A Perturbed Milne’s Quadrature Rule for <i>n</i>-Times Differentiable Functions with <i>L^p</i>-Error Estimates

Abstract

In this work, a perturbed Milne’s quadrature rule for n-times differentiable functions with Lp-error estimates is derived. One of the most important advantages of our result is that it is verified for p-variation and Lipschitz functions. Several error estimates involving Lp-bounds are proven. These estimates are useful if the fourth derivative is unbounded in L∞-norm or the Lp-error estimate is less than the L∞-error estimate. Furthermore, since the classical Milne’s quadrature rule cannot be applied either when the fourth derivative is unbounded or does not exist, the proposed quadrature could be used alternatively. Numerical experiments showing that our proposed quadrature rule is better than the classical Milne rule for certain types of functions are also provided. The numerical experiments compare the accuracy of the proposed quadrature rule to the classical Milne rule when approximating different types of functions. The results show that, for certain types of functions, the proposed quadrature rule is more accurate than the classical Milne rule.

Keywords

• Milne’s rule
• Simpson’s rule
• quadrature rule
• Newton–Cotes formulae
• numerical integration
• error estimation