trapezoidal rule integration - mpia.demordasini/uknum/integration.pdf · method derived from...
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Integration
Topic: Trapezoidal Rule
Major: General Engineering
Author: Autar Kaw, Charlie Barker
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What is Integration Integration:
The process of measuring the area under a function plotted on a graph.
Where:
f(x) is the integrand
a= lower limit of integration
b= upper limit of integration
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Basis of Trapezoidal Rule
Trapezoidal Rule is based on the Newton-Cotes Formula that states if one can approximate the integrand as an nth order polynomial…
where
and
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Basis of Trapezoidal RuleThen the integral of that function is approximated
by the integral of that nth order polynomial.
Trapezoidal Rule assumes n=1, that is, the area under the linear polynomial,
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Derivation of the Trapezoidal Rule
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Method Derived From Geometry
The area under the curve is a trapezoid. The integral
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Example 1 The vertical distance covered by a rocket from t=8 to
t=30 seconds is given by:
a) Use single segment Trapezoidal rule to find the distance covered.b) Find the true error, for part (a).c) Find the absolute relative true error, for part (a).
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Solution
a)
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Solution (cont)
a)
b) The exact value of the above integral is
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Solution (cont)
b)
c) The absolute relative true error, , would be
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Multiple Segment Trapezoidal Rule
In Example 1, the true error using single segment trapezoidal rule was large. We can divide the interval [8,30] into [8,19] and [19,30] intervals and apply Trapezoidal rule over each segment.
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Multiple Segment Trapezoidal RuleWith
Hence:
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Multiple Segment Trapezoidal Rule
The true error is:
The true error now is reduced from -807 m to -205 m.
Extending this procedure to divide the interval into equal segments to apply the Trapezoidal rule; the sum of the results obtained for each segment is the approximate value of the integral.
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Multiple Segment Trapezoidal Rule
Figure 4: Multiple (n=4) Segment Trapezoidal Rule
Divide into equal segments as shown in Figure 4. Then the width of each segment is:
The integral I is:
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Multiple Segment Trapezoidal Rule
The integral I can be broken into h integrals as:
Applying Trapezoidal rule on each segment gives:
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Example 2
The vertical distance covered by a rocket from to seconds is given by:
a) Use two-segment Trapezoidal rule to find the distance covered.b) Find the true error, for part (a).c) Find the absolute relative true error, for part (a).
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Solution
a) The solution using 2-segment Trapezoidal rule is
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Solution (cont)
Then:
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Solution (cont)
b) The exact value of the above integral is
so the true error is
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Solution (cont)
c) The absolute relative true error, , would be
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Solution (cont)
Table 1 gives the values obtained using multiple segment Trapezoidal rule for:
n Value Et
1 11868 -807 7.296 ---
2 11266 -205 1.853 5.343
3 11153 -91.4 0.8265 1.019
4 11113 -51.5 0.4655 0.3594
5 11094 -33.0 0.2981 0.1669
6 11084 -22.9 0.2070 0.09082
7 11078 -16.8 0.1521 0.05482
8 11074 -12.9 0.1165 0.03560
Table 1: Multiple Segment Trapezoidal Rule Values
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Example 3
Use Multiple Segment Trapezoidal Rule to find the area under the curve
from to .
Using two segments, we get and
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Solution
Then:
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Solution (cont)
So what is the true value of this integral?
Making the absolute relative true error:
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Solution (cont)
n Approximate Value
1 0.681 245.91 99.724%
2 50.535 196.05 79.505%
4 170.61 75.978 30.812%
8 227.04 19.546 7.927%
16 241.70 4.887 1.982%
32 245.37 1.222 0.495%
64 246.28 0.305 0.124%
Table 2: Values obtained using Multiple Segment Trapezoidal Rule for:
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Error in Multiple Segment Trapezoidal Rule
The true error for a single segment Trapezoidal rule is given by:
where is some point in
What is the error, then in the multiple segment Trapezoidal rule? It will be simply the sum of the errors from each segment, where the error in each segment is that of the single segment Trapezoidal rule.
The error in each segment is
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Error in Multiple Segment Trapezoidal Rule
Similarly:
It then follows that:
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Error in Multiple Segment Trapezoidal Rule
Hence the total error in multiple segment Trapezoidal rule is
The term is an approximate average value of the
.
