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04

Romberg Rule of Integration

After reading this chapter, you should be able to:

1. derive the Romberg rule of integration, and

2. use the Romberg rule of integration to solve problems.

What is integration?

Integration is the process of measuring the area under a function plotted on a graph. Why

would we want to integrate a function? Among the most common examples are finding the

velocity of a body from an acceleration function, and displacement of a body from a velocity

function. hroughout many engineering fields, there are !what sometimes seems li"e#

countless applications for integral calculus. $ou can read about some of these applications in

%hapters &'.&&A(&'.&&).

*ometimes, the evaluation of expressions involving these integrals can become daunting, if

not indeterminate. +or this reason, a wide variety of numerical methods has been developed

to simplify the integral.

,ere, we will discuss the -omberg rule of approximating integrals of the form

( )

∫

·

b

a

dx x f I

!1#

where

# !x f

is called the integrand

· a

lower limit of integration

· b upper limit of integration

&'.&..1

&'.&..2 %hapter &'.&.

Error in Multiple-Segment Trapezoidal Rule

he true error obtained when using the multiple segment trape/oidal rule with

n

segments

to approximate an integral

( )

∫

b

a

dx x f

is given by

( )

( )

n

f

n

a b

E

n

i

i

t

∑

·

′ ′

−

− ·

1

2

0

12

ξ

!2#

where for each i , i

ξ

is a point somewhere in the domain ( ) [ ] ih a h i a + − + , 1 , and

the term

( )

n

f

n

i

i ∑

·

′ ′

1

ξ

can be viewed as an approximate average value of

( ) x f ′ ′

in

[ ] b a,

.

his leads us to say that the true error t

E

in 12uation !2# is approximately proportional to

2

1

n

E

t

α ≈ !0#

Figure 1 Integration of a function.

-omberg rule of Integration &'.&..0

for the estimate of

( )

∫

b

a

dx x f

using the

n

(segment trape/oidal rule.

able 1 shows the results obtained for

dt t

t

∫

,

_

¸

¸

−

1

]

1

¸

−

0&

3

3 . 4

21&& 1.&&&&

1.&&&&

ln 2&&&

using the multiple(segment trape/oidal rule.

Table 1 5alues obtained using multiple segment trape/oidal rule for

∫

,

_

¸

¸

−

1

]

1

¸

−

·

0&

3

3 . 4

21&& 1.&&&&

1.&&&&

ln 2&&& dt t

t

x

.

n

Approximate

5alue

t

E 6

t

∈ 6

a

∈

1 11373 3&' − '.247 (((

2 11277 2&8 − 1.38. 8.0.0

0 11180 . . 41 − &.3278 1.&14

. 11110 8 . 81 − &..788 &.084.

8 11&4. & . 00 − &.2431 &.1774

7 11&3. 4 . 22 − &.2&'& &.&4&32

' 11&'3 3 . 17 − &.1821 &.&8.32

3 11&'. 4 . 12 − &.1178 &.&087&

he true error for the 1(segment trape/oidal rule is 3&' − , while for the 2(segment rule, the

true error is 2&8 − . he true error of 2&8 − is approximately a 2uarter of 3&' − . he

true error gets approximately 2uartered as the number of segments is doubled from 1 to 2.

he same trend is observed when the number of segments is doubled from 2 to . !the true

error for 2(segments is 2&8 − and for four segments is 8 . 81 − #. his follows 12uation !0#.

his information, although interesting, can also be used to get a better approximation of the

integral. hat is the basis of -ichardson9s extrapolation formula for integration by the

trape/oidal rule.

Richardson’s Extrapolation Formula or Trapezoidal Rule

he true error,

t

E

, in the

n

(segment trape/oidal rule is estimated as

2

1

n

E

t

α ≈

2

n

C

E

t

≈ !.#

where C is an approximate constant of proportionality.

*ince

n t

I T E − ·

!8#

where

&'.&... %hapter &'.&.

