Lagrange Interpolation Explained

Lecture 2:
Interpolation
J.K. Ryan@tudelft.nl
WI3097TU
Delft Institute of Applied Mathematics
Delft University of Technology
10 September 2012
()
Interpolation // J.K. Ryan
10 September 2012
1 / 43
Outline
Review
Lagrange Interpolation
Definition
Forming the approximation
Approximation properties
Approximation error
Spline Interpolation
()
10 September 2012
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Last lecture
Important Concepts
Important tools: Taylors theorem, Triangle inequality

How numbers are stored
Errors
I
I
I
Roundoff error: = fl(x ) x

Absolute error: |e| = |uexact uapproximate |
Relative error:
|uexact uapproximate |
absolute error
=
|uexact |
|uexact |
Landaus O symbol
()
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Beginning of Numerics
Overall Goal: to solve
d
u(x ) = f (u(x ))
dx
.
Approximate a function (today).
Approximate the derivative (next time).
Approximate an integral (later).
Todays Goal: Given a finite set of data points that represent a
function,y = f (x ),
(x0 , y0 ), (x1 , y1 ), (x2 , y2 ), . . . , (xn , yn ),
we want to form an approximation to y = f (x ).
()
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Beginning of Numerics
To approximate a function, one method is through

interpolation.
Lagrange interpolation.
Cubic spline interpolation.
()
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Interpolation/Extrapolation
Given a set of data points,
(x0 , y0 ),
(x1 , y1 ),
(x2 , y2 ),
. . . , (xn , yn )
where yn = f (xn ).
Definition (Interpolation)
For interpolation, we try to approximate a value in between the
given data points. That is, an approximation, yh f (x ), where
x0 x xn .
Definition (Extrapolation)
For extrapolation, we try to approximate a value outside the
range of the given data points. That is, an approximation,
yh f (x ), where either x < x0 or x > xn .
()
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Interpolation
Example
Given a set of data points,

2,
1
,
2

5 2
,
,
2 5

1
,
4

4,
we want to find the value at

x = 3, interpolate
x = 5, extrapolate.
Simplest method: use piecewise constants.
()
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Linear interpolation
Linear interpolation is a
straight line between 2 points:
(x0 , y0 ), (x1 , y1 ) where

y0 = f (x0 ) and y1 = f (x1 ).
Left: We use the endpoints
for the approximation.
()
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The approximation to f (x ) is given by the linear interpolation

formula
p(x ) =
x x0
x x1
y0 +
y1 .
x0 x1
x1 x0
Note: Quite similar to the point-slope formula,

y = mx + b, where m =slope and b = y intercept.
()
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We can right this in another way:
x x0
x x1
y0 +
y1
x0 x1
x1 x0
= L0,1 (x )y0 + L1,1 (x )y1
p(x ) =
where
L0,1 (x ) =
()
x x1
x x0
and L1,1 (x ) =
x0 x1
x1 x0
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Notice:
Polynomial of degree 1 (with order 2)
Constructed using 2 points
Can relate to Linearization:
L(x ) = f (x0 ) + f 0 (x0 )(x x0 )
At x0 :
p(x0 ) = y0 ,
L0,1 (x0 ) = 1,
L1,1 (x1 ) = 0
At x1 :
p(x1 ) = y1 ,
L0,1 (x0 ) = 0,
L1,1 (x1 ) = 1
()
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Interpolation
Generalization
Generalization to higher order:

Given n + 1 points:
(x0 , f (x0 )),
(x1 , f (x1 )),
. . . , (xn , f (xn ))
Is it possible to construct a polynomial of degree n that

interpolates f (x ) at those points?
()
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Interpolation
Generalization
Definition (Lagrange interpolating polynomial)

Given n + 1 data points,
(x0 , f (x0 )),
(x1 , f (x1 )),
. . . , (xn , f (xn )),
we can construct a polynomial of degree n at those points,

p(x ) =
n
X
f (xk )Lk,n (x ),
k=0
where p(x ) is the Lagrange interpolating polynomial and

