Numerical method for Improper Integrals

To solve an improper integral in the form of:

f ( x ) dx

We take the limit for the answer as the upper limit and the lower limit goes to
infinity
t

lim f ( x ) dx
t t

After that we should check if the integral converges or diverges, in case the
improper integral converges we get:
a

I = f ( x ) dx + f ( x ) dx+ f ( x ) dx
a

And we transform
1
A

f ( x ) dx= t12 f ( 1t ) dt AB> 0

A

1
B

I = f ( x ) dx+ f ( x ) dx+ f ( x ) dx

1/ A

A
1 / A

1/B

1 1
1 1
1 1
f
dt+ 2 f
dt+ 2 f
dt
2
t
t
t
t
1/B t
0 t

()

()

()

For Example:

sin ( x )
dx
x
3

let

I =

sin ( x )
sin ( x )
sin ( x )
dx+
dx +
dx
x
x
x
3
3

solve first term

sin ( x )
dx
x
1
3

sin

( 1t ) dt

Using extended midpoint rule, h=1/15

1
3

( 1t ) dt 1

sin

15

( )]

f ( t 0.3 ) + f t 7 + f t 1 + f ( t 0.1 ) +f t 1 =

( ) ( )
30

30

1
[0.63523.90151.67655.440229.6409 ] =
15

solve second term

sin ( x )
dx
x
3

Ignoring singularity at x = 0
Solving by (Abramowitz and Stegun 1972, p. 886) for Higher order rules n = 9, h =
2/3
3

sin ( x )
4h
dx=
989 f 7 +5888 f 5 928 f 1 +10496 f 1 4540 f 1 +10496 f 1928 f 5 +5888 f 7 + 989 f 3 =3.5
x
14175
3
3
3
3
3
3
3

Solve third term

1/ 3

sin ( x )
dx
x
0

sin

( 1t ) dt

Using extended midpoint rule, h=1/15

1/ 3

sin

( 1t ) dt 1

15

[( )

f t 1 + f ( t 0.1 ) + f t 1 +f t 7 + f ( t 0.3 ) =
30

( ) ( )
6

30

1
[ 29.64095.4402 ] =0.2 75295
15

First and third term are equal because function is odd function symmetric around xaxis

I =3.58142( 0.275295 )=3.03081

t =3.526

Error of Trapezoidal rule

Take a single interval and integrate by parts

x i+ 1

f ( x ) dx= f ( t + xi ) dt t=xx i
xi

f ( t+ x i ) dt=[ ( t+ a )f ( t+ xi ) ]0 ( t+ a ) f ' ( t+ x i ) dt
0

Integrate by parts one more time

h

[(

] (
h

( t+a )2
( t+ a )2
'
''
f
t
+
x
dt=
(
t+
a
)
f
t
+
x

+b
f
t+
x
+
( i) [
( i) ]0
( i ) 2 +b f ( t+ x i ) dt
2
0 0
0
h

[( ) ]

2
( h+ a )2
( t +a )2
f ( t + x i ) dt=( h+a ) f ( xi +1 )af ( x i ) 2 +b f ' ( x i+1 ) + a2 +b f ' ( x i ) + 2 +b f ' ' ( t + x i ) dt
0
0

[ ]

We choose the constants a, b so that they make the smallest error bound
2

h
h
a=
, b=
2
8

Thus
So, far
x i+ 1

f ( x ) dx=
xi

h
f ( x ) + f ( xi +1 ) ] +
2[ i
0

where this term

n1 h

E T =
i=0 0

f ' ' ( t + xi ) dt

h
f ( x ) + f ( x i+1 ) ] isthe area of trapezoid
2[ i

h 2
2
h2 ' '

f ( t + x i) dt
2
8

( )
t

h
2

( ) h
t

the error :

Assume f ' ' ( x ) has upper bound K

|(
|(

|ET|
0

|ET| nK
0

|
|

h 2
2
h2
(|f ' ' ( t + x 0 )|++|f ' ' ( t+ x n1 )|) dt
2
8

h 2
2
h2
nK h3
dt=
2
8
12

K ( ba )3
| ET|=
12 n2

h=

ba
n

Error of Simpsons rule

x2

f ( x ) dx
x0

We will expand the function around

x2

x2

f ( x ) dx=
x0

x0

x 1=

''

x0 + x2
2

using Taylor expansion

''

'' ' '

f ( x1 )
f ' ( x1 )
f ( )
4
f ( x 1) + f ( x1 ) ( xx 1 ) +
x x1 )2 +
xx 1) 3+
(
(
( xx 1 ) dx
2
6
24
'

x2

f ' ( x1 )
f '' ( x 1)
f ' ' ' ( x1 )
f '' ' ' ( )
2
3
f ( x ) dx= x f ( x 1 ) + 2 ( xx 1 ) + 6 ( xx 1 ) + 24 ( xx 1 )4 + 12 0 ( xx 1 )5
x
0

x2

x0

( x 2x 1 )
3
( x 2x 1 ) ( x0 x1 )
( x 2x 1 )
( x 2x 1 )
5
[ 5( x 0x 1 ) ]
f

'' ' '

( )

120
''
''
f ( x1 )
f ' ( x1 )
2
[ 2( x 0x 1 ) ]+
[ 3 ]+

6
24
f ' ( x1 )
f ( x 1 ) ( x 2x 0 ) +

[ 4( x 0x 1 ) ]+

x2

f ( x ) dx=
x0

x2

][

5 (4 )
h3 f ' ' ( x 1 ) h5 f ' ' ' ' ( )
h f () h
h3 f ( x 0 )2 f ( x1 ) + f ( x 2) h2 ( 4)
f
(
x
)
dx=
2
h
f
x
+
+
=
2
hf
x
+

f
(

)
+
= [ f ( x0 )+

( 1)
( 1) 3
3
60
12
60
3
h2
x
0

the error=

5 (4)

h f ( )
90