Chapter 12-b: Integral Calculus - Extra

Ch 12 - Integral Calculus
Chapter 12-b
Integral Calculus - Extra
Isaac Newton
Thomas Simpson
BONUS
Introduction to Numerical
Integration
Numerical Integration
Idea is to do integral in small parts, like the way we presented
integration: a summation.
Numerical methods just try to make it faster and more accurate.
12
10
0
3
11
13
15
Basic Numerical Integration

Idea: Weighted sum of function values to approximate integral
f ( x )dx
f ( xi )
i=0
= c0 f ( x0 ) + c1 f ( x1 ) + LL + cn f ( xn )
f(x)
x0
x1
xn-1
Task: Find appropriate cis (weights) and the xis (nodes).
xn
4

We want to find integration of functions of various forms of the
equation known as the Newton-Cotes integration formulas.
Newton-Cotes formula
Assume the value of f(x) defined on [a,b] is known at equally
spaced points xi (i=0,1,...,n), where x0 =a, and xn =b. Then,
b
f(x)dx
f ( xi )
i =1
where xi =h i + x0, with h (the step size) equal to (xnx0)/n =

(ba)/n. The ci's are called weights. The xi's are called nodes. The
precision of the approximation depends on n.
The nodes can be equally spaced or unequally spaced.

Error analysis
The error of the approximation is the difference between the
value of the integral and the numerical result:
error = = f(x) dx - i ci f(xi)
The errors are frequently approximated using Taylor series for
f(x). The error analysis gives a strict upper bound on the error,
if the derivatives of f are available.
Newton-Cotes Formula
The weights are derived from the Lagrange polynomials L(x).
They depend only on the xi's; not on the function .
Li ( x ) =
( x x 0 )...( x x i 1 )( x x i +1 )...( x x n )
( x i x 0 )...( x i x i 1 )( x i x i +1 )...( x i x n )
Different methods use different polynomials to get the ci's.

Newton-Cotes Closed Formulae -- Use both end points
Trapezoidal Rule : Linear
Simpsons 1/3-Rule : Quadratic
Simpsons 3/8-Rule : Cubic
Booles Rule : Fourth-order
Newton-Cotes Open Formulae -- Use only interior points
midpoint rule
Trapezoid Rule
Straight-line approximation
The trapezoid rule approximates the region under the graph
of the function f(x) as a trapezoid and calculating its area.
f ( x ) dx
f ( xi ) = c0 f ( x0 ) + c1 f ( x1 )
i=0
h
[ f ( x 0 ) + f ( x 1 )]
2
f(x)
Approximate
integral by the
trapezoids area.
L(x)
x0
x1
Trapezoid Rule - Derivation

We use the Lagrange approximation for function f(x) over the
interval (xn-x0) (Lagrange interpolation), given by
f ( x) f ( x0 ) L0 ( x) + f ( x1 ) L1 ( x) + ... + f ( xn ) Ln ( x)
For the case, n=2, with the interval (x1-x0):
L( x) =
let
x x1
x x0
f ( x0 ) +
f ( x1 )
x 0 x1
x1 x 0
a = x 0 , b = x1, =
x = a
x = b
xa
dx
, d =
; h=ba
ba
h
= 0
L ( ) = (1 ) f ( a ) + ( ) f ( b )
=1
9
Then, we integrate to obtain the trapezoid rule
Trapezoid Rule - Derivation

Integrating:
f ( x ) dx
L ( x ) dx = h L ( ) d
0
= f ( a ) h (1 ) d + f (b ) h d
0
= f ( a ) h (
) + f (b ) h
0
2 1
=
0
h
[ f ( a ) + f (b ) ]
2
=> The weights depend only on h!

This approximation may be poor. The approximation error is:
= f(x) dx - i ci f(xi) = -(b a)3/(12) f (),
[a, b].
Thus, if the integrand is convex i.e., positive second
derivative-, the error is negative. That is, the trapezoidal rule
overestimates the true value of the integral.
10
Trapezoid Rule - Example
Evaluate the integral

