MATH 3800

MATHEMATICAL MODELS AND NUMERICAL METHODS

NUMERICAL DIFFERENTIATION/INTEGRATION

© 2020 Gary Bazdell (excluding images)

INTRODUCTION
Even in simple applications, there are time we cannot explicitly
evaluate the functions we are using. In this section, methods are
developed to approximate the solution to our problems.

We used algebraic polynomials to approximate an arbitrary set of data

that was given. This was due to the fact that given any continuous
function defined on a closed interval, there exists a polynomial that is
arbitrarily close to the function at every point in the interval.

Derivatives and integrals of polynomials are easily obtained and

evaluated which is why they will be a focus in our methods.
Numerical Differentiation/Integration - Introduction 2
 MATH 3800
MATHEMATICAL MODELS AND NUMERICAL METHODS

NUMERICAL DIFFERENTIATION

Numerical Differentiation - Differentiation

NUMERICAL DIFFERENTIATION
The derivative of the function 𝑓 at 𝑥0 is

𝑓 𝑥0 + ℎ − 𝑓 𝑥0
𝑓′ 𝑥0 = lim .
ℎ→0 ℎ

This formula gives an obvious way to generate an approximation to

𝑓 ′ 𝑥0 which is to simply compute for small values of ℎ the following:

𝑓 𝑥0 + ℎ − 𝑓 𝑥0
.
ℎ
Numerical Differentiation - Differentiation 4
LAGRANGE POLYNOMIAL
To approximate 𝑓 ′ 𝑥0 , suppose that 𝑥0 ∈ 𝑎, 𝑏 where 𝑓 ∈ 𝐶 2 𝑎, 𝑏
and that 𝑥1 = 𝑥0 + ℎ for some ℎ ≠ 0 that is sufficiently small to ensure
that 𝑥1 ∈ 𝑎, 𝑏 .

𝑓 𝑥0 𝑥 − 𝑥0 − ℎ 𝑓 𝑥0 + ℎ 𝑥 − 𝑥0 𝑓 ′′ 𝛼
𝑓 𝑥 = + + 𝑥 − 𝑥0 𝑥 − 𝑥0 − ℎ
−ℎ ℎ 2

for some 𝛼 between 𝑥0 and 𝑥1 .

Numerical Differentiation - Differentiation 5

DERIVATIVE OF LAGRANGE POLYNOMIAL
𝑓 𝑥0 𝑥 − 𝑥0 − ℎ 𝑓 𝑥0 + ℎ 𝑥 − 𝑥0 𝑓 ′′ 𝛼
𝑓 𝑥 = + + 𝑥 − 𝑥0 𝑥 − 𝑥0 − ℎ
−ℎ ℎ 2

𝑓 𝑥0 𝑓 𝑥0 + ℎ 𝑑 𝑓 ′′ 𝛼
𝑓′ 𝑥 =− + + 𝑥 − 𝑥0 𝑥 − 𝑥0 − ℎ
ℎ ℎ 𝑑𝑥 2

𝑓 𝑥0 + ℎ − 𝑓 𝑥0 𝑑 𝑓 ′′ 𝛼
𝑓′ 𝑥
= + 𝑥 − 𝑥0 𝑥 − 𝑥0 − ℎ
ℎ 𝑑𝑥 2

Numerical Differentiation - Differentiation 6

DERIVATIVE OF ERROR TERM
𝑑 𝑓 ′′ 𝛼
𝑥 − 𝑥0 𝑥 − 𝑥0 − ℎ
𝑑𝑥 2

𝑑 ′′ 𝑥 − 𝑥0 𝑥 − 𝑥0 − ℎ ′′
2 𝑥 − 𝑥0 − ℎ
= 𝑓 𝛼 +𝑓 𝛼
𝑑𝑥 2 2

Note: when 𝑥 is 𝑥0 the formula simplifies to

−ℎ ′′
= 𝑓 𝛼
2
Numerical Differentiation - Differentiation 7
FORWARD/BACKWARD DIFFERENCE
For small values of ℎ, the difference quotient

𝑓 𝑥0 + ℎ − 𝑓 𝑥0
ℎ
𝑀
can be used to approximate 𝑓′
𝑥0 with an error bounded by ℎ
2
where 𝑀 is a bound on 𝑓 ′′ 𝑥 for 𝑥 between 𝑥0 and 𝑥1 = 𝑥0 + ℎ.