Hence:
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Error in Multiple Segment Trapezoidal Rule
Below is the table for the integral
as a function of the number of segments. You can visualize that as the number of segments are doubled, the true error gets approximately quartered.
n Value
2 11266 -205 1.854 5.343
4 11113 -51.5 0.4655 0.3594
8 11074 -12.9 0.1165 0.03560
16 11065 -3.22 0.02913 0.00401
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Integration
Topic: Simpson’s 1/3rd Rule
Major: General Engineering
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Basis of Simpson’s 1/3rd RuleTrapezoidal rule was based on approximating the integrand by a first
order polynomial, and then integrating the polynomial in the interval of
integration. Simpson’s 1/3rd rule is an extension of Trapezoidal rule
where the integrand is approximated by a second order polynomial.
Hence
Where is a second order polynomial.
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Basis of Simpson’s 1/3rd Rule
Choose
and
as the three points of the function to evaluate a0, a1 and a2.
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Basis of Simpson’s 1/3rd Rule
Solving the previous equations for a0, a1 and a2 give
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Basis of Simpson’s 1/3rd Rule
Then
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Basis of Simpson’s 1/3rd Rule
Substituting values of a0, a1, a 2 give
Since for Simpson’s 1/3rd Rule, the interval [a, b] is broken
into 2 segments, the segment width
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Basis of Simpson’s 1/3rd Rule
Hence
Because the above form has 1/3 in its formula, it is called Simpson’s 1/3rd Rule.
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Example 1
a) Use Simpson’s 1/3rd Rule to find the approximate value of x
The distance covered by a rocket from t=8 to t=30 is given by
b) Find the true error,
c) Find the absolute relative true error,
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Solution
a)
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Solution (cont)
b) The exact value of the above integral is
True Error
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Solution (cont)
a)c) Absolute relative true error,
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Multiple Segment Simpson’s 1/3rd Rule
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Multiple Segment Simpson’s 1/3rd Rule
Just like in multiple segment Trapezoidal Rule, one can subdivide the interval
[a, b] into n segments and apply Simpson’s 1/3rd Rule repeatedly over
every two segments. Note that n needs to be even. Divide interval
[a, b] into equal segments, hence the segment width
where
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Multiple Segment Simpson’s 1/3rd Rule
.
.
Apply Simpson’s 1/3rd Rule over each interval,
f(x)
. . .
x0 x2 xn-2 xn
x
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Multiple Segment Simpson’s 1/3rd Rule
Since
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Multiple Segment Simpson’s 1/3rd Rule
Then
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Multiple Segment Simpson’s 1/3rd Rule
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Example 2 Use 4-segment Simpson’s 1/3rd Rule to approximate the distance
covered by a rocket from t= 8 to t=30 as given by
a) Use four segment Simpson’s 1/3rd Rule to find the approximate value of x.
b) Find the true error, for part (a).c) Find the absolute relative true error, for part (a).
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SolutionUsing n segment Simpson’s 1/3rd Rule,
So
a)
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Solution (cont.)
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Solution (cont.)
cont.
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Solution (cont.)
In this case, the true error isb)
The absolute relative true errorc)
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Solution (cont.)
Table 1: Values of Simpson’s 1/3rd Rule for Example 2 with multiple segments
n Approximate Value Et |Єt |
246810
11065.7211061.6411061.4011061.3511061.34
4.380.300.060.010.00
0.0396%0.0027%0.0005%0.0001%0.0000%
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Error in the Multiple Segment Simpson’s 1/3rd Rule
The true error in a single application of Simpson’s 1/3rd Rule is given as
In Multiple Segment Simpson’s 1/3rd Rule, the error is the sum of the errors
in each application of Simpson’s 1/3rd Rule. The error in n segment Simpson’s
1/3rd Rule is given by
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Error in the Multiple Segment Simpson’s 1/3rd Rule
.
.
.
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Error in the Multiple Segment Simpson’s 1/3rd Rule
Hence, the total error in Multiple Segment Simpson’s 1/3rd Rule is
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Error in the Multiple Segment Simpson’s 1/3rd Rule
The term is an approximate average value of
Hence
where
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Integration
Topic: Romberg Rule
Major: General Engineering
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What is The Romberg Rule?
Romberg Integration is an extrapolation formula of the Trapezoidal Rule for integration. It provides a better approximation of the integral by reducing the True Error.
