Numerical Differentiation

And Integration

Infante, Claudine V.
 Introduction

Numerical differentiation and integration are mathematical

techniques used to approximate the derivatives and integrals of
functions, respectively. They are essential tools in scientific and
engineering applications where analytical solutions are
challenging or impossible to obtain. In this presentation, we will
provide an overview of the methods for numerical differentiation
and integration, their applications, and their advantages and
disadvantages.
 Objectives

By the end of this presentation, you will understand the basic principles
of numerical differentiation and integration, their mathematical
foundations, and how they are used in various fields such as physics,
engineering, finance, and data analysis. You will also be familiar with
the different methods for numerical differentiation and integration,
their accuracy and error analysis, and how to choose the appropriate
method for a given problem.
Visual Elements
Derivatives
 Derivatives are a fundamental concept in calculus that represents the
rate of change of a function at a given point. They have numerous
applications in optimization, physics, engineering, and other fields
01
where rates of change are important.

 Analytical differentiation: Analytical differentiation is the process of

finding the exact derivative of a function using algebraic operations
and calculus rules. However, in some cases, it may be challenging or
impossible to obtain analytical solutions to differentiation problems.

 Motivation for numerical differentiation: Numerical

differentiation is a technique used to approximate the derivative of a
function numerically, by computing the slope of a tangent line to the
function at a given point. It is used when analytical solutions are not
available or are computationally expensive, or when the function is
too complex to differentiate analytically .
 Numerical Differentiation
 Numerical differentiation is the  Central difference method: The This method is more accurate than
process of approximating the central difference method is the forward difference method and
derivative of a function using another numerical differentiation has a lower truncation error.
numerical methods, such as finite technique that approximates the However, it requires more function
differences or interpolation. derivative of a function at a point evaluations and may suffer from
x using the difference between the round-off error.
function values at x+h and x-h.
 Forward difference method:
Explain the forward difference
method, which approximates the
derivative of a function at a point
x using the difference between
the function values at x and x+h.
Discuss the accuracy and error
analysis of this method.
Numerical Integration
 Numerical integration is a method used
to approximate the definite integral of a
function using numerical techniques, such
as the trapezoidal rule or Simpson's rule.

 Trapezoidal rule: Explain the trapezoidal

rule, which approximates the area under a
curve by dividing it into trapezoids and
summing their areas. Discuss the accuracy
and error analysis of this method.

 Simpson's rule: Introduce Simpson's

rule, which approximates the area under a
curve by fitting a parabolic curve to three
adjacent points and summing their areas.
Discuss the advantages and disadvantages
of this method compared to the
trapezoidal rule.
 Applications of Numerical Differentiation and
Integration

Physics Engineering Finance

 Numerical differentiation and
integration are used in physics
to approximate the velocity and
acceleration of an object based
on its position data. They are
also used to estimate the area
under a curve in integration
problems related to motion and
force.
 Numerical differentiation and
integration are used in
engineering to simulate and
optimize systems that involve
continuous functions, such as
control systems and signal
processing. They are also
used in numerical analysis to
approximate solutions to
differential equations.
 Numerical differentiation and
integration are used in finance
to price options and other
derivatives using numerical
methods such as Black-
Scholes formula and Monte
Carlo simulation. They are
also used in risk management
to estimate the value-at-risk of
a portfolio of assets.
Tips for Choosing Numerical Differentiation and
Integration Methods

Consider the function

o The choice of numerical
differentiation and integration
methods depends on the
properties of the function being
o
Consider the step size
approximated. The choice of numerical
differentiation and integration
Consider the accuracy methods also depends on the step
and error size.
o The appropriate method should
balance the trade-off between
accuracy and efficiency.
 Limitations of Numerical Differentiation and Integration

Round-off error Discretization error

Numerical differentiation and integration methods Numerical differentiation and integration methods may
may accumulate round-off error over time, affecting introduce discretization error when the function is not well-
the accuracy of the approximation. represented by the chosen discretization scheme.

Computational complexity Stability issues

Some numerical differentiation and integration Numerical differentiation and integration methods may
methods may be computationally expensive and exhibit instability or oscillations when parameters are
time-consuming. not chosen appropriately, leading to inaccurate or non-
convergent approximations.
 Conclusion
Numerical differentiation and
integration are powerful tools
for approximating derivatives
and integrals of functions.
There are many numerical
methods available, each with
its own advantages and
limitations.
The accuracy and reliability of
numerical differentiation and
integration depend on several
factors, such as the choice of
method, step size, and
function properties.
Numerical differentiation and
integration have many
practical applications in
physics, finance, engineering,
machine learning, and other
fields.