Exact solution
xe 2 x dx
4
xe
2x
1
x
dx = e 2 x e 2 x
4
2
0
1
1
= e 2 x ( 2 x 1 ) = 5216 . 926477
4
0
Graph
11
Trapezoid Rule - Example

xe 2 x dx
Trapezoidal Rule: Approximation Error

= -(b a)3/(12) f () ( is a number between a and b).
Lets take =2. Then
= -43/12*[2*exp(2*2)+2*exp(2*2)+4*(2)*exp(2*2)] =-3494.282
Trapezoidal Rule
I =
40
[ f ( 0 ) + f ( 4 )] = 2( 0 + 4 e 8 ) = 23847 .66
2
5216 .926 23847 .66
= 357 .12 %
=
5216 .926
xe 2 x dx
12
Simpsons 1/3-Rule (Keplers Rule)

Approximate the function by a parabola
f ( x )dx
f ( xi ) = c0 f ( x0 ) + c1 f ( x1 ) + c2 f ( x2 )
i =0
h
[ f ( x 0 ) + 4 f ( x 1 ) + f ( x 2 )]
3
f(x)
x0
L(x)
x1
x2 13 x
Simpsons 1/3-Rule - Derivation

Use a quadratic Lagrange interpolation:
( x x 0 )( x x 2 )
( x x 1 )( x x 2 )
f ( x0 ) +
f ( x1 )
( x 0 x 1 )( x 0 x 2 )
( x 1 x 0 )( x 1 x 2 )
L( x ) =
+
( x x 0 )( x x 1 )
f ( x2 )
( x 2 x 0 )( x 2 x 1 )
a+b
2
x
x
ba
dx
1
h=
, =
, d =
2
h
h
x
=
x
x
=
x
1 = 0
x = x = 1
2
let
x0 = a , x2 = b, x1 =
L( ) =
( 1 )
2
f ( x0 ) + ( 1 2 ) f ( x 1 ) +
( + 1 )
2
f ( x2 )
14
Simpsons 1/3-Rule - Derivation

Integrate the Lagrange interpolation
h
2
f(x)dx h L ( )d = f(x 0 )
1
( 1 )d
+ f(x 1 )h ( 1 2 )d + f(x 2 )
0
h
2
( + 1 )d
1
h 3
2
3
) + f(x 1 )h (
)
= f(x 0 ) (
2
3
2
3
1
1
1
h 3
2
)
+ f(x 2 ) (
+
2
3
2
1
f(x)dx =
h
[ f(x
3
) + 4f(x
) + f(x
)]
Again, the weights depend only on h!
15
Thomas Simpson (1710 1761, England)
Simpsons 3/8-Rule
Approximate by a cubic polynomial
f ( x )dx c i f ( x i ) = c 0 f(x 0 ) + c 1 f(x 1 ) + c 2 f(x 2 ) + c 3 f(x 3 )

i =0
3h
[ f ( x 0 ) + 3 f ( x 1 ) + 3 f ( x 2 ) + f ( x 3 )]
8
L(x)
x0
f(x)
x1
x2
x3 16 x
Simpsons 3/8-Rule
Lagrange interpolation
L( x ) =
( x x 1 )( x x 2 )( x x 3 )
f ( x0 )
( x 0 x 1 )( x 0 x 2 )( x 0 x 3 )
( x x 0 )( x x 2 )( x x 3 )
f ( x1 )
( x 1 x 0 )( x 1 x 2 )( x 1 x 3 )
( x x 0 )( x x 1 )( x x 3 )
f ( x2 )
( x 2 x 0 )( x 2 x 1 )( x 2 x 3 )
( x x 0 )( x x 1 )( x x 2 )
f ( x3 )
( x 3 x 0 )( x 3 x 1 )( x 3 x 2 )
Integrate to obtain the rule
f(x)dx
L(x)dx ;
h=
b-a
3
3h
[ f ( x 0 ) + 3 f ( x 1 ) + 3 f ( x 2 ) + f ( x 3 )]
8
17
Example: Simpsons Rules
xe 2 x dx
Simpsons 1/3-Rule: Approximation Error

= -(b a)5/(2880) f (4)() ( is a number between a and b).
Since f (4)() >0, the error is negative (overshooting).
Lets take =2.5. Then,
= -45/(2880) [ exp(2*2.5)*[16*(2.5)+32] =-3799.3769
Simpsons 1/3-Rule
I =
4
0
xe 2 xdx
h
3
[f
(0) + 4 f (2 ) + f (4) ]
2
0 + 4 ( 2 e 4 ) + 4 e 8 = 8 2 4 0 .4 1 1
3
5 2 1 6 .9 2 6 8 2 4 0 .4 1 1
=
= 5 7 .9 6 %
5 2 1 6 .9 2 6
=
18
Example: Simpsons Rules