T : true value

n

I

: approximate value using

n

(segments

hen from 12uations !.# and !8#,

n

I T

n

C

− ≈

2

!7#

If the number of segments is doubled from

n

to n 2 in the trape/oidal rule,

( )

n

I T

n

C

2

2

2

− ≈

!'#

12uations !7# and !'# can be solved simultaneously to get

0

2

2

n n

n

I I

I T

−

+ ≈ !3#

Example 1

he vertical distance in meters covered by a roc"et from 3 · t to 0& · t seconds is given by

∫

,

_

¸

¸

−

1

]

1

¸

−

·

0&

3

3 . 4

21&& 1.&&&&

1.&&&&

ln 2&&& dt t

t

x

a# ;se -omberg9s rule to find the distance covered. ;se the 2(segment and .(segment

trape/oidal rule results given in able 1.

b# +ind the true error for part !a#.

c# +ind the absolute relative true error for part !a#.

Solution

a# m 11277

2

· I

m 11110

.

· I

;sing -ichardson9s extrapolation formula for the trape/oidal rule, the true value is given by

0

2

2

n n

n

I I

I T

−

+ ≈

and choosing

2 · n

,

0

2 .

.

I I

I T

−

+ ≈

0

11277 11110

11110

−

+ ·

m 11&72 ·

b# he exact value of the above integral is

∫

,

_

¸

¸

−

1

]

1

¸

−

·

0&

3

3 . 4

21&& 1.&&&&

1.&&&&

ln 2&&& dt t

t

x

m 11&71 ·

so the true error

5alue e Approximat 5alue rue − ·

t

E

11&72 11&71− ·

m 1 − ·

c# he absolute relative true error, t

∈

, would then be

-omberg rule of Integration &'.&..8

1&&

5alue rue

1rror rue

× · ∈

t

1&&

11&71

11&72 11&71

×

−

·

6 &&4&. . & ·

able 2 shows the -ichardson9s extrapolation results using 1, 2, ., and 3 segments. -esults

are compared with those of the trape/oidal rule.

Table ! 5alues obtained using -ichardson9s extrapolation formula for the trape/oidal rule

for

∫

,

_

¸

¸

−

1

]

1

¸

−

·

0&

3

3 . 4

21&& 1.&&&&

1.&&&&

ln 2&&& dt t

t

x

.

n

rape/oidal -ule

6

t

∈

for rape/oidal

-ule

-ichardson9s

1xtrapolation

6

t

∈

for -ichardson9s

1xtrapolation

1

2

.

3

11373

11277

11110

11&'.

'.247

1.38.

&..788

&.1178

((

11&78

11&72

11&71

((

&.&0717

&.&&4&.1

&.&&&&

Romberg "ntegration

-omberg integration is the same as -ichardson9s extrapolation formula as given by

!3# 12uation

. ,owever, -omberg used a recursive algorithm for the extrapolation as

follows.

he estimate of the true error in the trape/oidal rule is given by

( )

( )

n

f

n

a b

E

n

i

i

t

∑

·

′ ′

−

− ·

1

2

0

12

ξ

*ince the segment width, h , is given by

n

a b

h

−

·

12uation !2# can be written as

( )

( )

n

f

a b h

E

n

i

i

t

∑

·

′ ′

−

− ·

1

2

12

ξ

!4#

he estimate of true error is given by

2

Ch E

t

≈ !1&#

It can be shown that the exact true error could be written as

...

7

0

.

2

2

1

+ + + · h A h A h A E

t

!11#

and for small h ,

( )

. 2

1

h ! h A E

t

+ · !12#

&'.&..7 %hapter &'.&.

*ince we used

2

Ch E

t

≈ in the formula !12uation !12##, the result obtained from

!1&# 12uation

has an error of ( )

.

h ! and can be written as

( )

0

2

2 2

n n

n R n

I I

I I

−

+ ·

1 .

1 2

2

2

−

−

+ ·

−

n n

n

I I

I !10#

where the variable T is replaced by

( )

R n

I

2

as the value obtained using -ichardson9s

extrapolation formula. <ote also that the sign ≈ is replaced by the sign :.

,ence the estimate of the true value now is

( )

.

2

Ch I T

R n

+ ≈

=etermine another integral value with further halving the step si/e !doubling the number of

segments#,

( )

0

2 .

. .

n n

n R n

I I

I I

−

+ · !1.#

then

( )

.

.

