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Lagrange Interpolation

Lucio Tavernini

August 15, 2011

Contents

1.1 The Lagrange Interpolating Polynomial . . . . . . . . . 21

1.2 The Error in Lagrange Interpolation . . . . . . . . . . . 23

1.3 Divided Diﬀerences . . . . . . . . . . . . . . . . . . . . . 25

1.4 Computing with Divided Diﬀerences . . . . . . . . . . . 28

1.5 Interpolation Using Equidistant Points . . . . . . . . . 30

1.6 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . 33

1.1 The Lagrange Interpolating Polynomial

1.1.1 Deﬁnition (Degree of a Polynomial). The polynomial

a

n

x

n

+ a

n−1

x

n−1

+· · · + a

1

x + a

0

in x has degree n if a

n

= 0. This deﬁnes the degree of every polynomial except one,

the zero polynomial p(x) = 0. The degree of the zero polynomial is undeﬁned.

1.1.2 Remark. The number x

∗

is called a zero of the polynomial p if p(x

∗

) = 0.

The zero polynomial has inﬁnitely many zeros. A polynomial of degree zero has

no zeros. A polynomial of degree at least one may have no zeros unless we go to

the complex numbers.

1

1

The ﬁeld R is not algebraically closed, but the complex ﬁeld C is.

21

Note 1: Lagrange Interpolation – August 15, 2011 22

We have the Fundamental Theorem of Algebra: Every polynomial over the com-

plex numbers C of positive degree has at least one zero. Thus, if p is a polynomial

of degree n ≥ 1 and and x

∗

is a zero of p, then we have p(x) = q(x)(x−x

∗

), where

q is a polynomial of degree n −1. It follows that if p is a polynomial with m + 1

distinct zeros x

0

, x

1

, . . . , x

m

, then p is a polynomial of the form

p(x) = c(x −x

0

)(x −x

1

) · · · (x −x

m

),

where c is some constant not equal to zero. In other words, p is a polynomial of

degree m + 1, since the coeﬃcient of the leading power x

m+1

is c = 0.

1.1.3 Remark. The theorem given below states that there is a unique solution to

a generalization of the problem of passing a line through two points, a parabola

through three points, an so on; provided that each data point lies on a unique

vertical line

1.1.4 Theorem (Lagrange Interpolation). Given n+1 data points (x

0

, y

0

), . . . , (x

n

, y

n

)

in the plane, with x

i

= x

j

for i = j, there is a unique polynomial p of degree at

most n that interpolates the given data, i.e.: such that p(x

i

) = y

i

for i = 0, . . . , n.

Proof. First we show existence.

To show existence of an interpolating polynomial we use Lagrange’s interpo-

lation formula (given by (1) and (2)) for representing it. The reasoning goes as

follows.

Suppose that we have n + 1 polynomials L

0

, . . . , L

n

of degree n such that

L

i

(x

j

) =

_

0, i = j,

1, i = j.

Deﬁne the polynomial p by

(1) p(x) =

n

i=0

L

i

(x)y

i

.

Clearly, p is a polynomial of degree at most n, since each of the L’s is a polynomial

of degree n. Further, we have

p(x

j

) =

n

i=0

L

i

(x

j

)y

i

= L

j

(x

j

)y

j

= y

j

,

for j = 0, . . . , n. In other words, p interpolates the given data.

Now, we construct the L’s. The polynomial (x − x

0

) · · · (x −x

n

) has the zeros

x

0

, . . . , x

n

. So, to remove x

i

from this list, we use the polynomial

(x −x

0

) · · · (x −x

i−1

)(x −x

i+1

) · · · (x −x

n

).

Note 1: Lagrange Interpolation – August 15, 2011 23

Finally, to obtain L

i

(x

i

) = 1, we divide by a constant. We obtain

(2) L

i

(x) =

(x −x

0

) · · · (x −x

i−1

)(x −x

i+1

) · · · (x −x

n

)

(x

i

−x

0

) · · · (x

i

−x

i−1

)(x

i

−x

i+1

) · · · (x

i

−x

n

)

.

Note that since the x’s are distinct, we never divide by zero. Each L

i

is called a

Lagrange coeﬃcient polynomial.

Now, we prove uniqueness. To prove uniqueness, we argue that any two inter-

polating polynomials of degree at most n are identical. To this end, suppose that

p and q are polynomials of degree at most n that interpolate the given data. This

means that

p(x

i

) = y

i

and q(x

i

) = y

i

for i = 0, . . . n.

