6: Integration
We want to construct numerical algorithms that can perform definite integrals of the form
\[I=\int_{a}^{b} f(x) d x \nonumber \]
Calculating these definite integrals numerically is called numerical integration, numerical quadrature, or more simply quadrature.
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- 6.4: Adaptive Integration
- The useful MATLAB function quad.m performs numerical integration using adaptive Simpson quadrature. The idea is to let the computation itself decide on the grid size required to achieve a certain level of accuracy. Moreover, the grid size need not be the same over the entire region of integration.