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Improper Integrals

Multiple Integrals

Improper Integrals

Outline

Lecture Notes #09

Numerical Integration and Differentiation

Multiple Integrals; Improper Integrals

Multiple Integrals

CSR in n-D

Non-Rectangular Domains

Improper Integrals

Calculus Treasures

Taylor Expansions... Surprise!

Joe Mahaffy,

hmahaffy@math.sdsu.edui

Department of Mathematics

Computational Sciences Research Center

San Diego, CA 92182-7720

http://www-rohan.sdsu.edu/jmahaffy

Spring 2010

Joe Mahaffy, hmahaffy@math.sdsu.edui

Multiple Integrals

Improper Integrals

(1/25)

CSR in n-D

Non-Rectangular Domains

ZZ

f (x, y ) dx dy ,

We write

ZZ

I=

f (x, y ) dx dy =

b

a

Z

c

f (x, y ) dy dx,

x as a constant.

scheme; we discuss multi-dimensional integration in that context.

Multiple Integrals; Improper Integrals

previously can be adopted for multi-dimensional

integration in a straight-forward way.

CSR in n-D

Non-Rectangular Domains

number nx of sub-intervals with nodes

spaced hx = (b a)/nx apart, and

the y -range [c, d] into an even number

ny of sub-intervals with nodes spaced

hy = (d c)/ny apart.

11111111

00000000

00000000

11111111

00000000

11111111

00000000

11111111

00000000

11111111

00000000

11111111

00000000

11111111

00000000

11111111

a

Good News:

(2/25)

integration schemes for multiple integrals, i.e.

Multiple Integrals

Improper Integrals

I=

(3/25)

(4/25)

Multiple Integrals

Improper Integrals

CSR in n-D

Non-Rectangular Domains

Multiple Integrals

Improper Integrals

1

Z

d

c

in the expression...

ny /2

hy

f (x, y ) dy =

2f (x, y2j ) + 4f (x, y2j1 )

f (x, y0 ) f (x, yn ) +

3

j=1

(d c)hy4

180

4 f (x, y )

,

y 4

Z b

Z bZ d

Z b

hy

f (x, y ) dy dx =

f (x, y0 ) dx

f (x, yn ) dx

3

a

c

a

a

Z b

ny /2 Z b

X

f (x, y2j1 ) dx

+

f (x, y2j ) dx + 4

2

j=1

a

c)hy4

(d

180

Z

a

4 f (x, y )

y 4

Multiple Integrals

Improper Integrals

d

c

f (x, y ) dy dx

nx /2

X

hx hy

2f (x2i , y0 ) + 4f (x2i1 , y0 )

f (x0 , y0 ) f (xn , y0 ) +

9

i=1

nx /2

X

2f (x2i , yn ) + 4f (x2i1 , yn )

f (x0 , yn ) f (xn , yn ) +

+

i=1

nx /2

X

2f (x2i , y2j ) + 4f (x2i1 , y2j )

2 f (x0 , y2j ) f (xn , y2j ) +

i=1

nx /2

j=1

i=1

dx,

ny /2

b

a

2

CSR in n-D

Non-Rectangular Domains

This looks somewhat painful, but do not despair!!! [First, a peek at the error...]

(5/25)

CSR in n-D

Non-Rectangular Domains

Multiple Integrals

Improper Integrals

(6/25)

CSR in n-D

Non-Rectangular Domains

Consider the tensor product of the x- and y -stencils for CSR with

2 sub-intervals:

4

(b a)(d c) 4 4 f

4 f

hx 4 (x , x ) + hy 4 (y , y )

E =

180

x

y

hx

3

hy

3

exercise for the interested reader...

16

16

16

16

hx hy

9

above weights, and sum 2-D CSR.

(7/25)

(8/25)

Multiple Integrals

Improper Integrals

CSR in n-D

Non-Rectangular Domains

Multiple Integrals

Improper Integrals

9

hx hy

x4

y4

f (x, y ) dx dy

x0

y0

CSR in n-D

Non-Rectangular Domains

hx =

x4 x 0

,

4

Multiple Integrals

Improper Integrals

hy =

y4 y 0

.

