DOCSLIB.ORG

Numerical Quadrature

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Numerical Quadrature Numerical Integration Numerical Differentiation Richardson Extrapolation Outline 1 Numerical Integration 2 Numerical Differentiation 3 Richardson Extrapolation Michael T. Heath Scientific Computing 2 / 61 Main Ideas ❑ Quadrature based on polynomial interpolation: ❑ Methods: ❑ Method of undetermined coefficients (e.g., Adams-Bashforth) ❑ Lagrangian interpolation ❑ Rules: ❑ Midpoint, Trapezoidal, Simpson, Newton-Cotes ❑ Gaussian Quadrature ❑ Quadrature based on piecewise polynomial interpolation ❑ Composite trapezoidal rule ❑ Composite Simpson ❑ Richardson extrapolation ❑ Differentiation ❑ Taylor series / Richardson extrapolation ❑ Derivatives of Lagrange polynomials ❑ Derivative matrices Quadrature Examples b = ecos x dx •I Za Di↵erential equations: n u(x)= u φ (x) XN j j 2 j=1 X Find u(x)suchthat du r(x)= f(x) XN dx − ? Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Integration For f : R R, definite integral over interval [a, b] ! b I(f)= f(x) dx Za is defined by limit of Riemann sums n R = (x x ) f(⇠ ) n i+1 − i i Xi=1 Riemann integral exists provided integrand f is bounded and continuous almost everywhere Absolute condition number of integration with respect to perturbations in integrand is b a − Integration is inherently well-conditioned because of its smoothing effect Michael T. Heath Scientific Computing 3 / 61 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Numerical Quadrature Quadrature rule is weighted sum of finite number of sample values of integrand function To obtain desired level of accuracy at low cost, How should sample points be chosen? How should their contributions be weighted? Computational work is measured by number of evaluations of integrand function required Michael T. Heath Scientific Computing 4 / 61 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Quadrature Rules An n-point quadrature rule has form n Qn(f)= wi f(xi) Xi=1 Points xi are called nodes or abscissas Multipliers wi are called weights Quadrature rule is open if a<x1 and xn <b closed if a = x1 and xn = b Can also have (x x … x ) a < b (Adams-Bashforth timesteppers) • 1 2 n · Michael T. Heath Scientific Computing 5 / 61 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Quadrature Rules, continued Quadrature rules are based on polynomial interpolation Integrand function f is sampled at finite set of points Polynomial interpolating those points is determined Integral of interpolant is taken as estimate for integral of original function In practice, interpolating polynomial is not determined explicitly but used to determine weights corresponding to nodes If Lagrange is interpolation used, then weights are given by b wi = `i(x),i=1,...,n Za Michael T. Heath Scientific Computing 6 / 61 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Method of Undetermined Coefficients Alternative derivation of quadrature rule uses method of undetermined coefficients To derive n-point rule on interval [a, b], take nodes x1,...,xn as given and consider weights w1,...,wn as coefficients to be determined Force quadrature rule to integrate first n polynomial basis functions exactly, and by linearity, it will then integrate any polynomial of degree n 1 exactly − Thus we obtain system of moment equations that determines