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numerical analysis Numerical analysis is the study of algorithms that use numerical approximation (as opposed to symbolic computation, symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics). It is the study of ...
, Hermite interpolation, named after Charles Hermite, is a method of polynomial interpolation, which generalizes Lagrange interpolation. Lagrange interpolation allows computing a
polynomial In mathematics, a polynomial is a Expression (mathematics), mathematical expression consisting of indeterminate (variable), indeterminates (also called variable (mathematics), variables) and coefficients, that involves only the operations of addit ...
of degree less than that takes the same value at given points as a given function. Instead, Hermite interpolation computes a polynomial of degree less than such that the polynomial and its first few derivatives have the same values at (fewer than ) given points as the given function and its first few derivatives at those points. The number of pieces of information, function values and derivative values, must add up to n. Hermite's method of interpolation is closely related to the Newton's interpolation method, in that both can be derived from the calculation of divided differences. However, there are other methods for computing a Hermite interpolating polynomial. One can use
linear algebra Linear algebra is the branch of mathematics concerning linear equations such as :a_1x_1+\cdots +a_nx_n=b, linear maps such as :(x_1, \ldots, x_n) \mapsto a_1x_1+\cdots +a_nx_n, and their representations in vector spaces and through matrix (mathemat ...
, by taking the coefficients of the interpolating polynomial as unknowns, and writing as
linear equation In mathematics, a linear equation is an equation that may be put in the form a_1x_1+\ldots+a_nx_n+b=0, where x_1,\ldots,x_n are the variables (or unknowns), and b,a_1,\ldots,a_n are the coefficients, which are often real numbers. The coeffici ...
s the constraints that the interpolating polynomial must satisfy. For another method, see . For yet another method, see, which uses contour integration.


Statement of the problem

In the restricted formulation studied in, Hermite interpolation consists of computing a
polynomial In mathematics, a polynomial is a Expression (mathematics), mathematical expression consisting of indeterminate (variable), indeterminates (also called variable (mathematics), variables) and coefficients, that involves only the operations of addit ...
of degree as low as possible that matches an unknown function both in observed value, and the observed value of its first derivatives. This means that values must be known. \begin (x_0, y_0), & (x_1, y_1), & \ldots, & (x_, y_), \\ ex(x_0, y_0'), & (x_1, y_1'), & \ldots, & (x_, y_'), \\ ex\vdots & \vdots & & \vdots \\ .2ex(x_0, y_0^), & (x_1, y_1^), & \ldots, & (x_, y_^) \end The resulting polynomial has a degree less than . (In a more general case, there is no need for to be a fixed value; that is, some points may have more known derivatives than others. In this case the resulting polynomial has a degree less than the number of data points.) Let us consider a polynomial of degree less than with indeterminate coefficients; that is, the coefficients of are new variables. Then, by writing the constraints that the interpolating polynomial must satisfy, one gets a system of linear equations in unknowns. In general, such a system has exactly one solution. In, Charles Hermite used contour integration to prove that this is effectively the case here, and to find the unique solution, provided that the are pairwise different. The Hermite interpolation problem is a problem of
linear algebra Linear algebra is the branch of mathematics concerning linear equations such as :a_1x_1+\cdots +a_nx_n=b, linear maps such as :(x_1, \ldots, x_n) \mapsto a_1x_1+\cdots +a_nx_n, and their representations in vector spaces and through matrix (mathemat ...
that has the coefficients of the interpolation polynomial as unknown variables and a confluent Vandermonde matrix as its matrix. The general methods of linear algebra, and specific methods for confluent Vandermonde matrices are often used for computing the interpolation polynomial. Another method is described below.


Using Chinese remainder theorem

Let be a positive integer, be nonnegative integers, and values that are
real number In mathematics, a real number is a number that can be used to measure a continuous one- dimensional quantity such as a duration or temperature. Here, ''continuous'' means that pairs of values can have arbitrarily small differences. Every re ...
s or belong to any other field of characteristic zero. Hermite interpolation problem consists of finding a
polynomial In mathematics, a polynomial is a Expression (mathematics), mathematical expression consisting of indeterminate (variable), indeterminates (also called variable (mathematics), variables) and coefficients, that involves only the operations of addit ...
such that :f(x_i)=y_, f'(x_i)=y_, \ldots, f^(x_i)=y_ for , where the are given values in the same field as the . These conditions implies that the Taylor polynomial of of degree at is :\sum_^m\frac(x-x_i)^j. In other words, the desired polynomial is congruent to this polynomial modulo (x-x_i)^. The Chinese remainder theorem for polynomials implies that there is exactly one solution of degree less than n=\sum_^k (m_i+1). Moreover, this solution can be computed with O(n^2) arithmetic operations, or even faster with fast polynomial multiplication. This approach does not works in positive characteristic, because of the denominators of the coefficients of the Taylor polynomial. The approach through divided differences, below, works in every characteristic.


Using divided differences


Simple case when all k=2

When using divided differences to calculate the Hermite polynomial of a function ''f'', the first step is to copy each point ''m'' times. (Here we will consider the simplest case m = 1 for all points.) Therefore, given n + 1 data points x_0, x_1, x_2, \ldots, x_n, and values f(x_0), f(x_1), \ldots, f(x_n) and f'(x_0), f'(x_1), \ldots, f'(x_n) for a function f that we want to interpolate, we create a new dataset z_0, z_1, \ldots, z_ such that z_ = z_ = x_i. Now, we create a divided differences table for the points z_0, z_1, \ldots, z_. However, for some divided differences, z_i = z_ \implies f _i, z_= \frac = \frac which is undefined. In this case, the divided difference is replaced by f'(z_i). All others are calculated normally.


