 Error Estimation vii) Error: max f ( x)  S ( x )  5M * max ( x j 1  x j ) 4 (where max f ( 4)

( x)  M )
• ea  p  p * a  x b 384 0  j  n 1 a  x b

p  p*
• er 
p

 Fixed Point Iteration

• g ( x)  x
• g ' ( x)  k  1
• p n  g  p n 1  n 1
 Newton Method
• An efficient method belonging to FP Iteration
f ( x)
• g ( x)  x 
f ' ( x)
• g ' ( p )  0 (slope is 0 at the root g ( x )  x )
• f ' ( x)  0 (otherwise, Newton Method is undefined)

• f  pn 1 
p n  p n1 
f '  pn 1 

 Cubic Spline Interpolation

• Piecewise Linear Approximation
i) Easy
ii) No assurance of differentiability
iii) No assurance of smoothness
• Piecewise Quadratic Approximation
i) Continuously differentiable on the interval
ii) Smooth
iii) Can’t satisfy endpoint conditions
• Piecewise Cubic Approximation
i) Also called Cubic Spline Interpolation
ii) Continuously 1st & 2nd differentiable on the interval
iii) Smooth
iv) Meet Endpoint Conditions as:
(1) Free Boundary: S " ( x 0 )  S " ( x n )  0
(2) Clamped Boundary: S ' ( x 0 )  f ' ( x n ) & S ' ( x n )  f ' ( x n )
v) Form:
S j ( x)  a j  b j  x  x j   c j  x  x j   d j  x  x j 
2 3

vi) Rationale
(1) S j-1 ( x j )  S j ( x j )  f ( x j ) (give 2 equations)
(2) S j-1 ' ( x j )  S j ' ( x j ) (give 1 equation)
(3) S j-1 " ( x j )  S j " ( x j ) (give 1 equation)
(4) Boundary Conditions (give 2 equations)
 h  (b  a ) h 2
b n 1
i) Trapezoidal Rule  ba
 Numerical Differentiation  f ( x)dx  
2
f ( a )  2  f ( x j )  f (b ) 
12
f " ( ) h 


n 
a j 1 
• 1st Derivative

i) Forward-Difference Formula: f ' ( x0 )  f ( x0  h)  f ( x0 )  h f " ( ( x0 )) 

h 
ba
h 2 b
h m1 m  (b  a)h ( 4)
4

ii) Simpson’s
 f ( x)dx  3  f (a)  2 f ( x 2j )  4 f ( x2 j 1 )  f (b) 
180
f ( ) 
n
2m
ii) Backward-Difference Formula: f ' ( x0 )  f ( x0 )  f ( x0  h)  h f " ( ( x0 )) a j 1 j 1  m 
h 2  2
b m
(b  a ) h 2 ba 
iii) 3P Forward: f ' ( x0 )   3 f ( x0 )  4 f ( x0  h)  f ( x0  2h)  h f (3) ( 0 ) 
2
iii) Midpoint Rule  f ( x)dx  2h f ( x2 j )  f " ( ) h  
2h 3 a j 0 6  2m 2

iv) 3P Midpoint: f ' ( x0 )  f ( x0  h)  f ( x0  h)  h f ( 3) ( 0 )

2

2h 6

v) 5P Forward: f ' ( x0 )   25 f ( x0 )  48 f ( x0  h)  36 f ( x0  2h)  16 f ( x0  3h)  3 f ( x0  4h)  h f (5) ( 0 )

4

12h 5

vi) 5P Midpoint: f ' ( x0 )  f ( x0  2h)  8 f ( x0  h)  8 f ( x0  h)  f ( x0  2h)  h f (5) ( 0 )

4

12h 30
nd
• 2 Derivative:
f ( x0  h)  2 f ( x0 )  f ( x0  2 h) h 2
f " ( x0 )   f ( 4 )

h 2 12

 Numerical Integration

• Simple Closed Newton-Cotes Formulas  h  b  a 

 n 
x1 3
h
i) n=1: Trapezoidal Rule
 f ( x ) dx   f ( x0 )  f ( x1 )  h f " ( )
x0
2 12

x2 5
h
ii) n=2: Simpson’s Rule
 f ( x)dx   f ( x0 )  4 f ( x1 )  f ( x2 )  h f ( 4) ( )
x0
3 90

x3 5
3h
iii) n=3: Simpson’s 3 Rule
 f ( x)dx   f ( x0 )  3 f ( x1 )  3 f ( x2 )  f ( x3 )  3h f (4) ( )
8 x0
8 80