weights for quadrature rule Michael T. Heath Scientific Computing 7 / 61 Quadrature Overview b n I(f):= f(t) dt w f , =: Q (f) f := f(t ) ⇡ i i n i i a i=1 Z X Idea is to minimize the number of function evaluations. • Small n is good. • Several strategies: • – global rules – composite rules – composite rules + extrapolation – adaptive rules 1 Global (Interpolatory) Quadrature Rules Generally, approximate f(t)bypolynomialinterpolant,p(t). • n f(t) p(t)= l (t) f ⇡ i i i=1 X b b I(f)= f(t) dt p(t) dt =: Q (f) ⇡ n Za Za b n n b n Qn(f)= li(t) fi dt = li(t) dt fi = wi fi. a i=1 ! i=1 a i=1 Z X X ✓Z ◆ X b wi = li(t) dt Za We will see two types of global (interpolatory) rules: • – Newton-Cotes — interpolatory on uniformly spaced nodes. – Gauss rules — interpolatory on optimally chosen point sets. 2 Examples Midpoint rule: l (t)=1 • i b b w = l (t) dt = 1 dt =(b a) 1 1 − Za Za Trapezoidal rule: • t b t a l (t)= − ,l(t)= − 1 a b 2 b a − − b b w = l (t) dt = 1(b a)= l (t) dt = w 1 1 2 − 2 2 Za Za Simpson’s rule: • b b b a w1 = l1(t) dt = −6 = l3(t) dt = w3 Za Za b b t a t b 2 w = l (t) dt = − − dt = (b a) 2 2 b a a b 3 − Za Za ✓ − ◆✓ − ◆ These are the Newton-Cotes quadrature rules for n=1, 2, and 3, • respectively. – The midpoint rule is open. – Trapezoid and Simpson’s rules are closed. 3 Finding Weights: Method of Undetermined Coefficients METHOD OF UNDETERMINED COEFFICIENTS Example 1: Find wi for [a, b]=[1, 2], n =3. First approach: f =1,t,t2. • 3 I(1) = w 1=1 i · i=1 X 3 1 2 I(t)= w t = t2 i · i 2 i=1 1 X 3 1 2 I(t2)= w t2 = t3 i · i 3 i=1 1 X Results in 3 3matrixforthew s. ⇥ i Second approach: Choose f so that some of the coefficients multiplying • the wisvanish. 3 2 3 I = w (1 )(1 2) = (t )(t 2) dt 1 1 − 2 − − 2 − Z1 3 3 2 I = w ( 1)( 2) = (t 1)(t 2) dt 2 2 2 − 2 − − − Z1 3 2 3 I = w (2 1)(2 )= (t 1)(t ) dt 3 3 − − 2 − − 2 Z1 Corresponds to the Lagrange interpolant approach. 5 METHOD OF UNDETERMINED COEFFICIENTS Example 1: Find wi for [a, b]=[1, 2], n =3. First approach: f =1,t,t2. • 3 I(1) = w 1=1 i · i=1 X 3 1 2 I(t)= w t = t2 i · i 2 i=1 1 X 3 1 2 I(t2)= w t2 = t3 i · i 3 Finding Weights: Method ofi=1 Undetermined1 Coefficients X Results in 3 3matrixforthew s. ⇥ i Second approach: Choose f so that some of the coefficients multiplying • the wisvanish. 3 2 3 I = w (1 )(1 2) = (t )(t 2) dt 1 1 − 2 − − 2 − Z1 3 3 2 I = w ( 1)( 2) = (t 1)(t 2) dt 2 2 2 − 2 − − − Z1 3 2 3 I = w (2 1)(2 )= (t 1)(t ) dt 3 3 − − 2 − − 2 Z1 Corresponds to the Lagrange interpolant approach. 5 Method of Undetermined Coefficients Example 2: Find wi for [a, b]=[0, 1], n =3,butusingfi = f(ti)=f(i), with i =-2,-1,and0.(Theti’s are outside the interval (a, b).) Result should be exact for f(t) lP ,lP,andlP. • 2 0 1 2 Take f=1, f=t,andf=t2. • 1 wi =1= 1 dt 0 X Z 1 1 2w 2 w 1 = = tdt − − − − 2 Z0 1 1 2 4w 2 + w 1 = = t dt − − 3 Z0 Find • 5 16 23 w 2 = w 1 = w0 = . − 12 − − 12 12 This example is useful for finding integration coefficients for explicit time- • stepping methods that will be seen in later chapters. 