CE 341/441 - Lecture 7 - Fall 2004

LECTURE 7 NEWTON FORWARD INTERPOLATION ON EQUISPACED POINTS Lagrange Interpolation has a number of disadvantages The amount of computation required is large Interpolation for additional values of x requires the same amount of effort as the rst value (i.e. no part of the previous calculation can be used) When the number of interpolation points are changed (increased/decreased), the results of the previous computations can not be used Error estimation is difcult (at least may not be convenient) Use Newton Interpolation which is based on developing difference tables for a given set of data points The N th degree interpolating polynomial obtained by tting N + 1 data points will be identical to that obtained using Lagrange formulae! Newton interpolation is simply another technique for obtaining the same interpolating polynomial as was obtained using the Lagrange formulae
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Forward Difference Tables We assume equi-spaced points (not necessary)

f2 = f(x2) f1 = f(x1) f0 = f(x0) x0 0 x1 1 x2 2 x3 3 f3 = f(x3) fN = f(xN ) x

xN

N (i)

h = interval size

Forward differences are now dened as follows:

0 f i f i (Zeroth order forward difference) fi fi+1 fi

(First order forward difference)

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CE 341/441 - Lecture 7 - Fall 2004

fi fi+1 fi
2 2

(Second order forward difference)

f i = ( f i + 2 f i + 1) ( f i + 1 f i) fi = fi+2 2fi+1 + fi

fi fi+1 fi
3

(Third order forward difference)

f i = ( f i + 3 2 f i + 2 + f i + 1) ( f i + 2 2 f i + 1 + f i) fi = fi+3 3fi+2 + 3fi+1 fi

3

fi =

k1

fi+1

k1

f i (kth order forward difference)

Typically we set up a difference table

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fi fo f1 f2 f3 f4

fi
2 2 2

fi
3 3

fi
2 2 2 2 4

fi
3 3

0 1 2 3 4

fo = f1 fo fo = f1 fo fo = f1 fo fo = f1 fo f1 = f2 f1 f1 = f2 f1 f1 = f2 f1 f2 = f3 f2 f2 = f3 f2 f3 = f4 f3

Note that to compute higher order differences in the tables, we take forward differences of previous order differences instead of using expanded formulae. The order of the differences that can be computed depends on how many total data points, x o, , x N , are available N + 1 data points can develop up to N th order forward differences

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Example 1 Develop a forward difference table for the data given

xi fi fi
2

fi

fi

fi

fi

0 1 2 3 4 5

2 4 6 8 10 12

-7 -3 6 25 62 129

4 9 19 37 67

5 10 18 30

5 8 12

3 4

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Deriving Newton Forward Interpolation on Equi-spaced Points

f(x) f2 f1 f0 x0 x1 x2 x3 f3 fN xN x

Summary of Steps Step 1: Develop a general Taylor series expansion for f ( x ) about x o . Step 2: Express the various order forward differences at x o in terms of f ( x ) and its derivatives evaluated at x o . This will allow us to express the actual derivatives evaluated at x o in terms of forward differences. Step 3: Using the general Taylor series expansion developed in Step 1, sequentially substitute in for the derivatives evaluated at x o in terms of forward differences (i.e. substitute in the expressions developed in Step 2).
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CE 341/441 - Lecture 7 - Fall 2004

Step 1 The Taylor series expansion for f ( x ) about x o is:

df f ( x ) = f ( x o ) + ( x x o ) ----dx 1 2d f - ( x x o ) -------+ ---2 2! dx

x = xo

x = xo

1 3d f - ( x x o ) -------+ ---3 3! dx

+ O ( x xo )
x = xo

1 1 (1) 2 (2) 3 (3) 4 - ( x x o ) f o + ---- ( x xo ) f o + O ( x xo ) f ( x ) = f o + ( x x o ) f o + ---2! 3!

Step 2a
1) Express rst order forward difference in terms of f o , f ( o ,

fo f1 fo

However since f 1 = f ( x 1 ) , we can use the Taylor series given in Step 1 to express f 1 in terms of f o and its derivatives:
1 1 (1) 2 (2) 3 (3) 4 - ( x 1 x o ) f o + ---- ( x1 xo ) f o + O ( x1 xo ) f 1 = f o + ( x 1 x o ) f o + ---2! 3!
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We note that the spacing between data points is h x 1 x o :

1 2 (2) 1 3 (3) (1) 4 - h f o + ---- h f o + O(h) f 1 = f o + h f o + ---2! 3!

Now, substitute in for f 1 into the denition of the rst order forward differences
1 2 (2) 1 3 (3) (1) 4 - h f o + ---- h f o + O(h) f o f o = f o + h f o + ---2! 3!