4

Theres nothing unique about the usage of CSR. The same idea can be

used to build higher dimensional Gaussian Quadrature schemes. If we

have the stencils for the one-dimensional (Composite) Gaussian

Quadrature schemes in the x-, y - and z-directions (GQx , GQy , GQz ):

GQxyz = GQx GQy GQz .

If youre really twisted you could use different schemes in the different

coordinate directions, i.e.

NUMINTxyz = CSRx GQy Rombergz .

Needless to say, the error terms would get really interesting.

(9/25)

CSR in n-D

Non-Rectangular Domains

Multiple Integrals

Improper Integrals

(10/25)

CSR in n-D

Non-Rectangular Domains

rectangular regions [a, b] [c, d]...

In calculus we compute integrals of this form:

Z

b

a

d(x)

c(x)

f (x, y ) dy dx

Z

integrals.

b

a

d(x)

c(x)

f (x, y ) dy dx

the x-direction, and variable step size hy = (d(x) c(x))/ny in

the y -direction.

Joe Mahaffy, hmahaffy@math.sdsu.edui

(11/25)

(12/25)

Multiple Integrals

Improper Integrals

CSR in n-D

Non-Rectangular Domains

Multiple Integrals

Improper Integrals

Z b Z d(x)

f (x, y ) dy dx

a

Z

c(x)

and get

Z

a

d(x)

c(x)

hx

3

f (x, y ) dy dx

d(x0 )c(x0 )

c(x0 )+d(x0 )

f (x0 , c(x0 )) + 4f (x0 ,

) + f (x0 , d(x0 )) +

6

2

c(x1 )+d(x1 )

4(d(x1 )c(x1 ))

f (x1 , c(x1 )) + 4f (x1 ,

) + f (x1 , d(x1 )) +

6

2

d(x2 )c(x2 )

c(x2 )+d(x2 )

) + f (x2 , d(x2 )) ,

f (x2 , c(x2 )) + 4f (x2 ,

6

2

where x0 = a, x1 =

CSR in n-D

Non-Rectangular Domains

d(x) Z f (x,y )

c(x)

e(x,y )

g (x, y , z) dz dy dx.

attack variable integration limits with Gaussian Quadrature,

Trapezoidal Rule, or Booles Rule...

Note that there is nothing stopping us from using adaptive schemes

to find the integrals... but the complexity of the code grows!

a+b

, x2 = b.

2

Multiple Integrals

Improper Integrals

(13/25)

CSR in n-D

Non-Rectangular Domains

Multiple Integrals

Improper Integrals

(14/25)

Calculus Treasures

Taylor Expansions... Surprise!

Improper integrals:

[2] FOR i = 0, 1, . . . , n

% CSR in x

x = a + i*hx

k1 = f(x,c(x)) + f(x,d(x))

% End terms

k2 = 0

% Even terms

k3 = 0

% Odd terms

hy = (d(x)-c(x))/n

FOR j = 1, 2, . . . , (m 1)

y = c(x)+j*hy

Q = f(x,y)

IF j EVEN: k2 += Q, ELSE: k3 += Q

END-FOR-j

L = hy*(k1 + 2*k2 + 4*k3)/3;

IF i is 0 OR n: ENDPTS += L

ELSEIF i EVEN:

EVENPTS += L

ELSEIF i ODD:

ODDPTS += L

END-FOR-i

INTAPPROX = hx*(ENDPTS+2*EVENPTS+4*ODDPTS)/3

Multiple Integrals; Improper Integrals

(15/25)

Z

f (x) dx.

a

Z

b

a

f (x)

dx.

(x a)p

Z 0

Z

t = x 1

f (x) dx =

=

t 2 f (t 1 ) dt

2 dx

dt

=

x

a

1/a

Joe Mahaffy, hmahaffy@math.sdsu.edui

(16/25)

Multiple Integrals

Improper Integrals

Calculus Treasures

Taylor Expansions... Surprise!

Multiple Integrals

Improper Integrals

The integral

b

a

dx

(x a)p

Pd (x) =

We can now write

Z

Z b

f (x) dx =

a

Z b

a

p (, 1),

d

X

k=0

(17/25)

Calculus Treasures

Taylor Expansions... Surprise!

g (x) Pd (x)

dx =

(x a)p

Z

a

II/II

1

max |g (d+1) (x)|

(k + 1)! x[a,b]

=

b

a

Z

a

dx

(k + 1)!(x a)p

(x a)d+1p dx

(18/25)

Calculus Treasures

Taylor Expansions... Surprise!

g (x) Pd (x)

(x a)p

G (x) =

x (a, b]

x = a.

j=1

Multiple Integrals; Improper Integrals

Z b

n/2

X

h

4G (x2j1 ) + 2G (x2j ) .

