Numerical Analysis Fall 2020

Neville’s Method
Lecturer: Naveed Ahmed

Neville’s method can be applied in the situation that we want to interpolate f (x) at a given point x = p
with increasingly higher order Lagrange interpolation polynomials.

Definition 1.1 Let f be a function defined at x0 , x1 , . . . , xn , and suppose that m1 , m2 , . . . , mk are k distinct
integers, with 0 ≤ mi ≤ n for each i. The Lagrange polynomial that agrees with f (x) at the k points
xm1 , xm2 , . . . , xmk is denoted Pm1 ,m2 ,...,mk (x).

xi Pi = f (xi ) Pi−1,i Pi−2,i−1,i

x0 P0 = f (x0 )
x1 P1 = f (x1 ) P0,1 (x)
x2 P2 = f (x2 ) P1,2 (x) P0,1,2 (x)
x3 P3 = f (x3 ) P2,3 (x) P1,2,3 (x) P0,1,2,3 (x)

where

1 h i
P0,1 (x) = (x − x0 )P1 (x) − (x − x1 )P2 (x)
(x1 − x0 )
1 h i
P1,2 (x) = (x − x1 )P2 (x) − (x − x1 )P1 (x)
(x2 − x1 )
1 h i
P0,1,2 (x) = (x − x0 )P1,2 (x) − (x − x2 )P0,1 (x)
(x2 − x0 )
......

Example 1.2 Given x0 = 2, x1 = 2.5, x2 = 4 and a function

1
f (x) =
x
approximate f (3).

Solution:
Compute the values
1 1 1
P0 = f (x0 ) == 0.5, P1 = f (x1 ) = = 0.4 P2 = f (x2 ) = = 0.25.
2 2.5 4
Next we will compute the individual entries in the table as follows
1 h i
P0,1 (x) = (x − x0 )P1 (x) − (x − x1 )P0 (x)
(x1 − x0 )
1 h i
P0,1 (3) = (x − 2) · P1 (3) − (x − 2.5) · P0 (3)
(2.5 − 2)

1-1
1-2 Lecture 1: November 16, 2020

Note that
P0 (3) = P0 (x0 ), P1 (3) = f (x1 ), P2 (3) = f (x2 )

1 h i
P0,1 (3) = (3 − 2) · P1 (3) − (3 − 2.5) · P0 (3)
(2.5 − 2)
1 h i
= (3 − 2) · 0.4 − (3 − 2.5) · 0.5 = 0.3
(2.5 − 2)

Similarly
1 h i
P1,2 (x) = (x − x1 )P2 (x) − (x − x2 )P1 (x)
(x2 − x1 )
1 h i
P1,2 (3) = (3 − 2.5) · 0.25 − (3 − 4) · 0.4 = 0.35
(4 − 2.5)

Please check
P0,1,2 = 0.325 (Check yourself please)

Example 1.3 Neville’s method is used to approximate f (0.5), giving the following table

xi Pi = f (xi )
x0 = 0 P0 = 0
x1 = 0.4 P1 = 2.8 P0,1 = 3.5
27
x2 = 0.7 P2 ==? P1,2 =? P0,1,2 = 7

Determine P2 = f (0.7)