This formula is called the forward-difference formula if ℎ > 0 and the

backward-difference formula if ℎ < 0.
Numerical Differentiation - Differentiation 8
EXERCISE 1
Use the forward-difference formula to approximate the derivative of

𝑓 𝑥 = ln 𝑥

at 𝑥0 = 1.8 using ℎ = 0.1 and determine the bound for the error
approximation.

Numerical Differentiation - Differentiation 9

GENERAL FORM
Suppose that 𝑥0 , 𝑥1 , … , 𝑥𝑛 are 𝑛 + 1 distinct numbers in some
interval 𝐼 and that 𝑓 ∈ 𝐶 𝑛+1 𝐼 .
𝑛
𝛼 𝑓 𝑛+1
𝑓 𝑥 = ෍ 𝑓 𝑥𝑘 𝐿𝑘 𝑥 + 𝑥 − 𝑥0 … 𝑥 − 𝑥𝑛
𝑛+1 !
𝑘=0

for some 𝛼 in 𝐼, where 𝐿𝑘 (𝑥) denotes the 𝑘th Lagrange coefficient

polynomial for 𝑓 at 𝑥0 , 𝑥1 , … , 𝑥𝑛 .

Numerical Differentiation - Differentiation 10

DERIVATIVE OF GENERAL FORM
𝑛
𝑑 𝑓 𝑛+1 𝛼
𝑓 ′ 𝑥 = ෍ 𝑓 𝑥𝑘 𝐿′𝑘 𝑥 + 𝑥 − 𝑥0 … 𝑥 − 𝑥𝑛
𝑑𝑥 𝑛 + 1 !
𝑘=0
Error Term

𝑑 𝑥 − 𝑥0 … 𝑥 − 𝑥𝑛 𝑛+1
𝑥 − 𝑥0 … 𝑥 − 𝑥𝑛 d 𝑛+1
𝑓 𝛼 + 𝑓 𝛼
𝑑𝑥 𝑛+1 ! 𝑛+1 ! dx

If 𝑥 is one of the number 𝑥𝑗 we get

𝑛
𝑓 𝑛+1𝛼
ෑ 𝑥𝑗 − 𝑥𝑘
𝑛+1 !
𝑘=0,𝑘≠𝑗

Numerical Differentiation - Differentiation 11

 𝒏 + 𝟏 -POINT FORMULA
𝑛 𝑛
𝛼 𝑓 𝑛+1
𝑓′ 𝑥 = ෍ 𝑓 𝑥𝑘 𝐿′𝑘 𝑥 + ෑ 𝑥𝑗 − 𝑥𝑘
𝑛+1 !
𝑘=0 𝑘=0,𝑘≠𝑗

In general, using more evaluation points produces greater accuracy.

Though we need to be careful as the numbers of functional evaluations
grow the more issues with round off error we shall see.

The most common formula is the three-point formula.