Simpsons 3/8-Rule
I=
xe 2 x dx
xe 2 x dx
3h
4
8
f (0) + 3 f ( ) + 3 f ( ) + f (4)
8
3
3
3(4/3)
[0 + 3(19.18922) + 3(552.33933) + 11923.832 ] = 6819.209
8
5216.926 6819.209
= 30.71%
=
5216.926
=
Simpsons 3/8-Rule: Approximation Error

= -(b a)5/(6480) f (4)() ( is a number between a and b).
19
Midpoint Rule
Newton-Cotes Open Formula
f ( x )dx ( b a ) f ( x m )
= (b a )f(
where [a,b].
a+b
( b a )3
)+
f ( )
2
24
f(x)
The midpoint
rule amounts to
compute the
area of the
rectangle
xm
Note: This rule does not make any use of the end points.
x
20
Two-point Newton-Cotes Open Formula

Approximate by a straight line
f ( x )dx
3
ba
[ f ( x 1 ) + f ( x 2 )] + ( b a ) f ( )
2
108
f(x)
x0
x1
x2
x3 21 x
Three-point Newton-Cotes Open Formula

Approximate by a parabola
ba
[2 f ( x 1 ) f ( x 2 ) + 2 f ( x 3 )]
3
7 ( b a )5
+
f ( )
23040
f ( x )dx
f(x)
x0
x1
x2
x3
x422 x
Better Numerical Integration

Composite integration
Composite Trapezoidal Rule
Composite Simpsons Rule
Richardson Extrapolation
Romberg integration
23
Composite Trapezoid Rule

To improve the Trapezoid Rule, first splits the interval of
integration [a,b] into N smaller, uniform subintervals, and then
applies the trapezoidal rule on each of them.
Two segments
Three segments
11
13
15
Four segments
11
13
15
13
15
Many segments
24
0
3
11
13
15
11

Use the Trapezoid Rule in n intervals. Then, add them together.
f(x)dx =
x1
x0
f(x)dx +
x2
x1
f(x)dx + L L +
xn
xn 1
f(x)dx
h
[ f(x 0 ) + f(x 1 )] + h [ f(x 1 ) + f(x 2 )] + L + h [ f(x n 1 ) + f(x n )]
2
2
2
h
= [ f(x 0 ) + 2 f(x 1 ) + L + 2f(x i ) + L + 2 f ( x n 1 ) + f ( x n )]
2
=
f(x)
h=
ba
n
x0
x1
x2
x3
x425 x

I = xe 2 x dx
0
h
[ f ( 0 ) + f ( 4 )] = 23847.66
= 357.12%
2
h
n = 2 , h = 2 I = [ f ( 0 ) + 2 f ( 2 ) + f ( 4 )] = 12142.23 = 132.75%
2
h
n = 4,h = 1 I = [ f ( 0 ) + 2 f ( 1 ) + 2 f ( 2 )
2
+ 2 f ( 3 ) + f ( 4 )] = 7288.79
= 39.71%
h
n = 8 , h = 0.5 I = [ f ( 0 ) + 2 f ( 0.5 ) + 2 f ( 1 )
2
+ 2 f ( 1.5 ) + 2 f ( 2 ) + 2 f ( 2.5 ) + 2 f ( 3 )
+ 2 f ( 3.5 ) + f ( 4 )] = 5764.76
= 10.50%
h
n = 16 , h = 0.25 I = [ f ( 0 ) + 2 f ( 0.25 ) + 2 f ( 0.5 ) + L
2
+ 2 f ( 3.5 ) + 2 f ( 3.75 ) + f ( 4 )]
= 5355.95
= 2.66%
n = 1,h = 4 I =
26
Composite Trapezoid Rule with Unequal

Segments

I = xe 2 x dx
0
Use the following his: {h1=2, h2=1, h3=0.5, h4=0.5}
I=
f ( x) dx +
f ( x) dx +
3.5
f ( x)dx +
f ( x) dx
3. 5
h1
[ f (0) + f (2)] + h2 [ f (2) + f (3)]
2
2
h
h
+ 3 [ f (3) + f (3.5)] + 4 [ f (3.5) + f ( 4)]
2
2
2
1
0.5 6
= 0 + 2e 4 + 2e 4 + 3e 6 +
3e + 3.5e 7
2
2
2
0.5
+
3.5e 7 + 4e8 = 5971.58
= 14.45%
2
=
] [
27

