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Euler–Maclaurin formula

Euler–Maclaurin formula

In mathematics, the Euler–Maclaurin formula is a formula for the difference between an integral and a closely related sum. It can be used to approximate integrals by finite sums, or conversely to evaluate finite sums and infinite series using integrals and the machinery of calculus. For example, many asymptotic expansions are derived from the formula, and Faulhaber's formula for the sum of powers is an immediate consequence.

The formula was discovered independently by Leonhard Euler and Colin Maclaurin around 1735. Euler needed it to compute slowly converging infinite series while Maclaurin used it to calculate integrals. It was later generalized to Darboux's formula.

The formula

Ifandarenatural numbersandis a complex or real valuedcontinuous functionforreal numbersin the interval, then the integral

can be approximated by the sum (or vice versa)

(seerectangle method). The Euler–Maclaurin formula provides expressions for the difference between the sum and the integral in terms of the higher derivativesevaluated at the end points of the interval, that is to say whenand.
Explicitly, fora positive integer and a functionthat istimes continuously differentiable in the interval, we have
whereis thethBernoulli number(with) andis anerror termwhich depends on,,, andand is usually small for suitable values of.
The formula is often written with the subscript taking only even values, since the odd Bernoulli numbers are zero except for. In this case we have[1][2]

or alternatively

The remainder term

The remainder term arises because the integral is usually not exactly equal to the sum. The formula may be derived by applying repeatedintegration by partsto successive intervalsfor. The boundary terms in these integrations lead to the main terms of the formula, and the leftover integrals form the remainder term.
The remainder term has an exact expression in terms of the periodized Bernoulli functions. The Bernoulli polynomials may be defined recursively byand, for,

The periodized Bernoulli functions are defined as

wheredenotes the largest integer less than or equal to(so thatalways lies in the interval).
With this notation, the remainder termequals
When, it can be shown that
wheredenotes theRiemann zeta function; one approach to prove this inequality is to obtain the Fourier series for the polynomials. The bound is achieved for evenwhenis zero. The termmay be omitted for oddbut the proof in this case is more complex (see Lehmer).[3] Using this inequality, the size of the remainder term can be estimated as

Low-order cases

The Bernoulli numbers fromtoareTherefore the low-order cases of the Euler-Maclaurin formula are:

Applications

The Basel problem

The Basel problem is to determine the sum

Euler computed this sum to 20 decimal places with only a few terms of the Euler–Maclaurin formula in 1735. This probably convinced him that the sum equals, which he proved in the same year.[4] (Parseval's identityfor theFourier seriesofgives the same result.)

Sums involving a polynomial

Ifis apolynomialandis big enough, then the remainder term vanishes. For instance, if, we can chooseto obtain, after simplification,

Approximation of integrals

The formula provides a means of approximating a finite integral. Letbe the endpoints of the interval of integration. Fix, the number of points to use in the approximation, and denote the corresponding step size by. Set, so thatand. Then:[5]
This may be viewed as an extension of thetrapezoid ruleby the inclusion of correction terms. Note that this asymptotic expansion is usually not convergent; there is some, depending uponand, such that the terms past orderincrease rapidly. Thus, the remainder term generally demands close attention.[5]

The Euler–Maclaurin formula is also used for detailed error analysis in numerical quadrature. It explains the superior performance of the trapezoidal rule on smooth periodic functions and is used in certain extrapolation methods. Clenshaw–Curtis quadrature is essentially a change of variables to cast an arbitrary integral in terms of integrals of periodic functions where the Euler–Maclaurin approach is very accurate (in that particular case the Euler–Maclaurin formula takes the form of a discrete cosine transform). This technique is known as a periodizing transformation.

Asymptotic expansion of sums

In the context of computing asymptotic expansions of sums and series, usually the most useful form of the Euler–Maclaurin formula is

whereandare integers.[6] Often the expansion remains valid even after taking the limitsoror both. In many cases the integral on the right-hand side can be evaluated inclosed formin terms ofelementary functionseven though the sum on the left-hand side cannot. Then all the terms in the asymptotic series can be expressed in terms of elementary functions. For example,
Here the left-hand side is equal to, namely the first-orderpolygamma functiondefined by; thegamma functionis equal toifis apositive integer. This results in an asymptotic expansion for. That expansion, in turn, serves as the starting point for one of the derivations of precise error estimates forStirling's approximationof thefactorialfunction.

Examples

If s is an integer greater than 1 we have:

Collecting the constants into a value of the Riemann zeta function, we can write an asymptotic expansion:

For s equal to 2 this simplifies to

or

When s = 1, the corresponding technique gives an asymptotic expansion for the harmonic numbers:

whereis theEuler–Mascheroni constant.