Numerical Differentiation - Differentiation 12
THREE-POINT FORMULA
2 2
𝑓 3 𝛼
𝑓′ 𝑥 = ෍ 𝑓 𝑥𝑘 𝐿′𝑘 𝑥 + ෑ 𝑥𝑗 − 𝑥𝑘
6
𝑘=0 𝑘=0,𝑘≠𝑗

𝑥 − 𝑥1 𝑥 − 𝑥2 2𝑥 − 𝑥1 − 𝑥2
𝐿0 𝑥 = 𝐿′0 𝑥 =
𝑥0 − 𝑥1 𝑥0 − 𝑥2 𝑥0 − 𝑥1 𝑥0 − 𝑥2

𝑥 − 𝑥0 𝑥 − 𝑥2 2𝑥 − 𝑥0 − 𝑥2
𝐿1 𝑥 = 𝐿′1 𝑥 =
𝑥1 − 𝑥0 𝑥1 − 𝑥2 𝑥1 − 𝑥0 𝑥1 − 𝑥2

𝑥 − 𝑥0 𝑥 − 𝑥1 2𝑥 − 𝑥0 − 𝑥1
𝐿2 𝑥 = 𝐿′2 𝑥 =
𝑥2 − 𝑥0 𝑥2 − 𝑥1 𝑥2 − 𝑥0 𝑥2 − 𝑥1

Numerical Differentiation - Differentiation 13

THREE-POINT FORMULA
Suppose that each node is equally spaced out.

𝑥0 , 𝑥1 = 𝑥0 + ℎ, 𝑥2 = 𝑥1 + ℎ = 𝑥0 + 2ℎ

2𝑥 − 𝑥1 − 𝑥2 2𝑥 − 2𝑥0 − 3ℎ
𝐿′0 𝑥 = 𝐿′0 𝑥 =
𝑥0 − 𝑥1 𝑥0 − 𝑥2 2ℎ2

2𝑥 − 𝑥0 − 𝑥2 2𝑥 − 2𝑥0 − 2ℎ
𝐿′1 𝑥 = 𝐿′1 𝑥 =
𝑥1 − 𝑥0 𝑥1 − 𝑥2 −ℎ2

2𝑥 − 𝑥0 − 𝑥1 2𝑥 − 2𝑥0 − ℎ
𝐿′2 𝑥 = 𝐿′2 𝑥 =
𝑥2 − 𝑥0 𝑥2 − 𝑥1 2ℎ2

Numerical Differentiation - Differentiation 14

THREE-POINT FORMULA
Using
𝑥0 , 𝑥1 = 𝑥0 + ℎ, 𝑥2 = 𝑥0 + 2ℎ
we get
1 3 1 ℎ2
𝑓 ′ 𝑥0 = − 𝑓 𝑥0 + 2𝑓 𝑥0 + ℎ − 𝑓 𝑥0 + 2ℎ + 𝑓 3
𝛼
ℎ 2 2 3

′
1 1 1 ℎ2 3
𝑓 𝑥0 + ℎ = − 𝑓 𝑥0 + 𝑓 𝑥0 + 2ℎ − 𝑓 𝛼
ℎ 2 2 6

′
1 1 3 ℎ2 3
𝑓 𝑥0 + 2ℎ = 𝑓 𝑥0 − 2𝑓 𝑥0 + ℎ + 𝑓 𝑥0 + 2ℎ + 𝑓 𝛼
ℎ 2 2 3
Numerical Differentiation - Differentiation 15
THREE-POINT FORMULA
With a simple change of variables we get the following

1 ℎ2
𝑓 ′ 𝑥0 = −3𝑓 𝑥0 + 4𝑓 𝑥0 + ℎ − 𝑓 𝑥0 + 2ℎ + 𝑓 3 𝛼
2ℎ 3

1 ℎ2
𝑓 ′ 𝑥0 = −𝑓 𝑥0 − ℎ + 𝑓 𝑥0 + ℎ − 𝑓 3
𝛼
2ℎ 6

1 ℎ2
𝑓 ′ 𝑥0 = 𝑓 𝑥0 − 2ℎ − 4𝑓 𝑥0 − ℎ + 3𝑓 𝑥0 + 𝑓 3 𝛼
2ℎ 3
Numerical Differentiation - Differentiation 16
MIDPOINT AND ENDPOINT FORMULA
Three-Point Endpoint Formula

′
1 ℎ2 3
𝑓 𝑥0 = −3𝑓 𝑥0 + 4𝑓 𝑥0 + ℎ − 𝑓 𝑥0 + 2ℎ + 𝑓 𝛼
2ℎ 3
where 𝛼 lies between 𝑥0 and 𝑥0 + 2ℎ.

