Centre for Computer Technology

ICT114 Mathematics for Computing

Week 10

Numerical Differentiation and Integration

Objectives
Review week 9 Numerical Differentiation Newtons Forward Difference formula Newtons Backward Difference formula Numerical Integration Trapezoid rule Simpsons one third rule

March 20, 2012

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Newton's Method
Using an initial guess at the root and the slope of f(x), Newton's method uses extrapolation to estimate where f(x) crosses the x axis. This method converges very quickly, but it can diverge if f(x) = 0 is encountered during iterations. (f(x) is the differential of f(x))
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Algorithm
initialize: x1 = . . . for k = 2, 3, . . . xk = xk-1 - f(xk-1)/f(xk-1) if converged, stop end

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Secant Method
The secant method approximates f(x) from the value of f(x) at two previous guesses at the root. It is as fast as the Newton's method but can also fail at f(x)=0.

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Algorithm
initialize: x1 = . . ., x2 = . . . for k = 2, 3 .. . xk+1 = xk - f(xk)(xk - xk-1)/(f(xk) - f(xk-1)) If f(xk+1)<0, xk-1 = xk+1, xk=xk else xk-1= xk-1, xk=xk+1 if converged, stop end
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Newtons Forward Difference Formula

Numerical Differentiation
We

discuss Newtons forward difference formula in detail. This is suitable for differentiation for the the values towards the beginning of the table

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Forward Difference formula (1)

For functions tabulated with constant interval h, E f(x) = f (x+h) E2 f(x)= E (E f(x)) = E f(x+h)=f(x+2h) Like this, Epf(x) = f (x + ph) Again, f(x) = f(x+h) - f(x) Hence f(x+h) = f (x) + f(x) = ( 1 + ) f(x) That is, E f(x) = ( 1 + ) f(x) or simply, E ( 1 + )
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Forward Difference formula (2)

Hence, f(x0 +p.h) = Epf (x0) = (1 + )p f(x0) = ( 1 + p +pC2 2 +pC3 3+ .... ) f(x0) = ( 1 + p + p(p-1)/2! 2 + p(p-1)(p-2)/3! 3 + ) f(x0)

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Forward difference formula (3)

Putting,

x = x0 + ph,

df df dp 1 df ---- = ---- . ---- = ---- . ----dx dp dx h dp

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Forward difference formula (4)

So, f/(x)= (1/h) [ + (2p-1)/2. 2 + (3p2 - 6p +2)/6 3 + (4p3-18p2+22p-6)/24 4 +] Putting p = 0,

f/(x)= (1/h) [ 1/2 2 ++1/3 3 1/4 4 +.]

This is Newtons forward difference formula for differentiation suitable for values given in the table
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March 20, 2012

An example : f(x) = ex (1)

x
1.0

f(x)
2.718282

1.2

3.320117

1.4

4.055200

1.6

4.953032

1.8
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6.049646
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An example : f(x) = ex (2)

x
1.0

f(x)
2.718282

0.601835

1.2

3.320117
0.735083

1.4

4.055200 0.897832

1.6

4.953032 1.096615

1.8

6.049646

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An example : f(x) = ex (3)

x
1.0

f(x)
2.718282

0.601835

1.2

3.320117
0.735083

0.133248

1.4

4.055200 0.897832

0.162749

1.6

4.953032 1.096615

0.198783

1.8

6.049646

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An example : f(x) = ex (4)

x
1.0

f(x)
2.718282

0.601835

1.2

3.320117

0.133248

0.735083
1.4 4.055200 0.897832 1.6 4.953032 1.096615 1.8
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0.029501
0.162749 0.036034 0.198783

6.049646
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An example : f(x) = ex (5)

x
1.0

f(x)
2.718282

0.601835

1.2

3.320117

0.133248

0.735083
1.4 4.055200 0.162749

0.029501
0.006532

0.897832
1.6 4.953032 0.198783

0.036034

1.096615
1.8
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6.049646
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Example (continued)