Proofs

Derivation by mathematical induction

We outline the argument given in Apostol.[1]

The Bernoulli polynomials Bn(x) and the periodic Bernoulli functions Pn(x) for n = 0, 1, 2, ... were introduced above.

The first several Bernoulli polynomials are

The values Bn(0) are the Bernoulli numbers B**n. Notice that for n ≠ 1 we have

and for n = 1,

The functions P**n agree with the Bernoulli polynomials on the interval [0, 1] and are periodic with period 1. Furthermore, except when n = 1, they are also continuous. Thus,

Let k be an integer, and consider the integral

where

Integrating by parts, we get

Using,, and summing the above fromk = 0tok = n − 1, we get

Adding (f(n) − f(0))/2 to both sides and rearranging, we have

This is the p = 1 case of the summation formula. To continue the induction, we apply integration by parts to the error term:

where

The result of integrating by parts is

Summing from k = 0 to k = n − 1 and substituting this for the lower order error term results in the p = 2 case of the formula,

This process can be iterated. In this way we get a proof of the Euler–Maclaurin summation formula which can be formalized by mathematical induction, in which the induction step relies on integration by parts and on identities for periodic Bernoulli functions.

See also

  • Cesàro summation

  • Euler summation

  • Gauss–Kronrod quadrature formula

  • Darboux's formula

  • Euler–Boole summation

References

[1]
Citation Linkportal.issn.orgApostol, T. M. (1 May 1999). "An Elementary View of Euler's Summation Formula". The American Mathematical Monthly. Mathematical Association of America. 106 (5): 409–418. doi:10.2307/2589145. ISSN 0002-9890. JSTOR 2589145.
Sep 26, 2019, 11:11 PM
[2]
Citation Linkdlmf.nist.gov"Digital Library of Mathematical Functions: Sums and Sequences". National Institute of Standards and Technology.
Sep 26, 2019, 11:11 PM
[3]
Citation Link//doi.org/10.2307%2F2303833Lehmer, D. H. (1940). "On the maxima and minima of Bernoulli polynomials". The American Mathematical Monthly. 47 (8): 533–538. doi:10.2307/2303833.
Sep 26, 2019, 11:11 PM
[4]
Citation Linkwww.math.nmsu.eduPengelley, David J. "Dances between continuous and discrete: Euler's summation formula", in: Robert Bradley and Ed Sandifer (Eds), Proceedings, Euler 2K+2 Conference (Rumford, Maine, 2002), Euler Society, 2003.
Sep 26, 2019, 11:11 PM
[5]
Citation Linkopenlibrary.orgDevries, Paul L.; Hasbrun, Javier E. (2011). A first course in computational physics (2nd ed.). Jones and Bartlett Publishers. p. 156.
Sep 26, 2019, 11:11 PM
[6]
Citation Linkopenlibrary.orgAbramowitz, Milton; Stegun, Irene A., eds. (1972). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. New York: Dover Publications. ISBN 978-0-486-61272-0. tenth printing., 23.1.30
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[7]
Citation Linkmathworld.wolfram.com"Euler–Maclaurin Integration Formulas"
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[8]
Citation Linknumbers.computation.free.frIntroduction on Bernoulli's numbers
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[9]
Citation Linkdoi.org10.2307/2589145
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[10]
Citation Linkwww.worldcat.org0002-9890
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[11]
Citation Linkwww.jstor.org2589145
Sep 26, 2019, 11:11 PM
[12]
Citation Linkdlmf.nist.gov"Digital Library of Mathematical Functions: Sums and Sequences"
Sep 26, 2019, 11:11 PM
[13]
Citation Linkdoi.org10.2307/2303833
Sep 26, 2019, 11:11 PM
[14]
Citation Linkwww.math.nmsu.edu"Dances between continuous and discrete: Euler's summation formula"
Sep 26, 2019, 11:11 PM
[15]
Citation Linkmathworld.wolfram.com"Euler–Maclaurin Integration Formulas"
Sep 26, 2019, 11:11 PM
[16]
Citation Linknumbers.computation.free.frIntroduction on Bernoulli's numbers
Sep 26, 2019, 11:11 PM
[17]
Citation Linken.wikipedia.orgThe original version of this page is from Wikipedia, you can edit the page right here on Everipedia.Text is available under the Creative Commons Attribution-ShareAlike License.Additional terms may apply.See everipedia.org/everipedia-termsfor further details.Images/media credited individually (click the icon for details).
Sep 26, 2019, 11:11 PM