2

,

_

¸

¸

+ ≈

h

C I T

R n

+rom 12uation !10# and !1.#,

( )

( ) ( )

18

2 .

.

R n R n

R n

I I

I T

−

+ ≈

( )

( ) ( )

1 .

1 0

2 .

.

−

−

+ ·

−

R n R n

R n

I I

I !18#

he above e2uation now has the error of ( )

7

h ! . he above procedure can be further

improved by using the new values of the estimate of the true value that has the error of

( )

7

h ! to give an estimate of ( )

3

h ! .

>ased on this procedure, a general expression for -omberg integration can be written as

2 ,

1 .

1

, 1 1 , 1

1 , 1 ,

≥

−

−

+ ·

−

− + −

+ −

"

I I

I I

"

# " # "

# " # "

!17#

he index " represents the order of extrapolation. +or example, 1 · " represents the

values obtained from the regular trape/oidal rule, 2 · " represents the values obtained using

the true error estimate as ( )

2

h ! , etc. he index

#

represents the more and less accurate

estimate of the integral. he value of an integral with a

1 + #

index is more accurate than the

value of the integral with a

#

index.

+or 2 · " ,

1 · #

,

1 .

1 2

1 , 1 2 , 1

2 , 1 1 , 2

−

−

+ ·

−

I I

I I

-omberg rule of Integration &'.&..'

0

1 , 1 2 , 1

2 , 1

I I

I

−

+ ·

+or 0 · " ,

1 · #

,

1 .

1 0

1 , 2 2 , 2

2 , 2 1 , 0

−

−

+ ·

−

I I

I I

18

1 , 2 2 , 2

2 , 2

I I

I

−

+ · !1'#

Example !

he vertical distance in meters covered by a roc"et from 3 · t to 0& · t seconds is given by

∫

,

_

¸

¸

−

1

]

1

¸

−

·

0&

3

3 . 4

21&& 1.&&&&

1.&&&&

ln 2&&& dt t

t

x

;se -omberg9s rule to find the distance covered. ;se the 1, 2, ., and 3(segment trape/oidal

rule results as given in able 1.

Solution

+rom able 1, the needed values from the original the trape/oidal rule are

11373

1 , 1

· I

11277

2 , 1

· I

11110

0 , 1

· I

11&'.

. , 1

· I

where the above four values correspond to using 1, 2, . and 3 segment trape/oidal rule,

respectively. o get the first order extrapolation values,

0

1 , 1 2 , 1

2 , 1 1 , 2

I I

I I

−

+ ·

0

11373 11277

11277

−

+ ·

11&78 ·

*imilarly

0

2 , 1 0 , 1

0 , 1 2 , 2

I I

I I

−

+ ·

0

11277 11110

11110

−

+ ·

11&72 ·

0

0 , 1 . , 1

. , 1 0 , 2

I I

I I

−

+ ·

0

11110 11&'.

11&'.

−

+ ·

11&71 ·

+or the second order extrapolation values,

18

1 , 2 2 , 2

2 , 2 1 , 0

I I

I I

−

+ ·

&'.&..3 %hapter &'.&.

18

11&78 11&72

11&72

−

+ ·

11&72 ·

*imilarly

18

2 , 2 0 , 2

0 , 2 2 , 0

I I

I I

−

+ ·

18

11&72 11&71

11&71

−

+ ·

11&71 ·

+or the third order extrapolation values,

70

1 , 0 2 , 0

2 , 0 1 , .

I I

I I

−

+ ·

70

11&72 11&71

11&71

−

+ ·

m 11&71 ·

able 0 shows these increasingly correct values in a tree graph.

Table # Improved estimates of the value of an integral using -omberg integration.

11373

11277

11110

11&'.

11&78

73

11&72

73

11&71

373

11&72

373

11&71

373

11&71

373

1(segment

2(segment

.(segment

3(segment

+irst ?rder *econd ?rder hird ?rder

I<1)-AI?<

opic -omberg -ule

*ummary extboo" notes of -omberg -ule of integration.

@aAor )eneral 1ngineering

Authors Autar Baw

=ate Canuary 27, 2&1.

Web *ite httpDEEnumericalmethods.eng.usf.edu

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