To find the differential coefficient for x=1.0 From the table, = 0.601835, 2 = 0.133248 3 = 0.029501, and 4 = 0.006532 Here h = 0.2 The approximate value of the diff coeff = (1/0.2) [ 1/2 2 +1/3 3 1/4 4 ] = 2.717060 The true value is 2.718282
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Formula for value not in table

Suppose we want to find derivative at a point not given in the table,say at x=1.1 So, ph = 0.1. Then, as h=0.2, p=0.5 Putting p=0.5,we get f/(x)= (1/h) [ + 0 * 2 0.25/6 3 + 1/24 4 +]

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Forward difference formula

So, f/(1.1)= (1/0.2) [ + - 0.25/6 3 + 1/12 4 +] = 5*[0.601835 - 0.029501* 0.25/6 + 0.006532/12] = 3.005750 The true value is = 3.004166
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Newtons Backward Difference Formula

Backward difference formula

Backward difference formula is given by f/(x)= (1/h) [ +1/2 2+1/3 3 + 1/4 4+..] Where, f(x) = f(x) f(x-h), 2 f(x) = ( f(x)), and so on This is suitable for finding derivative towards the end of the table

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An example : f(x) = ex
x
1.0

f(x)
2.718282

0.601835

1.2

3.320117

0.133248

0.735083
1.4 4.055200 0.162749

0.029501
0.006532

0.897832
1.6 4.953032 0.198783

0.036034

1.096615
1.8
March 20, 2012

6.049646
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Backward difference formula

To find the differential coefficient for x=1.8 From the table, = 1.096615, 2 = 0.198783 3 = 0.036033, and 4 = 0.006532 Here h = 0.2 The approximate value of the diff coeff = (1/0.2) [ +1/2 2 +1/3 3 +1/4 4 ] = 6.048252 The true value is 6.049647
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Some remarks
There is a central difference formula for finding differential coefficient when the values are around middle of the table. We did not discuss that. It may be remembered that at times numerical differentiation might be very inaccurate when there are large fluctuations.

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Trapezoid Rule

Numerical Integration
Value of a definite integral within its limits is the area under the curve in the limits In numerical integration, the function is approximated by a polynomial, and the area under the polynomial is taken as the value of the integral We study two simple rules (1) Trapezoidal rule and (2) Simpson's one-third rule

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Trapezoid rule (1)

Area below the curve is approximated by a Trapezium

f(x)

Value of integral of f (x) between a and b is the area under the curve between a and b
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Trapezoid rule (2)

Area below the curve is approximated by a Trapezium

f(x)

Value of the integral is approximated as = area of the trapezium = [f(a) +f(b)] . (b a)

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Trapezoid rule (3)

Now two intervals

Trapezoid Rule for two intervals

f(x)

a0=a

a1

a2 = b

Value of the integral is better approximated by = area of trapezium 1 + area of trapezium 2 = [f(a0) +f(a1)].(a1 a0)+ [f(a1) +f(a2)](a2 a1)
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Trapezoid rule (4)

If a1=a0 + h , and, a2 =a1+ h= a0 +2h, The approximate area under the curve (when there are two intervals) = h/2 [ f(a0) + f(a1) ] + h/2 [ f(a1) + f(a2) ] = h/2 [ f(a0) + 2 f(a1) + f(a2) ]

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Trapezoid rule (5)

When there are n equidistant intervals, the approximate value of the integral is equal to =(h/2) [ f(a0) + 2 f(a1) + 2f(a2) +. + 2 f(an-1) + f(an)]

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An example : f(x) = ex
x
1.0

f(x)
2.718282

1.2

3.320117

1.4

4.055200

1.6

4.953032

1.8
March 20, 2012

6.049646
Copyright Box Hill Institute

Example (continued)
To evaluate the value of integral f(x) = exp(x) between x= 1.0 and 1.8 Suppose we take interval h = 0.4 Then a0 = 1.0, a1 =1.4, a2= 1.8 The value is given by
(0.4/2)[2.718282 + (2) 4.055200 + 6.049646]

