Integration and Differentiation

ENGR 3202
Engineering Analysis and Computation
Integration and Differentiation
Dr. Mohamed Badran
Mechanical Engineering Department
ENGR 3202 Dr. Mohamed Badran Spring 2014

References
• Chapra, Steven C., and Canale, Raymond P.
“Numerical Methods for Engineers”, 5th edition,
McGraw Hill. Inc., 2006.

Newton-Cotes Integration Formulas
Using these formulas, the complication function is replaced with
some approximating function that is easy to integrate:
𝑏 𝑏
𝐼= 𝑓 𝑥 𝑑𝑥 ≈ 𝑓𝑛 𝑥 𝑑𝑥
𝑎 𝑎
where fn(x) is a polynomial of the form:

𝑓𝑛 𝑥 = 𝑎0 + 𝑎1 𝑥 + ⋯ + 𝑎𝑛−1 𝑥 𝑛−1 + 𝑎𝑛 𝑥 𝑛

Single versus series of polynomials
The integral can be approximated by a single polynomial or a
series of polynomials applied piece-wise
Single polynomial Series of polynomials applied piece-wise

Closed versus Open Form
Closed form Newton Cotes formulas:
Those where the integration domain is

bounded by 2 data points.
Open form Newton Cotes formulas:
The integration domain extends beyond

the range of the data; they are usually not
employed with definite integral

The Trapezoidal Rule
The first of the Newton-Cotes closed integration formulas,
corresponding to the case where the polynomial is first order:
b b
𝑓 𝑏 −𝑓 𝑎
I   f ( x)dx   f1 ( x)dx , where 𝑓1 𝑥 = 𝑓 𝑎 +
𝑏−𝑎
(𝑥 − 𝑎)
a a
𝑏
𝑓 𝑏 −𝑓 𝑎
≈ 𝑓 𝑎 + 𝑥 − 𝑎 𝑑𝑥
𝑎 𝑏−𝑎
𝑓 𝑎 +𝑓 𝑏
≈ 𝑏−𝑎
2
≈ 𝑏 − 𝑎 𝑥 𝑎𝑣𝑒𝑟𝑎𝑔𝑒 𝑕𝑒𝑖𝑔𝑕𝑡
Error of the trapezoidal rule:

1 "
𝐸𝑡 = − 𝑓 ξ (𝑏 − 𝑎)3 , 𝑎<ξ<𝑏
12
Example 1(21.1)*
Use the trapezoidal rule to numerically integrate the following
function from a = 0 to b = 0.8:
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
The exact solution is 1.64053334.
*Chapra, Steven C., and Canale, Raymond P. “Numerical Methods for Engineers”, 5th edition, McGraw Hill. Inc., 2006.
Example 1(21.1)*
continued
The Composite Trapezoidal Rule
The integration domain is divided into a number of segments and
the trapezoidal rule is applied to each segment.

continued
𝑏−𝑎
𝑕= , 𝑤𝑕𝑒𝑟𝑒 𝑛 𝑖𝑠 𝑡𝑕𝑒 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑠𝑒𝑔𝑚𝑒𝑛𝑡𝑠
𝑛
a  x0 b  xn
xn x1 x2 xn
I  f ( x)dx   f ( x)dx   f ( x)dx     f ( x)dx

x0 x0 x1 xn1
Substituting the trapezoidal rule for each

integral yields:
f ( x0 )  f ( x1 ) f ( x1 )  f ( x2 ) f ( xn1 )  f ( xn )
I h h  h
2 2 2
Or, grouping terms
𝑕 𝑛−1 𝑓(𝑥 0 )+2 𝑛𝑖=1

−1
𝑓 𝑥 𝑖 + 𝑓(𝑥 𝑛 )
𝐼= 𝑓(𝑥0 ) + 2 𝑖=1 𝑓 𝑥𝑖 + 𝑓(𝑥𝑛 ) = (𝑏 − 𝑎)
2 2𝑛

continued
The error for the composite trapezoidal rule can be computed by
summing up the individual errors for each segment
𝑛
(𝑏 − 𝑎)3
𝐸𝑡 = − 𝑓 " ξ𝑖
12𝑛3
𝑖=1
𝑛
(𝑏 − 𝑎)3 " " ≅ 𝑖=1 𝑓 "
ξ𝑖
𝐸𝑎 = − 𝑓 , 𝑠𝑖𝑛𝑐𝑒 𝑓
12𝑛2 𝑛