6 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Example: Undetermined Coefficients Derive 3-point rule Q3(f)=w1f(x1)+w2f(x2)+w3f(x3) on interval [a, b] using monomial basis Take x1 = a, x2 =(a + b)/2, and x3 = b as nodes First three monomials are 1, x, and x2 Resulting system of moment equations is b w 1+w 1+w 1= 1 dx = x b = b a 1 · 2 · 3 · |a − Za b w a + w (a + b)/2+w b = xdx=(x2/2) b =(b2 a2)/2 1 · 2 · 3 · |a − Za b w a2 + w ((a + b)/2)2 + w b2 = x2 dx =(x3/3) b =(b3 a3)/3 1 · 2 · 3 · |a − Za Michael T. Heath Scientific Computing 8 / 61 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Example, continued In matrix form, linear system is 111w b a 1 − a (a + b)/2 b w = (b2 a2)/2 2 3 2 23 2 − 3 a2 ((a + b)/2)2 b2 w (b3 a3)/3 3 − 4 5 4 5 4 5 Solving system by Gaussian elimination, we obtain weights b a 2(b a) b a w = − ,w= − ,w= − 1 6 2 3 3 6 which is known as Simpson’s rule Michael T. Heath Scientific Computing 9 / 61 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Method of Undetermined Coefficients More generally, for any n and choice of nodes x1,...,xn, Vandermonde system 11 1 w1 b a ··· 2 − 2 x1 x2 xn w2 (b a )/2 2 . ···. 3 2 . 3 = 2 −. 3 . .. 6 n 1 n 1 n 17 6 7 6 n n 7 6x − x − x 7 6wn7 6(b a )/n7 6 1 2 ··· n− 7 6 7 6 − 7 4 5 4 5 4 5 determines weights w1,...,wn Michael T. Heath Scientific Computing 10 / 61 Numerical Integration Quadrature Rules Numerical Differentiation Adaptive Quadrature Richardson Extrapolation Other Integration Problems Stability of Quadrature Rules Absolute condition number of quadrature rule is sum of magnitudes of weights, n w | i| Xi=1 If weights are all nonnegative, then absolute condition number of quadrature rule is b a, same as that of − underlying integral, so rule is stable If any weights are negative, then absolute condition number can be much larger, and rule can be unstable Michael T.
Load more

Recommended publications
  • The Legendre Transform Ross Bannister, May 2005 Orthogonality of the Legendre Polynomials the Legendre Polynomials Satisfy the Following Orthogonality Property [1], 1
    The Legendre Transform Ross Bannister, May 2005 Orthogonality of the Legendre polynomials The Legendre polynomials satisfy the following orthogonality property [1], 1 2 ¥ ¥§¦ ¥ ¤ ¤ d x Pn ¤ x Pm x mn 1 © 2n ¨ 1 x ¡£¢ 1 ¥ where Pn ¤ x is the nth order Legendre polynomial. In meteorology it is sometimes convenient to integrate over the latitude domain, , instead of over x. This is achieved with the following transform, d x ¦ ¦ ¦ ¥ ¤ x sin cos d x cos d 2 d In latitude (measured in radians), Eq. (1) becomes, /2 2 ¥ ¥ ¥§¦ ¤ ¤ d cos Pn ¤ Pm mn 3 ¨ © 2n 1 ¡£¢ /2 The Legendre transform and its inverse convert to and from the latitudinal and Legendre polynomial representations of functions (I call this these transforms a Legendre transform pair). In the following we shall develop these transforms in matrix form. The matrix form of the transforms is a compact and convenient means of performing summations over and over n (we shall assume that functions are represented discreetly in space and so integrals are represented by summations). In the notation to follow, functions are represented as vectors. A function in space shall be denoted by the vector x, and a function in n space shall be denoted by p. Let the matrix consisting of columns of Legendre polynomials be F. The orthogonality condition, Eq. (3), in matrix form is, T ¦ ¥ ¤ F PF 4 where P is the so-called diagonal inner product matrix whose diagonal elements are cos and is the ¨ ¥ diagonal matrix whose diagonal elements are the normalizations 2 / ¤ 2n 1 . Legendre transform pair ('unbalanced' version) The orthogonality condition, Eq.
