Simpson's Rule is used to numerically estimate the value of integrals that either cannot be or are difficult to evaluate analytically. The rule approximates a function with a collection of arcs from quadratic functions and integrate across each of these.

Proof: Let P be a partition of [a,b] into n subintervals of equal width, , where for . Here we require thatbe even. Over each interval , for , we approximate f(x) with a quadratic curve that interpolates the points , , and .

Figure 4:   Approximating the graph of y = f(x) with parabolic arcs across successive pairs of intervals to obtain Simpson's Rule.

Since only one quadratic function can interpolate any three (non-colinear) points, we see that the approximating function must be unique for each interval . Note that the following quadratic function interpolates the three points , , and :

Since this function is unique, this must be the quadratic function with which we approximate f(x) on . Also, if the three interpolating points all lie on the same line, then this function reduces to a linear function. Therefore, since for each i,

By evaluating the integral on the right, we obtain

Summing the definite integrals over each interval , for , provides the approximation

By simplifying this sum we obtain the approximation scheme