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Error in Multiple Segment Trapezoidal Rule
The true error in a multiple segment Trapezoidal
Rule with n segments for an integral
Is given by
where for each i, is a point somewhere in the domain , .
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Error in Multiple Segment Trapezoidal Rule
The term can be viewed as an
approximate average value of in .
This leads us to say that the true error, Et
previously defined can be approximated as
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Error in Multiple Segment Trapezoidal Rule
Table 1 shows the results obtained for the integral using multiple segment Trapezoidal rule for
n Value Et
1 11868 807 7.296 ---
2 11266 205 1.854 5.343
3 11153 91.4 0.8265 1.019
4 11113 51.5 0.4655 0.3594
5 11094 33.0 0.2981 0.1669
6 11084 22.9 0.2070 0.09082
7 11078 16.8 0.1521 0.05482
8 11074 12.9 0.1165 0.03560
Table 1: Multiple Segment Trapezoidal Rule Values
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Error in Multiple Segment Trapezoidal Rule
The true error gets approximately quartered as the number of segments is doubled. This information is used to get a better approximation of the integral, and is the basis of Richardson’s extrapolation.
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Richardson’s Extrapolation for Trapezoidal Rule
The true error, in the n-segment Trapezoidal rule is estimated as
where C is an approximate constant of proportionality. Since
Where TV = true value and = approx. value
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Richardson’s Extrapolation for Trapezoidal Rule
From the previous development, it can be shown that
when the segment size is doubled and that
which is Richardson’s Extrapolation.
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Example 1
The vertical distance covered by a rocket from 8 to 30 seconds is given by
a) Use Richardson’s rule to find the distance covered. Use the 2-segment and 4-segment Trapezoidal rule results given in Table 1.b) Find the true error, Et for part (a).c) Find the absolute relative true error, for part (a).
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Solution
a)
Using Richardson’s extrapolation formula for Trapezoidal rule
and choosing n=2,
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Solution (cont.)
b) The exact value of the above integral is
Hence
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Solution (cont.)
.
c) The absolute relative true error would then be
Table 2 shows the Richardson’s extrapolation results using 1, 2, 4, 8 segments. Results are compared with those of Trapezoidal rule.
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.
Solution (cont.)Table 2: The values obtained using Richardson’s extrapolation formula for Trapezoidal rule for
n Trapezoidal Rule
for Trapezoidal Rule
Richardson’s Extrapolation
for Richardson’s Extrapolation
1248
11868112661111311074
7.2961.8540.46550.1165
--110651106211061
--0.036160.0090410.0000
Table 2: Richardson’s Extrapolation Values
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Romberg Integration
Romberg integration is same as Richardson’s extrapolation formula as given previously. However, Romberg used a recursive algorithm for the extrapolation. Recall
This can alternately be written as
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Note that the variable TV is replaced by as the value obtained using Richardson’s extrapolation formula. Note also that the sign is replaced by = sign.
Romberg Integration
Hence the estimate of the true value now is
Where Ch4 is an approximation of the true error.
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Romberg Integration
Determine another integral value with further halving the step size (doubling the number of segments),
It follows from the two previous expressions that the true value TV can be written as
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Romberg Integration
The index k represents the order of extrapolation. k=1 represents the values obtained from the regular Trapezoidal rule, k=2 represents values obtained using the true estimate as O(h2). The index j represents the more and less accurate estimate of the integral.
A general expression for Romberg integration can be written as
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Example 2
The vertical distance covered by a rocket from
to seconds is given by
Use Romberg’s rule to find the distance covered. Use the 1, 2, 4, and 8-segment Trapezoidal rule results as given in the Table 1.
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Solution
From Table 1, the needed values from original Trapezoidal rule are
where the above four values correspond to using 1, 2, 4 and 8 segment Trapezoidal rule, respectively.
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Solution (cont.)
To get the first order extrapolation values,
Similarly,
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Solution (cont.)
For the second order extrapolation values,
Similarly,
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Solution (cont.)
For the third order extrapolation values,
Table 3 shows these increased correct values in a tree graph.
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Solution (cont.)
11868
1126
11113
11074
11065
11062
11061
11062
11061
11061
1-segment
2-segment
4-segment
8-segment
First Order Second Order Third Order
Table 3: Improved estimates of the integral value using Romberg Integration
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Integration
Topic: Gauss Quadrature Rule of Integration
Major: General Engineering
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Two-Point Gaussian Quadrature Rule
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Basis of the Gaussian Quadrature Rule
Previously, the Trapezoidal Rule was developed by the method
of undetermined coefficients. The result of that development is
summarized below.
