10/19/2011

PGE 310: Formulation and Solution in Geosystems Engineering

Dr. Balhoff

Numerical Integration
“Numerical Methods with MATLAB”, Recktenwald, Chapter 11
and
“Numerical Methods for Engineers”, Chapra and Canale, 5th Ed., Part Six, Chapters 21 and 22
and
“Applied Numerical Methods with MATLAB”, Chapra, 2nd Ed., Part Five, Chapters 17 and 18

Numerical Integration

 Definition: Area underneath the curve

 Basic Idea: Approximate continuous function with discrete points to

approximate integral

1
 10/19/2011

Methods for Numerical Integration

 Curve-Fitting
 Fit a curve to the discrete data
 Analytically integrate curve

 Newton-Coates
 Complicated function or tabulated data
 Replace with approximating function that is easy to integrate
 Single function OR piecewise polynomials can be used
 Trapezoidal, Simpson’s rules

 Other methods where the function is given

 Gauss quadrature Integration

Newton-Coates Integration Examples

Integration by (a) single straight line and (b) parabola

2
 10/19/2011

Trapezoidal Rule – Simplest Newton-Coates

Integral is the Area under the Curve

Width  b  a H 1  f (a) H 2  f (b )
f ( a)  f (b)
I  (b  a) 6

3
 10/19/2011

Trapezoidal Rule

 First of the Newton-Coates formulas; corresponds to 1st order

polynomial
b b
I   f ( x ) dx   f1 ( x ) dx
a a

 Recall from “INTERPOLATION” that a straight line can be represented:

f (b)  f (a )
f1 ( x)  f (a )  x
ba
 Area under line is an estimate of the integral b/w the limits “a” and “b”

b f (b)  f (a)
I   [ f (a )  x] dx
a ba

 Result of the integration is called the trapezoidal rule

f ( a)  f (b)
I  (b  a)
2 7

Error of the Trapezoidal Rule

 Straight line segment to approximate integral results in error (which may be

substantial)

1
Et   f ( )(b  a ) 3
12
or
(b  a )3
Et   f ( ) a< <b
12
Second derivation of the function at a
Constant point in between a and b

4
 10/19/2011

What does this error mean? Et  k f ( )

y
f(x) is a line (1st order)

f ( )  0 Error of using Trapezoidal method = 0

It is exact.
Zero for all  : a <  < b
x
y
f(x) is 2nd order

f ( )  const ant Error of using Trapezoidal method is

a constant value.
Constant for all  : a <  < b
x

y
f(x) is a 3rd order or higher

f’’( is not constant.

f’’( is a function of 1st or higher order.
The value of f’’( changes for different
x functions and different . ( a <  < b)

Error of using Trapezoidal method for 3rd or higher order

functions changes from case to case.

Multiple Application Trapezoidal Rule

 Improve accuracy by using multiple segments

 n+1 equally spaced data, so n segments of equal width
ba
h
n
 The total integral can be represented by:
x2 x3 xn1

I 
x1
f1 ( x)dx   f 2 ( x)dx   
x2

xn
f n ( x)dx

 Substituting the trapezoidal rule yields

f ( x1 )  f ( x2 ) f ( x2 )  f ( x3 ) f ( xn )  f ( xn 1 )
I h h   h
2 2 2
 Grouping terms:

n
f ( x1 )  2 f ( xi )  f ( xn 1 )
h n

I  b  a    f ( x1 )  2 f ( xi )  f ( xn 1 ) 
i2
  2n  2
 i2  10
Width
Average Height

5
 10/19/2011

Simpson’s Rules

 Higher-order polynomials another way to get more accurate estimate

 Three points make a parabola, 4 points make a cubic

11

Simpson’s 1/3 Rule

b b
I   f ( x)dx   f 2 ( x)dx
a a

 Second-order Lagrange polynomial, in the integral becomes

x3
  x  x2  x  x3   x  x1  x  x3  f x   x  x1  x  x2  f x dx
I   f ( x1 )     
x1   1
x  x2  x1  x3   x2  x1  x3  x2  2  x3  x1  x3  x2  3 

 After the integration and algebraic manipulation:

h f ( x1 )  4 f ( x2 )  f ( x3 )
I  f ( x1 )  4 f ( x2 )  f ( x3 )  b
 a
 
3 6
 
width
Average Height

12

6
 10/19/2011

Error estimate of Simpson’s 1/3 rule

 Single segment application of Simpson’s 1/3 rule has truncation

error:

1 5 (4) (b  a )5 (4)
Et  h f ( )   f ( ) a< <b
90 2880
4th derivation of the function at a point in
Constant between a and b

 Simpson’s rule is more accurate than the trapezoidal rule

 It’s actually more accurate than expected:

 Expect proportional to third derivative, but instead is proportional to
the 4th derivative
 Yields an exact result for cubic polynomials even though its derived
from a parabola!

