Introduction

Outline
Richardson Extrapolation
Romberg Integration
Complete Romberg Integration
Table
Work on Homework Problems
Homework due Tuesday 11/18
Chapra: 19.2, 19.5, 19.7,
19.21, 20.1, 20.17

Richardson Extrapolation

Numerical integration of functions is not limited by the number of

data points
Can generate as many data points (and segments) as necessary to
achieve acceptable accuracy
Need efficient computational methods for calculation

Richardson extrapolation combines two numerical integral estimates

to produce a third more accurate value

I I h E h

I h1 E h1 I h2 E h2

For composite trapezoid rule: E b a h2 f

12

Calculate ratio of errors to eliminate 2nd derivative term

Richardson Extrapolation

I I h2

I h I h
1
2
2
h1 h2 1

Two integrals with error O(h2) have been combined to give error
O(h4)

For the case where h2 = h1/2

4
1
I I h2 I h1
3
3

Romberg Integration

Successive halving of step size can be used to compute more

accurate results

Romberg Integration

Weighting changes at each step

Ij,k

4k1Ij1,k1 Ij,k1
4k1 1

j corresponds to more (j+1) and less (j) accurate estimates

k corresponds to level of integration (k = 1 is original trapezoid rule)
j=1
j=2
j=1
j=2
j=3
j=1
j=2
j=3
j=4

k=1

k=2

k=3

k=4

Romberg Integration: Example

Integrate f(x) = cos(x) + ex from x = 0 to x = 1

j

# segments

O(h2)

O(h4)

O(h6)

O(h8)

k=1

k=2

k=3

k=4

2
2
Trapezoid
rule
with 1 segment: I b a f x b f x a

3

Romberg Integration: Example

Integrate f(x) = cos(x) + ex from x = 0 to x = 1

j

# segments

O(h2)

O(h4)

O(h6)

O(h8)

k=1

k=2

k=3

k=4

2
2
Trapezoid
rule
with 2 segments: I b a

3

n1

f x 0 f xi f xn
i1

2n

Romberg Integration: Example

Integrate f(x) = cos(x) + ex from x = 0 to x = 1

j

# segments

2
2
Romberg
Integration:
3

O(h2)

O(h4)

O(h6)

O(h8)

k=1

k=2

k=3

k=4

Ij,k

4k1Ij1,k1 Ij,k1
4k1 1

Romberg Integration: Example

Integrate f(x) = cos(x) + ex from x = 0 to x = 1

j

# segments

2
2
Romberg
Integration:
3

O(h2)

O(h4)

O(h6)

O(h8)

k=1

k=2

k=3

k=4

Ij,k

4k1Ij1,k1 Ij,k1
4k1 1

Romberg Integration: Example

1
2

Composite
Romberg O(h4) Romberg O(h6) Romberg O(h8)
Trapezoid Integral
k =1
k =2
k =3
k =4
1
2.6293
2.5606
2
2.5778

1
2
3

1
2
4

#Segments

2.6293
2.5778
2.5643

2.5606
2.5598

2.5598

Upper Limit (b)

Lower Limit (a)
Integration Interval (b-a)

1
0
1