ME 361-Integration

ME – 361 NUMERICAL METHODS FOR ENGINEERS
Numerical Integration
Given a complicated f(x) or a set of tabulated values, xi’s and corresponding f(xi)’s:
b
Question: For a given range, [a,b]  f (x) dx = ?
a
Answer: Replace f (x) or the tabulated data with a simple function g(x) and
operate on g(x), instead
b b
f (x)  g (x) ,  f (x) dx
a
  g(x) dx
a
Prof. Dr. Faruk Arınç Fall 2020

x i+1 x i+1
 f(x) dx
xi
  P (x) dx
xi
1
h
 h f(x i ) + f(x i+1 ) - f(x i ) 
2
h
 f(x i ) + f(x i+1 ) 
2
h
 f i + f i+1 
2
0
Trapezoidal Rule
Δx = h
h
 f 0  2 f1  2 f 2  ...  2 f n-1  f n 
xn
x
0
f (x) d x 
2
Second-degree
Polynomials, P2(x) x2 x2
 f(x) dx
x0
  P (x) dx
x0
2
s (s - 1) 2
P2 (x) = f0 + s Δf0 + Δ f0
2!
x - x0
s=
h
Simpson's One-third Rule
h
f 0  4 f1  2 f 2  ...  2 f n-2  4 f n-1  f n 
xn

x0
f (x) d x 
3
Newton - Cotes Formulae
Trapezoidal Rule (set of first-degree polynomials)
h - (x n - x 0 )3 ' '
 f  2 f1  2 f 2  ...  2 f n-1  f n 
xn
x 0
f (x) d x 
2 0
E trap 
12 n 2
f ( )
Simpson's One-third Rule (set of second-degree polynomials)
f (x) d x  f 0  4 f1  2 f 2  ...  2 f n -2  4 f n -1  f n 
xn h - (x n - x 0 )5 (4)
x0 3
E1/3 
180 n 4 f ( )
Simpson's Three-eights Rule (set of third-degree polynomials)
3h
 f0  3 f1  3 f 2  2 f3  ...  2 f n-3  3 f n-2  3 f n-1  f n 
xn
x 0
f (x) d x 
8

Thomas Simpson FRS
Fellow of the Royal Society
1710 - 1761

Difference Table for f (x) = e-x
x f (x) Δf Δ2 f Δ3 f Δ4 f
0 1
- 0.632120559
1 0.367879441 0.399576401
- 0.232544158 - 0.252580458
2 0.135335283 0.146995943 0.1596613
- 0.085548215 - 0.092919158
3 0.049787068 0.054076785 0.05873611
- 0.031471429 - 0.034183048
4 0.018315639 0.019893738 0.021607807
- 0.011577692 - 0.012575241
5 0.006737947 0.007318497
- 0.004259195
6 0.002478752
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
0 1 2 3 4 5 6
6 6
Example: Find the integral 
0

I = e  x dx = f(x) dx
0
using forward-difference table
I True Relative Error

Exact 0.997521
Trap Rule 1.07929 8%
Simpson’s 1/3 Rule 1.00247 0.5 %
Simpson’s 3/8 Rule 1.00757 1%
Note that Simpson’s 1/3 rule requires odd number of data points (even number of
panels), multiples of three, and that Simpson’s 3/8 rule requires even number of
data points (odd number of panels), multiples of four. Otherwise, use a combination
of the rules.
Richardson’s Extrapolation
Trap-rule formula:
b - a b - a    b - a  ''
3
1 1 n 1
 2 f a  2 f b   f  a + n i   - 12 n 2 f ( )
b
I=  a
f(x) dx 
n  i 1  
Note that the error is roughly proportional to n2, where n is the number of panels.
Let’s denote the true integral by I*. Find I with trap rule using first with n1 number of
panels and then with n2 number of panels
b - a  b - a 
3 3
*
I = I n1 + E n1 = I n1 - f (1 )
''
I* = I n2 + E n2 = I n2 - f '' ( 2 )
12 n12 12 n 22