    [Show full text]
  • Calculation of Highly Oscillatory Integrals by Quadrature Methods
    CALCULATION OF HIGHLY OSCILLATORY INTEGRALS BY QUADRATURE METHODS A Senior Scholars Thesis by KRISHNA THAPA Submitted to Honors and Undergraduate Research Texas A&M University in partial fulfillment of the requirements for the designation as UNDERGRADUATE RESEARCH SCHOLAR May 2012 Major: Physics CALCULATION OF HIGHLY OSCILLATORY INTEGRALS BY QUADRATURE METHODS A Senior Scholars Thesis by KRISHNA THAPA Submitted to Honors and Undergraduate Research Texas A&M University in partial fulfillment of the requirements for the designation as UNDERGRADUATE RESEARCH SCHOLAR Approved by: Research Advisor: Stephen Fulling Associate Director, Honors and Undergraduate Research: Duncan MacKenzie May 2012 Major: Physics iii ABSTRACT Calculation of Highly Oscillatory Integrals by Quadrature Methods. (May 2012) Krishna Thapa Department of Physics Texas A&M University Research Advisor: Dr. Stephen Fulling Department of Mathematics R 1 i!g(x) Highly oscillatory integrals of the form I(f) = 0 dxf(x)e arise in various problems in dynamics, image analysis, optics, and other fields of physics and math- ematics. Conventional approximation methods for such highly oscillatory integrals tend to give huge errors as frequency (!) ! 1. Over years, various attempts have been made to get over this flaw by considering alternative quadrature methods for integration. One such method was developed by Filon in 1928, which Iserles et al. have recently extended. Using this method, Iserles et al. show that as ! ! 1, the error decreases further as the error is inversely proportional to !. We use methods developed by Iserles' group, along with others like Newton-Cotes, Clenshaw-Curtis and Levin's methods with the aid of Mathematica. Our aim is to find a systematic way of calculating highly oscillatory integrals.
    [Show full text]
  • Numerical Construction of Gaussian Quadrature Formulas For
    mathematics of computation, VOLUME 27, NUMBER 124, OCTOBER 1973 Numerical Construction of Gaussian Quadrature Formulas for / (-Log *)• xa-f(x)-dx and / Em(x)-j(x)-dx Jo Jo By Bernard Danloy Abstract. Most nonclassical Gaussian quadrature rules are difficult to construct because of the loss of significant digits during the generation of the associated orthogonal poly- nomials. But, in some particular cases, it is possible to develop stable algorithms. This is true for at least two well-known integrals, namely ¡l-(Loêx)-x°f(x)dx and ¡Ô Em(x)f(x)-dx. A new approach is presented, which makes use of known classical Gaussian quadratures and is remarkably well-conditioned since the generation of the orthogonal polynomials requires only the computation of discrete sums of positive quantities. Finally, some numerical results are given. 1. Introduction. Let w(x) be a nonnegative weight function on (a, b) such that all its moments (1.1) M*= / w(x)-x"-dx, k = 0, 1, 2, ••■ , exist. The «-point Gaussian quadrature rule associated with w(x) and (a, b) is that uniquely defined linear functional (1.2) G„-/= ¿X, •/(*,) ¿-i which satisfies (1.3) G„/ = [ w(x)-j(x)-dx Ja whenever / is a polynomial of degree ^ 2n — 1. It is a well-known result [8] that the Gaussian abscissas *¿ are the roots of the polynomials orthogonal on (a, b) with respect to w(x), and that the associated coeffi- cients X,, called Christoffel constants, can also be expressed in terms of these poly- nomials. A direct exploitation of these results is still the most widely recommended procedure, even though alternative approaches have been suggested by Rutishauser [7], Golub and Welsch [6].
