6

Trigonometric Interpolation

Is there something else than polynomials and Taylor approximation in the world?

Idea (J. Fourier 1822): Approximation of a function not by usual polynomials but by trigonometrical polynomials = partial sum of a Fourier series

We call trigonometrical polynomial of degree 2m the function

T2m(t) := t

j=m

j e2ijt ,

j C, t R .

Remark 6.0.1. T2m : R C is periodic of period 1. Moreover, if j = j for all j = 0, . . . , 2m, then T2m(t) takes only real values and may be written as
2m a0 T2m(t) = + a cos(2jt) + bj sin(2jt) j=1 j 2 with a0 = 20 and aj = 2 Re j , bj = 2 Im j for all j = 1, . . . , 2m.

Remark 6.0.2. The functions wj (t) = e2ijt are orthogonal with respect to the L2(]0, 1[) scalar product. Let us take as granted (or known from lectures in Analysis, Mathematcial Methods of Physics, etc.): Theorem 6.0.1 (L2-convergence of the Fourier series). Every squared integrable function f

'

L2(]0, 1[) := {f :]0, 1[ C: f L2(]0,1[) < } is the L2(]0, 1[)-limit of its Fourier series f (t) =
with Fourier coefcients dened by
1 k=

f (k) e2ikt in L2(]0, 1[) ,

f (k) =
&

f (t) e2ikt dt , k Z .

Remark 6.0.3. In view of this theorem, we may think of one function in two ways: once in the time (or space) domain t f (t) and once in the frequency domain k f (k).

'

Isometry property (Parseval):

&

|f (k)|2 = f 2 2(]0,1[) L k=

(6.0.1)

Remark 6.0.4. A real function f may be equally represented as

a0 + 2
with

j=1

aj cos(2jt) + bj sin(2jt)
1

in L2(]0, 1[) ,

aj = 2 bj = 2

0 0

f (t) cos(2jt) dt , j 0 ,
1

f (t) sin(2jt) dt , j 1 .

'

Lemma 6.0.2 (Derivative and Fourier coefcients).

&

f L1(]0, 1[) & f L1(]0, 1[) f (n)

2 L2([0,1])

f (k) = 2ik f(k), k Z.

Remark 6.0.5.

(2)2n

k=

k 2n|f (k)|2 .

(6.0.2)

If |f (n)(k)|

1 0

|f (n)(t)| dt < f (k) = O(k n) for |k| .

The smoothness of a function directly reects in the quick decay of its Fourier coefcients.

]0.1[ may be computed analytically as 1 ba+

Example 6.0.6. The Fourier series associated with the characteristic function of an interval [a, b]
|k|=1

eikc

sin kd i2kt e , k

t [0, 1] ,

with c = (a + b) and d = (b a).

Note the slow decay of the Fourier coefcients, and hence expect slow convergence of the series. Moreover, observe in the pictures below the Gibbs phenomenon: the ripples move closer to the discontinuities and increase with larger n. Explanation: we have L2-convergence but no uniforme

convergence of the series!

2.0

n = 10

10

n = 70

8 1.5 6

1.0

0.5

0.0

0.5

1.0 0.0

0.2

0.4

0.6

0.8

1.0

Remark 6.0.7. Usually one cannot compute analytically f (k) or one has to rely only on discrete
values at nodes x = N for = 0, 1, . . . , N ; the trapezoidal rule gives

(k) 1 f N

N 1 =0

f (x)e2ikx =: fN (k)

2 0 2 4 6 8 0.0 0.2

0.4

0.6

0.8

1.0

(6.0.3)

6.1

Discrete Fourier Transform (DFT)

Let n N xed and denote the nth root of unity n := exp(2i/n) = cos(2/n) i sin(2/n) hence
k+n k n n = n k Z , n = 1 , n = 1 , n1 k=0
n/2

(6.1.1) (6.1.2)

n =
A change of basis in Cn:

kj

n , if j = 0 , 0 , if j = 0 .

Trigonometrical Basis 0 0 n 0 n 0 1 n n 0 0 0 . 1 n2 n1 0 . . . . n 1 . n n . . . . . . . 2(n1) 2(n2) . . . 0 . n n . . . . 0 . . . . . . . . . . . . . . . . . . . . . 1 0 . . . . . . 0 2 0 n1 n (n1)(n2) (n1) 0 0 1 n

n n

standard basis of Kn

Matrix of change of basis

0 0 n n 0 1 n n 0 2 Fn = n n . . . . . . 0 n1 n n
1.8

trigonometrical basis standard basis: Fourier-matrix

0 n n1 n 2n2 n

. . .