(1)

fo

f o 1 (2) 1 2 (3) 3 - h f o ---- h f o O(h) = --------- ---h 2! 3!

Note that the rst order forward difference divided by h is in fact an approximation to the rst derivative to O ( h ) . However, we will use all the terms given in this sequence.

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Step 2b
(1) Express second order forward difference in terms of f o, f o ,

fo f2 2f1 + fo

We note that f 1 = f ( x 1 ) was developed in T.S. form in Step 2a. For f 2 = f ( x 2 ) we use the T.S. given in Step 1 to express f 2 in terms of f o and derivatives of f evaluated at x o
1 1 (1) 2 (2) 3 (3) 4 - ( x 2 x o ) f o + ---- ( x2 xo ) f o + O ( x2 xo ) f 2 = f o + ( x 2 x o ) f o + ---2! 3!

We note that x 2 x o = 2 h
4 2 (2) 8 3 (3) (1) 4 - h f o + ---- h f o + O(h) f 2 = f o + 2 h f o + ---2! 3!

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Now substitute in for f 2 and f 1 into the denition of the second order forward difference operator
2 2 (2) 4 3 (3) 4 2 (2) 1 3 (3) 4 (1) (1) - h f o + O ( h ) 2 f o 2 h f o h f o -- h f o + O(h) + f o f o = f o + 2 h f o + 2 h f o + -3 3

(2) fo

fo (3) 2 = ---------- h f + O ( h ) o 2 h

Note that the second order forward difference divided by h 2 is in fact an approximation
2) to f ( o to O ( h ) . However, we will use all terms in the expression.

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CE 341/441 - Lecture 7 - Fall 2004

Step 2c
(1) Express the third order forward difference in terms of f o, f o

fo f3 3f2 + 3f1 fo

We already developed expressions for f 2 and f 1. Develop an expression for f 3 = f ( x 3 ) using the T.S. in Step 1
1 1 (1) 2 (2) 3 (3) 4 - ( x 3 x o ) f o + ---- ( x3 xo ) f o + O ( x3 xo ) f 3 = f o + ( x 3 x o ) f o + ---2! 3!

Noting that x 3 x o = 3 h
(1) 9 2 (2) 9 3 (3) 4 - h f o + -- h f o + O(h) f 3 = f o + 3 h f o + -2 2

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Substituting in for f 3 , f 2 and f 1 into the denition of the third order forward difference formula.
3 (1) 9 2 (2) 9 3 (3) 4 ( 1 ) 12 2 ( 2 ) 24 3 ( 3 ) 4 - h f o + -- h f o + O ( h ) 3 f o 6 h f o ----- h f o ----- h f o + O(h) f o = f o + 3 h f o + -2 2 2 3!

3 3 (3) (1) 3 2 (2) 4 - h f o + ---- h f o + O(h) f o + 3 f o + 3 h f o + -2 3!

f o = h f o + O(h)

(3) fo

3 (3)

fo = ----------- + O(h) 3 h

3) The third order forward difference divided by h 3 is an O(h) approximation to f ( o

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Step 3a Consider the general T.S. expansion presented in Step 1 to dene f ( x ) and substitute in
(1) for f o using the result in Step 2a.

Note that now we are not evaluating the T.S. at a data point but at any x
f o 1 (2) 1 2 (3) 3 - h f o O(h) - h f o ---f ( x ) = f o + ( x x o ) -------- ---3! 2! h 1 1 2 (2) 3 (3) 4 - ( x x o ) f o + ---- ( x xo ) f o + O ( x xo ) + ---2! 3!

x xo 1 2 (2) - f o + ---- [ ( x xo ) h + ( x xo ) ] f o f ( x ) = f o + ------------h 2! 1 2 3 (3) 4 - [ ( x xo ) h + ( x xo ) ] f o + O ( h ) + ---3!

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Step 3b
2) Substitute in for f ( o using the expression developed in Step 2b.

x xo 1 2 fo (3) 2 - f o + ---- [ ( x x o ) h + ( x x o ) ] ----------f ( x ) = f o + ------------ h f + O ( h ) o 2 h 2! h 1 2 3 (3) 4 - [ ( x xo ) h + ( x xo ) ] f o + O ( h ) + ---3!

x xo 1 ( x xo ) ( x xo ) 2 --------------- f o + - -----------------f ( x) = f o + fo - + -------------------2 h 2! h h 1 2 3 2 4 (3) - [ 2 ( x xo ) h + ( x xo ) 3 ( x xo ) h ] f o + O ( h ) + ---3!