G (x) dx G (x0 ) G (xn ) +

3

a

g(d+1) ()

(b a)d+2p .

(k + 1)! (d + 2 p)

Pd (x)

dx,

(x a)p

numerical approximation of the remainder term:

Z b

g (x) Pd (x)

dx.

(x a)p

a

g (k) (a)

(b a)k+1p ,

k!(k + 1 p)

Rd (x)

dx =

(x a)p

k=0

Multiple Integrals

Improper Integrals

Z

d

d Z b (k)

X

X

g (a)

g (k) (a)

(x a)kp dx =

(b a)k+1p

k!

k!(k

+

1

p)

a

f (x) dx

g (x) Pd (x)

dx +

(x a)p

k=0

Multiple Integrals

Improper Integrals

g C [a, b]

d

X

g (k) (a)(x a)k

.

k!

k=0

g (x)

f (x) =

,

(x a)p

I/II

polynomial of degree d is

Z b

(b a)1p

dx

=

.

p

1p

a (x a)

If we let

Calculus Treasures

Taylor Expansions... Surprise!

(19/25)

Pd

g (k) (a)

k=0 k!(k+1p) (b

a)k+1p .

(20/25)

Multiple Integrals

Improper Integrals

Calculus Treasures

Taylor Expansions... Surprise!

Multiple Integrals

Improper Integrals

Example#1

I/III

Z

0

Z

0

x 1/2 + x 1/2 +

+

+

dx

2

6

24

Result

(21/25)

III/III

1

= 0.000026455.

7! 7.5

Multiple Integrals; Improper Integrals

x = 0.

ex

dx 2.923544974 + 0.0017691 = 2.9253141

x1/2

Multiple Integrals

Improper Integrals

Since |G (4) (x)| < 1 on (0, 1], the error from CSR is bounded by

1

1

4 = 0.0000217.

180 4

The error bound for the Taylor-only approximation is bounded by

1

= 0.00151515

5! 5.5

R

If, instead of adding the CSR-approximation of G (x) dx, we used

P5 (x), the error bound for that Taylor-only approximation would be

1

= 0.00021044.

6! 6.5

Calculus Treasures

Taylor Expansions... Surprise!

Example#1

x (0, 1]

Multiple Integrals

Improper Integrals

Hence,

2 2

2

2

2

+ +

+

+

2.923544974

1 3 2 5 6 7 24 9

1

0 + 4 0.0000170 + 2 0.00413 + 4 0.0026026

G (x) dx

43

0

+0.0099485 = 0.0017691.

so

P4 (x)

dx =

x 1/2

R1

x

e P4 (x)

x 1/2

G (x) =

x2 x3 x4

+

+ ,

P4 (x) = 1 + x +

2

6

24

1

II/III

ex

dx.

x 1/2

Example#1

Next, we apply CSR with h = 1/4 to

We want to compute

Calculus Treasures

Taylor Expansions... Surprise!

(22/25)

Calculus Treasures

Taylor Expansions... Surprise!

Example#2

I/II

Z

1

1

dx.

sin

3/2

x

x

1

A quick change of variables t = x 1 gives us

Z 1

t 1/2 sin(t) dt.

0

1

1 5

1

P6 (t) = t t 3 +

t , |R6 (t)|

= 0.00019841

6

120

7!

Z 1

Z 1

1

1 9/2

1/2

t 1/2 t 5/2 +

t

P6 (t) dt =

t dt

6

120

0

0

=

(23/25)

2

2

2

+

= 0.62056277

3 7 6 11 120

(24/25)

Multiple Integrals

Improper Integrals

Calculus Treasures

Taylor Expansions... Surprise!

Example#2

II/II

We define

t 1/2

G (t) =

0

t = 0,

R1

and apply CSR with h = 1/32 to 0 G (t) dt to get

Result

Z

1

1

x3/2

1

dx

sin

x

which is accurate to within 108 .

Joe Mahaffy, hmahaffy@math.sdsu.edui

(25/25)

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