A more general case when k>2

In the general case, suppose a given point x_i has ''k'' derivatives. Then the dataset z_0, z_1, \ldots, z_ contains ''k'' identical copies of x_i. When creating the table, divided differences of j = 2, 3, \ldots, k identical values will be calculated as \frac. For example, f _i, x_i, x_i\frac f _i, x_i, x_i, x_i\frac etc. A fast algorithm for the fully general case is given in. A slower but more numerically stable algorithm is described in.


Example

Consider the function f(x) = x^8 + 1. Evaluating the function and its first two derivatives at x \in \, we obtain the following data: Since we have two derivatives to work with, we construct the set \ = \. Our divided difference table is then: \begin z_0 = -1 & f _0= 2 & & & & & & & & \\ & & \frac = -8 & & & & & & & \\ z_1 = -1 & f _1= 2 & & \frac = 28 & & & & & & \\ & & \frac = -8 & & f _3,z_2,z_1,z_0= -21 & & & & & \\ z_2 = -1 & f _2= 2 & & f _3,z_2,z_1= 7 & & 15 & & & & \\ & & f _3,z_2= -1 & & f _4,z_3,z_2,z_1= -6 & & -10 & & & \\ z_3 = 0 & f _3= 1 & & f _4,z_3,z_2= 1 & & 5 & & 4 & & \\ & & \frac = 0 & & f _5,z_4,z_3,z_2= -1 & & -2 & & -1 & \\ z_4 = 0 & f _4= 1 & & \frac = 0 & & 1 & & 2 & & 1 \\ & & \frac = 0 & & f _6,z_5,z_4,z_3= 1 & & 2 & & 1 & \\ z_5 = 0 & f _5= 1 & & f _6,z_5,z_4= 1 & & 5 & & 4 & & \\ & & f _6,z_5= 1 & & f _7,z_6,z_5,z_4= 6 & & 10 & & & \\ z_6 = 1 & f _6= 2 & & f _7,z_6,z_5= 7 & & 15 & & & & \\ & & \frac = 8 & & f _8,z_7,z_6,z_5= 21 & & & & & \\ z_7 = 1 & f _7= 2 & & \frac = 28 & & & & & & \\ & & \frac = 8 & & & & & & & \\ z_8 = 1 & f _8= 2 & & & & & & & & \\ \end and the generated polynomial is \begin P(x) &= 2 - 8(x+1) + 28(x+1) ^2 - 21 (x+1)^3 + 15x(x+1)^3 - 10x^2(x+1)^3 \\ &\quad + 4x^3(x+1)^3 -1x^3(x+1)^3(x-1)+x^3(x+1)^3(x-1)^2 \\ &=2 - 8 + 28 - 21 - 8x + 56x - 63x + 15x + 28x^2 - 63x^2 + 45x^2 - 10x^2 - 21x^3 \\ &\quad + 45x^3 - 30x^3 + 4x^3 + x^3 + x^3 + 15x^4 - 30x^4 + 12x^4 + 2x^4 + x^4 \\ &\quad - 10x^5 + 12x^5 - 2x^5 + 4x^5 - 2x^5 - 2x^5 - x^6 + x^6 - x^7 + x^7 + x^8 \\ &= x^8 + 1. \end by taking the coefficients from the diagonal of the divided difference table, and multiplying the ''k''th coefficient by \prod_^ (x - z_i), as we would when generating a Newton polynomial.


Quintic Hermite interpolation

The quintic Hermite interpolation based on the function (f), its first (f') and second derivatives (f'') at two different points (x_0 and x_1) can be used for example to interpolate the position of an object based on its position, velocity and acceleration. The general form is given by \begin p(x) & = f(x_0) + f'(x_0) (x - x_0) + \fracf''(x_0) (x - x_0)^2 + \frac (x - x_0)^3 \\ & + \frac (x - x_0)^3 (x - x_1) \\ & + \frac (x - x_0)^3 (x - x_1)^2. \end


Error

Call the calculated polynomial ''H'' and original function ''f''. Consider first the real-valued case. Evaluating a point x \in _0, x_n/math>, the error function is f(x) - H(x) = \frac \prod_(x - x_i)^, where ''c'' is an unknown within the range _0, x_N/math>, ''K'' is the total number of data-points, and k_i is the number of derivatives known at each x_i. The degree of the polynomial on the right is thus one higher than the degree bound for H(x). Furthermore, the error and all its derivatives up to the k_i-1st order is zero at each node, as it should be. In the complex case, as described for example on p. 360 in, f(z) - H(z) = \frac \oint_C \fracd\zeta where the contour C encloses z and all the nodes x_i, and the node polynomial is w(z) = \prod_(z - x_i)^.


See also

* Cubic Hermite spline * Newton series, also known as finite differences * Neville's schema * Bernstein polynomials


References


External links


Hermites Interpolating Polynomial
at Mathworld {{Authority control Interpolation Finite differences Factorial and binomial topics