Piecewise Quadratic approximations
h=
ba
n
f(x)
...
x0 h x1 h x2 h x3 h
x4
xn-2 xn-1
xn28 x

4

I = xe 2 x dx
0
Using n = 2, h = 2
h
I = [ f ( 0 ) + 4 f ( 2 ) + f ( 4 )]
3
2
= 0 + 4( 2 e 4 ) + 4 e 8 = 8240.411 = 57.96%
3
Using n = 4, h = 1
h
[ f ( 0 ) + 4 f ( 1 ) + 2 f ( 2 ) + 4 f ( 3 ) + f ( 4 )]
3
1
= 0 + 4 ( e 2 ) + 2( 2 e 4 ) + 4 ( 3 e 6 ) + 4 e 8
3
= 5670.975 = 8.70%
I=
29
Composite Simpsons Rule with Unequal

Segments
Using h1 = 1.5, h2 = 0.5
I=
I = xe 2 x dx
0
f ( x)dx + f ( x)dx
h1
[ f (0) + 4 f (1.5) + f (3)]
3
h
+ 2 [ f (3) + 4 f (3.5) + f (4)]
3
1.5
0.5 6
=
0 + 4(1.5e 3 ) + 3e 6 +
3e + 4(3.5e 7 ) + 4e 8
3
3
= 5413.23 = 3.76%
]
30
Gaussian Quadratures
Newton-Cotes Formulae
- Nodes: Use evenly-spaced functional values
- Weights: Derived from an approximation required to be equal for
a polynomial of order lower or equal to the degree of the
polynomials used to approximate the function. Given nodes, best!
- Problem: Can explode for large n (Runges phenomenon)
Q: Can we use more efficient weights and nodes? Yes!
- Gaussian quadrature sets the nodes and the weights in such a way
that the approximation is exact when f(.) is a low order polynomial.
Best choice for both, nodes and weights!
31
In fact, Gaussian quadrature is more general than simple integration,
it computes an approximation to the weighted integral:
b
f(x)c(x)dx
ci f ( xi )
i =1
- Select functional values at non-uniformly distributed points to
achieve higher accuracy. The values are not predetermined, but
unknowns to be determined.
- Change of variables => the interval of integration is [-1,1].
- Gauss-Legendre formulae for nodes and weights
- With n nodes, delivers exact answer if f is (2n-1)th-order polynomial,
if f is close to a (2n-1)th-order.
32
The Gauss-Legendre quadrature rule is in general stated as:
1
f(x)dx
f ( xi )
i =1
the ci's are called the weights, the xi's are called the quadrature nodes.
The approximation error term, , is called the truncation error of
integration.
The goal is to get an exact answer if f is a (2n-1)th-order
polynomial. (With n=5, we get an exact answer f is a 9th-order
polynomial).
For Gauss-Legendre quadrature, the nodes are chosen to be zeros
of certain Legendre polynomials. They are not trivial to compute. 33
Gaussian Quadratures Nodes and Weights

1
To get right answer for f(x) = 1
f(x)dx =
1dx = 2 =
1
1
i =1
To get right answer for f(x) = x2
x 2 dx = 2 / 3 =
To get right answer for f(x) = xj
i =1
xdx = 0 = c
To get right answer for f(x) = x
c1
c
i
2
i
i =1
for j=0,...., 2n-1
x j dx =
c
i
j
i
i =1
=>A system of 2n equations in 2n unknowns.
34
Gaussian Quadratures Nodes and Weights

By construction we get right answer for
f(x) = 1 (j=0), f(x) = x (j=1), ...., f(x) = xj 1 (j=2n-1),
=> enough to get the right answer for any polynomial of order 2n-1.
Example: n=2 =>a system of 4 equations and 4 unknowns:
f
= x
=1
1
1
1dx = 2 = c 1 + c 2
= x2
= x
3
xdx = 0 = c 1 x 1 + c 2 x 2
x 2 dx =
2
= c 1 x 12 + c 2 x 22
3
x 3 dx = 0 = c 1 x 13 + c 2 x 23
c 1 = 1
c = 1
2
1
x1 =
3
x2 = 3
35
Change of Interval for Gaussian Quadrature

Coordinate transformation from [a,b] to [-1,1]
This can be done by an affine transformation on t and a change
of variables.
ba
b+a
t =
x+
2
2
ba
dt =
dx
2
x = 1 t = a
x = 1 t = b
t1
1
f (t )dt = f (
1
t2
ba
b+a ba
ba n
x+
)(
)dx
ci f ( xi )
2
2
2
2 i =1
36
Gaussian Quadrature on [-1, 1]