I* - I n2 = E n2 I* - I n2
 
E n2 * *
E n2
=> *
= => I - I n2 = I - I n1
*
I - I n1 = E n1 I - I n1 E n1 E n1
b - a 
3
- f '' ( 2 ) 2 2
Take the ratio of E n2 12 n 2
 n1  f '' ( 2 )  n1 
= 2
=     
 b - a  '' f (1 )
3 ''
two errors. E n1  n2   n2 
- 2
f (1 )
12 n1
2
 n1 
 
I n2 - I n1
I* - I n2  I* - I n1   Solve for I*: I  I n1 +
*
2
 n2  n 
1-  1
 n2 

3 3
 x  
3
Example: Find the integral I= - 2 x 2 + 7 x - 5 dx = f(x) dx
1 1
2
Exact solution: I = 20
3
Richardson’s extrapolation using n1 = 2 and n2 = 4:
3 - 1 1 1  1 25 
In1 =  f(1) + f(3) + f(2)  =  + + 9  = 22
2 2 2  2 2 
3 - 1 1 1 
In1 = f(1) + f(3) + f(1.5) + f(2) + f(2.5)  = 21
4  2 2 
21 - 22 2
I*  22  2
= 20 Why did we get the exact answer?
2 3
1-  
4

Romberg Integration Table
1  b-a 2N - 1
 b-a 
TN , 1   N-1 , 1
2 
T 
2 N-1

i=1
f a + N
 2
i

, i = 2
4 j - 1 TN+1 , j-1 - TN , j-1

TN , j = j-1
, j = 2, 3, ...
4 -1
where T N , j : Estimate of an integral
n = 2 N panels

1
n
Example: I =  e- x dx N j=1 j=2 j=3
(Panels)
0
Exact I = 0.63212 1 0 0.6839 0.6323 0.6321
2 1 0.6452 0.6321 0.6321

4 2 0.6354 0.6321 0.6321
8 3 0.6329 0.6321
16 4 0.6323
Accuracy T-T  

Monte Carlo Integration
Example:
The error function is defined by

x
2
e
t 2
Erf(x) = dt
 0
The integral must be obtained, numerically. It is given in tabular form for different
values of x, from which Erf(1) = 0.84270
• Use Monte-Carlo method to evaluate the integral. Choose N = 100 and N =

500, and compare with the true value.
• Use Gauss-Legendre quadrature method to evaluate the same integral.

Choose N = 3 and N = 6, and compare with the true.

1.10
1.00
0.90
N =100
0.80
I = 0.73
0.70
0.60
0.50
0.40
0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0

1.10
1.00
0.90
0.80 N = 500
0.70
I = 0.81
0.60
0.50
0.40
0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0

ME – 510 NUMERICAL METHODS FOR ME II
Gauss(ian) Quadrature Methods
b n
Newton-Cotes Formulae: I   f (x) dx  w
i0
i f (x i )
a
The range, (a,b), is divided into equal spacings (panels).

A polynomial of small degree passes through these equally-spaced points.
Why equal spacing?

Does the function has to be a polynomial?
b N b
Error in Newton-Cotes Formulae: I =  f(x) dx = w i 1

i f(x i ) +  g(x) h(x) dx
a a
Exact Approx. How to minimize?

Gauss(ian) Quadrature Methods
b n
I   f (x) dx   wi f (xi )
a i0
n + 1 values of wi There are 2 n + 2 parameters which define a

=>
n + 1 values of f (xi) polynomial of degree 2 n + 1
n b
Choose xi’s such that, the sum  w i f (x i ) gives the integral  f (x) dx
i0 a
exactly when f (x) is already a polynomial of degree 2 n + 1.

Johann Carl Friedrich Gauss
1777 – 1855

Example f(x) = 3 x 2 + 2 x + 1
4 4
Iex =  f(x) dx = 81 Itrap =  f(x) dx = 81.375 with h = 0.5 => 6 panels
1 1
60
50
40
30
20
10
0
Prof. Dr. Faruk Arınç
1.0 1.5 2.0 2.5 3.0 3.5 4.0 Fall 2020
60
50
40
f(x) = 3 x 2 + 2 x + 1
30
f(x2)
20
10
f(x1)
0
1.0 1.5 2.0 2.5 3.0 3.5 4.0
4 N
Iex =  f(x) dx = 81 I= w
i 1
i f(x i ) = Iex N=2 xi = ? wi = ?
1
Nodes and weights