Error in Simpson’s 1/3 rule Et  m f ( 4) ( )

y f(x) is from 1st order to 3rd order

f ( 4 ) ( )  0 Error of using Simpson’s 1/3 method = 0

It is exact.
Zero for all  : a <  < b
x
y
f(x) is 4th order

f ( 4 ) ( )  const ant Error of using Simpson’s 1/3 method

is a constant value.
Constant for all  : a <  < b
x

y
f(x) is a 5th order or higher
f’’( is not constant.
f’’( is a function of 1st or higher order.
The value of f’’( changes for different
functions and different . ( a <  < b)
x

Error of using Simpson’s 1/3 method for 5th or higher order

functions changes from case to case.

7
 10/19/2011

Multiple Application 1/3 Rule

ba
 n segments of equal width h
n

 Total integral can be represented by:

x2 x3 xn1

I 
x1
f1 ( x)dx   f 2 ( x)dx   
x2

xn
f n ( x)dx

 Substituting the Simpson’s 1/3 rule yields

f ( x1 )  4 f ( x2 )  f ( x3 ) f ( x3 )  4 f ( x4 )  f ( x5 ) f ( xn 1 )  4 f ( xn )  f ( xn 1 )
I  2h  2h    2h
6 6 6

 Grouping terms

n n 1
f ( x1 )  4  f ( xi )  2
f ( x j )  f ( xn 1 )
h
 n n 1

I  b  a    f ( x1 )  4  f ( xi )  2  f ( x j )  f ( xn 1 ) 
i  2,4,6 j 3,5,7
 
3n  3  i  2,4,6 j  3,5,7 
Width
Average Height
15

16

8
 10/19/2011

Simpson’s 3/8 Rule

b b
I   f ( x)dx   f3 ( x) dx
a a

 Integration and algebraic manipulation of the Lagrange Polynomials:

3h f ( x1 )  3 f ( x2 )  3 f ( x3 )  f ( x4 )
I  f ( x1 )  3 f ( x2 )  3 f ( x3 )  f  x4     b  a 
8   8
 
width
Average Height

 Error:
 Same order accuracy as Simpson’ 1/3 rule – so 1/3 rule is usually desired
 Sometimes combine 1/3 and 3/8 rule when the segments are odd

3 5 (4) (b  a )5 (4)
Et  h f ( )   f ( ) 17
80 6480

Integration with Unequal Segments

 Until now all formulas have been based on equally spaced data

 In practice, there are many situations where this does not hold

 Trapezoid rule for example:

f ( x1 )  f ( x2 ) f ( x2 )  f ( x3 ) f ( xn )  f ( xn 1 )
I  h1  h2    hn
2 2 2

 Program can easily be created to accommodate unequal sized

segments

18

9
 10/19/2011

Use of the Trapezoidal rule to determine the integral of unevenly spaced data.
Notice how the shaded segments could be evaluated with Simpson’s rule to attain19

higher accuracy

b b
Comparison of Methods I   f ( x)dx   f1 ( x)dx
a a

Method Equation Error

f  x1   f  x2  1
f "  b  a 
3
(b  a) Et  
Trapezoid 2 12

b  a 3
n
f  x1   2 f  xi   f  xn 1 
n 

(b  a ) i2
Ea  
12n 3  f"
i 1
2n

f  x1   4 f  x2   f  x3  Et  
b  a 5 f ( 4 )  
1/3 Simpson’s (b  a ) 2880
6
Rule
n n 1
f  x1   4  f x  2  f x  f x  b  a 5 n  ( 4)
f
i j n 1

(b  a ) i  2,4,6 j  3,5,7
Ea   4
3n 180n i 1

b  a 
5
3/8 Simpson’s f  x1   3 f  x2   3 f  x3   f  x4  Et   f (4)  
Rule (b  a ) 6480
8

20

10
 10/19/2011

Higher Order Newton-Coates

* To keep consistent notation in the above table replace x0 with x1, x1 with
x2, etc.

21

True Percent Relative Error

22

11
 10/19/2011

Gauss Quadrature

 Newton-Coates uses predetermined or fixed base points

 Suppose we could evaluate the area under a straight line joining any
two points on the curve
 We could balance the positive and negative errors if chosen wisely

 Gauss Quadrature: class of techniques that implements this strategy

 Particular Formulas discussed here a Gauss Legendre

Trapezoidal Rule Gauss Quadrature

23

Method of Undetermined Coefficients:

2-Point Gauss-Legendre
• This is another approach for calculating integrals. Not using before-mentioned
methods such as Trapezoidal and Simpsons.