(n1)2 n

ij n1 Cn,n . = n i,j=0

(6.1.3)

1.4

1.6

Realteil Imaginaerteil

1.2

Realteil Imaginaerteil

1.4

1.2

0.8

0.6

0.8

0.4

0.6

0.2

0.4

0.2

0.2

0.4

10

12

14

10

12

14

Koeffizientenindex

Koeffizientenindex

Vector in standardbasis

Vector in trigonometrical basis

Fny, y Cn , discrete Fourier transform (DFT), i.e. for c := Fn(y)

n1

Denition 6.1.1 (Diskrete Fourier transform). We call linear map Fn :

kj

Cn

Cn,

Fn(y) :=

ck =
j=0

yj n

, k = 0, . . . , n 1 .

(6.1.4)

Convention: in the discussion of the DFT: vektor indexes run from 0 to n 1.

' $

Lemma 6.1.2.
1 The scaled Fourier-matrix Fn is unitary: n
&

1 1 F1 = n FH = n Fn n n

1 Remark 6.1.1. n F2 = I and 12 F4 = I , hence the eigenvalues of Fn are in the set {1, 1, i, i}. n n n

numpy-functions:

c=fft(y) y=ifft(c);

Example 6.1.2 (Frequency analysis with DFT). Some vectors of the Fourier basis (n = 16):

Fourierbasis vector, n=16, j=1

1 1

Fourierbasis vector, n=16, j=7

1

Fourierbasis vector, n=16, j=15

0.8

0.8

0.8

0.6

0.6

0.6

0.4

0.4

0.4

0.2

0.2

0.2

Value

Value

Value
Real part Imaginary p.

0.2

0.2

0.2

0.4

0.4

0.4

0.6

0.6

0.6

0.8 Real part Imaginary p. 1 0 2 4 6 8 10 12 14 16 18

0.8

0.8 Real part Imaginary p. 6 8 10 12 14 16 18 1 0 2 4 6 8 10 12 14

Vector component k

Vector component k

Vector component k

Fig. 54
16

18

"low frequence

"high frequence

"low frequence

Extraction of characteristical frequencies from a distorted discrete periodical signal:

from numpy import sin, pi, linspace, random, fft from pylab import plot, bar, show t = linspace(0,63,64); x = sin(2*pi*t/64)+sin(7*2*pi*t/64) y = x + random.randn(len(t)) %distortion c = fft.fft(y); p = abs(c)**2/64 plot(t,y,-+); show() bar(t[:32],p[:32]); show()

3
20 18

2
16 14 12

Signal

|c |

2
1 2 3

k
10 8 6 4 2 0

10

20

30

40

50

60

Sampling points (time)

Fig. 55

70

10

15

20

25

Coefficient index k

Fig. 56

30

6.2 Fast Fourier Transform (FFT)

At rst glance (at (6.1.4)): DFT in Cn seems to require asymptotic computational effort of O(n2) (matrixvector multiplication with dense matrix).

Example 6.2.1 (Efciency of fft).

tic-toc-timing: compare fft, loop based implementation, and direct matrix multiplication

1 2 3 4 5 6 7 8 9

Code 6.2.2: timing of different implementations of DFT from numpy import zeros , random , exp , p i , meshgrid , r_ , dot , import t i m e i t def naiveFT ( ) : global y , n c = 0. 1 j y # naive omega = exp(2 p i 1 j / n ) c [ 0 ] = y . sum ( ) ; s = omega f o r j j i n xrange ( 1 , n ) : c [ j j ] = y [ n 1] f o r kk i n xrange ( n 2,1,1) : c [ j j ] = c [ j j ] s+y [ kk ] s = omega #return c def matrixFT ( ) :

fft

10

11

12

13

14

15

16

17

18

global y , n # matrix based I , J = meshgrid ( r _ [ : n ] , r _ [ : n ] ) F = exp(2 p i 1 j I J / n ) tm = 10 3 c = dot (F , y ) #return c def f f t F T ( ) : global y , n c = f f t . f f t (y) #return c nrexp = 5 N = 2 11 # how large the vector will be r e s = zeros ( ( N, 4 ) ) f o r n i n xrange ( 1 ,N+1) : y = random . rand ( n ) t = t i m e i t . Timer ( naiveFT ( ) , from __main__ i m p o r t naiveFT ) t n = t . t i m e i t ( number=nrexp ) t = t i m e i t . Timer ( matrixFT ( ) , from __main__ i m p o r t matrixFT )

19

20

21

22

23

24

25

26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

tm = t . t i m e i t ( number=nrexp ) t = t i m e i t . Timer ( f f t F T ( ) , from __main__ i m p o r t f f t F T ) t f = t . t i m e i t ( number=nrexp ) #print n, tn, tm, tf r e s [ n 1] = [ n , tn , tm , t f ] print res [ : , 3 ] from p yl a b import semilogy , semilogy ( r e s [ : , 0 ] , r e s [ : , 1 ] semilogy ( r e s [ : , 0 ] , r e s [ : , 2 ] semilogy ( r e s [ : , 0 ] , r e s [ : , 3 ] s e v e f i g ( f f t t i m e . eps ) show ( ) show , p l o t , s a v e f i g , b ) , k ) , r )

47

48

49

50

51

52

53

102

naive DFT-implementation
101

c = 0.*1j*y 100 omega = exp(-2*pi*1j/n) c[0] = y.sum(); s = omega 10-1 for jj in xrange(1,n): 10-2 c[jj] = y[n-1] for kk in xrange(n-2,-1,-1): -3 c[jj] = c[jj]*s+y[kk] 10 s *= omega
run time [s] 10-4 10-5 0 500 1000 1500 vector length n 2000 2500

naive way matrix way numpy way

fft runtimes

Incredible! The fft()-function clearly beats the O(n2) asymptotic complexity of the other implementations. Note the logarithmic scale!