Infinite Set of Orthogonal Functions
Two functions, f(x) and g(x), both real-valued and continous, are called orthogonal
to each other with respect to a third (weighting) function, w(x), in the range [a,b] if
b
I   w(x) f(x) g(x) dx
a
 0
1
Examples:  (1) sin(n  x) sin(m  x) dx
0
 0 when n  m
{sin(n x) , n = 1, 2, ... }
1 Fourier
 (1) cos(n  x) cos(m  x) dx
0
 0 when n  m Series
{cos(n x) , n = 0, 1, ... }
Jean-Baptiste Joseph Fourier
French Mathematician
1768 -1830

Expansion of f(x) in terms of infinite set of orthogonal functions
Suppose the functions, Qn(x), forms an orthogonal set, n -> inf.
f(x) = c 0 Q0 (x) + c1 Q1(x) + c 2 Q 2 (x) + ... + cn Qn (x) + ....
 w(x) Q (x) f(x) dx =

a
n
 w(x) Q (x)  c
a
n 0 Q0 (x) + c1 Q1(x) + c 2 Q2 (x) + ... + c n Qn (x) + ....  dx
=  w(x) Qn (x)  c n Qn (x)  dx

a
 w(x) Q (x) f(x) dx

a
n
cn = b
 w(x) Q (x) dx
2
n
Prof. Dr. Faruk Arınç a Fall 2020
Example
Expand the function f(x) = 1 in Fourier sine series in the range [0,1], i.e., find the
coefficients, an’s, in the orthogonal expansion

f(x) = a
0
n sin(n x)
The orthogonality property:
1
1 2
 sin  n x  dx = - [ cos n x  0 ] =
1
if n is odd
0
n n
=0 if n is even

4 4 4
Solution: f(x) = 1 = sin( x) + sin(2 x) + sin(3 x) + ....
 3 5

Infinite Set of Orthogonal Polynomials
Legendre polynomials, which form an infinite set, have this property when w(x) = 1
and the range [-1,+1]
 (1) P (x) P (x) dx

-1
n m  0 , n  m
1
P0(x) = 1 P1(x) = x P2 (x)  (3 x 2 - 1)
2
1 1 1
P3 (x)  (5 x 3 - 3 x) P4 (x)  (35 x 4 - 30 x 2  3) P5 (x)  (63 x 5 - 70 x 3  15 x)
2 8 8
{Pn (x) , n = 0, 1, ... }

Adrien-Marie Legendre
French mathematician
1752 – 1833

Legendre Polynomials
1
P0(x) = 1 P1(x) = x P2 (x)  (3 x 2 - 1)
2
1 1 1
P3 (x)  (5 x 3 - 3 x) P4 (x)  (35 x 4 - 30 x 2  3) P5 (x)  (63 x 5 - 70 x 3  15 x)
2 8 8
Chebyshev Polynomials
T0(x) = 1 T1(x) = x T2(x) = 2 x2 - 1
T3(x) = 4 x3 - 3 x T4(x) = 8 x4 - 8 x2 + 1 T5(x) = 16 x5 - 20 x3 + 5 x

Pafnuty Lvovich Chebyshev
Russian mathematician
1821 - 1894

Laguerre Polynomials
1 2
L (x)  1
0
0 L (x)  - x  1
0
1
L02 (x)  (x  4 x  2)
2
1 1 4
L (x)  (- x 3  9 x 2  18 x  6)
0
3
L04 (x)  (x  16 x 3  72 x 2  96 x  24)
6 24
Hermite Polynomials
H0(x) = 1 H1(x) = 2 x H2(x) = 4 x2 - 2
H3(x) = 8 x3 - 12 x H4(x) = 16 x4 - 48 x2 + 12 H5(x) = 32 x5 - 160 x3 + 120 x

Admond Nicolas Laguerre
1834 – 1886

Charles Hermite
1822 - 1901

ORTHOGONAL POLYNOMIALS
Name Range of Weighting Integral Property

Orthogonality Function
1
2
Legendre [- 1 , + 1] w(x) = 1  w Pk Pk dx 
-1
2 k 1
1
1 w T k Tk dx   if k  0
Chebyshev [- 1 , + 1] w(x) = -1
2
1-x 1

 w Tk Tk dx 
-1
2
if k  0

 (  k  1)