• Simple Open Newton-Cotes Formulas  h  b  a 

 n 2
x1
i) n=0: Midpoint Rule h3

x1
f ( x ) dx  2hf ( x0 ) 
3
f " ( )

x2 3
3h
ii) n=1: xx Rule
 f ( x) dx   f ( x0 )  f ( x1 )  3h f " ( )
x1
2 4

• Composite
 b n
• M  N 1 ( h)  K 1 h 2  K 2 h 4  K 3 h 6  ...
 Gaussian Quadrature  f ( x)dx   ci f ( xi )
i 1

a
h
b
 4 N 1 ( )  N 1 ( h)
• n  2:  f ( x)dx  f  0.5773502692  f   0.5773502692  N 2 ( h) 
2
3
a

b
 h
16 N 2 ( )  N 2 (h)
• n  3:  f ( x)dx  0.555556 f  0.7745966692  0.88889 f  0  0.555556 f   0.7745966692
a
i) Step of h 
  N 3 ( h)  2
b
2  15
h
• n  4:  f ( x)dx  0.347855 f  0.8611363116   0.652145 f  0.3399810436   4 j 1 N j 1 ( )  N j 1 (h)
a  N ( h)  2
 j j 1
4 1
 0.347855 f   0.8611363116  0.652145 f   0.3399810436

b 
• n  5:  f ( x)dx  0.236927 f  0.9061798459  0.47863 f  0.5384693101  0.568889 f  0

a
h
 0.236927 f   0.9061798459  0.47863 f   0.5384693101  16 N 1 ( )  N 1 (h)
4
 N 2 ( h) 
  b  a  t  (b  a)  b  a 
b 1
 15
• Transformation of Boundary:  f ( x)dx   f  2  2 dt  h
a 1 256 N 2 ( )  N 2 (h)
ii) Step of h  4
  N 3 ( h) 
4  255
 Richardson’s Extrapolation   h
16 N j 1 ( )  N j 1 (h)
j 1

• M  N1 (h)  K1h  K 2 h 2  K 3 h 3  ...  N ( h)  4

 j 16 j 1  1
 h 
2 N1 ( )  N 1 ( h ) 
 2
 N 2 ( h) 
 1
 h  Lipschitz Condition: A function f (t , y ) is said satisfy a Lipschitz condition in the variable y on a set
4 N 2 ( )  N 2 ( h)
i) Step of h  2
  N 3 ( h)  D  R 2 if a constant L  0 exists with
2  3
h f (t , y1 )  f (t , y 2 )  L y1  y 2
 2 j 1 N j 1 ( )  N j 1 (h)
 N ( h)  2 wherever (t , y1 ), (t , y 2 )  D . The constant L is called a Lipschitz constant for f
 j j 1
2 1  Suppose f (t , y ) is defined on a convex set D  R 2 . If a constant L  0 exists with


f , for all (t , y )  D ,
(t , y )  L
y
 h
 4 N 1 ( )  N 1 ( h) then f satisfies a Lipschitz condition on D in the variable y with Lipschitz constant L
4
 N 2 ( h) 
 3
 h
16 N 2 ( )  N 2 (h)
ii) Step of h  4
  N 3 ( h) 
4  15
  h
4 N j 1 ( )  N j 1 (h)
j 1
 N ( h)  4
 j 4 j 1  1


 Higher-Order Taylor Method
 1 n  n n f 
     t  t 0   y  y 0   t 0 , y0  
n j j
• dy n j
 f (t , y ), a  t  b, y (a )    n! j 0  j  t y j

dt
•
wi 1  wi  hT ( n ) (t i , wi )  1 n 1  n  1  n 1 f 
  
 
  t  t  n 1 j
 y  y  j
  ,   
  n  1! j 0  j 
0 0
t n1 j y j 
hn
• Local Truncation Error  O(h n )  f ( n)
i , y ( i ) 
( n  1)!
• Order 1 (n=1: Euler’s Method)
i)
wi 1  wi  hT (1) (t i , wi )

