Numerical Integration
Introduction:
Lecture -1
The process of computing the value of a definite integral from a set of numerical values of the
integrand is called numerical integration. Similar to that of numerical differentiation, in finding
b
the value of the definite integral
a
f ( x)dx , we replace the function ( ) by an interpolation
formula involving differences, and then integrate this formula between the limits a to b. For a
function of single variable, the process is known as quadrature.
A General Quadrature Formula for Equidistant Ordinates:
Let ( ) be an unknown function whose numerical values are given at (n + 1) equidistant
points as in the interval a, b , where = + ℎ, = 0,1,2, … , such that = and
= . . b a nh. Then
b x x n
Pn (s)dxs , where xs x0 sh or dxS hds
n
f ( x ) dx nP ( s ) dx or
a x 0 x 0
n
h Pn (s)ds
s 0
x
Expressing Pn ( s ) by Newton’s forward difference formula, we get
b n s ( s 1) 2 S
f ( x ) dx h [ f0 s f0 f0 c n f0 ] ds
a 0 2! n
s2 2 1 3 2
h[sf 0 f 0 s s 2 f 0 ... last term]
n
2 2! 3 2 0
1 2
3 2
n2
h[nf 0 2 f 0 n n f 0 ... last term] ....(A)
2 2! 3 2
This is known as the general quadrature formula. One can deduce a number of formulae from
this by putting n = 1, 2, 3, ... .