Gauss Quadrature General formulation:
f ( x )dx c i f ( x i ) = c 1 f ( x 1 ) + c 2 f ( x 2 ) + L + c n f ( x n )
i =1
n = 2:
f(x)dx
= c1f(x 1 ) + c 2 f(x 2 )
x1
x2
-1
1
For n=2, we have four unknowns (c1, c2, x1, x2). These are found
by assuming that the formula gives exact results for integrating a
general 3rd order polynomial. It can also be done by choosing (c371,
c2, x1, x2) such that it yields exact integral for f(x) = x0, x1, x2, x3.

1
Case n = 2
f(x)dx = c1f(x 1 ) + c 2 f(x 2 )
Exact integral for f = x0, x1, x2, x3

Four equations for four unknowns
=x
= x2
1dx = 2 = c + c
xdx = 0 = c x + c x
2
x dx = = c x + c x
3
=1
= x3
I=
1
1
1
1
1
1
1 1
2 2
2
1 1
2
2 2
x 3 dx = 0 = c1 x13 + c2 x23
f ( x )dx = f (
1
3
c1 = 1
c 2 = 1
1
x1 =
3
1
x2 =
3
)+ f (
1
3
38

1
Case n = 3 :
-1
f ( x )dx = c1 f ( x1 ) + c 2 f ( x2 ) + c3 f ( x3 )
x1
x2
x3
Now, choose (c1, c2, c3, x1, x2, x3) such that the method yields
exact integral for f(x) = x0, x1, x2, x3,x4, x5. (Again, (c1, c2, c3,
x1, x2, x3) are calculated by assuming the formula gives exact
expressions for integrating a fifth order polynomial).
39

1
f = 1 xdx = 2 = c1 + c2 + c3
1
1
f = x xdx = 0 = c1 x1 + c2 x2 + c3 x3
1
1
f = x 2 x 2 dx =
1
2
= c1 x12 + c2 x22 + c3 x32
3
f = x x 3dx = 0 = c1 x13 + c2 x23 + c3 x33

3
1
1
f = x 4 x 4 dx =
1
2
= c1 x14 + c2 x24 + c3 x34
5
c1 = 5 / 9
c = 8 / 9
2
c3 = 5 / 9
x1 = 3 / 5
x2 = 0
x3 = 3 / 5
f = x 5 x 5 dx = 0 = c1 x15 + c2 x25 + c3 x35

1
40

Approximation formula for n = 3
I=
5
3 8
5
3
f ( ) + f (0) + f ( )
9
5 9
9
5
f ( x)dx =
41
Example (1): Gaussian Quadrature

Evaluate
I =
te 2 t dt = 5216 .926477
Coordinate transformation
t=
I =
ba
b+a
x+
= 2 x + 2 ; dt = 2dx
2
2
te 2 t dt =
( 4 x + 4 ) e 4 x + 4 dx =
f ( x ) dx
Two-point formula (n=2)

4
1
1
4 4 3
4 4+ 3
I = f ( x) dx = f ( ) + f ( ) = (4
)e
+ (4 +
)e
1
3
3
3
3
= 9.167657324 + 3468.376279 = 3477.543936 ( = 33.34%)
1
42

Three-point formula (n=3)
1
5
8
5
f ( 0.6 ) + f (0) + f ( 0.6 )
1
9
9
9
5
8
5
4 0. 6
4
= (4 4 0.6 )e
+ ( 4 ) e + ( 4 + 4 0 . 6 ) e 4 + 0. 6
9
9
9
5
8
5
= (2.221191545) + (218.3926001) + (8589.142689)
9
9
9
= 4967.106689
( = 4.79%)
I=
f ( x)dx =
Four-point formula (n=4)

I=
f ( x)dx = 0.34785[ f (0.861136) + f (0.861136)]

+ 0.652145[ f (0.339981) + f (0.339981)]
= 5197.54375
( = 0.37%)
43

Evaluate
I=
1.64
x2
2
dx = .44949742
Coordinate transformation
t=
I=
ba
b+a
x+
= .82 x + .82 = .82(1 + x); dt = .82dx
2
2
1
2
1.64
t2
2
dt =
.82
2
1
1 [.82 (1+ x )]2
e 2
dx
1
.82
2
f ( x)dx
44
Example: Gaussian Quadrature