 
Laguerre [0 , ∞ ] w (x) = xα e-x w L k L k dx 
0
k!

w (x)  e 
-x2
Hermite [- ∞ , +∞ ] w H k H k dx   2 k
k!
-

ME – 510 NUMERICAL METHODS FOR ME II
Gauss - Legendre Quadrature Method
b +1 N
I   f(x) dx =  F(z) dz  w
i1
i F(z i ) , N = 2, 3, ....
a -1
N
I  w
i1
i F(z i ) if F  z i  is a polynomial of degree 2 N -1 or LESS
x=
b - a  z+b+a
, dx =
b-a
dz
Change of Variable:
2 2
zi’s are the roots of the Legendre polynomial, PN(z) = 0
zi’s and wi’s are given in mathematical handbooks as tabulated values

2x-b-a 2
Define a new independent variable: z = dz = dx
b-a b-a
b 1
Find dz and F(z) I =  f(x) dx =  F(z) dz

a 1
Choose N
Find nodes (xi) and weights (wi) from tabulated data
The nodes (xi) are the zeros of Legendre orthogonal polynomials, which are
orthogonal in the range, (-1, +1)
b 1 N
I =  f(x) dx =  F(z) dz  w
i 1
i F(zi )
a 1

Gauss-Legendre Nodes and Weights
N ± zi wi
N ± zi wi
2 0.5773502692 1.0000000000
0.1834346425 0.3626837834
0.0000000000 0.8888888889
3 0.5255324099 0.3137066459
0.7745966692 0.5555555556 8
0.7966664774 0.2223810345
0.3399810436 0.6521451549
4 0.9602898565 0.1012285363
0.8611363116 0.3478548451
0.0000000000 0.3302393550
0.0000000000 0.5688888889
0.3242534234 0.3123470770
5 0.5384693101 0.4786286705
9 0.6133714327 0.2606106964
0.9061798459 0.2369268850
0.8360311073 0.1806481607
0.2386191861 0.4679139346
0.9681602395 0.0812743884
6 0.6612093865 0.3607615730
0.1488743390 0.2955242247
0.9324695142 0.1713244924
0.4333953941 0.2692667193
0.0000000000 0.4179591837
10 0.6794095683 0.2190863625
0.4058451514 0.3818300505
7 0.8650633667 0.1495513492
0.7415311856 0.2797053915
0.9739065285 0.0666713443
0.9491079123 0.1294849662
Examples:
Exact G-L nodes G-L

Integral Comments
Solution & weights Solution
4 2 4 Exact result
81 2 81 Exact result
0.9975212 2 0.8706496 Low accuracy
0.9975212 4 0.9971697 More accurate

Example
6 6 N 2
I =  e dx =  f(x) dx 
-x
w
i 1
i F(zi ) = w 1 F(z1) + w 2 F(z 2 )
0 0
2x-b-a 2x-6 x-3

z= = = => x = 3 (z + 1) dx = 3 dz
b-a 6 3
6 1
I =  e dx = 3
-x
 e -3(z+1)
dz  3 
 e -3(z1 +1)
+ e -3(z 2 +1)

0 1
1
z1,2 =  =  0.5773502692 I  0.8706496
3
Iexact  0.9975212
12.7 % error with only 2 nodes and weights

Error expression for Gauss-Legendre quadrature method:
22 N  1 N !
4
E f (2N)   , - 1   1
(2 N  1) 2 N !
3
where N is the number of nodes and weights used.

GAUSS QUADRATURE METHODS
Name Quadrature Formula
 1 N
Gauss-Legendre  f (x) dx  w
i1
i f (x i )
-1
 1 N
1
Gauss-Chebyshev  2
f (x) dx  w i f (x i )
-1 1-x i1
 N
Gauss-Laguerre e
-x
f (x) dx  w
i1
i f (x i )
0
 N
Gauss-Hermite e
- x2
f (x) dx  w
i1
i f (x i )
-

GAUSS QUADRATURE METHODS
Name Nodes and Weights
N  xi wi
2 0.577350269 1.00000000
0 0.888888889
Gauss-Legendre 3
0.774596669 0.555555556
0.339981043 0.652145155
4
0.861136312 0.347854845
 1 
i-  
Gauss-Chebyshev x i  cos  2  i  1, 2, ... N wi = for all i
 N  N
 