 wi  h f (t i , wi )
h1 h
ii) Local Truncation Error  O(h1 )  f '   i , y ( i )   f '   i , y ( i ) 
(1  1)! 2
• Order 2
i)
wi 1  wi  hT ( 2 ) (t i , wi )

 h 
 wi  h  f (t i , wi )  f ' (t i , wi ) 
 2 
ii) Local Truncation Error
h2 h2
 O(h 2 )  f " i , y ( i )   f " i , y ( i ) 
( 2  1)! 6
• Order 3
i)
wi 1  wi  hT (3) (t i , wi )
 h h2 
 wi  h f (t i , wi )  f ' (ti , wi )  f " (t i , wi )
 2 6 

h3 h3
ii) Local Truncation Error  O( h 3 )  f (3)
i , y ( i )   f (3)
i , y ( i ) 
(3  1)! 24
 Taylor’s Expansion of 2 variables
• f  t , y   Pn  t , y   Rn  t , y 

0 f  t 0 , y0    t  t 0  f
 t 0 , y0    y  y0  f  t 0 , y0  

  t  t 0  
 0!  1! t 1! y 

  t  t0  2  2 f 2 t  t 0  y  y0   2 f  y  y0  2  2 f  t , y  
  t 0 , y 0    t 0 , y 0   0 0 
 2! t 2 2! ty 2! y 2 

  t  t0  3  3 f 3 t  t 0   y  y0   3 f
2
3 t  t 0  y  y 0   3 f
2
 y  y0  3  3 f  t , y  
  t 0 , y 0    t 0 , y 0    t 0 , y 0   0 0 
 3! t 3 3! t 2 y 3! ty 2 3! y 3 


 Runge-Kutta Methods
 1
• Taylor Method Order 2  a1  4
 3
wi 1  wi  hT ( 2 ) (t i , wi )  O(h 2 )  a2 
 4  w  w  h  f (t , w )  3 f (t  2h , w  2h f (t , w

4
i 1
 h  h2 2h i

i i i
3
i
3
i
 wi  h  f (t i , wi )  f ' (t i , wi )   f "  i , y ( i )   2 
 2  6  3
  2h
 h df  h2
 wi  h  f (t i , wi )  * (t , y (t )) (t , y ( t )) ( ti , wi )   f "   i , y (

2
i ) 3
 2 dt  6
 h  f f •
dy  h2
 wi  h  f (t i , wi )  * (t , y (t ))  (t , y (t )) *    f "   i , y ( i ) 
2  
( t , y ( t ))( ti , wi ) ( t , y ( t )) ( ti , wi )
  t y dt  6
 h  f f  h2
 wi  h  f (t i , wi )  * (t , y (t ))  (t , y (t )) * f (t i , wi )    f "   i , y ( i ) 
2  
( t , y ( t )) ( ti , wi ) ( t , y ( t )) ( ti , wi )
  t y  6
• Runge-Kutta Manipulation I
i) Use a f  t   , y    to replace f (ti , wi )  h f ' (ti , wi ) of TM Order 2
1 1 1
2
ii) Taylor Polynomial of Degree 1 about  t , y  :
f
a1 f  t  1 , y  1   a1 f  t , y   a11  t , y   a11 f  t , y   a1R1 f  t  1 , y  1 
t y y

iii)
h h  f f 
f (ti , wi )  f ' (ti , wi )  f (ti , wi )  *  (t , y (t )) ( t , y ( t ))( ti , wi )  (t , y (t )) * f (ti , wi ) ( t , y ( t ))( ti , wi ) 
2 2  t y 
iv) Midpoint Method:

 a1  1

 h  h h  h2

 1   wi 1  wi  hf t i  , wi  f (t i , w )
i   f "   i , y ( i ) 
 2  2 2  6
 1  h f  t , y 

 2
• Runge-Kutta Manipulation II
i) Use a f  t , y   a f  t   , y   f  t , y   to replace f (ti , wi )  h f ' (ti , wi ) of TM Order 2
1 2 2 2
2
ii) M-Euler Method:
 1
 a1 
2

a 1 h h2
 2   wi 1  wi   f (ti , wi )  f (ti 1 , wi  hf (ti , wi ))  f "   i , y ( i ) 
 2 2 6
h
 2
 2
 h
iii) Heun’s Method: