Simpson's Rule for double integrals: $$\int_a^b\int_c^df(x,y) \,dx \,dy$$ is given by $$S_{mn}=\frac{(b-a)(d-c)}{9mn} \sum_{i,j=0,0}^{m,n} W_{i+1,j+1} f(x_i,y_j) $$ where: $$W= \begin{pmatrix} 1&4&2&4& \ldots&4&1\\ 4&16&8&16&\ldots&16&4\\ 2&8&4&8&\ldots&8&2\\ \ldots&\ldots&\ldots&\ldots&\ldots&\ldots&\ldots&\\ 1&4&2&4&\ldots&4&1\\ \end{pmatrix}$$ and where $m$ and $n$ are the subdivisions of the domains along $x$ and $y$ respectively. They are obviously both even.

The proof usually involves applying Simpson's Rule to the first integral $\int_a^bf(x,y)dx=g(x,y)$, then applying it to the second $\int_c^dg(x,y)dy$ thus obtaining the coefficients (or weights) $W$ of $f(x,y)$.

I've thought of an alternative: first we find the area under $f(x_i,y_j)$ where $i$ is a fixed value but $y_j$ goes from $c$ to $d$ using Simpson's Composite Rule and fill the coefficients in a vertical matrix $$ \begin{pmatrix} 1\\ 4\\ 2\\ 4\\ 2\\ \vdots \\ 4\\ 1\\ \end{pmatrix} $$

Similarly for a fixed $j$: $$\begin{pmatrix} 1&4&2&4&2& \ldots &4&1\end{pmatrix}$$

By multiplying the vertical matrix by the horizontal one we get $W$. I thought of the integral (surface) as a linear combination of the $f(x_i,y_j)$'s, justifying the product of the two matrices as a composition of both iterations of Simpson's rule for each variable. Does any of this make sense? Is there a more formal proof of these statements?

Also, can you recommend a textbook or some online resource where I can find more approximations like this one?

  • 7
    $\begingroup$ This summation is said to be separable, as it can be split in a pure horizontal pass and a pure vertical one, as the array of coefficients is the tensor product of the vectors. The split scheme can be seen as a numerical equivalent of Fubini's theorem. But, sorry, all of this is obvious. $\endgroup$
    – user65203
    Jun 10, 2015 at 14:21
  • $\begingroup$ So, you are taking a Cartesian product of the composite rule with itself, then. $\endgroup$ May 26, 2017 at 14:34
  • $\begingroup$ This may be an interesting observation if you use software like Maple which makes use of the built in matrix manipulation operations? $\endgroup$
    – jim
    Aug 23, 2017 at 10:22
  • $\begingroup$ Well, this goes a couple of years late, but could you explore this more? I'm currently trying to implement this but have made no advancements $\endgroup$
    – Bidon
    Mar 23, 2019 at 18:29


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