140 Chapter 4.Integration of Functions 4.3 Romberg Integration We can view Romberg's method as the natural generalization of the routine qsimp in the last section to integration schemes that are of higher order than Simpson's rule.The basic idea is to use the results from k successive refinements of the extended trapezoidal rule (implemented in trapzd)to remove all terms in the error series up to but not including O(1/N2).The routine qsimp is the case of k=2.This is one example of a very general idea that goes by the name of Richardson's deferred approach to the limit:Perform some numerical algorithm for various values of a parameter h,and then extrapolate the result to the continuum 81 limit h 0. Equation(4.2.4),which subtracts off the leading error term,is a special case of polynomial extrapolation.In the more general Romberg case,we can use Neville's 茶 algorithm (see 83.1)to extrapolate the successive refinements to zero stepsize. Neville's algorithm can in fact be coded very concisely within a Romberg integration routine.For clarity of the program.however,it seems better to do the extrapolation RECIPES I by function call to polint,already given in 83.1. 令 #include Press. #define EPS 1.0e-6 #define JMAX 20 #define JMAXP (JMAX+1) #define K 5 Here EPS is the fractional accuracy desired,as determined by the extrapolation error estimate JMAX limits the total number of steps;K is the number of points used in the extrapolation. IENTIFIC float gromb(float (*func)(float),float a,float b) Returns the integral of the function func from a to b.Integration is performed by Romberg's method of order 2K,where,e.g.,K=2 is Simpson's rule. void polint(float xa],float ya],int n,float x,float y,float *dy); float trapzd(float (*func)(float),float a,float b,int n); void nrerror(char error_text[]); float ss,dssi float s [JMAXP],h[JMAXP+1]; These store the successive trapezoidal approxi- 10621 int j; mations and their relative stepsizes. h[1]=1.0; uurrggroglrion Numerical Recipes 43106 for (j=1;j=K)[ (outside polint(&h[j-K],&s [j-K],K,0.0,&ss,&dss); if (fabs(dss)<=EPS*fabs(ss))return ss; Software. h[j+1]=0.25*h[j]; Ame ying of This is a key step:The factor is 0.25 even though the stepsize is decreased by only 0.5.This makes the extrapolation a polynomial in h2 as allowed by equation (4.2.1), not just a polynomial in h d nrerror("Too many steps in routine qromb"); return 0.0; Never get here. The routine gromb,along with its required trapzd and polint,is quite powerful for sufficiently smooth(e.g.,analytic)integrands,integrated over intervals
140 Chapter 4. Integration of Functions Permission is granted for internet users to make one paper copy for their own personal use. Further reproduction, or any copyin Copyright (C) 1988-1992 by Cambridge University Press. Programs Copyright (C) 1988-1992 by Numerical Recipes Software. Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5) g of machinereadable files (including this one) to any server computer, is strictly prohibited. To order Numerical Recipes books or CDROMs, visit website http://www.nr.com or call 1-800-872-7423 (North America only), or send email to directcustserv@cambridge.org (outside North America). 4.3 Romberg Integration We can view Romberg’s method as the natural generalization of the routine qsimp in the last section to integration schemes that are of higher order than Simpson’s rule. The basic idea is to use the results from k successive refinements of the extended trapezoidal rule (implemented in trapzd) to remove all terms in the error series up to but not including O(1/N 2k). The routine qsimp is the case of k = 2. This is one example of a very general idea that goes by the name of Richardson’s deferred approach to the limit: Perform some numerical algorithm for various values of a parameter h, and then extrapolate the result to the continuum limit h = 0. Equation (4.2.4), which subtracts off the leading error term, is a special case of polynomial extrapolation. In the more general Romberg case, we can use Neville’s algorithm (see §3.1) to extrapolate the successive refinements to zero stepsize. Neville’s algorithm can in fact be coded very concisely within a Romberg integration routine. For clarity of the program, however, it seems better to do the extrapolation by function call to polint, already given in §3.1. #include #define EPS 1.0e-6 #define JMAX 20 #define JMAXP (JMAX+1) #define K 5 Here EPS is the fractional accuracy desired, as determined by the extrapolation error estimate; JMAX limits the total number of steps; K is the number of points used in the extrapolation. float qromb(float (*func)(float), float a, float b) Returns the integral of the function func from a to b. Integration is performed by Romberg’s method of order 2K, where, e.g., K=2 is Simpson’s rule. { void polint(float xa[], float ya[], int n, float x, float *y, float *dy); float trapzd(float (*func)(float), float a, float b, int n); void nrerror(char error_text[]); float ss,dss; float s[JMAXP],h[JMAXP+1]; These store the successive trapezoidal approxiint j; mations and their relative stepsizes. h[1]=1.0; for (j=1;j= K) { polint(&h[j-K],&s[j-K],K,0.0,&ss,&dss); if (fabs(dss) <= EPS*fabs(ss)) return ss; } h[j+1]=0.25*h[j]; This is a key step: The factor is 0.25 even though the stepsize is decreased by only 0.5. This makes the extrapolation a polynomial in h2 as allowed by equation (4.2.1), not just a polynomial in h. } nrerror("Too many steps in routine qromb"); return 0.0; Never get here. } The routine qromb, along with its required trapzd and polint, is quite powerful for sufficiently smooth (e.g., analytic) integrands, integrated over intervals