 
N xi wi
0.58578 64376 0.85355 33906

2
3.41421 35624 0.14644 66094
0.41577 45568 0.71109 30099
Gauss-Laguerre 3 2.29428 03603 0.27851 77336
6.28994 50829 0.01038 92565
0.32254 76896 0.60315 41043
1.74576 11012 0.35741 86924
4
4.53662 02969 0.03888 79085
9.39507 09123 0.00053 92947

N  xi wi
2 0.70710 67811 0.88622 69255
0. 1.18163 59006
3
1.22474 48714 0.29540 89752
Gauss-Hermite
0.52464 76233 0.80491 40900
4
1.65068 01239 0.08131 28354
0. 0.94530 87205
5 0.95857 24646 0.39361 93232
2.02018 28705 0.01995 32421


ME 361-Integration

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ME – 361 NUMERICAL METHODS FOR ENGINEERS

Prof. Dr. Faruk Arınç Fall 2020

Simpson's One-third Rule

Newton - Cotes Formulae

Trapezoidal Rule (set of first-degree polynomials)

Simpson's One-third Rule (set of second-degree polynomials)

Simpson's Three-eights Rule (set of third-degree polynomials)

Prof. Dr. Faruk Arınç Fall 2020

Thomas Simpson FRS

Fellow of the Royal Society

Prof. Dr. Faruk Arınç Fall 2020

Difference Table for f (x) = e-x

I True Relative Error

Simpson’s 1/3 Rule 1.00247 0.5 %

Simpson’s 3/8 Rule 1.00757 1%

Prof. Dr. Faruk Arınç Fall 2020

Prof. Dr. Faruk Arınç Fall 2020

Richardson’s extrapolation using n1 = 2 and n2 = 4:

Prof. Dr. Faruk Arınç Fall 2020

Romberg Integration Table

4 j - 1 TN+1 , j-1 - TN , j-1

where T N , j : Estimate of an integral

Prof. Dr. Faruk Arınç Fall 2020

Exact I = 0.63212 1 0 0.6839 0.6323 0.6321

2 1 0.6452 0.6321 0.6321

Prof. Dr. Faruk Arınç Fall 2020

Monte Carlo Integration

The error function is defined by

• Use Monte-Carlo method to evaluate the integral. Choose N = 100 and N =

• Use Gauss-Legendre quadrature method to evaluate the same integral.

Prof. Dr. Faruk Arınç Fall 2020

Prof. Dr. Faruk Arınç Fall 2020

Prof. Dr. Faruk Arınç Fall 2020

Gauss(ian) Quadrature Methods

The range, (a,b), is divided into equal spacings (panels).

Why equal spacing?

Error in Newton-Cotes Formulae: I =  f(x) dx = w i 1

Exact Approx. How to minimize?

Gauss(ian) Quadrature Methods

n + 1 values of wi There are 2 n + 2 parameters which define a

exactly when f (x) is already a polynomial of degree 2 n + 1.

Prof. Dr. Faruk Arınç Fall 2020

Johann Carl Friedrich Gauss

Prof. Dr. Faruk Arınç Fall 2020

Prof. Dr. Faruk Arınç Fall 2020

Infinite Set of Orthogonal Functions

Jean-Baptiste Joseph Fourier

Prof. Dr. Faruk Arınç Fall 2020

Expansion of f(x) in terms of infinite set of orthogonal functions

Suppose the functions, Qn(x), forms an orthogonal set, n -> inf.

f(x) = c 0 Q0 (x) + c1 Q1(x) + c 2 Q 2 (x) + ... + cn Qn (x) + ....

 w(x) Q (x) f(x) dx =

=  w(x) Qn (x)  c n Qn (x)  dx

 w(x) Q (x) f(x) dx

The orthogonality property:

Prof. Dr. Faruk Arınç Fall 2020

Prof. Dr. Faruk Arınç Fall 2020

Infinite Set of Orthogonal Polynomials

 (1) P (x) P (x) dx

{Pn (x) , n = 0, 1, ... }

Prof. Dr. Faruk Arınç Fall 2020

Prof. Dr. Faruk Arınç Fall 2020

T0(x) = 1 T1(x) = x T2(x) = 2 x2 - 1