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Numerical Analysis - Lecture 2: Mathematical Tripos Part IB: Lent 2010

The document discusses divided differences and their use in numerical analysis and interpolation. It defines divided differences and shows that they can be used to approximate derivatives. It then presents a recurrence relation for calculating divided differences and derives the Newton interpolation formula, which expresses the interpolating polynomial in terms of divided differences. The Newton formula allows dividing differences to be computed efficiently and the interpolating polynomial to be evaluated quickly.

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40 views2 pages

Numerical Analysis - Lecture 2: Mathematical Tripos Part IB: Lent 2010

The document discusses divided differences and their use in numerical analysis and interpolation. It defines divided differences and shows that they can be used to approximate derivatives. It then presents a recurrence relation for calculating divided differences and derives the Newton interpolation formula, which expresses the interpolating polynomial in terms of divided differences. The Newton formula allows dividing differences to be computed efficiently and the interpolating polynomial to be evaluated quickly.

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Anonymous KIUgOY
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Mathematical Tripos Part IB: Lent 2010

Numerical Analysis Lecture 21


1.2 Divided dierences: a denition

Given pairwise-distinct points x0 , x1 , . . . , xn [a, b], we let p Pn [x] interpolate f C [a, b] there. The coecient of xn in p is called the divided dierence and denoted by f [x0 , x1 , . . . , xn ]. We say that this divided dierence is of degree n. We can derive f [x0 , . . . , xn ] from the Lagrange formula,
n n

f [x0 , x1 , . . . , xn ] =
k=0

f (xk )
=0 =k

1 . xk x

(1.2)

Theorem Let [ a, b] be the shortest interval that contains x0 , x1 , . . . , xn and let f C n [ a, b]. Then there exists [ a, b] such that f [x0 , x1 , . . . , xn ] =
1 (n) ( ). n! f

(1.3)

Proof. Let p be the interpolating polynomial. The error function f p has at least n + 1 zeros in [ a, b] and, applying Rolles theorem n times, it follows that f (n) p(n) vanishes at some [ a, b]. 1 (n) n But p(x) = n! p ( )x + lower order terms (for any R), therefore, letting = , f [x0 , x1 , . . . , xn ] = and we deduce (1.3).
1 (n) ( ) n! p

1 (n) ( ) n! f

Application It is a consequence of the theorem that divided dierences can be used to approximate derivatives.

1.3

Recurrence relations for divided dierences

Our next topic is a useful way to calculate divided dierences (and, ultimately, to derive yet another means to construct an interpolating polynomial). We commence with the remark that f [xi ] is the coecient of x0 in the polynomial of degree 0 (i.e., a constant) that interpolates f (xi ), hence f [xi ] = f (xi ). Theorem Suppose that x0 , x1 , . . . , xk+1 are pairwise distinct, where k 0. Then f [x0 , x1 , . . . , xk+1 ] = f [x1 , x2 , . . . , xk+1 ] f [x0 , x1 , . . . , xk ] . xk+1 x0 (1.4)

Proof. Let p, q Pk [x] be the polynomials that interpolate f at {x0 , x1 , . . . , xk } respectively and dene r(x) := (x x0 )q (x) + (xk+1 x)p(x) Pk+1 [x]. xk+1 x0 and {x1 , x2 , . . . , xk+1 }

1 Corrections and suggestions to these notes should be emailed to [email protected]. All handouts are available on the WWW at the URL http://www.damtp.cam.ac.uk/user/na/PartIB/.

We readily verify that r(xi ) = f (xi ), i = 0, 1, . . . , k + 1. Hence r is the (k + 1)-degree interpolating polynomial and f [x0 , . . . , xk+1 ] is the coecient of xk+1 therein. The recurrence (1.4) follows from the denition of divided dierences. 2

1.4

The Newton interpolation formula

Recalling that f [xi ] = f (xi ), the recursive formula allows for rapid evaluation of the divided dierence table, in the following manner: f [x0 ] Pq P 1 f [x0 , x1 ]  f [x1 ]  PP q 1 f [x1 , x2 ]  f [x2 ]  PP q . . .   f [xn1 , xn ] 1  f [xn ] 1 f [xn2 , xn1 , xn ]  1 

PP q 1  PP q

f [x0 , x1 , x2 ]

PP q f [x0 , x1 , . . . , xn ]

This can be done in O n2 operations and the outcome are the numbers {f [x0 , x1 , . . . , xl ]}k l=0 . We now provide an alternative representation of the interpolating polynomial. Again, f (xi ), i = 0, 1, . . . , k, are given and we seek p Pk [x] such that p(xi ) = f (xi ), i = 0, . . . , k. Theorem Suppose that x0 , x1 , . . . , xk are pairwise distinct. The polynomial
k 1

pk (x) := f [x0 ] + f [x0 , x1 ](x x0 ) + + f [x0 , x1 , . . . , xk ]


i=0

(x xi ) Pk [x]

obeys pk (xi ) = f (xi ), i = 0, 1, . . . , k. Proof. By induction on k . The statement is obvious for k = 0 and we suppose that it is k true for k . We now prove that pk+1 (x) pk (x) = f [x0 , x1 , . . . , xk+1 ] i=0 (x xi ). Clearly, k+1 pk+1 pk Pk+1 [x] and the coecient of x therein is, by denition, f [x0 , . . . , xk+1 ]. Moreover, k pk+1 (xi ) pk (xi ) = 0, i = 0, 1, . . . , k, hence it is a multiple of i=0 (x xi ), and this proves the asserted form of pk+1 pk . The explicit form of pk+1 follows by adding pk+1 pk to pk . 2 We have derived the Newton interpolation formula, which requires only the top row of the divided dierence table. It has several advantages over Lagranges. In particular, its evaluation at a given point x (provided that divided dierences are known) requires just O(k ) operations, as long as we do it by the Horner scheme pk (x) = {{{f [x0 , . . . , xk ](x xk1 ) + f [x0 , . . . , xk1 ]} (x xk2 ) + f [x0 , . . . , xk2 ]} (x x3 ) + } + f [x0 ]. On the other hand, the Lagrange formula is often better when we wish to manipulate the interpolation polynomial as part of a larger mathematical expression. Well see an example in the section on Gaussian quadrature. b 2

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