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CE 341/441 - Lecture 7 - Fall 2004

Step 3c
(3) Substitute in for f o from Step 2c

( x xo ) 1 ( x xo ) ( x xo ) 2 - f o + ---- -----------------f ( x ) = f o + ----------------- fo - + -------------------2 h 2! h h 1 2 3 2 fo 4 - [ 2 ( x x o ) h + ( x x o ) 3 ( x x o ) h ] ----------O ( h ) + ---+ 3 3! h

3

Re-arranging the terms in brackets:

fo 1 fo - ( x x o ) [ h + ( x x o ) ] ----------f ( x ) = f o + ( x x o ) --------- + ---2 h 2! h fo 1 2 2 4 - ( x x o ) [ 2 h + ( x x o ) 3 ( x x o ) h ] ----------+ ---+ + HOT O ( h ) 3 3! h

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CE 341/441 - Lecture 7 - Fall 2004

fo 1 fo - ( x x o ) [ x ( x o + h ) ] ----------f ( x ) = f o + ( x x o ) --------- + ---2 h 2! h fo 1 4 - ( x x o ) [ ( x ( x o + h ) ) ( x ( x o + 2 h ) ) ] ----------O ( h ) + ---+ + HOT 3 3! h

3

Also considering higher order terms and noting that x o + h = x 1 , x o + 2 h = x 2 and f ( x ) = g ( x ) + e ( x )

fo 1 fo fo 1 ---x x - + ---- ( x x o ) ( x x 1 ) ----------+ ----------( ) ( x x ) ( x x ) g ( x ) = f o + ( x x o ) --------o 1 2 2 3 3 ! h 2! h h fo 1 + + ----- ( x x o ) ( x x 1 ) ( x x 2 ) ( x x N 1 ) ------------N N! h
N 2 3

This is the N th degree polynomial approximation to N + 1 data points and is identical to that derived for Lagrange interpolation or Power series (only the form in which it is presented is different).
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CE 341/441 - Lecture 7 - Fall 2004

Note that the N + 1 data point are exactly t by g ( x )

g ( xo ) = f o

f1 fo f1 fo g ( x 1 ) = f o + ( x 1 x o ) ----------------- = f o + h ----------------- = f 1 h h

f1 fo 1 1 - ( x 2 x o ) ( x 2 x 1 ) ----( f 2 f 1 + f o) g ( x 2 ) = f o + ( x 2 x o ) ----------------- + -2 2 h 2 h

2h (2h)h - ( f 1 f o ) + -------------( f 2 2 f 1 + f o) g ( x 2 ) = f o + ----2 h 2h

g ( x2 ) = f o + 2 f 1 2 f o + f 2 2 f 1 + f o = f 2

In general
g ( xi ) = f i i = 0, N

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It can be readily shown that the error at any x is: (by carrying through error terms in the T.S.)
( x x o ) ( x x 1 ) ( x x N ) ( N + 1 ) -f e ( x ) = f ( x ) g ( x ) = ------------------------------------------------------------------() ( N + 1 )! xo < < x N

This error function is identical to that for Lagrange Interpolation (since the polynomial approximation is the same). However we note that f
N+1

( x ) can be approximated as (can be shown by T.S.)

(N + 1)

fo ------------------( xo ) N + 1 h

N+1

In fact if f ( N + 1 ) ( x ) does not vary dramatically over the interval

(N + 1)

fo ------------------() N + 1 h
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CE 341/441 - Lecture 7 - Fall 2004

Thus the error can be estimated as

( x x o ) ( x x 1 ) ( x x N ) fo - -------------------e ( x ) ------------------------------------------------------------------N+1 ( N + 1 )! h
N+1

Notes Approximation for e ( x ) is equal to the term that would follow the last term in the
N
th

degree polynomial series for g ( x )

If we have N + 2 data points available and develop an N th degree polynomial approximation with N + 1 data points, we can then easily estimate e ( x ) . This was not as simple for Lagrange polynomials since you then needed to compute the nite difference approximation to the derivative in the error function. If the exact function f ( x ) is a polynomial of degree M N , then g ( x ) will be an (almost) exact representation of f ( x ) (with small roundoff errors). Newton Interpolation is much more efcient to implement than Lagrange Interpolation. If you develop a difference table once, you can Develop various order interpolation functions very quickly (since each higher order term only involves one more product) Obtain error estimates very quickly
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Example 2 For the data and forward difference table presented in Example 1. (a) Develop g ( x ) using 3 points ( x o = 2 , x 1 = 4 and x 2 = 6 ) and estimate e ( x ) (b) Develop g ( x ) using 4 points ( x o = 2 , x 1 = 4 , x 2 = 6 , x 3 = 8 ) and estimate e ( x ) (c) Develop g ( x ) using 3 different points ( x o = 6 , x 1 = 8 , x 2 = 10 ) (Part a) 3 data points
N = 2
2