Two-point formula (n=2)
1 2
1
1
[.82(1+
.82 1
1 .82 2 [.82(1 3 )]
2
f ( ) + f ( ) =
e
e
+
2
2
3
3
2
= 0.32713267 * (0.94171147 + 0.43323413) = .44978962 ( = 0.065%)
I=
.82
f ( x) dx =
)]2
Three-point formula (n=3)

I =
.82
2
f ( x ) dx =
.82 5
8
5
f ( 0 .6 ) + f ( 0 ) + f ( 0 .6 )
9
9
2 9
1
1
1
2
2
2
.82 5 2 [.82 (1 0.6 )]
8 2 [.82 (1 0 )]
5 2 [.82 (1+ 0.6 )]
e
=
+ e
+ e
9
9
2 9
= .32713267 * (0.5461465 9 + 0.63509351 + 0.19271450 )
= 0.44946544 ( = 0 .007 %)
45
Multidimensional Integrals
So far, we concentrated on one-dimensional integrals. To
compute integrals in multiple dimensions, one approach is to phrase
the multiple integral as repeated one-dimensional integrals.
But, eventually, we run into the so-called curse of dimensionality. Four
or more dimensions are complicated and, often, imprecise.
There are two methods that work well:
1.Monte Carlo: Based on repeated function evaluations, not
repeated integrations using one-dimensional methods.
Popular algorithm: Markov chain Monte Carlo (MCMC), which
include the Metropolis-Hastings algorithm and Gibbs sampling.
2. Sparse grids: Based on a one dimensional quadrature rule, but
uses a recursive combination of univariate results.
46
Q: What's the integral of (1/cabin)d(cabin)?

A: A natural log cabin!
47

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Ch 12 - Integral Calculus

Basic Numerical Integration

Task: Find appropriate cis (weights) and the xis (nodes).

Basic Numerical Integration

where xi =h i + x0, with h (the step size) equal to (xnx0)/n =

Basic Numerical Integration

Different methods use different polynomials to get the ci's.

Trapezoid Rule - Derivation

Then, we integrate to obtain the trapezoid rule

Trapezoid Rule - Derivation

=> The weights depend only on h!

Trapezoid Rule - Example

Evaluate the integral

Trapezoid Rule - Example

Trapezoidal Rule: Approximation Error

Simpsons 1/3-Rule (Keplers Rule)

Simpsons 1/3-Rule - Derivation

Simpsons 1/3-Rule - Derivation

Again, the weights depend only on h!

Thomas Simpson (1710 1761, England)

f ( x )dx c i f ( x i ) = c 0 f(x 0 ) + c 1 f(x 1 ) + c 2 f(x 2 ) + c 3 f(x 3 )

Integrate to obtain the rule

Example: Simpsons Rules

Evaluate the integral

Simpsons 1/3-Rule: Approximation Error

Example: Simpsons Rules

Simpsons 3/8-Rule: Approximation Error

Two-point Newton-Cotes Open Formula

Three-point Newton-Cotes Open Formula

Better Numerical Integration

Composite Trapezoid Rule

Composite Trapezoid Rule

Composite Trapezoid Rule

Composite Trapezoid Rule with Unequal

Evaluate the integral

Composite Simpsons Rule

Composite Simpsons Rule

Evaluate the integral

Composite Simpsons Rule with Unequal

Gaussian Quadratures Nodes and Weights

To get right answer for f(x) = 1

To get right answer for f(x) = x2

To get right answer for f(x) = xj

To get right answer for f(x) = x

for j=0,...., 2n-1

=>A system of 2n equations in 2n unknowns.

Gaussian Quadratures Nodes and Weights

Change of Interval for Gaussian Quadrature

Gaussian Quadrature on [-1, 1]

Gaussian Quadrature on [-1, 1]

f(x)dx = c1f(x 1 ) + c 2 f(x 2 )

Exact integral for f = x0, x1, x2, x3

Gaussian Quadrature on [-1, 1]

Gaussian Quadrature on [-1, 1]

f = x x 3dx = 0 = c1 x13 + c2 x23 + c3 x33

f = x 5 x 5 dx = 0 = c1 x15 + c2 x25 + c3 x35

Gaussian Quadrature on [-1, 1]

Example (1): Gaussian Quadrature

Two-point formula (n=2)

Example (1): Gaussian Quadrature

Four-point formula (n=4)

f ( x)dx = 0.34785[ f (0.861136) + f (0.861136)]

Example (2): Gaussian Quadrature