The secret of fft(): the Fast Fourier Transform algorithm [15] (discovered by C.F. Gauss in 1805, rediscovered by Cooley & Tuckey in 1965, one of the top ten algorithms of the century).

An elementary manipulation of (6.1.4) for n = 2m, m N:

n1

ck = =

yj
j=0 m1 j=0 m1

2i jk e n m1 2i (2j+1)k y2j+1e n m1 2i jk e m =m =:codd k

jk

2i 2jk y2j e n

+
j=0

(6.2.1)

2i jk y2j e m jk j=0 =m =:ceven k

2i k +e n

y2k+1
j=0

Note m-periodicity:

ceven = ceven , codd = codd . k+m k+m k k

Note: ceven, codd from DFTs of length m! k k with

 

yeven := (y0, y2, . . . , yn2)T Cm : )T Cm :

ceven k=0 = Fmyeven , k

m1 odd ck k=0

m1

with yodd := (y1, y3, . . . , yn1 (6.2.1):

= Fmyodd .

DFT of length 2m = 2 DFT of length m + 2m additions & multiplications

 

Idea: divide & conquer recursion (for DFT of length n =

3 4 5 6 7 8 9

2L)

FFT-algorithm

10

11

12

Code 6.2.3: Recursive FFT from numpy i m p o r t linspace , random , hstack , pi , exp def f f t r e c ( y ) : n = len ( y ) i f n == 1 : c = y re t urn c else : c0 = f f t r e c ( y [ : : 2 ] ) c1 = f f t r e c ( y [ 1 : : 2 ] ) r = ( 2. j p i / n ) linspace ( 0 , n 1,n ) c = h sta ck ( ( c0 , c0 ) ) + exp ( r ) h sta ck ( ( c1 , c1 ) ) re t urn c

Computational cost of fftrec:

2 DFT of length 2L1

1 DFT of length 2L

4 DFT of length 2L2

2L DFT of length 1
Code 6.2.2: each level of the recursion requires O(2L) elementary operations. Asymptotic complexity of FFT algorithm, n = 2L:

O(L2L) = O(n log2 n)

(fft-function: cost 5n log2 n).

Remark 6.2.4 (FFT algorithm by matrix factorization). For n = 2m, m N,

OE permutation Pm (1, . . . , n) = (1, 3, . . . , n 1, 2, 4, . . . , n) .

As n = m:

2j

Fm OE F = 0 permutation of rows Pm n n 1 n Fm ... Fm

Fm n
n/21

n /2 n n/2+1 n Fm ... I
0 n

n1 n

Fm

I 0 n 1 n ...

1 n

...

n/21

n/21

Example: factorization of Fourier matrix for n = 10

0 0 0 0 0 OE P5 F10 = 0 0 0 0 0

0 2 4 6 8 1 3 5 7 9

0 4 8 2 6 2 6 0 4 8

0 6 2 8 4 3 9 5 1 7

0 8 6 4 2 4 2 0 8 6

0 0 0 0 0 5 5 5 5 5

0 2 4 6 8 6 8 0 2 4

0 4 8 2 6 7 1 5 9 3

0 6 2 8 4 8 4 0 6 2

0 8 6 4 2 , := 10 . 9 7 5 3 1

What if n = 2L?

Quoted from M ATLAB manual:

To compute an n-point DFT when n is composite (that is, when n = pq ), the FFTW library decomposes the problem using the Cooley-Tukey algorithm, which rst computes p transforms of size q , and then computes q transforms of size p. The decomposition is applied recursively to both the pand q -point DFTs until the problem can be solved using one of several machine-generated xed-size

"codelets." The codelets in turn use several algorithms in combination, including a variation of CooleyTukey, a prime factor algorithm, and a split-radix algorithm. The particular factorization of n is chosen heuristically.
'

The execution time for fft depends on the length of the transform. It is fastest for powers of two. It is almost as fast for lengths that have only small prime factors. It is typically several times slower for lengths that are prime or which have large prime factors Ex. 6.2.1.

&

Remark 6.2.5 (FFT based on general factorization).