Lk,n (x ) are the Lagrange coefficients which are given by
Lk,n (x ) =
()
(x x0 )(x x1 ) (x xk1 )(x xk+1 ) (x xn )

.
(xk x0 )(xk x1 ) (xk xk1 )(xk xk+1 ) (xk xn )
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Interpolation
Theorem (Lagrange interpolation)
If points x0 , x1 , . . . , xn are n + 1 distinct points and f (x ) is
a function whose values are given at these points, then there
exists a unique polynomial, p(x ), of degree at most n such that
f (xk ) = p(xk ),
k = 0, 1, . . . , n.
The polynomial is given by

p(x ) =
n
X
f (xk )Lk,n (x ),
k=0
where
Lk,n (x ) =
n
Y
x xj
j =0
xk xj
k = 0, 1, . . . , n.
j6=k
()
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Interpolation
Notice:
p(x ) is a polynomial of degree n.
Constructed using n + 1 points.
(
Lk,n (xj ) =
0,
1,
j=
6 k
j =k
Polynomial is unique.
p(xj ) = f (xj ) for j = 0, 1, . . . , n.
()
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Interpolation
Example
Given x0 = 2, x1 = 2.5, x2 = 4, find an interpolating
polynomial of degree 2 for f (x ) = x1 .
This means our given data is
1
2,
,
2
5 2
,
,
2 5

1
4,
.
4

We have 3 = n + 1 points. We should be able to construct a

polynomial of degree 2 = n.
()
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Interpolation
Example (continued)
In this case,
p(x ) =
n
X
f (xk )Lk,n (x ) =
k=0
where
Lk,2 (x ) =
2
X
f (xk )Lk,2 (x ),
k=0
2
Y
x xj
j =0
xk xj
k = 0, 1, 2.
j6=k
More specifically,
L0,2 (x ) =
(x x1 )(x x2 )
,
(x0 x1 )(x0 x2 )
L2,2 (x ) =
()
L1,2 (x ) =
(x x0 )(x x2 )
,
(x1 x0 )(x1 x2 )
(x x0 )(x x1 )
(x2 x0 )(x2 x1 )
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Interpolation
Example (continued)
Plugging in our data:

p(x ) =
2
X
f (xk )Lk,2 (x )
k=0
= f (x0 )L0,2 (x ) + f (x1 )L1,2 (x ) + f (x2 )L2,2 (x )

1
2
1
= L0,2 (x ) + L1,2 (x ) + L2,2 (x )
2
5
4
where

L0,2 (x ) =
5
2
5
2
(x 4)
(2 4)
(x 2)(x 4)

,
L1,2 (x ) =
5
5
4
2
2

5
2
5
2
(x 2) x
L2,2 (x ) =
()
(4 2) 4
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Interpolation
Example (continued)
Simplifying, we have that
p(x ) = (0.05x 0.425)x + 1.15
interpolates f (x ) =
2 x 4.
()
1
x
for
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Interpolation
Error
Once we have constructed the approximation, we should always

ask:
How good is this approximation?
Absolute Error = |Exact Approximate|

= |f (x ) p(x )|

1

= ((0.05x 0.425)x + 1.15)
x
()
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Interpolation
Error
At x = 3 (interpolation):

1
Absolute Error = ((0.05(3) 0.425)3 + 1.15) = 0.00833
3
At x = 5 (extrapolation):

1

Absolute Error = ((0.05(5) 0.425)5 + 1.15) = 0.075
5
()
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Interpolation
Error
Interpolation, x = 3 :
|f (x ) p(x )| = 0.0083
3
Extrapolation, x = 5 :
|f (x ) p(x )| = 0.075
()
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Interpolation
Theorem (Interpolation error)

Given n + 1 distinct points in [a, b], and a function with n + 1
continuous derivatives, f C n+1 (a, b), then for each x [a, b]
there exists a (a, b) with

1
(n+1)

|f (x ) p(x )| = (x x0 )(x x1 ) (x xn )
f
((x )) ,
(n + 1)!
where p(x ) is the Lagrange interpolating polynomial of degree

n.
()
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Interpolation
Error
From the previous example: f (x ) =
1
x
f (3) = x64
The error formula would then be:

1 (3)
f ()
3!