    [Show full text]
  • Handout on Gaussian Quadrature, Parts I and II
    Theoretical foundations of Gaussian quadrature 1 Inner product vector space Definition 1. A vector space (or linear space) is a set V = {u, v, w,...} in which the following two operations are defined: (A) Addition of vectors: u + v ∈ V , which satisfies the properties (A1) associativity: u + (v + w) = (u + v) + w ∀ u, v, w in V ; (A2) existence of a zero vector: ∃ 0 ∈ V such that u + 0 = u ∀u ∈ V ; (A3) existence of an opposite element: ∀u ∈ V ∃(−u) ∈ V such that u + (−u) = 0; (A4) commutativity: u + v = v + u ∀ u, v in V ; (B) Multiplication of a number and a vector: αu ∈ V for α ∈ R, which satisfies the properties (B1) α(u + v) = αu + αv ∀ α ∈ R, ∀u, v ∈ V ; (B2) (α + β)u = αu + βu ∀ α, β ∈ R, ∀u ∈ V ; (B3) (αβ)u = α(βu) ∀ α, β ∈ R, ∀u ∈ V ; (B4) 1u = u ∀u ∈ V . Definition 2. An inner product linear space is a linear space V with an operation (·, ·) satisfying the properties (a) (u, v) = (v, u) ∀ u, v in V ; (b) (u + v, w) = (u, w) + (v, w) ∀ u, v, w in V ; (c) (αu, v) = α(u, v) ∀α ∈ R, ∀ u, v, w in V ; (d) (u, u) ≥ 0 ∀u ∈ V ; moreover, (u, u) = 0 if and only if u = 0. d Example. The “standard” inner product of the vectors u = (u1, u2, . , ud) ∈ R and d v = (v1, v2, . , vd) ∈ R is given by d X (u, v) = uivi . i=1 1 Example. Let G be a symmetric positive-definite matrix, for example 5 4 1 G = (gij) = 4 7 0 .
    [Show full text]
  • [Draft] 4.4.3. Examples of Gaussian Quadrature. Gauss–Legendre
    CAAM 453 · NUMERICAL ANALYSIS I Lecture 26: More on Gaussian Quadrature [draft] 4.4.3. Examples of Gaussian Quadrature. Gauss{Legendre quadrature. The best known Gaussian quadrature rule integrates functions over the interval [−1; 1] with the trivial weight function w(x) = 1. As we saw in Lecture 19, the orthogonal polynomials for this interval and weight are called Legendre polynomials. To construct a Gaussian quadrature rule with n + 1 points, we must determine the roots of the degree-(n + 1) Legendre polynomial, then find the associated weights. First, consider the case of n = 1. The quadratic Legendre polynomial is 2 φ2(x) = x − 1=3; and from this polynomialp one can derive the 2-point quadrature rule that is exact for cubic poly- nomials, with roots ±1= 3. This agrees with the special 2-point rule derived in Section 4.4.1. The values for the weights follow simply, w0 = w1 = 1, giving the 2-point Gauss{Legendre rule p p I(f) = f(−1= 3) + f(1= 3): For Gauss{Legendre quadrature rules based on larger numbers of points, there are various ways to compute the nodes and weights. Traditionally, one would consult a book of mathematical tables, such as the venerable Handbook of Mathematical Functions, edited by Milton Abramowitz and Irene Stegun for the National Bureau of Standards in the early 1960s. Now, one can look up these quadrature nodes and weights on web sites, or determine them to high precision using a symbolic mathematics package such as Mathematica. Most effective of all, one can compute these nodes and weights by solving a symmetric tridiagonal eigenvalue problem.
