one would assume that the sum of the

Bounding the Integral

Bounding the Integral

Bounding the Integral

Lab1 and Integration

March 24, 2015

March 24, 2015

pm2 ( x)dx ...

Different choices for ms lead to different

Now, solve for the integral:

I width average height

Trapezoid Rule Error

Where h = b - a and is an unknown point where

Use trapezoidal rule:

March 24, 2015

Where h = b - a and a < < b

More intervals, better result [error O(h2)]

March 24, 2015

Composite Trapezoid Rule

March 24, 2015

Composite Trapezoid Rule

Results in the Composite Trapezoid Formula:

March 24, 2015

Composite Trapezoid Rule

Where, f is the average second derivative.

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True value of integral is 12.82. Trapezoid

March 24, 2015

Using Three Intervals

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Using Six Intervals

True value of integral is 12.82

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If the dimension is high, this leads to a

Reducing the Error

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Adding More Intervals

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Adding More Intervals

March 24, 2015

Recall Richardson Extrapolation

The new error term is generally O(h1n+1) or

This is true for any iteration

March 24, 2015