NumericalDifferentiation andIntegration/ Romberg Integration g g

By Dr Ali Jawarneh
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Integration of Equations/

Romberg Integration o be g teg at o

- It is used when the function is known and high accuracy is required, so it is integration to improve the accuracy of the trapezoidal rule. rule - It is based on successive application of the trapezoidal rule. - The computational algorithm for implementing Richardsons extrapolation is called Romberg integration.

I = I(h ) + E(h )

I: the exact value of the integral g I(h): the approximation from n-segment application of the trapezoidal rule E(h): the truncation error h: step size
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ba h= n

Romberg Integration is a method for combining two numerical integral estimates to obtain a third, more accurate value.
f (x) I (h 1 ) f (x) I (h 2 )

h1 a f (x) I (h 1 ) b f (x) h1 b
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h2 a

h2 b I (h 2 )

I combined

h1 a

h2 h2 a

I combined
h2 h2 b
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f ( x ) I (h 1 )

E(h1 )

f (x)

I (h 2 )

E(h 2 )

h1 a b a

h2

h2 b

I 1 = I(h1 ) + E(h1 ) I1 = I 2

I 2 = I(h 2 ) + E(h 2 )

I(h1 ) + E(h1 ) = I(h 2 ) + E(h 2 )

Error of the multiple-application trapezoidal rule:

(1)
b

ba E h f (x) 12
2 "

f ( x) =

"

f " ( x)
a

b 1

This function is constant regardless of step size

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E(h1 ) h1 2 ( ) E(h 2 ) h2
From (1)

h1 2 E(h1 ) E(h 2 )( ) h2
I (h 1 ) I (h 2 ) E(h 2 ) h1 2 1 ( ) h2

h1 2 I(h1 ) + E(h 2 )( ) I(h 2 ) + E(h 2 ) h2 I I(h 2 ) + E(h 2 )

I (h 1 ) I (h 2 ) I I (h 2 ) + h 1 ( 1 )2 h2

I I (h 2 ) +

1 h1 2 ( ) 1 h2

[I(h 2 ) I(h1 )]

For special case where the interval is halved:

4 1 I I (h 2 ) I (h 1 ) 3 3
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h1 h2 = 2

We have combined two trapezoidal rules[ I(h1) of order O(h2) and I(h2) of order O(h2)] to yield a new estimate of I of order O(h4)
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Example: Integrate the following function from 0 to 0.8

using combined (composite) (Romberg) of trapezoidal rule a) For one and two segments b) For two and four segments

f ( x ) = 0.2 + 25x 200x + 675x 900x + 400x

2 3 4

Solution Application of the trapezoidal rule:

segments 1 2 4

h 0.8 0.4 0 0.2

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Integral 0.1728 1.0688 0688 1.4848

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a)For one and two segments ) g

I 4 1 I (h 2 ) I (h 1 ) 3 3 I 4 1 (1.0688) (0.1728) = 1.367467 3 3
I exact = 1.640533

t = 16.6%

(b) For two and four segments

4 1 I (1.4848) (1.0688) = 1.623467 3 3
I exact = 1.640533

t = 1%

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Example: The integral of f ( x)dx was evaluated twice

a

using the composite trapezoidal rule. The first with step size of 0.2 gave a value of 1.8 and the second with a step size of 0 4 and gave a value of 0 95 Wh t will be the i f 0.4 d l f 0.95. What ill b th value of the integral with O(h4)?

Solution
4 1 I I (h 2 ) I (h 1 ) 3 3

4 1 I (1.8) (0.95) = 2.08333 3 3

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