1

Romberg Rule of
Integration
2
Basis of Romberg Rule
Integration

b
a
dx ) x ( f I
The process of
measuring the area
under a curve.
Where:
f(x) is the integrand
a= lower limit of
integration
b= upper limit of
integration
f(x)
a b
y
x

b
a
dx ) x ( f

What is The Romberg

Rule!
Romberg Integration is an e"trapolation
formula of the Trape#oidal Rule for integration.
It provides a better appro"imation of the
integral b$ reducing the True %rror.
&
%rror in 'ultiple (egment
Trape#oidal Rule
The true error in a multiple segment
Trape#oidal
Rule with n segments for an integral
Is given b$

b
a
dx ) x ( f I
( )
( )
n
f
n
a b
E
n
i
i
t

1
2
3
12
where for each i) is a point somewhere in
the domain ) .
i

( ) [ ] ih a , h i a + + 1
*
%rror in 'ultiple (egment
Trape#oidal Rule
The term can be viewed as an
( )
n
f
n
i
i

1
appro"imate average value of in
.
( ) x f
[ ] b , a
This leads us to sa$ that the true error) %
t

previousl$ de+ned can be appro"imated
as
2
1
n
E
t

,
%rror in 'ultiple (egment
Trape#oidal Rule
Table 1 shows the
results obtained for
the integral using
multiple segment
Trape#oidal rule for
n -alue %
t
1 11.,. ./0 0.21,
2 112,, 2/* 1..*&
111* 11.& /..2,*
& 1111 *1.* /.&,**
* 11/1& ./ /.21.1
, 11/.& 22.1 /.2/0/
0 11/0. 1,.. /.1*21
. 11/0& 12.1 /.11,*

,
_

1
]
1

30
8
8 9
2100 140000
140000
2000 dt t .
t
ln x
Table 1: Multiple Segment Trapezoidal Rule Values
%
t

0
%rror in 'ultiple (egment
Trape#oidal Rule
The true error gets appro"imatel$
2uartered as the number of segments is
doubled. This information is used to get a
better appro"imation of the integral) and is
the basis of Richardson3s e"trapolation.
.
Richardson3s %"trapolation for
Trape#oidal Rule
The true error) in the n4segment
Trape#oidal rule is estimated as
t
E
2
n
C
E
t

where C is an approximate constant of
proportionalit$. (ince
n t
I TV E
Where T- = true value and = appro".
value
n
I
1
Richardson3s %"trapolation for
Trape#oidal Rule
5rom the previous development) it can be
shown that
( )
n
I TV
n
C
2
2
2

when the segment si#e is doubled and
that
3
2
2
n n
n
I I
I TV

+
which is Richardson3s %"trapolation.
1/
%"ample 1
The vertical distance covered b$ a roc6et from .
to / seconds is given b$

,
_

1
]
1

30
8
8 9
2100 140000
140000
2000 dt t .
t
ln x
a7 8se Richardson3s rule to +nd the distance
covered.
8se the 24segment and &4segment
Trape#oidal
rule results given in Table 1.
b7 5ind the true error) %
t
for part 9a7.
c7 5ind the absolute relative true error) for
part 9a7.
a

11
(olution
a7 m I 11266
2
m I 11113
4

8sing Richardson3s e"trapolation
formula for Trape#oidal rule
3
2
2
n n
n
I I
I TV

+
and choosing n=2)
3
2 4
4
I I
I TV

+
3
11266 11113
11113

+
m 11062
12
(olution 9cont.7
b7 The e"act value of the above integral is

,
_

1
]
1

30
8
8 9
2100 140000
140000
2000 dt t .
t
ln x
m 11061
:ence
Value e Approximat Value True E
t

11062 11061
m 1
1
(olution 9cont.7
c7 The absolute relative true error t

would then be
100
11061
11062 11061

t
% .00904 0
Table 2 shows the Richardson3s e"trapolation
results using 1) 2) &) . segments. Results are
compared with those of Trape#oidal rule.
1&
(olution 9cont.7
Table 2: The values obtained using
Richardson3s e"trapolation formula for
Trape#oidal rule for