    [Show full text]
  • Gaussian Quadrature for Computer Aided Robust Design
    Page 1 of 88 Gaussian Quadrature for Computer Aided Robust Design by Geoffrey Scott Reber S.B. Aeronautics and Astronautics Massachusetts Institute of Technology, 2000 Submitted to the Department of Aeronautics and Astronautics in partial fulfillment of the requirements for the degree of Masters of Science in Aeronautics and Astronautics at the Massachusetts Institute of Technology OF TECHN3LOGY JUL 0 1 2004 June, 2004 LIBRARIES © 2004 Massachusetts Institute of Technology. All rights reserved t AERO Signature of Author: Department o auticsd Astronautics -Myay 7, 2004 Certified by: aniel Frey Professor of Mechan' al Engineering Thesis Supervisor Approved by: Edward Greitzer H.N. Slater Professor of Aeronautics and Astronautics Chair, Committee on Graduate Students Page 2 of 88 Gaussian Quadrature for Computer Aided Robust Design by Geoffrey Scott Reber Submitted to the Department of Aeronautics and Astronautics on May 7, 2004 in partial fulfillment of the requirements for the degree of Master of Science in Aeronautics and Astronautics ABSTRACT Computer aided design has allowed many design decisions to be made before hardware is built through "virtual" prototypes: computer simulations of an engineering design. To produce robust systems noise factors must also be considered (robust design), and should they should be considered as early as possible to reduce the impact of late design changes. Robust design on the computer requires a method to analyze the effects of uncertainty. Unfortunately, the most commonly used computer uncertainty analysis technique (Monte Carlo Simulation) requires thousands more simulation runs than needed if noises are ignored. For complex simulations such as Computational Fluid Dynamics, such a drastic increase in the time required to evaluate an engineering design may be probative early in the design process.
    [Show full text]
  • Quadrature Methods
    QUADRATURE METHODS Kenneth L. Judd Hoover Institution July 19, 2011 1 Integration • Most integrals cannot be evaluated analytically • Integrals frequently arise in economics — Expected utility — Discounted utility and profits over a long horizon — Bayesian posterior — Likelihood functions — Solution methods for dynamic economic models 2 Newton-Cotes Formulas • Idea: Approximate function with low order polynomials and then integrate approximation • Step function approximation: — Compute constant function equalling f(x) at midpoint of [a, b] — Integral approximation is aUQV b box • Linear function approximation: — Compute linear function interpolating f(x) at a and b — Integral approximation is trapezoid aP Rb 3 • Parabolic function approximation: — Compute parabola interpolating f(x) at a, b,and(a + b)/2 — Integral approximation is area of aP QRb 4 • Midpoint Rule: piecewise step function approximation b a + b (b − a)3 f(x) dx =(b − a) f + f (ξ) a 2 24 — Simple rule: for some ξ ∈ [a, b] b a + b (b − a)3 f(x) dx =(b − a) f + f (ξ) a 2 24 — Composite midpoint rule: 1 ∗ nodes: xj = a +(j − 2)h, j =1, 2, ...,n, h =(b − a)/n ∗ for some ξ ∈ [a, b] b n 1 h2(b − a) f(x) dx = h f a +(j − )h + f (ξ) 2 24 a j=1 5 • Trapezoid Rule: piecewise linear approximation — Simple rule: for some ξ ∈ [a, b] b b − a (b − a)3 f(x) dx = [f(a)+f(b)] − f (ξ) a 2 12 — Composite trapezoid rule: ∗ x 1 nodes: j = a +(j − 2)h, j =1, 2, ...,n, h =(b − a)/n ∗ for some ξ ∈ [a, b] b h f(x) dx= [f0 +2f1 + ···+2fn−1 + fn] a 2 h2 (b − a) − f (ξ) 12 6 • Simpson’s Rule: piecewise quadratic approximation — for some ξ ∈ [a, b] b b − a a + b f(x) dx= f(a)+4f + f(b) a 6 2 (b − a)5 − f (4) (ξ) 2880 — Composite Simpson’s rule: for some ξ ∈ [a, b] b h f(x) dx= [f0 +4f1 +2f2 +4f3 + ···+4fn−1 + fn] a 3 h4(b − a) − f (4)(ξ) 180 • Obscure rules for degree 3, 4, etc.
