Numerical recipes

4.1 Classical Formulas for Equally Spaced Abscissas 133
Notice that the integral from a = x0 to b = x5 is estimated, using only the interior
points x1,x2,x3,x4. In our opinion, formulas of this type are not useful for the
reasons that (i) they cannot usefully be strung together to get “extended” rules, as we
are about to do with the closed formulas, and (ii) for all other possible uses they are
dominated by the Gaussian integration formulas which we will introduce in §4.5.
Instead of the Newton-Cotes open formulas, let us set out the formulas for
estimating the integral in the single interval from x0 to x1, using values of the
function f at x1,x2,.... These will be useful building blocks for the “extended”
open formulas.
� x1
x0
� x1
x0
� x1
x0
� x1
x0
f(x)dx = h[f1] +O(h 2 f ′ ) (4.1.7)
�
3
f(x)dx = h
2 f1 − 1
2 f2
�
+ O(h 3 f ′′ ) (4.1.8)
�
23
f(x)dx = h
12 f1 − 16
12 f2 + 5
12 f3
�
+ O(h 4 f (3) ) (4.1.9)
�
55
f(x)dx = h
24 f1 − 59
24 f2 + 37
24 f3 − 9
24 f4
�
+ O(h 5 f (4) )(4.1.10)
Perhaps a word here would be in order about how formulas like the above can
be derived. There are elegant ways, but the most straightforward is to write down the
basic form of the formula, replacing the numerical coefficients with unknowns, say
p, q, r, s. Without loss of generality take x0 =0and x1 =1,soh =1. Substitute in
turn for f(x) (and for f1,f2,f3,f4) the functions f(x) =1, f(x) =x, f(x) =x 2 ,
and f(x) =x 3 . Doing the integral in each case reduces the left-hand side to a
number, and the right-hand side to a linear equation for the unknowns p, q, r, s.
Solving the four equations produced in this way gives the coefficients.
Extended Formulas (Closed)
If we use equation (4.1.3) N − 1 times, to do the integration in the intervals
(x1,x2), (x2,x3),...,(xN−1,xN ), and then add the results, we obtain an “extended”
or “composite” formula for the integral from x 1 to xN .
Extended trapezoidal rule:
� � xN
1
f(x)dx = h
x1
2 f1 + f2 + f3+
···+ fN−1 + 1
2 fN
� � 3 ′′ (b − a) f
+ O
N 2
� (4.1.11)
Here we have written the error estimate in terms of the interval b − a and the number
of points N instead of in terms of h. This is clearer, since one is usually holding
a and b fixed and wanting to know (e.g.) how much the error will be decreased
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