Gaussian Quadature Method and Examples

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Gaussian Quadature Method and Examples

Attribution Non-Commercial (BY-NC)

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You are on page 1of 13

Quadrature method

Nasser Abbasi

May 26, 2006

1 Introduction

We seek to nd a numerical value for the denite integral of a real valued function of a real

variable over a specic range. In other words, to evaluate

1 =

b

Z

a

, (r) dr

Geometrically, this integral represents the area under , (r) from c to /.

The following are few detailed step-by-step examples showing how to use Gaussian Quadrature

(GQ) to solve this problem.

Few points to remember about GQ.

1. There are dierent versions of GQ depending on the basis polynomials it uses which in

turns determines the location of the integration points. We will only use GQ based on

Legendre polynomials. The integration points (called r

i

) are the roots of the Legendre

polynomials.

2. GQ gives an exact answer when the function to be integrated is a polynomial of order

2` 1 where ` is the number of integration points.

1

3. Since Legendre polynomials are dened over [1. 1], we need to map the range of the

function to be integrated to be [1. 1]. The actual integration is performed over [1. 1]

but the values are mapped back to the original range using a transformation rule. This

diagram illustrates this.

See appendix to see how the transformation rule is derived.

4. To be consistent, we follow the book notations and call the user function to be integrated

as c(r) and the mapped function as , (r).

5. Using GQ, we need to have access to a lookup table to obtain the values of the weights

(called Multipliers or c

i

in the book) and the integration points r

i

. For each dierent value

of ` (the numbers of integration points, also called the order of GQ), there will be a spe-

cic set of values c

i

and r

i

to use. Once we have c

i

and r

i

then the value of the integral is

1 =

N

X

i

c

i

, (r

i

)

2

2 The Algorithm

This is an overview of the GQ algorithm. Next we will work out few examples to illustrate.

3

3 Examples

3.1 example 1

Evaluate

1:5

Z

0

c

x

2

2

dr, Use ` = 5

We see that c = 0, / = 1.5. c(r) = c

x

2

2

Answer

step 1: ` is given, go to step 2.

step 2: From lookup we see that

c

1

= 0.2369269

c

2

= 0.4786287

c

3

= 128,225 = 0.568 89

c

4

= 0.4786287

c

5

= 0.2369269

And

r

1

= 0.9061798

r

2

= 0.5384693

r

3

= 0

r

4

= 0.5384693

r

4

= 0.9061798

step 3: Evaluate the integral

LOOP over all the points from left to right.

1

1

= c

1

/ c

2

c

(/ c)

2

r

1

+

c + /

2

= 0.2369269

1.5

2

c

(1.5) (0.9061798)

2

+

1.5

2

But c(0.07036 5) = c

(0:07036 5)

2

2

= 0.997 53

Hence

1

1

= 0.2369269 (0.75 0.997 53)

= 0.177 26

4

Do the next point:

1

2

= c

2

/ c

2

c

(/ c)

2

r

2

+

c + /

2

= 0.4786287

1.5

2

c

(1.5) (0.5384693)

2

+

1.5

2

But c(0.346 15) = c

(0:346 15)

2

2

= 0.941 85

Hence

1

2

= 0.4786287 (0.75 0.941 85)

= 0.338 10

Do the next point

1

3

= c

3

/ c

2

c

(/ c)

2

r

3

+

c + /

2

= 0.568 89

1.5

2

c

(1.5)

2

(0) +

1.5

2

= 0.568 89 (0.75c(0.75))

But c(0.75) = c

(0:75)

2

2

= 0.754 84

Hence

1

3

= 0.568 89 (0.75 0.754 84)

= 0.322 07

Do the next point

1

4

= c

4

/ c

2

c

(/ c)

2

r

4

+

c + /

2

= 0.4786287

1.5

2

c

(1.5) (0.5384693)

2

+

1.5

2

But c(1. 153 9) = c

(1: 153 9)

2

2

= 0.513 89

Hence

5

1

4

= 0.4786287(0.75 0.513 89)

= 0.184 47

Do the next point

1

5

= c

5

/ c

2

c

(/ c)

2

r

5

+

c + /

2

= 0.2369269

1.5

2

c

(1.5) (0.9061798)

2

+

1.5

2

But c(1. 429 6) = c

(1: 429 6)

2

2

= 0.359 92

Hence

1

5

= 0.2369269 (0.75 0.359 92)

= 0.06395 6

No more points. Add to obtain the nal answer

1 = 1

1

+ 1

2

+ 1

3

+ 1

4

+ 1

5

= 0.177 26 + 0.338 10 + 0.322 07 + 0.184 47 + 0.06395 6

= 1. 085 9

To verify, use say Maple:

6

3.2 Example 2

Evaluate

10

Z

4

r + 3r

2

+ r

5

dr

We see that c = 4, / = 10. c(r) = r + 3r

2

+ r

5

Answer:

step 1: ` is not given. But since polynomial, we can determine minimum `.

