Scribd
Upload
51 views2 pages

Numerical Analysis - Lecture 3: Mathematical Tripos Part IB: Lent 2010

This document discusses orthogonal polynomials. It begins by defining orthogonality in general linear spaces and scalar products. It then defines orthogonal polynomials for a given scalar product space and proves existence and uniqueness of monic orthogonal polynomials of degree n. It further proves that any polynomial can be expressed as a linear combination of the orthogonal polynomials. Finally, it discusses constructing orthogonal polynomials using a three-term recurrence relation and provides the example of Chebyshev polynomials.

Uploaded by

Sree Manish Chada
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
51 views2 pages

Numerical Analysis - Lecture 3: Mathematical Tripos Part IB: Lent 2010

This document discusses orthogonal polynomials. It begins by defining orthogonality in general linear spaces and scalar products. It then defines orthogonal polynomials for a given scalar product space and proves existence and uniqueness of monic orthogonal polynomials of degree n. It further proves that any polynomial can be expressed as a linear combination of the orthogonal polynomials. Finally, it discusses constructing orthogonal polynomials using a three-term recurrence relation and provides the example of Chebyshev polynomials.

Uploaded by

Sree Manish Chada
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 2

Mathematical Tripos Part IB: Lent 2010

Numerical Analysis – Lecture 31

2 Orthogonal polynomials

2.1 Orthogonality in general linear spaces


Pn
We have already seen the scalar product hx, yi = i=1 xi yi , P acting on x, y ∈ Rn . Likewise, given
n
arbitrary weights w1 , w2 , . . . , wn > 0, we may define hx, yi = i=1 wi xi yi . In general, a scalar (or
inner ) product is any function V × V → R, where V is a vector space over the reals, subject to the
following three axioms:
Symmetry: hx, yi = hy, xi ∀x, y ∈ V;
Nonnegativity: hx, xi ≥ 0 ∀x ∈ V and hx, xi = 0 iff x = 0; and
Linearity: hax + by, zi = ahx, zi + bhy, zi ∀x, y, z ∈ V, a, b ∈ R.
Given a scalar product, we may define orthogonality: x, y ∈ V are orthogonal if hx, yi = 0.
Rb
Let V = C[a, b], w ∈ V be a fixed positive function and define hf, gi := a w(x)f (x)g(x) dx for all
f, g ∈ V. It is easy to verify all three axioms of the scalar product.

2.2 Orthogonal polynomials – definition, existence, uniqueness

Given a scalar product in V = Pn [x], we say that pn ∈ Pn [x] is the nth orthogonal polynomial
if hpn , pi = 0 for all p ∈ Pn−1 [x]. [Note: different inner products lead to different orthogonal
polynomials.] A polynomial in Pn [x] is monic if the coefficient of xn therein equals one.
Theorem For every n ≥ 0 there exists a unique monic orthogonal polynomial of degree n. More-
over, any p ∈ Pn [x] can be expanded as a linear combination of p0 , p1 , . . . , pn ,
Proof. We let p0 (x) ≡ 1 and prove the theorem by induction on n. Thus, suppose that
p0 , p1 , . . . , pn have been already derived consistently with both assertions of the theorem and let
q(x) := xn+1 ∈ Pn+1 [x]. Motivated by the Gram–Schmidt algorithm, we choose

X
n
hq, pk i
pn+1 (x) = q(x) − pk (x), x ∈ R. (2.1)
hpk , pk i
k=0

Clearly, pn+1 ∈ Pn+1 [x] and it is monic (since all the terms in the sum are of degree ≤ n).
Let m ∈ {0, 1, . . . , n}. It follows from (2.1) and the induction hypothesis that

X
n
hq, pk i hq, pm i
hpn+1 , pm i = hq, pm i − hpk , pm i = hq, pm i − hpm , pm i = 0.
hpk , pk i hpm , pm i
k=0

Hence, pn+1 is orthogonal to p0 , . . . , pn . Consequently, according to the second inductive assertion,


it is orthogonal to all p ∈ Pn [x].
To prove uniqueness, we suppose the existence of two monic orthogonal polynomials pn+1 , p̃n+1 ∈
Pn+1 [x]. Let p := pn+1 − p̃n+1 ∈ Pn [x], hence hpn+1 , pi = hp̃n+1 , pi = 0, and this implies

0 = hpn+1 , pi − hp̃n+1 , pi = hpn+1 − p̃n+1 , pi = hp, pi,


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/.

