A Simple Method for Numerical Integration in Python

A Simple Method for Numerical Integration in Python

In this article, we will introduce a simple method for computing integrals in python. We will first derive the integration formula and then implement it on a few functions in python

In this article, we will introduce a simple method for computing integrals in python. We will first derive the integration formula and then implement it on a few functions in python. This article assumes you have a basic understanding of probability and integral calculus, but if you don’t you can always skip ahead to the examples. Enjoy!

Derivation

We must first state the definition of the expected value of a continuous random variable.

Suppose X is a random variable with with probability density function f(x). The expected value of X is defined as follows:

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Expectation of X

Next, we use the expectation formula to derive a simple equation for computing an integral. We would like to estimate the following integral:

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