Numerical Integration

We use numerical integration to find the definite integrals of expressions that look like:
? b
(a big mess)
a
We also resort to numerical integration when an integral has no elementary antiderivative. For
instance, there is no formula for
? x ? 3
cos(t2)dt or e?x2
dx
0 0
Numerical integration yields numbers rather than analytical expressions.
We’ll talk about three techniques for numerical integration: Riemann sums, the trapezoidal rule,
and Simpson’s rule.
1. Riemann Sum
a b
Figure 1: Riemann sum with left endpoints: (y0 + y1 + . . . + yn?1)?x
Here,
xi ? xi?1 = ?x
(or, xi = xi?1 + ?x)
a = x0 < x1 < x2 < . . . < xn = b
y0 = f(x0), y1 = f(x1), . . . yn = f(xn)
1
? ? ? ?
? ?
? ?
? ?
Lecture 24 18.01 Fall 2006
2. Trapezoidal Rule
The trapezoidal rule divides up the area under the function into trapezoids, rather than rectangles.
The area of a trapezoid is the height times the average of the parallel bases:
base 1 + base 2 y3 + y4 Area = height = ?x (See Figure 2)
2 2
y3
y4
?x
Figure 2: Area =
y3 + y4 ?x
2
a b
Figure 3: Trapezoidal rule = sum of areas of trapezoids.
Total Trapezoidal Area = ?x
y0 + y1 + y1 + y2 + y2 + y3 + ... + yn?1 + yn
2 2 2 2
= ?x
y
2
0 + y1 + y2 + ... + yn?1 + y
2
n
2
? ?
? ?
Lecture 24 18.01 Fall 2006
Note: The trapezoidal rule gives a more symmetric treatment of the two ends (a and b) than a
Riemann sum does — the average of left and right Riemann sums.
3. Simpson’s Rule
This approach often yields much more accurate results than the trapezoidal rule does. Here, we
match quadratics (i.e. parabolas), instead of straight or slanted lines, to the graph. This approach
requires an even number of intervals.
x0 x1 x2
y0
y1
y2
x x
Figure 4: Area under a parabola.
y0 + 4y1 + Area under parabola = (base)(weighted average height) = (2? y2 x)
6
Simpson’s rule for n intervals (n must be even!)
1
Area = (2?x)
6
[(y0 + 4y1 + y2) + (y2 + 4y3 + y4) + (y4 + 4y5 + y6) + · · · + (yn?2 + 4yn?1 + yn)]
Notice the following pattern in the coefficients:
1 4 1
1 4 1
1 4 1
1 4 2 4 2 4 1
3
Lecture 24 18.01 Fall 2006
0