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Direct midpoint quadrature loses order on a half-order singularity

Example

At x=0, take the weakly singular kernel s(0,y)=y−1/2 and smooth factor a≡1, u≡1. The exact integral is 2. The composite midpoint rule on panels of width h=1/N underestimates it by at least (2−2)h, so direct midpoint sampling of this singular integrand is not second order. The product-integration rule of Piecewise-linear product integration for a half-order diagonal singularity is exact for this constant smooth factor, because its interpolant is identically 1.

Facts & Assumptions

Given: N≥1, h=1/N, the function g(y)=y−1/2 on (0,1], its improper integral, and the product-integration rule from the A page. For the midpoint algorithm, use the extension g~:[0,1]→R given by g~(0)=0 and g~(y)=g(y) for y>0.

[F1]

The half-order diagonal singularity defines a bounded improper integral: ∫01y−1/2 dy=2 and the product weights integrate the constant function with their total weight S0(1)=2.

[F2]

Piecewise-linear product integration for a half-order diagonal singularity: Knu(0)=S0(Ing0) and the hats form the piecewise-linear interpolant.

[F3]

Composite midpoint rule on a uniform grid applies to the everywhere evaluable function g~ and uses g~((j+12)h)=g((j+12)h) on each panel with weight h. No endpoint is sampled, and the assigned value at zero does not enter the improper integral.

[F4]

On (0,∞), g(y)=y−1/2 is C2 with g′(y)=−12y−3/2 and g′′(y)=34y−5/2>0; positive-base powers are exponentials and the exponential is positive (Continuity and derivatives of positive-base real powers, Real powers for positive bases, with the zero-base positive-exponent convention, The exponential is positive and satisfies exp⁡(−x)=1/exp⁡(x)).

[F5]

The mean value theorem on a closed interval gives a point where the derivative equals the secant slope (Mean value theorem on a closed real interval).

[F6]

A continuous function on a closed interval is Riemann integrable (A continuous function on [a,b] is Riemann integrable, by Heine-Cantor and Riemann's criterion).

Verification

Given: The data in the Example, mj:=(j+12)h, g(y)=y−1/2 for y>0, and the extension g~ above.

1.1givenF1F3algebra

Since every mj>0, the admissible call QM(g~;0,1,N) equals h∑j=0N−1g(mj) by [F3]. On the first panel, the substitution y=ht gives ∫0hy−1/2dy=h∫01t−1/2dt=2h by [F1]; this substitution follows by scaling tagged sums on each truncated interval and then taking the improper limit. The midpoint contribution is hg(h/2)=2h. Their difference is (2−2)h.

2.1givenF3F4F5F6F7F8F9step 1.1algebra

For every later panel [jh,(j+1)h], j≥1, the function g is C2 by [F4]. Its second derivative is positive because y−5/2=exp⁡((−5/2)log⁡y)>0 for y>0, using [F4]. The mean value theorem [F5] applied to g′ shows that g′ is increasing there. For 0≤s≤h/2, put D(s):=g(mj−s)+g(mj+s)−2g(mj). By [F9], D′(s)=−g′(mj−s)+g′(mj+s)≥0 in the interior; another application of [F5] on [0,s] gives D(s)≥D(0)=0. Splitting at mj and substituting y=mj−s and y=mj+s gives ∫jh(j+1)hg(y) dy−hg(mj)=∫0h/2D(s) ds: the left substitution reverses the limits, while the right preserves them, and each has Jacobian magnitude 1. Thus the integral identity follows directly from the tagged Riemann sums under these affine maps. The integrals exist by [F6], the split at mj is additive by [F7], and the nonnegative difference integrates to at least zero by [F8]. Thus no later panel cancels the positive first-panel error, and the total midpoint error is at least (2−2)h.

3.1F1F2step 1.1∎

For the product rule, a≡1 and u≡1 give g0≡1. On each panel the two adjacent hat formulas in [F2] sum to 1, so Ing0=1. By [F1] and [F2], Knu(0)=S0(1)=2=Ku(0). Hence this case is exact under product integration although direct midpoint sampling has only the lower-bound rate above.

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