= 3.375666
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Example (low interval length)

Suppose we take interval h = 0.2 Then a0 = 1.0, a1 =1.2, a2= 1.4 , a3 =1.6, a4= 1.8 The value is given by (0.2/2) [2.718282 + (2) 3.320117 + (2) 4.055200 + (2) 4.953032 + 6.049646 ] = 3.342463 Actual value is 3.331366
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Simpsons One Third Rule

Simpsons one third rule (1)

In trapeziod rule,the curve is approximated by a line In Simpsons rule , the curve is approximated by a second degree polynomial It requires even number of intervals

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Simpsons one third rule (2)

Consider three equidistant points, a , (a+b)/2 and b, and a second degree polynomial f(x)= c0 +c1 x +c2 x2 So, we have, f(a) = c0 +c1 a +c2 a2, f((a+b)/2) = c0 +c1 ((a+b)/2) +c2 ((a+b)/2) 2 And, f(b) = c0 +c1 b +c2 b2

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Simpsons one third rule (3)

On integration of the second degree polynomial , the value of the integral equals c0 (b a) +c1 (b2 a2)/2 +c2 (b3 - a3)/3 This can be shown equal to ((b a )/ 6)[f(a) + 4 f((a+b)/2) +f(b)] = ( h /3 ) [f(a) + 4 f((a+b)/2) +f(b)]

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Simpsons one third rule (4)

If we denote the points as a0, a1, a2 and h is the interval length, the value of the integral is (h/3)[ f(a0) + 4f (a1) + f(a2)] In general case, the value equals (h/3)[ (f(a0) + 4f (a1) + f(a2)) + (f(a2) + 4f (a3) + f(a4)) + (f(a4) + 4f (a5) + f(a6)) + .]

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Simpsons one third rule (5)

This may be compactly written as (h/3)[ ( f(a0) + f (an) ) + 4 (f(a1) + f (a3) + f(a5)+ f(an-1) ) + 2 (f(a2) + f (a4) + f(a6) + .. f(an-2) ) ] Remember that the number of intervals have to be even

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An example : f(x) = ex
To evaluate the value of integral f(x) = exp (x) between x= 1.0 and 1.8 Suppose we take interval h = 0.4 Then a0 = 1.0, a1 =1.4, a2= 1.8 The value is given by

(0.4/3)[2.718282 + (4) 4.055200 + 6.049646]

= 3.331831
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Example (less interval length)

Suppose we take interval h = 0.2 Then a0 = 1.0, a1 =1.2, a2= 1.4 , a3 =1.6, a4= 1.8 The value is given by (0.2/3) [ (2.718282 + 6.049646) + 4 ( 3.320117 + 4.953032) + 2 ( 4.055200) ] = 3.331395 As noted earlier, the actual value is 3.331366
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Summary

Newtons Forward Difference Formula f/(x)= (1/h) [ 1/2 2 ++1/3 3 1/4 4 +.]

Newtons Backward Difference Formula f/(x)= (1/h) [ +1/2 2+1/3 3 + 1/4 4+..]
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March 20, 2012

Summary

Trapezoid Rule = (h/2) [ f(a0) + 2 f(a1) + 2f(a2) +. + 2 f(an-1) + f(an)] Simpsons One Third Rule (the number of intervals have to be even) = (h/3)[ ( f(a0) + f (an) ) + 4 (f(a1) + f (a3) + f(a5)+ f(an-1) ) + 2 (f(a2) + f (a4) + f(a6) + .. f(an-2) ) ]
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March 20, 2012

References

H L Verma and C W Gross : Introduction to Quantitative Methods,John Wiley JB Scarborough : Numerical Mathematical Analysis, Jon Hopkins Hall, New Jersey Gerald W. Recktenwald, Numerical Methods with MATLAB, Implementation and Application, Prentice Hall Murray Spiegel, John Schiller, Alu Srinivasan, Probability and Statistics, Schaums easy Outlines http://mathworld.wolfram.com
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March 20, 2012