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Numerical Differentiation and Quadrature (Integration )PowerPoint Presentation

Numerical Differentiation and Quadrature (Integration )

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### Numerical Differentiation andQuadrature (Integration)

Daniel BaurETH Zurich, Institut für Chemie- und BioingenieurwissenschaftenETH Hönggerberg / HCI F128 – ZürichE-Mail: [email protected]://www.morbidelli-group.ethz.ch/education/index

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Numerical Differentiation

- Problem:Though a derivative can be found for most functions, it is often impractical to calculate it analytically
- Solution:Approximate the derivative numerically
- First approach:
- Remember that:
- Therefore: for small h
- Just how small should h be?

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Example

- Let us consider the following
- h = 0.5, 0.05, 0.005
- For most applications,is a good starting point

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Error as a Function of h

Beware of the limits of numerical precision!

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Better Alternatives

- Instead of decreasing h, we could use better formulas
- Symmetric midpoint formula:
- Even more accurate, the five point formula:

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Numerical Quadrature (Integration)

- Problem:Generally, it is not possible to find the antiderivative (Stammfunktion) of a function f(x) in order to solve a definite integral in the interval [a,b]
- Solution:Approximate the integral numerically
- First approach:Divide the interval into n-1 sub-intervals and approximate the integral by the sum of the areas of the resulting rectangles

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Rectangular Approximation

b

xn-1

a

x1

x2

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Example

- Let us consider a function where the antiderivative is easily found and integrate it in the interval a = 1, b = 10, h = 0.1:

Matlab Integrator

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Improvement

- Use trapezoids instead of rectangles

b

xn-1

a

x1

x2

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Cavalieri Simpson Rule

- Further improve the result by using parabolas through each group of 3 points

Parabola through f(a), f(x1), f(x2)

b

xn-1

a

x1

x2

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Influence of h (or Number of Points)

- How does the error change as a function of the number of points?

Limit of numerical precision is reached

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

How does Matlab do it?

- quad: Low accuracy, non-smooth integrands, uses adaptive recursive Simpson rule
- quadl: High accuracy, smooth integrands, uses adaptive Gauss/Lobatto rule (degree of integration routine related to number of points)
- quadgk: High accuracy, oscillatory integrands, can handle infinite intervals and singularities at the end points, uses Gauss/Konrod rule (re-uses lower degree results for higher degree approximations)
- Degree p of an integration rule = Polynomials up to order p can be integrated accurately (assuming there is no numerical error)

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Matlab Syntax Hints

- All the integrators use the syntaxresult = quadl(@int_fun, a, b, ...);
- int_funis a function handle to a function that takes one input x and returns the function value at x; it must be vectorized

- Use parametrizing functions to pass more arguments to int_fun if neededf_new = @(x)int_fun(x, K);
- f_new is now a function that takes only x as input and returns the value that int_fun would return when K is used as second input
- Note that K must be defined in this command

- This can be done directly in the integrator call:result = quadl(@(x)int_fun(x, K), a, b);

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Exercise

- Mass Transfer into Semi-Infinite Slab
- Consider a liquid diffusing into a solid material
- The liquid concentration at the interface is constant
- The material block is considered to be infinitely long, the concentration at infinity is therefore constant and equal to the starting concentration inside the block

c(z, t)

c0 = const.

c∞ = const.

z

0

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Exercise (Continued)

- Using a local mass balance, we can formulate an ODE
- where j is the diffusive flux in [kg m-2 s-1]
- With Δz 0, we arrive at a PDE in two variables

jin

jout

z+Δz

z

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Exercise (Continued)

- By combining this local mass balance with Fick’s law, a PDE in one variable is found:
- The analytical solution of this equation (found by combination of variables) reads:

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Assignment

- Write a Matlab program to calculate and plot the concentration profile in the slab at different time points
- Use the following values:c∞ = 0; c0 = 1; D = 10; t = 1, 10, 100Plot z from 1e-6 to 100
- I recommend using quadlfor the integration

- Create a function of your own which calculates an integral with the trapezoidal method
- Use the form: function F = trapInt(f, N, a, b)
- Where f is a function handle to the function that is to be integrated,N is the number of points and a and b denote the interval
- Use your function to solve the diffusion problem at t = 100 and compare it to the result you obtained with quadl

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

Assignment (Continued)

- Improve your function by adding a convergence check:
- In addition to computing the integral with Npoints, simultaneously do so with 2Npoints
- If the two results differ by more than 10-6, double N and reiterate the calculation
- This can be done either with a loop or with a recursive function
- Terminate the calculation and issue a warning if N exceeds a certain amount

- Extra: It is possible to implement the convergence check while still only calculating one integral per iteration (except in the first iteration). Can you do this?

Daniel Baur / Numerical Methods for Chemical Engineers / Numerical Quadrature

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