Three-Point Midpoint Formula

′
1 ℎ2 3
𝑓 𝑥0 = −𝑓 𝑥0 − ℎ + 𝑓 𝑥0 + ℎ − 𝑓 𝛼
2ℎ 6
where 𝛼 lies between 𝑥0 − ℎ and 𝑥0 + ℎ.

Numerical Differentiation - Differentiation 17

EXERCISE 2
Use the three-point endpoint and midpoint formula to approximate the
derivative of

𝑓 𝑥 = ln 𝑥

at 𝑥0 = 1.8 using ℎ = 0.1 and determine the bound for the error
approximation.

Numerical Differentiation - Differentiation 18

ROUND-OFF ERROR ON MIDPOINT FORMULA
Suppose that in evaluating

𝑓 𝑥0 − ℎ and 𝑓 𝑥0 + ℎ
we encounter round-off errors

𝑒 𝑥0 − ℎ and 𝑒 𝑥0 + ℎ .

These are related to the true values as follows:

𝑓 𝑥0 − ℎ = 𝑓ሚ 𝑥0 − ℎ + 𝑒 𝑥0 − ℎ
𝑓 𝑥0 + ℎ = 𝑓ሚ 𝑥0 + ℎ + 𝑒 𝑥0 + ℎ

Numerical Differentiation - Differentiation 19

TOTAL ERROR
The total error in the approximation is

𝑓ሚ 𝑥0 + ℎ − 𝑓ሚ 𝑥0 − ℎ 𝑒 𝑥0 + ℎ − 𝑒 𝑥0 − ℎ ℎ2
𝑓 ′ 𝑥0 − = − 𝑓 3 𝛼
2ℎ 2ℎ 6

Assume that the round off errors are bounded by some number 𝜀 > 0
and that the third derivative of 𝑓 is bounded by a number 𝑀 > 0.

𝑓ሚ 𝑥0 + ℎ − 𝑓ሚ 𝑥0 − ℎ 𝜀 ℎ2
𝑓 ′ 𝑥0 − ≤ + 𝑀
2ℎ ℎ 6
Numerical Differentiation - Differentiation 20
 MATH 3800
MATHEMATICAL MODELS AND NUMERICAL METHODS

NUMERICAL QUADRATURE

Numerical Quadrature - Integration

NUMERICAL QUADRATURE
The basic method involved in approximating

𝑏
න 𝑓 𝑥 𝑑𝑥
𝑎
is called numerical quadrature.
𝑛 𝑏
෍ 𝑎𝑖 𝑓 𝑥𝑖 ≈ න 𝑓 𝑥 𝑑𝑥
𝑖=0 𝑎

Numerical Quadrature - Integration 22

GENERAL FORM
The basic idea is to select a set of distinct nodes 𝑥0 , 𝑥1 , … , 𝑥𝑛 from
the interval 𝑎, 𝑏 . Then integrate the Lagrange interpolating
polynomial
𝑛

𝑃𝑛 𝑥 = ෍ 𝑓 𝑥𝑖 𝐿𝑖 𝑥
𝑖=0

and its truncation error term over 𝑎, 𝑏 .