5
1
6
(x 4)
4
= (x 2) x
2
3!

1
6
5
max 4 (x 2) x
(x 4)
3! [2,4]
2
|f (x ) p(x )| = (x x0 )(x x1 )(x x2 )
()
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Interpolation
Sometimes, it is better to use a lower order polynomial

approximation, but use smaller intervals.
Example
Let f (x ) = e x and x [0, 1]. Suppose we want to use a
piecewise linear interpolation using points x0 , x1 , . . . , xn .
Find a piecewise linear interpolant for f (x ).
What should the spacing be between data to keep the error
less than 106 ?
()
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Interpolation
Example
Define xj = 0 + jh,
between the data,
j = 0, . . . , n. h then represents the spacing

h = xj+1 xj .
For linear interpolation, the Lagrange interpolant for

x [xj , xj+1 ] is given by
p(x ) = f (xj )Lj,1 (x ) + f (xj+1 )Lj+1,1 (x ),
x xj+1
x xj
+ f (xj+1 )
= f (xj )
xj xj+1
xj+1 xj
()
x (xj , xj+1 )
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Interpolation
Example
This gives
p(x ) = e xj
x xj+1
x xj
+ e xj+1
xj xj+1
xj+1 xj
But h = xj+1 xj
()
p(x ) =
1
((xj+1 x )e xj + (x xj )e xj+1 )
h
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Interpolation
Example
We want
|f (x ) p(x )| 106
For which h does this hold?
Using our interpolation error theorem

|f (x ) p(x )| (x xj )(x xj+1 )
1 (2)
f ()
2!
1 (2)
| f () ||(x xj )(x xj+1 )|
2! | {z }
d2 x
e =e x
dx 2
1
e h2
max e | (x jh) (x (j + 1)h) |
| {z } |
{z
}
2 (0,1)
2 4
h
2
()
h
2
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Interpolation
Example
We want
|f (x ) p(x )| 106
where
e
|f (x ) p(x )| h2 106
8
h2 8e 1 106
()
h 8e 1 106
1/2
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Summary
One method of constructing an approximation to a function, f (x ) is

1
2
Take n + 1 data points: x0 , x1 , . . . , xn .

Define the Lagrange coefficients:
Lk,n (x ) =
n
Y
x xj
j =0
xk xj
k = 0, 1, . . . , n.
j6=k
Then the approximating polynomial is given by

p(x ) =
n
X
f (xk )Lk,n (x )
k=0
4
The error is given by

n
Y

1

|f (x ) p(x )|
(x xk ) max f (n+1) ()

(x0 ,xn )
(n + 1)! k=0
()
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Another way to form a piecewise polynomial approximation is

through Spline interpolation.
Break the intervals into subintervals
{(x0 , y0 ), (x1 , y1 )}, {(x1 , y1 ), (x2 , y2 )}, . . . {(xn1 , yn1 ), (xn , yn )}
Use piecewise polynomial approximation

Use differentiability at endpoints of submitervals
()
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We could use piecewise linear polynomials:
Definition
Given a function f on [a, b] and a set of nodes
a = x0 < x1 < < xn = b, a linear spline interpolant is a
function s(x ) C[a, b] such that
si (x ) is a linear polynomial on the interval
[xi , xi+1 ], i = 0, . . . , n 1
si (xi ) = f (xi ),
i = 0, . . . , n
But this gives something like piecewise Lagrange interpolation.
()
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Cubic interpolation
What about a higher order piecewise interpolant?
Definition
Given a function f on [a, b] and a set of nodes
a = x0 < x1 < < xn = b, a cubic spline interpolant is a
function s(x ) C 2 [a, b] such that
1
si (x ) is a polynomial of degree 3 on each subinterval