    [Show full text]
  • The Comparison of the Trapezoid Rule and the Gaussian Quadrature
    The Comparison of the Trapezoid Rule and the Gaussian Quadrature Margo Rothstein Georgia College and State University May 3, 2018 1 Abstract This paper provides a detailed exploration of the comparison of the Gaussian Quadrature and the Trapezoid Rule. They are both numerical methods that are used to approximate integrals. The Gaussian Quadrature is a much better approximation method than the Trapezoid Rule. We will prove and demonstrate the approximating power of both rules, and provide some practical applications of the rules as well. 2 Introduction Integration is the calculation of the the theorem states the following: area under the curve a function f(x). The integral of f produces a family of an- Z b tiderivatives F (x)+c that is used to calculate f(x)dx = F (b) − F (a): the area, denoted by, a Z f(x)dx: There are many methods developed to find F (x) that will produce the exact area. These A definite integral calculates the area under methods include integration by parts, par- the curve of a function f(x) on a specific in- tial fraction decomposition, change of vari- terval [a; b], denoted by, ables, and trig substitution. However, there are some functions that can not be inte- Z b grated exactly. They must be approximated. f(x)dx: We will discuss two approximation methods a in numerical analysis called the Trapezoid The Fundamental Theorem of Calculus is Rule and the Gaussian Quadrature. The how a definite integral should be calculated; definition of a Quadrature rule for nodes 1 x1 < x2 < x − 3 < ··· < xn is n Z b X f(x)dx ≈ cif(xi): a i=1 A closed quadrature rule means that f(x) is evaluated at the endpoints.
    [Show full text]
  • Gaussian Quadrature
    10 Gaussian Quadrature Lab Objective: Learn the basics of Gaussian quadrature and its application to numerical inte- gration. Build a class to perform numerical integration using Legendre and Chebyshev polynomials. Compare the accuracy and speed of both types of Gaussian quadrature with the built-in Scipy package. Perform multivariate Gaussian quadrature. Legendre and Chebyshev Gaussian Quadrature It can be shown that for any class of orthogonal polynomials p 2 R[x; 2n + 1] with corresponding weight function , there exists a set of points n and weights n such that w(x) fxigi=0 fwigi=0 n Z b X p(x)w(x)dx = p(xi)wi: a i=0 Since this relationship is exact, a good approximation for the integral Z b f(x)w(x)dx a can be expected as long as the function f(x) can be reasonably interpolated by a polynomial at the points xi for i = 0; 1; : : : ; n. In fact, it can be shown that if f(x) is 2n + 1 times dierentiable, the error of the approximation will decrease as n increases. Gaussian quadrature can be performed using any basis of orthonormal polynomials, but the most commonly used are the Legendre polynomials and the Chebyshev polynomials. Their weight functions are w (x) = 1 and w (x) = p 1 , respectively, both dened on the open interval (−1; 1). l c 1−x2 Problem 1. Dene a class for performing Gaussian quadrature. The constructor should accept an integer n denoting the number of points and weights to use (this will be explained later) and a label indicating which class of polynomials to use.
    [Show full text]
  • Gaussian Quadratures
    GaussianGaussian QuadraturesQuadratures • Newton-Cotes Formulae – use evenly-spaced functional values – Did not use the flexibility we have to select the quadrature points • In fact a quadrature point has several degrees of freedom. m Q(f)=∑i=1 ci f(xi) A formula with m function evaluations requires specification of 2m numbers ci and xi • Gaussian Quadratures – select both these weights and locations so that a higher order polynomial can be integrated (alternatively the error is proportional to a higher derivatives) • Price: functional values must now be evaluated at non- uniformly distributed points to achieve higher accuracy • Weights are no longer simple numbers • Usually derived for an interval such as [-1,1] • Other intervals [a,b] determined by mapping to [-1,1] Gaussian