Numerical Quadrature - Integration 23

INTEGRATION OF 𝑃𝑛 𝑥
𝑏 𝑏 𝑛 𝑏 𝑛
𝑓 𝑛+1 𝛼
න 𝑓 𝑥 𝑑𝑥 = න ෍ 𝑓 𝑥𝑖 𝐿𝑖 𝑥 𝑑𝑥 + න ෑ 𝑥 − 𝑥𝑖 𝑑𝑥
𝑎 𝑎 𝑎 𝑛+1 !
𝑖=0 𝑖=𝑜

𝑛 𝑏 𝑛
1
= ෍ 𝑎𝑖 𝑓 𝑥𝑖 + න ෑ 𝑥 − 𝑥𝑖 𝑓 𝑛+1 𝛼 𝑑𝑥
𝑛+1 ! 𝑎
𝑖=0 𝑖=𝑜

where 𝛼 is in 𝑎, 𝑏 and
𝑏
𝑎𝑖 = ‫𝑖𝐿 𝑎׬‬ 𝑥 𝑑𝑥, for each 𝑖 = 0, 1, … , 𝑛.
Numerical Quadrature - Integration 24
QUADRATURE FORMULA
The quadrature formula is

𝑏 𝑛

න 𝑓 𝑥 𝑑𝑥 ≈ ෍ 𝑎𝑖 𝑓 𝑥𝑖
𝑎 𝑖=0
with error given by

𝑏 𝑛
1 𝑛+1
𝐸 𝑓 = න ෑ 𝑥 − 𝑥𝑖 𝑓 𝛼 𝑑𝑥
𝑛+1 ! 𝑎
𝑖=0

Numerical Quadrature - Integration 25

THE TRAPEZOIDAL RULE
𝑦

𝑎 = 𝑥0 𝑥1 = 𝑏 𝑥

Numerical Quadrature - Integration 26

THE TRAPEZOIDAL RULE
To derive the Trapezoidal rule, let 𝑥0 = 𝑎, 𝑥1 = 𝑏 and use the linear
Lagrange polynomial.

𝑏 𝑥1
𝑥 − 𝑥1 𝑥 − 𝑥0 1 𝑥1 ′′
න 𝑓 𝑥 𝑑𝑥 = න 𝑓 𝑥𝑜 + 𝑓 𝑥1 𝑑𝑥 + න 𝑓 𝛼 𝑥 − 𝑥0 𝑥 − 𝑥1 𝑑𝑥
𝑎 𝑥0 𝑥0 − 𝑥1 𝑥1 − 𝑥0 2 𝑥0

𝑏 3
𝑥1 − 𝑥0 𝑥1 − 𝑥0
න 𝑓 𝑥 𝑑𝑥 = 𝑓 𝑥0 + 𝑓 𝑥1 − 𝑓 ′′ 𝛼
𝑎 2 12

Numerical Quadrature - Integration 27

SIMPSON’S RULE
𝑦

𝑎 = 𝑥0 𝑥2 = 𝑏 𝑥

Numerical Quadrature - Integration 28

SIMPSON’S RULE
𝑥2 −𝑥0
To derive Simpson’s rule, let 𝑥0 = 𝑎, 𝑥2 = 𝑏, 𝑥1 = 𝑎 + ℎ, ℎ = and use the second Lagrange
2
polynomial.

𝑏
න 𝑓 𝑥 𝑑𝑥 =
𝑎
𝑥2
𝑥 − 𝑥1 𝑥 − 𝑥2 𝑥 − 𝑥0 𝑥 − 𝑥2 𝑥 − 𝑥0 𝑥 − 𝑥1
න 𝑓 𝑥𝑜 + 𝑓 𝑥1 + 𝑓 𝑥2 𝑑𝑥
𝑥0 𝑥0 − 𝑥1 𝑥0 − 𝑥2 𝑥1 − 𝑥0 𝑥1 − 𝑥2 𝑥2 − 𝑥0 𝑥2 − 𝑥1
1 𝑥2 3
+ න 𝑓 𝛼 𝑥 − 𝑥0 𝑥 − 𝑥1 𝑥 − 𝑥2 𝑑𝑥
6 𝑥0