Fast Fourier transform algorithm for DFT of length n = pq , p, q N (Cooley-Tuckey-Algorithm)

n1

ck =
j=0

jk [j=:lp+m] yj n =

p1 q1

ylp+m
m=0 l=0

2i (lp+m)k e pq

p1

q1 l=0

=
m=0

mk n

l(k ylp+m q

mod q)

(6.2.2)
q1

Step I: perform p DFTs of length q

zm,k :=

l=0

lk ylp+m q , 0 m < p, 0 k < q .

Step II:

for k =: rq + s,

0 r < p, 0 s < q
p1 2i (rq+s)m z e pq m,s

p1

crq+s =
m=0

=
m=0

mr ms n zm,s p

and hence q DFTs of length p give all ck . Step I Step II

Remark 6.2.6 (FFT for prime n). When n = 2L, even the Cooley-Tuckey algorithm of Rem. 6.2.5 will eventually lead to a DFT for a vector with prime length.

Quoted from the M ATLAB manual:

When n is a prime number, the FFTW library rst decomposes an n-point problem into three (n 1)point problems using Raders algorithm [43]. It then uses the Cooley-Tukey decomposition described above to compute the (n 1)-point DFTs.

Details of Raders algorithm: a theorem from number theory:

p N prime g {1, . . . , p 1}: {g k

mod p: k = 1, . . . , p 1} = {1, . . . , p 1} ,

permutation Pp,g : {1, . . . , p 1} {1, . . . , p 1} , reversing permutation Pk : {1, . . . , k} {1, . . . , k} ,

Pp,g (k) = g k

mod p ,

Pk (i) = k i + 1 .

T For Fourier matrix F = (fij )i,j=1: Pp1Pp,g (fij )i,j=2Pp,g

is circulant.

Example for p = 13:

g = 2 , permutation: (2 4 8 3 6 12 11 9 5 10 7 1) .
0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 1 7 10 5 9 11 12 6 3 8 4 0 4 2 1 7 10 5 9 11 12 6 3 8 0 8 4 2 1 7 10 5 9 11 12 6 3 0 3 8 4 2 1 7 10 5 9 11 12 6 0 6 3 8 4 2 1 7 10 5 9 11 12 0 12 6 3 8 4 2 1 7 10 5 9 11 0 11 12 6 3 8 4 2 1 7 10 5 9 0 9 11 12 6 3 8 4 2 1 7 10 5 0 5 9 11 12 6 3 8 4 2 1 7 10 0 10 5 9 11 12 6 3 8 4 2 1 7 0 7 10 5 9 11 12 6 3 8 4 2 1 0 1 7 10 5 9 11 12 6 3 8 4 2

F13

Then apply fast (FFT based!) algorithms for multiplication with circulant matrices to right lower (n

1) (n 1) block of permuted Fourier matrix .

Asymptotic complexity of c=fft(y) for y Cn =

O(n log n).

6.3 Trigonometric Interpolation: Computational Aspects

'

Theorem 6.3.1 (Trigonometric interpolant). Let N even and z = FN y CN . The trigonometric interpolant
N/2 ,

pN (x) :=
k=N/2
&

zk e2ikx :=

1 zN/2e2ixN/2 + zN/2e2ixN/2 + 2

zk e2ikx
|k|N/2
%

has the property that pN (x) = y, where x = /N .

Fast intepolation by means of FFT: O(n log n) asymptotic complexity, see Sect. 6.2, provide

k uniformly distributed nodes tk = , k = 0, . . . , 2n 2n + 1

(2n + 1) (2n + 1) linear system of equations:

2n j=0

nk jk j exp 2i = zk := exp 2i y , k = 0, . . . , 2n . 2n + 1 2n + 1 k
Lemma 6.1.2

F2n+1c = z , c = (0, . . . , 2n )T

c=

1 F2nz . 2n + 1

(6.3.1)

(2n + 1) (2n + 1) (conjugate) Fourier matrix, see (6.1.3)

Code 6.3.2: Efcient computation of coefcient of trigonometric interpolation polynomial (equidistant nodes) from numpy import transpose , hstack , arange from s c i p y import p i , exp , f f t def t r i g i p e q u i d ( y ) : " " " E f f i c i e n t co m p u ta ti o n o f c o e f f i c i e n t s i n expansion \ e q r e f { eq : t r i g p r e a l } f o r a t r i g o n o m e t r i c i n t e r p o l a t i o n p o l y n o m i a l i n e q u i d i s t a n t p o i n t s \ Blue { ( 2n+1 , yj ) } , \ Blue { j = 0, . . . , 2n } \ t e x t t t { y } has t o be a row v e c t o r o f odd l e n g t h , r e t u r n va l u e s are column v e c t o r s """