4.4 Improper Integrals 141 which contain no singularities,and where the endpoints are also nonsingular.gromb. in such circumstances,takes many,many fewer function evaluations than either of the routines in 84.2.For example,the integral ^2 rlog(x+Vr2+1)dz /0 converges (with parameters as shown above)on the very first extrapolation,after just 5 calls to trapzd,while qsimp requires 8 calls(8 times as many evaluations of the integrand)and qtrap requires 13 calls(making 256 times as many evaluations of the integrand). CITED REFERENCES AND FURTHER READING: Stoer,J.,and Bulirsch,R.1980,Introduction to Numerical Analysis (New York:Springer-Verlag). 5853.4-3.5. Dahlquist,G.,and Bjorck,A.1974,Numerica/Methods (Englewood Cliffs,NJ:Prentice-Hall), $87.4.1-7.4.2. RECIPES I Ralston,A.,and Rabinowitz,P.1978,A First Course in Numerical Analysis,2nd ed.(New York: McGraw-Hill),$4.10-2. 。 令 Press. 4.4 Improper Integrals IENTIFIC For our present purposes,an integral will be"improper"if it has any of the following problems: 6 its integrand goes to a finite limiting value at finite upper and lower limits, but cannot be evaluated right on one of those limits (e.g.,sin x/x at x =0) its upper limit is oo,or its lower limit is -oo it has an integrable singularity at either limit(e.g.,1/2 at0) it has an integrable singularity at a known place between its upper and lower limits Recipes Numerica 10.621 it has an integrable singularity at an unknown place between its upper 431 and lower limits If an integral is infinite (e.g.),or does not exist in a limiting sense Recipes (e.gco)we do not call it improper,we call it impossible.No amount of (outside 腿 clever algorithmics will return a meaningful answer to an ill-posed problem. North In this section we will generalize the techniques of the preceding two sections to cover the first four problems on the above list.A more advanced discussion of quadrature with integrable singularities occurs in Chapter 18,notably 818.3.The fifth problem,singularity at unknown location,can really only be handled by the use of a variable stepsize differential equation integration routine,as will be given in Chapter 16. We need a workhorse like the extended trapezoidal rule (equation 4.1.11),but one which is an open formula in the sense of 84.1,i.e.,does not require the integrand to be evaluated at the endpoints.Equation(4.1.19),the extended midpoint rule,is the best choice.The reason is that (4.1.19)shares with(4.1.11)the"deep"property of
4.4 Improper Integrals 141 Permission is granted for internet users to make one paper copy for their own personal use. Further reproduction, or any copyin Copyright (C) 1988-1992 by Cambridge University Press. Programs Copyright (C) 1988-1992 by Numerical Recipes Software. Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5) g of machinereadable files (including this one) to any server computer, is strictly prohibited. To order Numerical Recipes books or CDROMs, visit website http://www.nr.com or call 1-800-872-7423 (North America only), or send email to directcustserv@cambridge.org (outside North America). which contain no singularities, and where the endpoints are also nonsingular. qromb, in such circumstances, takes many, many fewer function evaluations than either of the routines in §4.2. For example, the integral 2 0 x4 log(x + x2 + 1)dx converges (with parameters as shown above) on the very first extrapolation, after just 5 calls to trapzd, while qsimp requires 8 calls (8 times as many evaluations of the integrand) and qtrap requires 13 calls (making 256 times as many evaluations of the integrand). CITED REFERENCES AND FURTHER READING: Stoer, J., and Bulirsch, R. 1980, Introduction to Numerical Analysis (New York: Springer-Verlag), §§3.4–3.5. Dahlquist, G., and Bjorck, A. 1974, Numerical Methods (Englewood Cliffs, NJ: Prentice-Hall), §§7.4.1–7.4.2. Ralston, A., and Rabinowitz, P. 1978, A First Course in Numerical Analysis, 2nd ed. (New York: McGraw-Hill), §4.10–2. 4.4 Improper Integrals For our present purposes, an integral will be “improper” if it has any of the following problems: • its integrand goes to a finite limiting value at finite upper and lower limits, but cannot be evaluated right on one of those limits (e.g.,sin x/x at x = 0) • its upper limit is ∞ , or its lower limit is −∞ • it has an integrable singularity at either limit (e.g., x−1/2 at x = 0) • it has an integrable singularity at a known place between its upper and lower limits • it has an integrable singularity at an unknown place between its upper and lower limits If an integral is infinite (e.g., ∞ 1 x−1dx), or does not exist in a limiting sense (e.g., ∞ −∞ cos xdx), we do not call it improper; we call it impossible. No amount of clever algorithmics will return a meaningful answer to an ill-posed problem. In this section we will generalize the techniques of the preceding two sections to cover the first four problems on the above list. A more advanced discussion of quadrature with integrable singularities occurs in Chapter 18, notably §18.3. The fifth problem, singularity at unknown location, can really only be handled by the use of a variable stepsize differential equation integration routine, as will be given in Chapter 16. We need a workhorse like the extended trapezoidal rule (equation 4.1.11), but one which is an open formula in the sense of §4.1, i.e., does not require the integrand to be evaluated at the endpoints. Equation (4.1.19), the extended midpoint rule, is the best choice. The reason is that (4.1.19) shares with (4.1.11) the “deep” property of