Example 2(21.2)*
Use the composite trapezoidal rule employing n= 2,3,4,..,10 to
numerically integrate the following function from a = 0 to
b = 0.8:
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
Example 2(21.2)*
continued
n h I Et%
2 0.4 1.0688 34.9
3 0.2667 1.3695 16.5
4 0.2 1.4848 9.5
5 0.16 1.5399 6.1
6 0.1333 1.5703 4.3
7 0.1143 1.5887 3.2
8 0.1 1.6008 2.4
9 0.0889 1.6091 1.9
10 0.08 1.6150 1.6
The Simpson’s Rules
Higher order polynomials may be employed to obtain higher
accuracy. The formulas that result from taking the integrals under
these polynomials are called “Simpson’s Rules.”
a. Simpson’s 1/3 Rule

𝑏 𝑏
𝐼= 𝑓 𝑥 𝑑𝑥 ≈ 𝑓2 𝑥 𝑑𝑥
𝑎 𝑎
where f2(x) is a second order

Lagrange polynomial.
a h h b

Simpson’s 1/3 Rule
b b
I   f ( x)dx   f 2 ( x)dx
a a
a  x0 b  x2
 ( x  x1 )( x  x2 ) ( x  x0 )( x  x2 ) ( x  x0 )( x  x1 ) 
x2
I   f ( x0 )  f ( x1 )  f ( x2 )dx
x0 
( x0  x1 )( x0  x2 ) ( x1  x0 )( x1  x2 ) ( x2  x0 )( x2  x1 ) 
ba
I   f ( x0 )  4 f ( x1 )  f ( x2 )
h
h
3 2
Single segment application of Simpson’s 1/3 rule has a
truncation error of:
(b  a)5 ( 4)
Et   f ( ) a  b
2880

Example 3(21.4)*
Use the Simpson’s 1/3 rule to numerically integrate the following
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
The Composite Simpson’s Rule
𝑏−𝑎
𝑕= , 𝑤𝑕𝑒𝑟𝑒 𝑛 𝑖𝑠 𝑎𝑛 𝑒𝑣𝑒𝑛 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑠𝑒𝑔𝑚𝑒𝑛𝑡𝑠
𝑛
a  x0 b  xn
xn x2 x4 xn
I  f ( x)dx   f ( x)dx   f ( x)dx 

x0 x0 x2
 
xn2
f ( x )dx
Substituting the Simpson’s 1/3 rule for each

integral yields:
f ( x0 )  4 f ( x1 )  f ( x2 ) f ( x2 )  4 f ( x3 )  f ( x4 )
I  2h  2h
6 6
f ( xn  2 )  4 f ( xn 1 )  f ( xn )
...  2h
6
Or, grouping terms
n 1 n2
f ( x0 )  4  f ( xi )  2  f ( x j )  f ( xn )
i 1,3,5 j  2,4,6
I  (b  a)
3n
The Composite Simpson’s 1/3 Rule
continued
The error for the composite Simpson’s 1/3 rule can be computed by
summing up the individual errors for each segment
(𝑏 − 𝑎)5 (4)
𝐸𝑎 = − 4
𝑓
180𝑛
Where f (4) is the average fourth derivative for the interval

Example 4(21.5)*
Use Simpson’s 1/3 rule with n=4 to numerically integrate the
following function from a = 0 to b = 0.8:
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
Simpson’s 3/8 Rule
Fitting a 3rd order Lagrange polynomial to 4 points yields
(b  a)
h
3
b b
 f ( x)dx   f ( x)dx
a a
3
3h
I  f ( x0 )  3 f ( x1 )  3 f ( x2 )  f ( x3 )
8
I  (b  a)
 f ( x0 )  3 f ( x1 )  3 f ( x2 )  f ( x3 )
8
Simpson’s 3/8 rule has a truncation error of:
(b  a)5 (4)
Et   f ( ) a  b h h h
6480 a b