fo 1 fo - ( x x o ) ( x x 1 ) ----------g 3 ( x ) = f o + ( x x o ) --------- + ---2 h 2! h

with
xo = 2 x1 = 4 x2 = 6

and h = 2

Note that the 3 designation in g 3 ( x ) indicates N+1=3 data points

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f o, f o and 2 f o are obtained by simply picking values off of the difference table (across the row i = 0 )
f o = 7 f o = 4 f o = 5 5 4 1 - ( x 2 ) ( x 4 ) -- + ---g 3 ( x ) = 7 + ( x 2 ) -4 2 2!
2

The error can be estimated as:

( x xo ) ( x x1 ) ( x x2 ) 1 3 - f o e 3 ( x ) = --------------------------------------------------------- ---3 3! h
3 Simply substitute in for x o , x 1 , x 2 , h and pick off f o = 5 from the table in Example 1

5 ( x 2)( x 4)( x 6) 1 = ----- --- 5 ( x 2 ) ( x 4 ) ( x 6 ) e 3 ( x ) = --------------------------------------------------3 48 6 2

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(Part b) 4 data points x o = 2 , x 1 = 4 , x 2 = 6 , x 3 = 8

N = 3

Simply add the next term to the series for g 3 ( x ) in Part a:

fo 1 - ( x x o ) ( x x 1 ) ( x x 2 ) ----------g 4 ( x ) = g 3 ( x ) + ---3 3! h
3

We note that the term we are adding to g 3 ( x ) is actually e 3 ( x ) Pick off 3 f o = 5 from the table in Example 1 and substitute in
5 1 - ( x 2 ) ( x 4 ) ( x 6 ) -g 4 ( x ) = g 3 ( x ) + ---8 3!

The error is estimated as

( x xo ) ( x x1 ) ( x x2 ) ( x x3 ) 1 4 - ---- f o e 4 ( x ) = ---------------------------------------------------------------------------4 4! h 3 e 4 ( x ) = ( x 2 ) ( x 4 ) ( x 6 ) ( x 8 ) -------384
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(Part c) 3 data points x o = 6 , x 1 = 8 and x 3 = 10

N=2

We must shift i in the table such that x o = 6 etc.

fo 1 fo - ( x x o ) ( x x 1 ) ----------g 3/s ( x ) = f o + ( x x o ) --------- + ---2 h 2! h
2

Pick off f o, f o and 2 f o from the same difference table with a shifted index
f o = 6, f o = 19 , f o = 18
2

Substituting
18 19 1 - + ---- ( x 6 ) ( x 8 ) ----g 3/s ( x ) = 6 + ( x 6 ) ----2 2 2! 2

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Newton Backward Interpolation Newton backward interpolation is essentially the same as Newton forward interpolation except that backward differences are used Backward differences are dened as:
fi fi
o

Zeroth order backward difference First order backward difference Second order backward difference
fi1

fi = fi fi1
2

fi = fi fi1 fi =
k k1

fi

k1

kth order backward difference

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For N + 1 data point which are tted with an N th degree polynomial

fN 1 fN - + ---- ( x x N ) ( x x N 1 ) ------------g ( x ) = f N + ( x x N ) ----------2 h 2! h fN 1 + ---- ( x x N ) ( x x N 1 ) ( x x N 2 ) ------------3 3! h fN 1 + ----- ( x x N ) ( x x N 1 ) ( x x 1 ) -------------N N! h
N 3 2

Note that we are really expanding about the right most point to the left. Therefore we must develop f N , f N etc. in the difference table

x0

x1

xN - 1

xN

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Newton Interpolation on Non-uniformly Spaced Data Points Newton interpolation can be readily extended to deal with non-uniformly spaced data points
x x1 x2 x3 x4

x0

The difference table for non-uniformly spaced nodes is developed and an appropriate interpolation formula is developed and used

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SUMMARY OF LECTURE 7 Newton formulae can be obtained by manipulating Taylor series Newton interpolating function is related to easily computed forward/backward differences Error is readily established and estimated from the difference table (as long as you have one more data point than used in interpolation) Newton interpolation through N + 1 data points gives the same N th degree polynomial as Lagrange interpolation Newton interpolation is more efcient than Lagrange interpolation and is easily implemented

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