Quadrature on [-1, 1] 1 n f ( x )dx ≈ ci f ( xi ) = c1 f ( x1 ) + c2 f ( x 2 ) + + cn f ( xn ) ∫−1 ∑ L i=1 • Two function evaluations: – Choose (c1, c2, x1, x2) such that the method yields “exact integral” for f(x) = x0, x1, x2, x3 1 n = 2 : f(x)dx ∫−1 = c1 f(x1 ) + c2 f(x2 ) -1x1 x2 1 Finding quadrature nodes and weights • One way is through the theory of orthogonal polynomials. • Here we will do it via brute force • Set up equations by requiring that the 2m points guarantee that a polynomial of degree 2m-1 is integrated exactly. • In general process is non-linear – (involves a polynomial function involving the unknown point and its product with unknown weight) – Can be solved by using a multidimensional nonlinear solver – Alternatively can sometimes be done step
    [Show full text]
  • Numerical Integration
    Numerical Integration MAT 2310 Computational Mathematics Wm C Bauldry November, 2011 ICM 1 Contents 1. Numerical Integration 5. Gaussian Quadrature 2. Left- and Right Endpoint, 6. Gauss-Kronrod Quadrature and Midpoint Sums 7. Test Integrals 3. Trapezoid Sums 8. Exercises 4. Simpson’s Rule 9. Links and Others Today ICM 2 Numerical Integration What is Numerical Integration? Numerical integration or (numerical) 2.5 quadrature is the calculation of a definite 2 1.5 integral using numerical formulas, not the 1 fundamental theorem. The Greeks stud- 0.5 ied quadrature: given a figure, construct a -1 -0.5 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 -0.5 square that has the same area. The two -1 most famous are Hippocrates of Chios’ Quadrature of the Lune (c. 450 BC) and Archimedes’ Quadrature of the Parabola (c. 250 BC). Archimedes used the method of exhaustion — a precursor of calculus — invented by Eudoxus. Squaring the circle is one of the classical problems of constructing a square with the area of a given circle – it was shown impossible by Lindemann’s theorem (1882). ICM 3 Methods of Elementary Calculus Rectangle Methods Left endpoint sum Midpoint sum Right endpoint sum n n n X X X An ≈ f(xk−1) ∆xk An ≈ f(mk) ∆xk An ≈ f(xk) ∆xk k=1 k=1 k=1 1 mk = 2 (xk−1 + xk) (b−a)2 1 (b−a)3 1 (b−a)2 1 "n ≤ · M1 · "n ≤ · M2 · "n ≤ · M1 · 2 n 24 n2 2 n where M = max f (i)(x) R πf dx = 2 ≈ [1:984; 2:008; 1:984] i 0 n=10 ICM 4 Trapezoid Sums Trapezoid Sums Instead of the degree 0 rectangle approximations to the function, use a linear degree 1 approximation.
    [Show full text]
  • Gauss-Kronrod Quadrature Formulae — a Survey of Fifty Years of Research∗
    Electronic Transactions on Numerical Analysis. ETNA Volume 45, pp. 371–404, 2016. Kent State University Copyright c 2016, Kent State University. http://etna.math.kent.edu ISSN 1068–9613. GAUSS-KRONROD QUADRATURE FORMULAE — A SURVEY OF FIFTY YEARS OF RESEARCH∗ SOTIRIOS E. NOTARISy Abstract. Kronrod in 1964, trying to estimate economically the error of the n-point Gauss quadrature formula for the Legendre weight function, developed a new formula by adding to the n Gauss nodes n + 1 new ones, which are determined, together with all weights, such that the new formula has maximum degree of exactness. It turns out that the new nodes are zeros of a polynomial orthogonal with respect to a variable-sign weight function, considered by Stieltjes in 1894, without though making any reference to quadrature. We survey the considerable research work that has been emerged on this subject, during the past fifty years, after Kronrod’s original idea. Key words. Gauss quadrature formula, Gauss-Kronrod quadrature formula, Stieltjes polynomials AMS subject classifications. 65D32, 33C45 1. Introduction. One of the most useful and widely used integration rules is the Gauss quadrature formula for the Legendre weight function w(t) = 1 on [−1; 1], Z 1 n X G (1.1) f(t)dt = γν f(τν ) + Rn (f); −1 ν=1 (n) (n) where τν = τν are the zeros of the nth degree Legendre polynomial and γν = γν are the so-called Christoffel numbers. It is well known that formula (1.1) has precise degree of G G exactness dn = 2n − 1, i.e., Rn (f) = 0 for all f 2 P2n−1, where P2n−1 denotes the space of polynomials of degree at most 2n − 1 (cf.
    [Show full text]