,
_

1
]
1

30
8
8 9
2100 140000
140000
2000 dt t .
t
ln x
n Trapezoidal
Rule
for
Trapezoidal Rule
Richardson
s
Extrapolatio
n
for
Richardsons
Extrapolation
1
2
&
.
11.,.
112,,
1111
11/0&
0.21,
1..*&
/.&,**
/.11,*
44
11/,*
11/,2
11/,1
44
/./,1,
/.//1/&1
/.////
Table : Richardsons Extrapolation
Values
t

1*
Romberg Integration
Romberg integration is same as Richardson3s
e"trapolation formula as given previousl$.
:owever) Romberg used a recursive algorithm
for the e"trapolation. Recall
3
2
2
n n
n
I I
I TV

+
This can alternatel$ be written as
( )
3
2
2 2
n n
n
R
n
I I
I I

+
1 4
1 2
2
2

n n
n
I I
I
1,
;ote that the variable TV is replaced b$ as the
value obtained using Richardson3s e"trapolation formula.
;ote also that the sign is replaced b$ = sign.
( )
R
n
I
2

Romberg Integration
:ence the estimate of the true value now is
( )
4
2
Ch I TV
R
n
+
Where <h
&
is an appro"imation of the true
error.
10
Romberg Integration
=etermine another integral value with further
halving the step si#e 9doubling the number of
segments7)
( )
3
2 4
4 4
n n
n
R
n
I I
I I

+
It follows from the two previous
e"pressions that the true value T- can be
written as
( )
( ) ( )
15
2 4
4
R n R n
R n
I I
I TV

+
( ) ( )
1 4
1 3
2 4
4

R
n
R
n
n
I I
I
1.
Romberg Integration
2
1 4
1
1 1 1
1 1

+
+
k ,
I I
I I
k
j , k j , k
j , k j , k
The inde" k represents the order of
e"trapolation.
6=1 represents the values obtained from the
regular
Trape#oidal rule) 6=2 represents values obtained
using the true estimate as >9h
2
7. The inde" j
represents the more and less accurate estimate of
the integral.
? general e"pression for Romberg integration
can be written as
11
%"ample 2
The vertical distance covered b$ a roc6et from
8 t
to
30 t
seconds is given b$

,
_

1
]
1

30
8
8 9
2100 140000
140000
2000 dt t .
t
ln x
8se Romberg3s rule to +nd the distance
covered. 8se the 1) 2) &) and .4segment
Trape#oidal rule results as given in the Table 1.
2/
(olution
5rom Table 1) the needed values from original
Trape#oidal rule are
11868
1 1

,
I 11266
2 1

,
I
11113
3 1

,
I
11074
4 1

,
I
where the above four values correspond to using
1) 2) & and . segment Trape#oidal rule)
respectivel$.
21
(olution 9cont.7
To get the +rst order e"trapolation values)
11065
3
11868 11266
11266
3
1 , 1 2 , 1
2 , 1 1 , 2

+
I I
I I
(imilarl$)
11062
3
11266 11113
11113
3
2 , 1 3 , 1
3 , 1 2 , 2

+
I I
I I
11061
3
11113 11074
11074
3
3 , 1 4 , 1
4 , 1 3 , 2

+
I I
I I
22
(olution 9cont.7
5or the second order e"trapolation values)
11062
15
11065 11062
11062
15
1 , 2 2 , 2
2 , 2 1 , 3

+
I I
I I
(imilarl$
)
11061
15
11062 11061
11061
15
2 , 2 3 , 2
3 , 2 2 , 3

+
I I
I I
2
(olution 9cont.7
5or the third order e"trapolation values)
63
1 3 2 3
2 3 1 4
, ,
, ,
I I
I I

+
63
11062 11061
11061

+
m 11061
Table shows these increased correct values in a
tree graph.
2&
(olution 9cont.7
11.,
.
112,
,
1111

11/0
&
11/,
*
11/,
2
11/,
1
11/,
2
11/,
1
11/,
1
1-
segment
2-
segment
4-
segment
8-
segment
First
r!er
"econ! r!er T#ir! r!er
Table !: Impro"ed estimates of the integral "alue using Romberg Integration
%rror: >9h
2
7 >9h
&
7 >9h
,
7 >9h
.
7
Romberg
level of
integration
References

?utar @aw) $omberg %ntegration) Transforming

;umerical 'ethods %ducation for (T%'
8ndergraduates)
http:AAnumericalmethods.eng.usf.edu.
2*