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Basis of the Gaussian Quadrature Rule
The two-point Gauss Quadrature Rule is an extension of the Trapezoidal Rule approximation where the arguments of the function are not predetermined as a and b but as unknownsx1 and x2. In the two-point Gauss Quadrature Rule, the integral is approximated as
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Basis of the Gaussian Quadrature Rule
The four unknowns x1, x2, c1 and c2 are found by assuming that the formula gives exact results for integrating a general third order polynomial,
Hence
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Basis of the Gaussian Quadrature Rule
It follows that
Equating Equations the two previous two expressions yield
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Basis of the Gaussian Quadrature Rule
Since the constants a0, a1, a2, a3 are arbitrary
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Basis of Gauss Quadrature
The previous four simultaneous nonlinear Equations have only one acceptable solution,
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Basis of Gauss Quadrature
Hence Two-Point Gaussian Quadrature Rule
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Higher Point Gaussian Quadrature Formulas
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Higher Point Gaussian Quadrature Formulas
is called the three-point Gauss Quadrature Rule. The coefficients c1, c2, and c3, and the functional arguments x1, x2, and x3
are calculated by assuming the formula gives exact expressions for
General n-point rules would approximate the integral
integrating a fifth order polynomial
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Arguments and Weighing Factors for n-point Gauss Quadrature
Formulas
In handbooks, coefficients and
Gauss Quadrature Rule are
as shown in Table 1.
Points WeightingFactors
FunctionArguments
2 c1 = 1.000000000c2 = 1.000000000
x1 = -0.577350269x2 = 0.577350269
3 c1 = 0.555555556c2 = 0.888888889c3 = 0.555555556
x1 = -0.774596669x2 = 0.000000000x3 = 0.774596669
4 c1 = 0.347854845c2 = 0.652145155c3 = 0.652145155c4 = 0.347854845
x1 = -0.861136312x2 = -0.339981044x3 = 0.339981044x4 = 0.861136312
arguments given for n-point
given for integrals
Table 1: Weighting factors c and function arguments x used in Gauss Quadrature Formulas.
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Arguments and Weighing Factors for n-point Gauss Quadrature
Formulas
Points WeightingFactors
FunctionArguments
5 c1 = 0.236926885c2 = 0.478628670c3 = 0.568888889c4 = 0.478628670c5 = 0.236926885
x1 = -0.906179846x2 = -0.538469310x3 = 0.000000000x4 = 0.538469310x5 = 0.906179846
6 c1 = 0.171324492c2 = 0.360761573c3 = 0.467913935c4 = 0.467913935c5 = 0.360761573c6 = 0.171324492
x1 = -0.932469514x2 = -0.661209386x3 = -0.2386191860x4 = 0.2386191860x5 = 0.661209386x6 = 0.932469514
Table 1 (cont.) : Weighting factors c and function arguments x used in Gauss Quadrature Formulas.
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Arguments and Weighing Factors for n-point Gauss Quadrature
Formulas
So if the table is given for integrals, how does one solve
? The answer lies in that any integral with limits of
can be converted into an integral with limits Let
If then
If thenSuch that:
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Arguments and Weighing Factors for n-point Gauss Quadrature
FormulasThen Hence
Substituting our values of x, and dx into the integral gives us
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Example 1
For an integral derive the one-point Gaussian Quadrature
Rule.
Solution
The one-point Gaussian Quadrature Rule is
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Solution
Assuming the formula gives exact values for integrals
and
Since the other equation becomes
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Solution (cont.)
Therefore, one-point Gauss Quadrature Rule can be expressed as
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Example 2
Use two-point Gauss Quadrature Rule to approximate the distance
covered by a rocket from t=8 to t=30 as given by
Find the true error, for part (a).
Also, find the absolute relative true error, for part (a).
a)
b)
c)
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Solution
First, change the limits of integration from [8,30] to [-1,1]
by previous relations as follows
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Solution (cont)
.
Next, get weighting factors and function argument values from Table 1
for the two point rule,.
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Solution (cont.)
Now we can use the Gauss Quadrature formula
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Solution (cont)
since
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Solution (cont)
The absolute relative true error, , is (Exact value = 11061.34m) c)
The true error, , isb)