𝑏
ℎ ℎ5 4
න 𝑓 𝑥 𝑑𝑥 = 𝑓 𝑥0 + 4𝑓 𝑥1 + 𝑓 𝑥2 − 𝑓 𝛼
𝑎 3 90

Numerical Quadrature - Integration 29

EXERCISE 3
Compare the Trapezoidal rule and Simpson’s rule approximations to

2
න 𝑥 2 𝑑𝑥 .
0

Numerical Quadrature - Integration 30

THE OPEN MIDPOINT RULE
𝑦

𝑏 3
𝑥1 − 𝑥0
න 𝑓 𝑥 𝑑𝑥 = 𝑥1 − 𝑥0 𝑓 𝑥∗ + 𝑓 ′′ 𝛼
𝑎 24

𝑎 = 𝑥0 𝑎+𝑏 𝑥1 = 𝑏 𝑥
𝑥∗ =
2

Numerical Quadrature - Integration 31

PIECEWISE APPROACH
𝑏−𝑎
We now look at chopping an interval 𝑎, 𝑏 into 𝑛 subintervals with ℎ = .
𝑛
Midpoint Rule
𝑏 𝑛−1 2
∗ ℎ ′′ ∗ ℎ
න 𝑓 𝑥 𝑑𝑥 = ℎ ෍ 𝑓 𝑥𝑖 + 𝑏−𝑎 𝑓 𝛼 , 𝑥𝑖 = 𝑥𝑖 +
𝑎 24 2
𝑖=0
Trapezoidal Rule
𝑏 𝑛−1
ℎ ℎ2
න 𝑓 𝑥 𝑑𝑥 = ෍ 𝑓 𝑥𝑖 + 𝑓 𝑥𝑖+1 − 𝑏 − 𝑎 𝑓 ′′ 𝛼
𝑎 2 12
𝑖=0
Simpson’s Rule (𝑛 must𝑛be even)
𝑏 2 −1
ℎ ℎ4 4
න 𝑓 𝑥 𝑑𝑥 = ෍ 𝑓 𝑥2𝑖 + 4𝑓 𝑥2𝑖+1 + 𝑓 𝑥2𝑖+2 − 𝑏−𝑎 𝑓 𝛼
𝑎 3 180
𝑖=0

Numerical Quadrature - Integration 32

EXERCISE 4
Approximate the following integral using the midpoint, trapezoidal, and
Simpson’s rule for 𝑛 = 8

2
2 −𝑥 2
න 𝑥 𝑒 𝑑𝑥
0

Numerical Quadrature - Integration 33

 MATH 3800
MATHEMATICAL MODELS AND NUMERICAL METHODS

GAUSSIAN QUADRATURE

Gaussian Quadrature - Gaussian Quadrature

GAUSSIAN QUADRATURE
In Gaussian quadrature, the nodes for evaluating are chosen in an
optimal way rather than an equally spaced way. The nodes
𝑥1 , 𝑥2 , … , 𝑥𝑛
are in the interval 𝑎, 𝑏 and the coefficients
𝑐1 , 𝑐2 , … , 𝑐𝑛
are chosen to minimize the expected error obtained in the
approximation
𝑏 𝑛

න 𝑓 𝑥 𝑑𝑥 ≈ ෍ 𝑐𝑖 𝑓 𝑥𝑖
𝑎 𝑖=1

Gaussian Quadrature - Gaussian Quadrature 35

APPROXIMATING POLYNOMIAL
We are interested in solving for the 2𝑛 parameters,
𝑐1 , … , 𝑐𝑛 , 𝑥1 , … , 𝑥𝑛
such that the choice of these values produces the greatest degree of
precision for the largest class of polynomials.

If the coefficients of a polynomial are considered parameters, we

should choose a polynomial of degree 2𝑛 − 1 as it has 2𝑛 coefficients.

This is the largest class of polynomials for which it is reasonable to

expect a formula to be exact.

