Integración por Cuadratura de Gauss

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Integración por Cuadratura de Gauss

© All Rights Reserved

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ORIGIN 1

Overview

A wide variety of techniques may be used to numerically evaluate integrals (e.g., Trapezoidal integration,

Simpson's Rule, etc.). All of these methods require that the function under consideration be evaluated at

various sampling locations. Gauss quadrature is an integration technique that utilizes optimally chosen

sampling locations to minimize the number of function evaluations that need to be performed. This results

in a method that is both numerically efficient and highly accurate.

In this basic form, Gauss quadrature permits a function f ( ) to be integrated from -1 to +1 using a

summation of weighted function evaluations. When a function is constructed such that only coordinates

in the range = [-1,+1] are of interest, the function is said to be written in terms of a "natural"

coordinate, . In such cases, integration is performed as follows.

f ( ) dx =

1

( wp f ( p ) )

p =1

p are function sampling locations (Gauss points), wp are weighting factors, and n is the number of Gauss

integration points. If integration of a general function f ( x) is required, where x may vary over an

arbitrary range of values from xi (initial) to xf (final), then a modified version of Gauss quadrature may

be used, as shown below. In the expression below, each Gauss point is mapped to a corresponding

coordinate x( ) so that the function f ( x) = f ( x( ) ) may be evaluated (sampled) at the mapped Gauss

dx

points. Additionally, a scaling factor J =

is required in order to correct for the differences in range

d

of the independent variables x and . The variable x ranges from xi to xf whereas the variable ranges

from -1 to +1, or a total distance of 2.

f

f ( x ) dx = J

x

i

( w p f ( x( p ) ) ) =

p =1

( xf xi)

2

p =1

xf + xi xf xi

wp f

+

2 2 p

1 of 6

Consider a function f ( )

3

f ( ) := 81 + 90 + 39 + 65

Plot the function from -1 to +1

i := 1

f := 1

n := 201

inc := ( f i ) ( n 1)

i := 1 .. n

:= i + inc ( i 1)

i

300

200

f ( i)

100

1.2

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

1.2

Assume that we wish to integrate the function f ( ) in the natural coordinate system from -1 to +1

1

3

2

I = 81 + 90 + 39 + 65 d

1

That is, we wish to find the area under the curve shown below

300

200

f ( i)

100

1.2

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

1.2

Use Mathcad's built-in symbolic integration capabilities to exactly compute the value of the integral

1

3

2

I := 81 + 90 + 39 + 65 d

1

I 190

2 of 6

w1 := 2

1 := 0

f1 := f ( 1 )

I := w1 f1

f1 = 65

I = 130

points used to compute integral

300

f ( i)

200

f1

100

1.2

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

1.2

i , 1

maximum degree for exact integration 2n 1 = 3

w1 := 1

w2 := 1

1 :=

2 :=

1 = 0.577

2 = 0.577

f1 := f ( 1 )

f1 = 56.895

f2 := f ( 2 )

f2 = 133.105

I := w1 f1 + w2 f2

I = 190

300

f ( i) 200

f1

f2

100

1.2

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

1.2

i , 1 , 2

3 of 6

maximum degree for exact integration 2n 1 = 5

w1 :=

w2 :=

Evaluate the

f1 := f ( 1 )

f2 := f ( 2 )

f3 := f ( 3 )

8

9

w3 :=

1 :=

2 := 0

3 :=

f1 = 51.145

f2 = 65

f3 = 186.855

3

5

I := w1 f1 + w2 f2 + w3 f3

I = 190

300

f ( i)

200

f1

f2

f3

100

1.2

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

1.2

i , 1 , 2 , 3

maximum degree for exact integration 2n 1 = 7

w1 :=

1 :=

49

6 ( 18 +

w2 :=

30)

15 + 2 30

2 :=

49

6 ( 18

30)

15 2 30

35

Evaluate the

f1 := f ( 1 )

f2 := f ( 2 )

f3 := f ( 3 )

f4 := f ( 4 )

w3 :=

49

6 ( 18

w4 :=

30)

15 2 30

3 :=

35

4 :=

35

f1 = 46.431

f2 = 58.96

f3 = 91.845

f4 = 217.049

49

6 ( 18 +

30)

15 + 2 30

35

I := w1 f1 + w2 f2 + w3 f3 + w4 f4

I = 190

300

f ( i)

f1

200

f2

f3

100

f4

1.2

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

1.2

i , 1 , 2 , 3 , 4

4 of 6

Consider integration of a more general function written in terms of an arbitrary coordinate x

3

f ( x) := 3 x + x + 2 x + 59

Range of interest (initial and final values)

xi := 2

xf := 4

n := 201

inc := ( xf xi) ( n 1)

i := 1 .. n

x := xi + inc ( i 1)

i

300

200

f ( xi)

100

0.6 0.2

0.2

0.6

1.4

1.8

2.2

2.6

3.4

3.8

4.2

xi

Use Mathcad's built-in symbolic integration capabilities to exactly compute the value of the integral

I :=

xf

3

3 x + x + 2 x + 59 dx

I 570

xi

maximum degree for exact integration 2n 1 = 3

w1 := 1

w2 := 1

1 :=

2 :=

1

3

xf + xi xf xi

tox ( ) :=

+

xf + xi = 1

2

xf xi

f i

midpoint of x-range

= 0 midpoint of -range

4 2

6

= 2 = 3

1 1

check := 1

tox ( check ) = 2

check := 1

tox ( check ) = 4

1 = 0.577

x1 := tox ( 1 )

x1 = 0.732

2 = 0.577

x2 := tox ( 2 )

x2 = 2.732

5 of 6

3

f1 := f ( x1)

f1 = 56.895

ff ( ) := 81 + 90 + 39 + 65

f2 := f ( x2)

f2 = 133.105

ff1 := ff ( 1 ) = 56.895

ff2 := ff ( 2 ) = 133.105

300

f(i)

200

100

1.2

0.9

0.6

0.3

0.3

0.6

0.9

1.2

3.7

4.6

i,1,2

1 = 0.577

2 = 0.577

300

f(xi)

200

100

2.6

1.7

0.8

0.1

1.9

2.8

xi,x1,x2

x1 = 0.732

x2 = 2.732

Calculate the scaling factor produced by changing the integration variable from to x (Jacobian)

J :=

xf xi

f i

J =3

where

dx = J d

I := J ( w1 f1 + w2 f2 )

I = 570

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