1
and we deduce p ≡ 0.
Finally, in order to prove that each p ∈ Pn+1 [x] is a linear combination of p0 , . . . , pn+1 , we note
that we can always write it in the form p = cpn+1 + q, where c is the coefficient of xn+1 in p and
where q ∈ Pn [x]. According to the induction hypothesis, q can be expanded as a linear combination
of p0 , p1 , . . . , pn , hence our assertion is true. 2
Well-known examples of orthogonal polynomials include
Name Notation Interval Weight function
Legendre Pn [−1, 1] w(x) ≡ 1
Chebyshev Tn [−1, 1] w(x) = (1 − x2 )−1/2
Laguerre Ln [0, ∞) w(x) = e−x
2
Hermite Hn (−∞, ∞) w(x) = e−x

2.3 The three-term recurrence relation

How to construct orthogonal polynomials? (2.1) might help, but it suffers from loss of accuracy
due to imprecisions in the calculation of scalar products. A considerably better procedure follows
from our next theorem.
Theorem Monic orthogonal polynomials are given by the formula
p−1 (x) ≡ 0, p0 (x) ≡ 1,
pn+1 (x) = (x − αn )pn (x) − βn pn−1 (x), n = 0, 1, . . . , (2.2)
where
hpn , xpn i hpn , pn i
αn := , βn = > 0.
hpn , pn i hpn−1 , pn−1 i
Proof. Pick n ≥ 0 and let ψ(x) := pn+1 (x) − (x − αn )pn (x) + βn pn−1 (x). Since pn and pn+1 are
monic, it follows that ψ ∈ Pn [x]. Moreover, because of orthogonality of pn−1 , pn , pn+1 ,
hψ, pℓ i = hpn+1 , pℓ i − hpn , (x − αn )pℓ i + βn hpn−1 , pℓ i = 0, ℓ = 0, 1, . . . , n − 2.
Because of monicity, xpn−1 = pn + q, where q ∈ Pn−1 [x]. Thus, from the definition of αn , βn ,
hψ, pn−1 i = −hpn , xpn−1 i + βn hpn−1 , pn−1 i = −hpn , pn i + βn hpn−1 , pn−1 i = 0,
hψ, pn i = −hxpn , pn i + αn hpn , pn i = 0.
Every p ∈ Pn [x] that obeys hp, pℓ i = 0, ℓ = 0, 1, . . . , n, must necessarily be the zero polynomial.
For suppose that it is not so and let xs be the highest power of x in p. Then hp, ps i = 6 0, which is
impossible. We deduce that ψ ≡ 0, hence (2.2) is true. 2
Example Chebyshev polynomials We choose the scalar product
Z 1
dx
hf, gi := f (x)g(x) √ , f, g ∈ C[−1, 1]
−1 1 − x2
and define Tn ∈ Pn [x] by the relation Tn (cos θ) = cos(nθ). Hence T0 (x) ≡ 1, T1 (x) = x, T2 (x) =
2x2 − 1 etc. Changing the integration variable,
Z 1 Z π Z π
dx
hTn , Tm i = Tn (x)Tm (x) √ = cos nθ cos mθ dθ = 21 [cos(n+m)θ + cos(n−m)θ] dθ = 0
−1 1 − x2 0 0

whenever n 6= m. The recurrence relation for Chebyshev polynomials is particularly simple,


Tn+1 (x) = 2xTn (x) − Tn−1 (x), as can be verified at once from the identity cos[(n + 1)θ] + cos[(n −
1)θ] = 2 cos(θ) cos(nθ). Note that the Tn s aren’t monic, hence the inconsistency with (2.2). To
obtain monic polynomials take Tn (x)/2n−1 , n ≥ 1.

You might also like