N = y . shape [ 0 ]

i f N%2 ! = 1 : r a i s e V a l u e E r r o r ( "Odd number o f p o i n t s r e q u i r e d ! " ) n = (N 1.0) / 2 . 0 z = arange (N) # See (6.3.1) c = f f t ( exp ( 2 . 0 j p i ( n /N) z ) y ) / ( 1 . 0 N) # From (??): j = 1 (nj + n+j ) and 2 1 ( # j = 2i nj n+j ), j = 1, . . . , n, 0 = n a = h sta ck ( [ c [ n ] , c [ n 1:: 1]+c [ n + 1 :N ] ] ) b = h sta ck ( [ 1.0 j ( c [ n 1:: 1] c [ n + 1 :N ] ) ] ) re t urn ( a , b ) i f __name__ == " __main__ " : from numpy import l i n s p a c e y = linspace (0 ,1 ,9)

# Expected Result:

# # # # # # # # # # # # # #

a= 0.50000 - 0.00000i -0.12500 + 0.00000i -0.12500 + 0.00000i -0.12500 - 0.00000i -0.12500 + 0.00000i b= -0.343435 + 0.000000i -0.148969 + 0.000000i -0.072169 - 0.000000i -0.022041 + 0.000000i

w = trigipequid (y) p r i n t (w) Code 6.3.3: Computation of coefcients of trigonometric interpolation polynomial, general nodes from numpy import hstack , arange , s i n , cos , p i , o u t e r from numpy . l i n a l g import s o l v e

def t r i g p o l y c o e f f ( t , y ) :

" " " Computes expansion c o e f f i c i e n t s o f t r i g o n o m e t r i c p o l y o n o m i a l s \ e q r e f { eq : t r i g p r e a l } \ t e x t t t { t } : row v e c t o r o f nodes \ Blue { t0, . . . , tn [0, 1[ } \ t e x t t t { y } : row v e c t o r o f data \ Blue { y0, . . . , yn } r e t u r n va l u e s are column v e c t o r s o f expansion c o e f f i c i e n t s \ Blue { j } , \ Blue { j } """ N = y . shape [ 0 ] i f N%2 ! = 1 : r a i s e V a l u e E r r o r ( "Odd number o f p o i n t s r e q u i r e d ! " ) n = (N 1.0) / 2 . 0 M = h sta ck ( [ cos (2 p i o u t e r ( t , arange ( 0 , n +1) ) ) , s i n (2 p i o u t e r ( t , arange ( 1 , n +1) ) ) ] ) c = s o l v e (M, y ) a = c [ 0 : n+1] b = c [ n+1:] re t urn ( a , b )

i f __name__ == " __main__ " : from numpy import l i n s p a c e t = linspace (0 , 1 , 5) y = linspace (0 , 5 , 5) # # # # # # # # # # # Expected values: a= 2.5000e+00 -1.1150e-16 -2.5000e+00 b= -2.5000e+00 -1.0207e+16

z = trigpolycoeff ( t , y) print ( z ) Example 6.3.4 (Runtime comparison for computation of coefcient of trigonometric interpolation polynomials).

100 10-1 10-2 10-3 10-4 10-5 1 10

trigpolycoeff trigipequid

tic-toc-timings

runtime[s]

102
n

103 Fig. 57

Code 6.3.5: Runtime comparison

from numpy import l i n s p a c e , pi , exp , cos , a r r a y from m a t p l o t l i b . p y p l o t import import t i m e from t r i g p o l y c o e f f import t r i g p o l y c o e f f from t r i g i p e q u i d import t r i g i p e q u i d def t r i g i p e q u i d t i m i n g ( ) : " " " Runtime comparison between e f f i c i e n t ( Code ~ \ r e f { t r i g i p e q u i d } ) and d i r e c t computation ( Code ~ \ r e f { t r i g p o l y c o e f f } o f c o e f f i c i e n t s o f t r i g o n o e t r i c i n t e r p o l a t i o n polynomial i n equidistant points .

""" Nruns = 3 t i m es = [ ] f o r n i n xrange ( 1 0 , 501 , 10) : print (n ) N = 2 n+1 t = l i n s p a c e (0 ,1 1.0/N,N) y = exp ( cos (2 p i t ) ) # Innity for all practical purposes t 1 = 10.0 10 t 2 = 10.0 10 f o r k i n xrange ( Nruns ) : t i c = time . time ( ) a, b = trigpolycoeff ( t , y) toc = time . time ( ) t i c t 1 = min ( t1 , t o c ) t i c = time . time ( ) a, b = trigipequid (y) toc = time . time ( ) t i c t 2 = min ( t2 , t o c ) t i m es . append ( ( n , t1 , t 2 ) )

t i m es = a r r a y ( t i m es ) fig = figure () ax = f i g . gca ( ) ax . l o g l o g ( t i m es [ : , 0 ] , t i m es [ : , 1 ] , " b+ " , l a b e l = " t r i g p o l y c o e f f " ) ax . l o g l o g ( t i m es [ : , 0 ] , t i m es [ : , 2 ] , " r " , l a b e l = " t r i g i p e q u i d " ) ax . s e t _ x l a b e l ( r " n " ) ax . s e t _ y l a b e l ( r " r u n t i m e [ s ] " ) ax . legend ( ) f i g . s a v e f i g ( " . . / PICTURES / t r i g i p e q u i d t i m i n g . eps " ) i f __name__ == " __main__ " : trigipequidtiming () show ( )

Same observation as in Ex. 6.2.1: massive gain in efciency through relying on FFT.