Example 5(21.6a)*
Use Simpson’s 3/8 rule to numerically integrate the following
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
Example 6(21.6b)*
Use Simpson’s 3/8 rule in conjunction with Simpson 1/3 rule to
numerically integrate the following function for 5 segments from
a = 0 to b = 0.8:
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
Example 6(21.6b)*
continued
Integration with unequal segments
This often occurs when integrating experimentally derived data.
It is possible to employ the trapezoidal rule for each segment

independently as follows:
f ( x0 )  f ( x1 ) f ( x1 )  f ( x2 ) f ( xn1 )  f ( xn )
I  h1  h2  ...  hn
2 2 2
However higher accuracy is achieved if Simpson’s rules are

employed whenever possible.
Whenever 2 or 3 successive equal segments exist, then employ

Simpson’s 1/3 or 3/8 rule, respectively. Else employ the
trapezoidal rule
Example 7(21.7)*
Use the trapezoidal rule to numerically integrate the following
data (which was generated from:
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
employing unequal segments) The exact solution is 1.64053334.
Example 8(21.8)*
Recompute the integral for the data below, but use Simpson’s
rules for those segments where they are appropriate.
Recall, The exact solution is 1.64053334.
Example 8(21.8)*
continued
Interval 1 2 3
x 0 0.12 0.22 0.32
Interval 0.12 0.1 0.1
Width
Trapezoidal
Simpson’s 1/3
Interval 4 5 6
x 0.32 0.36 0.40 0.44
Interval 0.04 0.04 0.04
Width
Simpson’s 3/8
Example 8(21.8)*
continued
Interval 7 8 9 10
x 0.44 0.54 0.64 0.70 0.8
Interval 0.1 0.1 0.06 0.1
Width
Simpson’s 1/3
Trapezoidal
Trapezoidal
Example 8(21.8)*
continued
Multiple Integrals
They are widely used in engineering. A simple example would be
to take the double integral of a function over a rectangular area.
b d
I    f ( x, y )dydx
a c
Recall form calculus that such integrals

can be computed as iterated integrals

b d
 
d b

I     f ( x, y )dy dx     f ( x, y )dx dy
ac  ca 
Thus, the integral in one of the dimensions is evaluated first. The result
integration is integrated in the second dimension.

Multiple Integrals
b
d  
d b

I     f ( x, y )dy dx     f ( x, y )dx dy
ac  ca 
• Double integration is a twice application of a single numerical

integration method, once in the y-direction and one for the x-
direction.
• Any numerical integration method for single integration can be
applied to double integration.
• The same concept may be extended to 3 or more dimensions

Example 9(21.9)*
Suppose that the temperature of a rectangular heated plate is
described by the following function:
T ( x, y)  2 xy  2 x  x2  2 y 2  72
If the plate is 8-m long (x-dimension) and 6-m wide (y
dimension), compute the average temperature.
a. Using multiple trapezoidal rule with n=2 in both dimensions.
b. Using single application of Simpson’s 1/3 rule in both
dimensions.
Example 9(21.9)*
continued
2544
Integration of Equations
When given an analytic function to integrate, we can generate values at
any point we desire. This can be exploited to yield higher accuracy.
Gauss Quadrature
It can be used to integrate numerically
analytic functions only.
The 2-point quadrature formula employs a

straight line fit similar to the trapezoidal
rule; however, x0 and x1 are chosen so that
the area under the straight line is exactly
equal to the integral of a cubic and simpler
function

Derivation of the Two-point Gauss-
Legendre Formula
I  c0 f ( x0 )  c1 f ( x1 )
To derive c0 , c1 x0 x1
1
c0 f ( x0 )  c1 f ( x1 )   1dx  2
1
1
c0 f ( x0 )  c1 f ( x1 )   xdx  0
1
1
2
c0 f ( x0 )  c1 f ( x1 )   x 2 dx 
1
3
1
c0 f ( x0 )  c1 f ( x1 )   x 3dx  0
1

Derivation of the Two-point Gauss-
Legendre Formula continued
c0  c1  2
c0 x0  c1 x1  0
Solving the equations yields:
1 1
2 c0  c1  1, x0   , x1 
c x c x 
2
0 0
2
1 1
3 3
3
c0 x03  c1 x13  0  1   1 
I  f   f 
 3  3
If the limits of integration are not -1,1 then a new variable xd is defined by:
x  a0  a1 xd
a  a0  a1 (1) ba ba
a0  , a1 
b  a0  a1 (1) 2 2
ba  ba ba

x     xd dx    dxd
 2   2   2 
and the integral is performed for the transformed function
Example 10(22.3)*
Use 2-point Gauss-Legendre formula to evaluate the integral of:
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
between x=0 and x=0.8.
Higher-Point Formulas
I  c0 f ( x0 )  c1 f ( x1 )  .....  cn1 f ( xn1 ) , n= number of points