Order of polynomial is 5 hence we need ` = 3

step 2: From lookup we see that

c

1

=

5

9

= 0.555 56

c

2

=

8

9

= 0.888 89

c

3

=

5

9

= 0.555 56

And

r

1

= 0.774 60

r

2

= 0

r

3

= +0.774 60

step 3: Evaluate the integral

LOOP over all the points from left to right.

1

1

= c

1

/ c

2

c

(/ c)

2

r

1

+

c + /

2

= 0.555 56

6

2

c

6

2

(0.774 60) +

14

2

But

c(4. 676 2) = r + 3r

2

+ r

5

x=4: 676 2

= 4. 676 2 + 3 (4. 676 2)

2

+ 4. 676 2

5

= 2306. 2

Hence

1

1

= 0.555 56 (3 2306. 2)

= 3843. 7

7

Do next point

1

2

= c

2

/ c

2

c

(/ c)

2

r

2

+

c + /

2

= 0.888 89

6

2

c

6

2

(0) +

14

2

= 0.888 89 (3 c(7))

But c(7) = r + 3r

2

+ r

5

j

x=7

= 7 + 3 (7)

2

+ 7

5

= 16961

Hence

1

2

= 0.888 89 (3 16961)

= 45229

Do next point

1

3

= c

3

/ c

2

c

(/ c)

2

r

3

+

c + /

2

= 0.555 56

6

2

c

6

2

(0.774 60) +

14

2

But

c(9. 323 8) = r + 3r

2

+ r

5

x=9: 323 8

= 9. 323 8 + 3 (9. 323 8)

2

+ 9. 323 8

5

= 70734

Hence

1

3

= 0.55556 (3 70734)

= 1178 90

Hence the answer is

1 = 3843. 7 + 45229 + 1178 90

= 1669 60

Verify

8

9

3.3 Example 3

Evaluate

1

Z

1

r + 3r

2

+ r

5

dr

We see that c = 1, / = 1. c(r) = r + 3r

2

+ r

5

Answer:

step 1: ` is not given. But since polynomial, we can determine minimum `.

Order of polynomial is 5 hence we need ` = 3

step 2: From lookup we see that

c

1

=

5

9

= 0.555 56

c

2

=

8

9

= 0.888 89

c

3

=

5

9

= 0.555 56

And

r

1

= 0.774 60

r

2

= 0

r

3

= +0.774 60

step 3: Evaluate the integral

LOOP over all the points from left to right.

1

1

= c

1

/ c

2

c

(/ c)

2

r

1

+

c + /

2

= 0.555 56

2

2

c

2

2

(0.774 60) +

0

2

But

c(0.774 6) = r + 3r

2

+ r

5

x=0:774 6

= 0.774 6 + 3 (0.774 6)

2

+0.774 6

5

= 0.746 55

Hence

1

1

= 0.55556 (0.746 55)

= 0.414 75

10

Do next point

1

2

= c

2

/ c

2

c

(/ c)

2

r

2

+

c + /

2

= 0.888 89

2

2

c

2

2

(0) +

0

2

= 0.888 89 (c(0))

But c(7) = r + 3r

2

+ r

5

j

x=0

= 0

Hence

1

2

= 0.888 89 (0)

= 0

Do next point

1

3

= c

3

/ c

2

c

(/ c)

2

r

3

+

c + /

2

= 0.555 56

2

2

c

2

2

(0.774 60) +

0

2

But

c(0.774 60) = r + 3r

2

+ r

5

x=0:774 60

= 0.774 60 + 3 (0.774 60)

2

+ 0.774 60

5

= 2. 853 5

Hence

1

3

= 0.55556 (2. 853 5)

= 1. 585 3

Hence the answer is

1 = 0.414 75 + 0 + 1. 585 3

= 2. 000 1

11

4 Appendix

An easy way to nd how the function changes when we change the range is to align the ranges

over each others and take the ratio between them as the scale factor. This diagram shows this

for a general case where we map , (r) dened over [c. /] to a new range dened over [c

1

. c

2

]

We see from the diagram that

= c

1

+ d

But

dr

d

=

/ c

c

2

c

1

(1)

The above is called the Jacobian of the transformation.

Now, From the diagram we see that

dr = r c

and

d = c

1

Hence (1) becomes

r c

c

1

=

/ c

c

2

c

1

r =

/ c

c

2

c

1

( c

1

) + c

For the specic case when c

1

= 1 and c

2

= +1 the above expressions become

12

r =

/ c

2

( + 1) + c

=

(/ c)

2

+

(c + /)

2

Which is the mapping used in the Gaussian Quadrature method.

It interesting to see the eect of this transformation on the shape of some functions. Below

I plotted some functions under this transformation. The left plots are the original functions

plotted over some range, in this case [4. 10] and the left side plots show the new shape (the

function q ()) over the new range [1. 1]

13

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