Remark 6.3.6 (Efcient evaluation of trigonometric interpolation polynomials).

Task:

k evaluation of trigonometric polynomial (??) at equidistant points N , N > 2n. 0, . . . , N 1.

k =

(??)

q(k/N )

k e2i /N

2n

q(k/N ) =

j=0 kn e2i /N v

kj j exp(2i ) , k = 0, . . . , N 1 . N
j

with

v = FN c ,

(6.3.2)

Fourier matrix, see (6.1.3). where c CN is obtained by zero padding of c := (0, . . . , 2n)T :

(c)k =

j , for k = 0, . . . , 2n , 0 , for k = 2n + 1, . . . , N 1 .

Code 6.3.7: Fast evaluation of trigonometric polynomial at equidistant points from numpy import transpose , vsta ck , hstack , zeros , conj , exp , p i from s c i p y import f f t def t r i g i p e q u i d c o m p ( a , b , N) : " " " E f f i c i e n t evaluation of tr i g o n o m e tr i c polynomial at e q u i d i sta n t points column v e c t o r s \ t e x t t t { a } and \ t e x t t t { b } pass c o e f f i c i e n t s \ Blue { j } ,

\ Blue { j } i n r e p r e s e n t a t i o n \ e q r e f { eq : t r i g p r e a l } """ n = a . shape [ 0 ] 1 i f N < 2 n 1: r a i s e V a l u e E r r o r ( "N t o o s m a l l " ) gamma = 0.5 h sta ck ( [ a[ 1:0: 1] + 1 . 0 j b [ 1:: 1] , 2 a [ 0 ] , a [ 1 : ] 1 . 0 j b [ 0 : ] ] ) # Zero padding ch = h sta ck ( [ gamma, zeros ( ( N(2n +1) , ) ) ] ) # Multiplication with conjugate Fourier matrix v = c o n j ( f f t ( c o n j ( ch ) ) ) # Undo rescaling q = exp ( 2.0 j p i n arange (N) / ( 1 . 0 N) ) v re t urn q

i f __name__ == " __main__ " : from numpy import arange a = arange ( 1 , 6 ) b = arange ( 6 , 1 0 ) N = 10 # # # # # # Expected values: 15.00000 - 0.00000i 21.34656 + 0.00000i -5.94095 - 0.00000i 8.18514 + 0.00000i -3.31230 - 0.00000i 3.00000 + 0.00000i -1.68770 - 0.00000i -2.71300 - 0.00000i 0.94095 + 0.00000i -24.81869 - 0.00000i

print (a) print (b) p r i n t (N) w = t r i g i p e q u i d c o m p ( a , b , N) p r i n t (w)

Code 6.3.8: Equidistant points: fast on the y evaluation of trigonometric interpolation polynomial

from numpy import zeros , f f t , s q r t , p i , r e a l , l i n a l g , l i n s p a c e , s i n def e v a l i p t r i g ( y , N) : n = len ( y ) i f ( n%2) == 0 : c = f f t . i f f t (y) a = zeros (N, dtype=complex ) a [: n/2] = c [: n/2] a [N n / 2 : ] = c [ n / 2 : ] v = f f t . f f t (a) ; re t urn v else : r a i s e TypeError , odd l e n g t h f = lambda t : 1 . / s q r t ( 1 . + 0 . 5 s i n (2 p i t ) ) v l i n f = [ ] ; v l 2 = [ ] ; vn = [ ] N = 4096; n = 2 while n < 1+2 7: t = l i n s p a c e ( 0 , 1 , n +1) y = f ( t [: 1]) v = r e a l ( e v a l i p t r i g ( y , N) ) t = l i n s p a c e ( 0 , 1 ,N+1) fv = f ( t ) d = abs ( vf v [ : 1 ] ) ; l i n f = d . max ( )

l 2 = l i n a l g . norm ( d ) / s q r t (N) v l i n f += [ l i n f ] ; v l 2 += [ l 2 ] ; vn += [ n ] n = 2 from p yl a b import semilogy , show semilogy ( vn , v l 2 , + ) ; show ( ) compare with Code 6.3.9: Equidistant points: fast on the y evaluation of trigonometric interpolation polynomial from numpy import zeros , f f t , s q r t , p i , r e a l , l i n a l g , l i n s p a c e , s i n def e v a l i p t r i g ( y , N) : n = len ( y ) i f ( n%2) == 0 : c = f f t . f f t (y) 1./n a = zeros (N, dtype=complex ) a [: n/2] = c [: n/2] a [N n / 2 : ] = c [ n / 2 : ] v = f f t . i f f t ( a ) N ; re t urn v else : r a i s e TypeError , odd l e n g t h f = lambda t : 1 . / s q r t ( 1 . + 0 . 5 s i n (2 p i t ) )

