Error propagation in adaptive Simpson algorithm
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08-01-2018, 02:23 PM
Post: #10
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RE: Error propagation in adaptive Simpson algorithm
I finally have the time to learn about Adaptive Simpson's method.
I were misled to believe it is plain Simpson + correction (/15 only) ... Sorry It is not one integral with increasing steps for better accuracy, but increasing number of mini-integrals (2 intervals, thus 3 points) sum together. The question really is, when sub-dividing integral into a bunch of recursive mini-integrals, what should their tolerance be ? Mini-integrals don't talk to each other, so don't know which is the more important. Adaptive Simpson method have to be conservative, tolerance cut in half for each step. So, even if both splitted integrals equally important, total error still below tolerance. This is probably an overkill, but without knowing the integral, it is the best it can do. For one sided function, say exp(-x), tolerance can really stay the same all the way down. -- By setting a tolerance, adaptive Simpson rule ignore the "details", and concern itself with the dominant sub-divided integrals, thus is faster. This is just my opinion, speed-up by ignoring the details come with costs:
For example, this transformed exponential integral will not work well with Adatpive scheme: \(\int_0^{500}e^{-x}dx \) = \(\int_{-1}^{1}375(1-u^2) e^{-(125u (3 - u^2) + 250)} du \) = 1 - \(e^{-500}\) ~ 1.0 OTTH, if used correctly, this is a great tool. For example: I(1000) = 4 \(\int_{0}^{\pi/2} cos(x) cos(2x) ... cos(1000x) dx \) = 0.000274258153608 ... Adaptive Simpson Method (eps = 1e-9) were able to give 11 digits accuracy in 0.5 sec Romberg's Method can only reached 8 digits accuracy ... in 400 seconds ! Thanks, Claudio |
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