[xi , xi+1 ], i = 0, . . . , n 1
si (xi ) = f (xi ),
dk
i = 0, . . . , n 1 and si (xi+1 ) = f (xi+1 )

dk
s (x )
dx k i i+1
= dx k si+1 (xi+1 ),
i = 0, . . . , n 2, k = 0, 1, 2
(x ) = 0
(One possible condition) s0 (x0 ) = sn1
n
()
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Cubic Spline Interpolation
This means that given equally spaced data,

(x0 , y0 ), (x1 , y1 ), . . . , (xn , yn )
we can define
si (x ) = ai (x xi )3 + bi (x xi )2 + ci (x xi ) + di
on [xi , xi+1 ], where h = xi+1 xi .
We must solve for the coefficients, ai , bi , ci , di .
()
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Step 1
Plug in x = xi into
si (x ) = ai (x xi )3 +bi (x xi )2 +ci (x xi )+di ,
i = 0, . . . , n1
si (xi ) = f (xi )
= ai (xi xi )3 + bi (xi xi )2 + ci (xi xi ) + di ,
= di
di = f (xi ),
()
i = 0, . . . , n 1
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Step 2
(x
Use si (xi+1 ) = si+1

i+1 ) and s0 (x0 ) = sn1 (xn ) = 0 where
si (x ) = 6ai (x xi ) + 2bi
This gives
si (xi+1 ) = 6ai (xi+1 xi ) + 2bi = 6ai h + 2bi
si+1
(xi+1 ) = 2bi+1
ai =
(1)
1
(bi+1 bi ),
3h
i = 0, . . . , n 2
and
b0 = 0,
()
an1 =
1
bn1
3h
i = 0, . . . , n 2
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Step 3
Use si (xi+1 ) = si+1 (xi+1 ) and sn1 (xn ) = yn Which gives,

si (xi+1 ) = ai (xi+1 xi )3 + bi (xi+1 xi )2 + ci (xi+1 xi ) + yi
= ai h3 + bi h2 + xi h + yi
si+1 (xi+1 ) = yi+1
So that we have
ci =
1
h
(yi+1 yi ) (bi+1 + 2bi ),
h
3
i = 0, . . . , n 2
and
cn1 =
()
1
2h
(yn yn1 ) bn ,
h
3
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Step 4
0 (x
From si0 (xi+1 ) = si+1
i+1 ) we obtain a linear system:
2
1
1
si0 (xi+1 ) = hbi+1 + hbi + (yi+1 yi )
3
3
h
1
0
si (xi+1 ) = (bi+2 + 2bi+1 ) + 1h(bi+1 + 2bi+1 )
3
Which gives
bi+2 + 4bi+1 + bi =
()
3
(yi+2 2yi+1 + yi ),
h2
i = 0, . . . , n 3
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Algorithm
Given data,
(x0 , y0 ), (x1 , y1 ), . . . , (xn , yn )
we define
si (x ) = ai (x xi )3 + bi (x xi )2 + ci (x xi ) + di
on [xi , xi+1 ], where hi = xi+1 xi . To find the coefficients:
1
Solve linear system Mb = g for b = [b0 , b1 , . . . , bn1 ]T
Calculate ci .
Calculate ai .
Form si (x ) = ai (x xi )3 + bi (x xi )2 + ci (x xi ) + di for
x [xi , xi+1 ].
()
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Example
Given data
1
2,
,
2
(1, 1),
1
3,
,
3
1
4,
,
4