v l i n f = [ ] ; v l 2 = [ ] ; vn = [ ] N = 4096; n = 2 while n < 1+2 7: t = l i n s p a c e ( 0 , 1 , n +1) y = f ( t [: 1]) v = r e a l ( e v a l i p t r i g ( y , N) ) t = l i n s p a c e ( 0 , 1 ,N+1) fv = f ( t ) d = abs ( vf v [ : 1 ] ) ; l i n f = d . max ( ) l 2 = l i n a l g . norm ( d ) / s q r t (N) v l i n f += [ l i n f ] ; v l 2 += [ l 2 ] ; vn += [ n ] n = 2 from p yl a b import semilogy , show semilogy ( vn , v l 2 , + ) ; show ( )

6.4 Trigonometric Interpolation: Error Estimates

Linear trigonometric interpolation operator: for 1-periodic f : R C

j T Tn(f ) := p Pn1 with p( n ) = yj , j = 0, . . . , n 1 .

Example 6.4.1 (Trigonometric interpolation).

1 #1 step function: f (t) = 0 for |t 1 | > 4 , f (t) = 1 for |t 1 | 1 2 2 4

#2 smooth periodic function: f (t) =

1 #3 hat function: f (t) = |t 2 |

1 + 1 sin(2t) 2

Note: computation of the norms of the interpolation error:

t = linspace(0,1,n+1); y = f(t[:-1]) v = real(evaliptrig(y,N)) t = linspace(0,1,N+1); fv = f(t) d = abs(v-fv[:-1]); linf = d.max() l2 = linalg.norm(d)/sqrt(N)

10

10

10

10

10

10

||Interpolationsfehler||

||Interpolationsfehler||

2
10
6

10

10

#1 #2 #3

10

#1 #2 #3

10

10

10

10

10

12

10

12

10

14

10

14

16

n+1

32

64

128

16

n+1

32

64

128

Note:

Cases #1, #3: algebraic convergence Case #2: exponential convergence

1.2 f p 1

1.2 f p 1

0.8

0.8

0.6

0.6

0.4

0.4

0.2

0.2

0.2

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

0.2

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

n = 16

Gibbsphenomenon: ripples near discontinuities

n = 128 Q

Example 6.4.2 (Trigonometric interpolation of analytic functions).

10

10

10

Interpolationsfehlernorm

f (t) =

1 1 sin(2t)

10

auf I = [0, 1] .

10

10

=0.5, L =0.5, L2

approximation of the norms: oversampling in 4096 points

10

10

=0.9, L

=0.9, L2 10
12

=0.95, L =0.95, L
2

10

14

=0.99, L =0.99, L2

10

16

10

20

30

40

50

60

70

80

90

100

Polynomgrad n

Note: exponential convergence in degree n, quicker for smaller

Analysis uses:
'

trigonometric polynomials =

partial sums of Fourier series

$

Theorem 6.4.1 (Error of DFT; aliasing formula). If

kZ

f (k) absolut converges, then f (k + jN )

fN (k) f (k) =
&

jZ

j=0

'

Corollary 6.4.2. Let f

C p with p

&

N fN (k) f (k) = O(N p) for |k| 2 N 1 1 1 f (xj ) f (x)dx = O(hp). for: h = , h N 0

j=0

2 and 1-periodic. Then it holds:

Remark 6.4.3. fN (k) is N -periodic, while f (k) 0 quickly

fN (k) is a bad approximation of f (k) for k large (k N ), but for |k| N it is good enough. 2
'

Theorem 6.4.3 (Error of trigonometric interpolantion). If f is 1-periodic and converges, then

,

f (k) absolut
kZ

& '

|pN (x) f (x)| 2

|k|N/2

|f (k)| x R

Corollary 6.4.4 (Sampling-Theorem). Let f 1-periodic with maximum frequency M : f (k) = 0

&

for all |k| > M . Then pN (x) = f (x) for all x, if N > 2M

data compression Remark 6.4.4 (Aliasing).

j T = { n }j=0

n1

hence:

The trigonometric interpolation of t e2iN t and t e2i(N mod n)t of degree n give the same trigonometric interpolation polynomial ! Aliasing

e2iN t = e|T |T

2i(N n)t

Tn(e2iN ) = Tn(e2i(N mod n)) .

Example for f (t) = sin(2 19t)

1 p f 1 0.8 0.8

N = 38:

1 p f p f

0.8

0.6

0.6

0.6

0.4

0.4

0.4

0.2

0.2

0.2

0.2

0.2

0.2

0.4

0.4

0.4

0.6

0.6

0.6

0.8

0.8

0.8

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

n=4

n=8

n = 16

[Linearity of trigonometric interpolation]

For f C([0, 1]) 1-periodic, n = 2m:

f (t) =

f (j)e2ijt

j=

Tn(f )(t) =
j=m+1

j e2ijt , j =

l=

f (j + ln) .

