numerical_integration_-_integration

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Numerical Integration

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Trapezoidal Rule Simpson’s Rule – 1/3 Rule Basic Numerical Integration – 3/8 Rule • Midpoint Gaussian Quadrature
Basic Numerical Integration We want to find integration of functions of various forms of the equation known as the Newton Cotes integration formulas.

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Basic Numerical Integration Weighted sum of function values ) x ( f c ) x ( f c ) x ( f c ) x ( f c dx ) x ( f n n 1 1 0 0 i n 0 i i b a + + + + + + + + + = = L L f(x) x 0 x 1 x n x n-1 x
12 Numerical Integration Idea is to do integral in small parts, like the way you first learned integration - a summation Numerical methods just try to make it faster and more accurate 0 2 4 6 8 10 3 5 7 9 11 13 15

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Numerical Integration Newton-Cotes Closed Formulae -- Use both end points Trapezoidal Rule : Linear Simpson’s 1/3-Rule : Quadratic Simpson’s 3/8-Rule : Cubic Boole’s Rule : Fourth-order Newton-Cotes Open Formulae -- Use only interior points midpoint rule
Trapezoid Rule Straight-line approximation [ ] ) x ( f ) x ( f 2 h ) x ( f c ) x ( f c ) x ( f c dx ) x ( f 1 0 1 1 0 0 i 1 0 i i b a + + + = + + = = x 0 x 1 x f(x) L(x)

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Trapezoid Rule Lagrange interpolation 0 1 0 1 0 1 1 0 ( ) ( ) ( ) x x x x L x f x f x x x x x - - = + - - 0 1 dx a x , b x , , d ; h 0 ( ) (1 ) ( ) ( ) ( ) 1 x a let h b a b a x a L f a f b x b ξ ξ ξ ξ ξ ξ ξ - = = = = = - - = = = - + = =
Trapezoid Rule Integrate to obtain the rule 1 0 ( ) ( ) ( ) b b a a f x dx L x dx h L d ξ ξ = [ ] 1 1 0 0 1 1 2 2 0 0 ( ) (1 ) ( ) ( ) ( ) ( ) ( ) ( ) 2 2 2 f a h d f b h d h f a h f b h f a f b ξ ξ ξ ξ ξ ξ ξ = - + = - + = +

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Example:Trapezoid Rule Evaluate the integral Exact solution 926477 . 5216 ) 1 x 2 ( e 1 e 4 1 e 2 x dx xe 1 x 2 4 0 x 2 x 2 4 0 x 2 = - = - = dx xe 4 0 x 2 Trapezoidal Rule 4 0 [ ] % 12 . 357 926 . 5216 66 . 23847 926 . 5216 66 . 23847 ) e 4 0 ( 2 ) 4 ( f ) 0 ( f 2 0 4 dx xe I 8 4 0 x 2 - = - = = + + = + + - = ε
Simpson’s Simpson’s 1/3-Rule Rule Approximate the function by a parabola [ ] ) x ( f ) x ( f 4 ) x ( f 3 h ) x ( f c ) x ( f c ) x ( f c ) x ( f c dx ) x ( f 2 1 0 2 2 1 1 0 0 i 2 0 i i b a + + + + = + + + + = = f(x) L(x) x 0 x 1 x x 2 h h

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Simpson’s Simpson’s 1/3-Rule Rule + + + = = = - - - - + + - - - - + + - - - - = 2 b a x , b x , a x let ) x ( f ) x x )( x x ( ) x x )( x x ( ) x ( f ) x x )( x x ( ) x x )( x x ( ) x ( f ) x x )( x x ( ) x x )( x x ( ) x ( L 1 2 0 2 1 2 0 2 1 0 1 2 1 0 1 2 0 0 2 0 1 0 2 1 = = = = - = = = - = - = 1 x x 0 x x 1 x x h dx d , h x x , 2 a b h 2 1 0 1 ξ ξ ξ ξ ξ ) x ( f 2 ) 1 ( ) x ( f ) 1 ( ) x ( f 2 ) 1 ( ) ( L 2 1 2 0 + + + + - + + + - = ξ ξ ξ ξ ξ ξ
Simpson’s Simpson’s 1/3-Rule Rule 1 1 1 1 2 1 0 2 1 1 1 0 1 1 b a )d ξ 1 ξ ( ξ 2 h ) f(x )d ξ ξ 1 ( )h f(x )d ξ 1 ξ ( ξ 2 h ) f(x d ξ ) ( L h f(x)dx - - - + + + + - + + - = ξ Integrate the Lagrange interpolation 1 1 2 3 2 1 3 1 1 2 3 0 ) 2 ξ 3 ξ ( 2 h ) f(x ) 3 ξ ( ξ )h f(x ) 2 ξ 3 ξ ( 2 h ) f(x - - - + + + + - + + - = [ ] ) f(x ) 4f(x ) f(x 3 h f(x)dx 2 1 0 b a + + + + + + =

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Simpson’s Simpson’s 3/8-Rule Rule Approximate by a cubic polynomial [ ] ) x ( f ) x ( f 3 ) x ( f 3 ) x ( f 8 h 3 ) f(x c ) f(x c ) f(x c ) f(x c ) x ( f c dx ) x ( f 3 2 1 0 3 3 2 2 1 1 0 0 i 3 0 i i b a + + + + + + + + + = + + + + + + = = f(x) L(x) x 0 x 1 x x 2 h h x 3 h
Simpson’s Simpson’s 3/8-Rule Rule ) x ( f ) x x )( x x )( x x ( ) x x )( x x )( x x ( ) x ( f ) x x )( x x )( x x ( ) x x )( x x )( x x ( ) x ( f ) x x )( x x )( x x ( ) x x )( x x )( x x ( ) x ( L 2 3 2 1 2 0 2 3 1 0 1 3 1 2 1 0 1 3 2 0 0 3 0 2 0 1 0

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