Gaussian Quadrature - Gaussian Quadrature 36

BASIS OF THE GAUSSIAN QUADRATURE RULE
In the two-point Gaussian Quadrature Rule, the integral is
approximated as

𝑏
𝐼 = න 𝑓 𝑥 𝑑𝑥 ≈ 𝑐1 𝑓 𝑥1 + 𝑐2 𝑓 𝑥2
𝑎

Suppose our interval of integration is −1, 1 . The four unknowns

𝑥1 , 𝑥2 , 𝑐1 , 𝑐2 are found by assuming that the formula gives exact results
for integrating a general three order polynomial.

Gaussian Quadrature - Gaussian Quadrature 37

BASIS OF THE GAUSSIAN QUADRATURE
Hence, exact when 𝑓 𝑥 = 𝑎0 + 𝑎1 𝑥 + 𝑎2 𝑥 2 + 𝑎3 𝑥 3 .
Integrating 𝑓 𝑥 directly gives us,

1 1
න 𝑓 𝑥 𝑑𝑥 = න 𝑎0 + 𝑎1 𝑥 + 𝑎2 𝑥 2 + 𝑎3 𝑥 3 𝑑𝑥
−1 −1
2 3 4 1
𝑎1 𝑥 𝑎2 𝑥 𝑎3 𝑥
= 𝑎0 𝑥 + + +
2 3 4 −1
2
= 𝑎0 2 + 𝑎1 0 + 𝑎2 + 𝑎3 0
3

Gaussian Quadrature - Gaussian Quadrature 38

BASIS OF THE GAUSSIAN QUADRATURE
If we substitute 𝑓 𝑥 into our two point approximation we get

1
න 𝑓 𝑥 𝑑𝑥 = 𝑐1 𝑎0 + 𝑎1 𝑥1 + 𝑎2 𝑥12 + 𝑎3 𝑥13 + 𝑐2 𝑎0 + 𝑎1 𝑥2 + 𝑎2 𝑥22 + 𝑎3 𝑥23
−1

Equating equations, the two previous expressions yield

2
𝑎0 2 + 𝑎1 0 + 𝑎2 + 𝑎3 0
3
= 𝑐1 𝑎0 + 𝑎1 𝑥1 + 𝑎2 𝑥12 + 𝑎3 𝑥13 + 𝑐2 𝑎0 + 𝑎1 𝑥2 + 𝑎2 𝑥22 + 𝑎3 𝑥23
= 𝑎0 𝑐1 + 𝑐2 + 𝑎1 𝑐1 𝑥1 + 𝑐2 𝑥2 + 𝑎2 𝑐1 𝑥12 + 𝑐2 𝑥22 + 𝑎3 𝑐1 𝑥13 + 𝑐2 𝑥23

Gaussian Quadrature - Gaussian Quadrature 39

BASIS OF THE GAUSSIAN QUADRATURE
Since the constants 𝑎0 , 𝑎1 , 𝑎2 , 𝑎3 are arbitrary, we are left with the
following
𝑐1 + 𝑐2 = 2 𝑐1 𝑥1 + 𝑐2 𝑥2 = 0
2
2
𝑐1 𝑥1 + 𝑐2 𝑥2 =2
𝑐1 𝑥13 + 𝑐2 𝑥23 = 0
3

A little algebra show that this system of equations has the unique
solution
𝑐1 = 1 𝑐2 = 1
3 3
𝑥1 = − 𝑥2 =
3 3
Gaussian Quadrature - Gaussian Quadrature 40
BASIS OF THE GAUSSIAN QUADRATURE
The two point Gaussian quadrature rule gives the approximation

1
3 3
න 𝑓 𝑥 𝑑𝑥 ≈ 𝑓 − +𝑓 .
−1 3 3

NOTE This formula produces the exact result for every polynomial of
degree three or less.