Fourier coefcients of the error function e = f Tn(f ):

e(j) =

f (j + ln) , if m + 1 j m , f (j)
|l|=1

, if j m j > m .

(6.0.1)

f Tn(f )

2 L2(]0,1[)

|l|=1

f (j + ln) +
|j|m

|f (j)|2 .

(6.4.1)

of f , see (6.0.2)

may be estimated, if we know the decay of the Fourier coefcients f (j) smoothness

'

Theorem 6.4.5 (Error estimate for trigonometric interpolation).

For k N:
L2(]0,1[)

f (k) L2(]0, 1[)

&

f Tnf L2(]0,1[)

1 + ck nk f (k)

with ck = 2

(2l 1)2k . l=1

6.5 DFT and Chebychev Interpolation

Let p Pn be the Chebychev interpolation polynom on [1, 1] of f : [1, 1] C ( section 5.4)

2k + 1 p(tk ) = f (tk ) for Chebychev nodes, see (5.4.5), tk := cos , k = 0, . . . , n . 2(n + 1) Dene now the corresponding functions g, q : f : [1, 1] C p : [1, 1] C g(s) := f (cos 2s) , q(s) := p(cos 2s) , 1 1-periodic, symmetric wrt. 0 and 2 2k + 1 4(n + 1)

Hence:

2k + 1 p(tk ) = f (tk ) q 4(n + 1)

=g

(6.5.1)

1 and with a translation s = s + 4(n+1) we have:

x = 1/2

g(s) := g(s +

1 ), k 4(n + 1) q 1 2(n + 1) ) q(s) := q(s + 4(n + 1)

=g

k 2n + 2

, k = 0, . . . , 2n .

! We show: q(s) is trigonometric polynomial:

tion polynomial of g . Indeed, since p is the Chebychev interpolation polynomial:

T q P2n , namely the trigonometric interpola

q(s) = p(cos 2s) =

j=0 n

j Tj (cos 2s) =
j=0 1 e 2 |j|
j 2i 4(n+1)

j cos 2s = 0 + =

0 +
j=n,j=0

1 2ij s+ 4(n+1) e

j=n,j=0 n j e2ij s j=n

1 e2ijs 2 |j|

with Hence

j :=

1 exp 2

j 2i 4(n+1) |j| , if j = 0 ,

, for j = 0 .

q (s) =
j=n

j e2ijs , for all k = 0, . . . , 2n .

and q

k 2(n + 1)

=g

k 2(n + 1)

that means that q is the trigonometric interpolation polynomial of g .

Hence f p L([1,1]) = g q L([0,1]) and the error estimates from the trigonometric interpolation directly transfers here.

1 2 3 4 5

Code 6.5.1: Efcient Chebyshev interpolation from numpy import exp , p i , r e a l , hstack , arange from s c i p y import i f f t def chebexp ( y ) : " " " E f f i c i e n t l y compute c o e f f i c i e n t s \ Blue { j } i n t h e Chebychev expansion \ Blue { p =
n j=0

6 7

j Tj } o f \ Blue { p Pn } based on va l u e s \ Blue { yk } ,

8 9

\ Blue { k = 0, . . . , n } , i n Chebychev nodes \ Blue { tk } , \ Blue { k = 0, . . . , n } . These va l u e s are passed i n t h e row v e c t o r \ t e x t t t { y } . """ # degree of polynomial n = y . shape [ 0 ] 1 # create vector z by wrapping and componentwise scaling # r.h.s. vector t = arange ( 0 , 2 n +2) z = exp( p i 1.0 j n / ( n + 1 . 0 ) t ) h sta ck ( [ y , y [ : : 1 ] ] )

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# Solve linear system (??) with effort O(n log n)

21

c = i f f t (z) # recover j , see (??) t = arange(n , n +2) b = r e a l ( exp ( 0 . 5 j p i / ( n + 1 . 0 ) t ) c ) # recover j , see (??) a = h sta ck ( [ b [ n ] , 2 b [ n +1:2 n + 1 ] ] ) re t urn a i f __name__ == " __main__ " : from numpy import a r r a y # Test with arbitrary values y = array ( [1 , 2 , 3 , 3.5 , 4 , 6.5 , 6.7 , 8 , 9 ]) # Expected values: # 4.85556 -3.66200 0.23380 -0.25019 -0.15958 -0.36335 0.18889 0.16546 -0.27329 w = chebexp ( y ) p r i n t (w)

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6.6 Essential Skills Learned in Chapter 6

You should know:

the idea behind the trigonometric approximation; what is the Gibbs phenomenon; the dicrete Fourier transform and its use for the trigonometric interpolation; the idea and the importance of the fast Fourier transform; how to use the fast Fourier transform for the efcient trigonometrical interpolation; the error behavior for the trionomteric interpolation; the aliasing formula and the Sampling-Theorem; how to use the fast Fourier transform for the efcient Chebychev interpolation.