The cubic spline interpolant that approximation f (x ) =

this data is given by
S(x ) =
()
1
3
2
12 (x 3x 4x + 18),
1
3
2
12 (x + 9x
1 (x + 7),
12
28x + 34),
1
x
using
1 x 2,
2 < x 3,
3 < x 4.
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40 / 43

How did we find this Spline interpolant?
Piecewise polynomial intervals: [x0 , x1 ], [x1 , x2 ], [x2 , x3 ].
This means we have 3 spline interpolants s0 (x ), s1 (x ),
and s2 (x ).
1
i = 0, . . . , n 1.
xi ,
s2 (x3 ) = 0 s0 (1) = s2 (4)
We know di = f (xi ) =
Boundaries: s0 (x0 ) =
1
a2 = b2
3
b0 = 0
Solve the system for bi ,
"
()
4 1
1 4
#"
b1
b2
=0
i = 1, 2 :
"
1
1
4
"
b1
b2
"
1
4
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Using ci =
Using ai =
1
hi (yi+1
yi )
c0 =
7
,
12
1
2hi (bi+1
a0 =
hi
3 (bi+1
+ 2bi ) :
1
c1 = ,
3
c2 =
1
12
bi ) :
1
,
12
a1 =
1
,
12
a2 = 0
Gives
1
7
3
s0 (x ) = 12 (x 1) 12 (x 1) + 1,
1
3
s(x ) = s1 (x ) = 12 (x 2) + 14 (x 2)2 13 (x 2) + 21 ,
1
s2 (x ) = 12
(x 3) + 31 ,
()
10 September 2012
x
2<x
3<x
42 / 43
Material addressed
Review
Definition
Forming the
approximation
Approximation properties
Approximation error
()
Material in book:
Chapter 2, Sections 1-3, 5-6
HIGHLY Recommended
exercises:
All from Ch. 2.
10 September 2012
43 / 43

Lagrange Interpolation Explained

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Lecture 2:

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

Important tools: Taylors theorem, Triangle inequality

Roundoff error: = fl(x ) x

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

To approximate a function, one method is through

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

we want to find the value at

Interpolation // J.K. Ryan

(x0 , y0 ), (x1 , y1 ) where

Interpolation // J.K. Ryan

The approximation to f (x ) is given by the linear interpolation

Note: Quite similar to the point-slope formula,

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

Generalization to higher order:

(x1 , f (x1 )),

Is it possible to construct a polynomial of degree n that

Interpolation // J.K. Ryan

Definition (Lagrange interpolating polynomial)

(x1 , f (x1 )),

. . . , (xn , f (xn )),

we can construct a polynomial of degree n at those points,

where p(x ) is the Lagrange interpolating polynomial and

(x x0 )(x x1 ) (x xk1 )(x xk+1 ) (x xn )

Interpolation // J.K. Ryan

The polynomial is given by

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

We have 3 = n + 1 points. We should be able to construct a

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

Plugging in our data:

= f (x0 )L0,2 (x ) + f (x1 )L1,2 (x ) + f (x2 )L2,2 (x )

Interpolation // J.K. Ryan

Simplifying, we have that

p(x ) = (0.05x 0.425)x + 1.15

Interpolation // J.K. Ryan

Once we have constructed the approximation, we should always

Absolute Error = |Exact Approximate|

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

Theorem (Interpolation error)

where p(x ) is the Lagrange interpolating polynomial of degree

Interpolation // J.K. Ryan

From the previous example: f (x ) =

The error formula would then be:

|f (x ) p(x )| = (x x0 )(x x1 )(x x2 )

Interpolation // J.K. Ryan

Sometimes, it is better to use a lower order polynomial

Interpolation // J.K. Ryan

j = 0, . . . , n. h then represents the spacing

For linear interpolation, the Lagrange interpolant for

Interpolation // J.K. Ryan

Interpolation // J.K. Ryan

|f (x ) p(x )| (x xj )(x xj+1 )

Interpolation // J.K. Ryan