Gaussian Quadrature - Gaussian Quadrature 41

LEGENDRE POLYNOMIALS
Legendre polynomials are a system of complete and orthogonal
polynomials that are solutions to Legendre’s differential equation
1 − 𝑥 2 𝑦 ′′ − 2𝑥𝑦 ′ + 𝑛 𝑛 + 1 𝑦 = 0.

The set that is relevant to our problem, 𝑃0 𝑥 , 𝑃1 𝑥 , … , 𝑃𝑛 𝑥 , …

with the following properties:
1. For each 𝑛, 𝑃𝑛 𝑥 is a monic polynomial of degree 𝑛.
1
2. ‫׬‬−1 𝑃 𝑥 𝑃𝑛 𝑥 𝑑𝑥 = 0 whenever 𝑃 𝑥 is a polynomial of degree
less than 𝑛.

Gaussian Quadrature - Gaussian Quadrature 42

LEGENDRE POLYNOMIALS
The first few Legendre polynomials are

1
𝑃0 𝑥 = 1 𝑃1 𝑥 = 𝑥 𝑃2 𝑥 = 𝑥2 −
3
3
3
6 2 3
4
𝑃3 𝑥 = 𝑥 − 𝑥 and 𝑃4 𝑥 = 𝑥 − 𝑥 +
5 7 35

The roots of these polynomials are distinct, lie in the interval −1, 1 ,
have symmetry with respect to the origin, and are the correct choices
for determining the parameters that give us the nodes and coefficients
for our quadrature method.
Gaussian Quadrature - Gaussian Quadrature 43
THEOREM
Suppose that 𝑥1 , … , 𝑥𝑛 are the roots of the 𝑛th Legendre polynomial 𝑃𝑛 𝑥
and for each 𝑖 = 1, … , 𝑛, the numbers 𝑐𝑖 are defined by
1 𝑛
𝑥 − 𝑥𝑗
𝑐𝑖 = න ෑ 𝑑𝑥
𝑥𝑖 − 𝑥𝑗
−1 𝑗=1
𝑗≠𝑖

If 𝑃 𝑥 is any polynomial of degree less than

𝑛
2𝑛, then
1
න 𝑃 𝑥 𝑑𝑥 = ෍ 𝑐𝑖 𝑃 𝑥𝑖
−1 𝑖=1

Gaussian Quadrature - Gaussian Quadrature 44

 TABLE
The constants 𝑐𝑖 𝑛 Roots Coefficients
needed for the 2 0.5773502692 1.0000000000
quadrature rule can -0.5773502692 1.0000000000
be generated from
3 0.7745966692 0.5555555556
the equation in the
theorem. The 0.0000000000 0.8888888889
following lists these -0.7745966692 0.5555555556
values for 4 0.8611363116 0.3478548451
0.3399810436 0.6521451549
𝑛 = 2, 3, 4 -0.3399810436 0.6521451549
-0.8611363116 0.3478548451
Gaussian Quadrature - Gaussian Quadrature 45
EXERCISE 5
Approximate

1
න 𝑒 𝑥 cos 𝑥 𝑑𝑥
−1

using Gaussian quadrature with 𝑛 = 3.

Gaussian Quadrature - Gaussian Quadrature 46

OTHER INTERVALS
What if the integral is not posed over the interval −1,1 ?

Apply a change of variable to rewrite any integral over [𝑎, 𝑏] as in

integral over −1,1 .

𝑏
𝑏−𝑎 1 1 1
න 𝑔 𝑥 𝑑𝑥 = න 𝑔 𝑏−𝑎 𝑡+𝑎+𝑏 𝑑𝑡 = න 𝑓 𝑡 𝑑𝑡
𝑎 2 −1 2 −1

Gaussian Quadrature - Gaussian Quadrature 47

EXERCISE 6
Approximate

𝜋
න sin 𝑥 𝑑𝑥
0

using Gaussian quadrature with 𝑛 = 3.

Gaussian Quadrature - Gaussian Quadrature 48