Numerical Integration | Numerical Methods Lesson

Numerical integration, also known as quadrature, is a broad category of algorithms for calculating the numerical value of a definite integral. The aim is to compute an approximate solution to the integral of a function over a defined interval [a, b], when the exact solution is difficult or impossible to find. Here are three common methods:

  1. Trapezoidal Rule: This is one of the simplest methods for numerical integration. The idea is to approximate the area under the curve as a series of trapezoids. The area of each trapezoid is calculated and then summed to provide an approximation of the entire integral. This method is relatively easy to understand and implement but is not always the most accurate, especially for complex functions.
  2. Simpson’s Rule: Simpson’s Rule provides a better approximation than the Trapezoidal Rule by approximating the function with a second-degree polynomial (a parabola) rather than a straight line. This can provide a much more accurate approximation, particularly for smooth functions. Simpson’s Rule is more computationally intensive than the Trapezoidal Rule, but the increase in accuracy can make it worthwhile.
  3. Gaussian Quadrature: This is a more complex method of numerical integration that aims to reduce the error by choosing not just the weights (as in the Trapezoidal and Simpson’s rules) but also the points at which the function is evaluated. When the function is well-approximated by a polynomial, Gaussian Quadrature can provide very accurate results.

In practice, the choice of method depends on the nature of the function to be integrated and the balance between the need for accuracy and the computational resources available.

It’s also worth noting that all numerical integration methods involve a trade-off between accuracy and computational efficiency. The finer the partition of the interval [a, b], the more accurate the approximation, but the more computational effort is required.

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