• In this method, for whatever function it is the integral expressed as:

Constant Coefficients y

I  c1 f ( x1 )  c2 f ( x2 )

Value of the function at two indicative

points within the interval x
a x1 x2 b
a <x1 & x2 < b

• So, the question is what are these 4 unknowns (c1, c2, x1 & x2) such that:

b
I   f ( x )dx  c1 f ( x1 )  c2 f ( x2 )
a

12
 10/19/2011

Solve it for a Special Case:

 What special?
 Want to have exact solution for any 3rd order function

 Integral limits are -1 to +1

 We solve for this special case and generalize it

General 3rd order g ( x)  a0  a1 x  a2 x 2  a3 x 3

function

1 1
I   g ( x )dx   (a0  a1 x  a2 x 2  a3 x 3 )dx
1 1

1 1 1 1
 a0  1 dx  a1  x dx  a2  x 2 dx  a3  x 3 dx
1 1 1 1

So, if the Gauss-Quadrature formula (c1x1+c2x2) can calculate exact solution for
these 4 components, it can find exact solution for the whole function.

Solve it for a Special Case:

 If f(x)=1:
1 1
1
 1
1 dx  c1 f ( x1 )  c2 f ( x2 ) 2  c1  1  c2  1

 If f(x)=x: x1 x2
1
1
x dx  c1 f ( x1 )  c2 f ( x2 ) 0  c1  x1  c2  x2

 If f(x)=x2: x12 x22

1 2
 1
x 2 dx  c1 f ( x1 )  c2 f ( x2 )
3
2
 c1  x1  c2  x2
2

 If f(x)=x3: x13 x23

1
 1
x 3 dx  c1 f ( x1 )  c2 f ( x2 ) 3
0  c1  x1  c2  x2
3

 4 Equations and 4 unknowns:

c1  1 c2  1
When solved:
1 1
x1   0.5773503 x2   0.5773503
3 3

13
 10/19/2011

Method of Undetermined Coefficients:

y
2-Point Gauss-Legendre
f(x)=1

x
• So, we found two points (x1=-0.5773503 & -1 x1 x2 +1
x2=+0.5773503) and two constants (c1=1 & c2=1)
such that they can return Exact Integral Value for y
these four functions. f(x)=x

-1 x1
x
For these four functions: x2 +1

1 y
1
f ( x ) dx  c1 f ( x1 )  c2 f ( x2 ) f(x)=x2

1 1
 1 f (  )  1 f (  ) x
3 3 -1 x1 x2 +1

y
f(x)=x3

-1 x1
x
x2 +1

Method of Undetermined Coefficients:

2-Point Gauss-Legendre

• Any general 3rd order function composed of the four mentioned functions (go back to
two last slide).

• So, by using 2-Point Gauss-Legendre method we can find the Exact Solution for the integral of
any 3rd function:

1 1 1
For these any 3rd (or lower) order functions: 1
f ( x) dx  c1 f ( x1 )  c2 f ( x2 )  1 f (
3
)  1 f ( 
3
)

• For any higher order (4th order or higher) polynomial, or any non-polynomial function 2-Point
Gauss-Legendre method does not return the Exact Solution. It will have some errors and returns
Approximate Solution.

14
 10/19/2011

Method of Undetermined Coefficients:

Multiple-Point Gauss-Legendre

• We can use even more points

In general form:
1
n-Point Gauss-Legendre formula:

1
f ( x ) dx  c1 f ( x1 )  c2 f ( x2 )  ...  cn f ( xn )

Method Exact answer for functions: Error on the order of :

2-Point Gauss-Legendre up to 3rdorder ~f(4)()
3-Point Gauss-Legendre up to 5th order ~f(6)()
4-Point Gauss-Legendre up to 7th order ~f(8)()
…. …. ….
n-Point Gauss-Legendre up to (2n-1)th order ~f(2n)()

What about the Integration Limits?

 Integration limits: -1 to 1; change of variables can be made to translate the
limits of integration from “a” to “b”

 Introduce new variable xd related to original variable x in a linear fashion

x  a0  a1 xd
 Limits: x = a and x = b corresponds to xd=-1 and xd=1
a  a0  a1 (1) b  a0  a1 (1)
 Equations can be solved simultaneously for:

ba ba
a0  a1 
2 2

 They can substituted into equation and differentiated to yield:

x
b  a   b  a xd dx 
b  a  dx
d
2 2

15
 10/19/2011

General Form of Using Gauss-Quadrature Method Using

Higher-Point Formulas
g(xd)
b 1 ba

a
f ( x) dx   f (a0  a1 xd ) (
1 2
)dxd
1
  g ( xd )dxd  c1 g ( xd 1 )  c2 g ( xd 2 )  ...  cn g ( xdn )
1

xd i Error:
~f 4()

~f 6()

~f 8()

~f 10()

~f 12()

In summary
 Numerical Integration necessary for discrete data, complicated functions, etc.

 Newton-Coates (good for predetermined and/or equally spaced data)

 Trapezoid Rule (1st order accurate i.e. 2nd derivative error)
 Simpson’s 1/3 (3rd order accurate i.e. 4th derivative error)
 Simpson’s 3/8 (3rd order accurate i.e. 4th derivative error)

 Gauss Quadrature/Gauss Legendre

 More accurate, but requires us to be able to evaluate function at specific points
 2-point Legendre is 3rd order accurate (Truncation error is proportional to 4th derivative)
 Higher-Point Formulas Available

32

16