Example 11(22.4)*
Use 3-point Gauss-Legendre formula to evaluate the integral of:
𝑓 𝑥 = 0.2 + 25𝑥 − 200 𝑥 2 + 675𝑥 3 − 900𝑥 4 + 400𝑥 5
between x=0 and x=0.8.
Numerical Differentiation
We can employ Taylor series expansions to derive finite-divided
difference approximations of derivatives.
We can develop forward, backward and centered difference

approximations of first and higher derivatives.

Higher-accuracy differentiation formulas
From Taylor’s forward series:
f " xi  2 f " ' xi  3
f xi 1   f xi   f ' xi .h  h  h  ... , h  xi 1  xi (1)
2 3!
From (1):
f xi 1   f xi  f " xi  f xi 1   f xi 
f ' ( xi )   h  O h 2    O h  (2)
h 2 h
Writing Taylor’s series for f(xi+2) about f(xi):

f " xi  2 f " ' xi  3 (3)
f xi  2   f xi   f ' xi .2h  .4h  .8h  ...
2 3!
Eliminating f ’(xi) from (1) and (3) yields:

f xi  2   2 f xi 1   f xi  (4)
f " xi    O h 
h2
Equations (2) and (4) are the forward finite divided difference
formulas for f ’(xi) and f”(xi) of O(h)
Forward Finite-Divided Difference

Backward Finite-Divided Difference

Centered Finite-Divided Difference

Example 12(23.1)*
Obtain the derivative of the following function at x=0.5 with
h=0.25
f ( x)  0.1x4  0.15x3  0.5x2  0.25x  1.2
The exact solution is -0.9125. Employ formulas yielding highest
accuracy.
Improving Derivative estimates
1. Decrease h
2. Use a higher-order formula that employs more points
3. C.D. formulas are preferred to F.D. or B.D. Formulas with
the same number of points.

Integration and Differentiation

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ENGR 3202

Engineering Analysis and Computation

Integration and Differentiation

Dr. Mohamed Badran

Mechanical Engineering Department

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

where fn(x) is a polynomial of the form:

ENGR 3202 Dr. Mohamed Badran Spring 2014

Single polynomial Series of polynomials applied piece-wise

ENGR 3202 Dr. Mohamed Badran Spring 2014

Those where the integration domain is

Open form Newton Cotes formulas:

The integration domain extends beyond

ENGR 3202 Dr. Mohamed Badran Spring 2014

Error of the trapezoidal rule:

ENGR 3202 Dr. Mohamed Badran Spring 2014

I  f ( x)dx   f ( x)dx   f ( x)dx     f ( x)dx

Substituting the trapezoidal rule for each

𝑕 𝑛−1 𝑓(𝑥 0 )+2 𝑛𝑖=1

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

a. Simpson’s 1/3 Rule

where f2(x) is a second order

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

I  f ( x)dx   f ( x)dx   f ( x)dx 

Substituting the Simpson’s 1/3 rule for each

Where f (4) is the average fourth derivative for the interval

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

It is possible to employ the trapezoidal rule for each segment

However higher accuracy is achieved if Simpson’s rules are

Whenever 2 or 3 successive equal segments exist, then employ

Recall form calculus that such integrals

ENGR 3202 Dr. Mohamed Badran Spring 2014

• Double integration is a twice application of a single numerical

ENGR 3202 Dr. Mohamed Badran Spring 2014

The 2-point quadrature formula employs a

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

ba  ba ba

ENGR 3202 Dr. Mohamed Badran Spring 2014

We can develop forward, backward and centered difference

ENGR 3202 Dr. Mohamed Badran Spring 2014

Writing Taylor’s series for f(xi+2) about f(xi):

Eliminating f ’(xi) from (1) and (3) yields:

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

ENGR 3202 Dr. Mohamed Badran Spring 2014

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