Deﬁne the polynomial P = p −q. Then P is a polynomial of degree at most n

also (since p and q are). Moreover

P(x

i

) = p(x

i

) −q(x

i

) = y

i

−y

i

= 0 for i = 0, . . . , n.

In other words,

P(x) = c(x −x

0

)(x −x

1

) · · · (x −x

n

),

where c is some constant and x

i

= x

j

for i = j.

We have a contradiction, there is no polynomial P degree at most n with n +1

distinct zeros. There is only one polynomial that satisﬁes our requirement: the zero

polynomial P(x) = 0 for all x. Therefore, p = q. That is, any two interpolating

polynomials are identical.

1.2 The Error in Lagrange Interpolation

1.2.1 Deﬁnition (The Interpolation Error). Given the function f : [a, b] → R

and given n + 1 distinct points x

0

, . . . , x

n

in [a, b], let p

n

denote the polynomial of

degree at most n that interpolates f at the given points. In other words, p

n

is such

that p

n

(x

i

) = f(x

i

) for i = 0, . . . , x

n

.

Using Lagrange’s formula, we see that p

n

can be written

(1) p

n

(x) =

n

i=0

L

i

(x)f(x

i

),

where the L

i

are the Lagrange coeﬃcient polynomials given by

L

i

(x) =

(x −x

0

) · · · (x −x

i−1

)(x −x

i+1

) · · · (x −x

n

)

(x

i

−x

0

) · · · (x

i

−x

i−1

)(x

i

−x

i+1

) · · · (x

i

−x

n

)

.

Note 1: Lagrange Interpolation – August 15, 2011 24

Deﬁne the interpolation error E(x) = f(x)−p

n

(x) for x in [a, b]. We can obtain

a useful expression for E(x), provided f is suﬃciently diﬀerentiable, as we show

below.

1.2.2 Proposition. Let x

0

, . . . , x

n

be n + 1 distinct real numbers. Let t be any

real number. Deﬁne a and b by

a = min{t, x

0

, . . . , x

n

},

b = max{t, x

0

, . . . , x

n

}.

Let f be a real-valued function deﬁned on [a, b] with n + 1 continuous derivatives.

Let p

n

denote the polynomial of degree at most n that interpolates f at x

0

, . . . , x

n

.

Then, there exists a number τ in (a, b) such that

E(t) = f(t) −p

n

(t) =

(t −x

0

) · · · (t −x

n

)

(n + 1)!

f

(n+1)

(τ).

(Note the similarity between the above and the remainder in Taylor’s formula.)

Proof. Note that if a = b there is nothing to prove. The result is true if t = x

i

for

i = 0, . . . , n. So, we proceed for t = x

i

. Fix t and deﬁne

G(x) = E(x) −

Ψ(x)

Ψ(t)

E(t),

for all x in [a, b], where

Ψ(x) = (x −x

0

) · · · (x −x

n

).

Because E and Ψ are n +1 times continuously diﬀerentiable functions, so is G.

Note that for i = 0, . . . , x

n

we have

G(x

i

) = E(x

i

) −

Ψ(x

i

)

Ψ(t)

E(t) = 0,

and

G(t) = E(t) −

Ψ(t)

Ψ(t)

E(t) = 0.

Thus, G has n+2 distinct zeros in [a, b]. By the mean value theorem, its derivative

G

**has n + 1 distinct zeros in (a, b). We proceed by induction: G
**

(j)

has n + 2 − j

distinct zeros in (a, b) for j = 1, . . . , n + 1..

Thus, G

(n+1)

has at least one zero in (a, b). Let τ denote any such zero, i.e.:

G

(n+1)

(τ) = 0.

Note 1: Lagrange Interpolation – August 15, 2011 25

Because

E

(n+1)

(x) = f

(n+1)

(x)

and

Ψ

(n+1)

(x) = (n + 1)!

we obtain

G

(n+1)

(x) = f

(n+1)

(x) −

(n + 1)!

Ψ(t)

E(t),

which gives

0 = G

(n+1)

(τ) = f

(n+1)

(τ) −

(n + 1)!

Ψ(t)

E(t),

whence

E(t) =

Ψ(t)

(n + 1)!

f

(n+1)

(τ).

1.2.3 Remark. We have obtained the representation of f

(1) f(t) = p

n

(t) +

(t −x

0

) · · · (t −x

n

)

(n + 1)!

f

(n+1)

(τ),

where min{t, x

0

, . . . , x − n} < τ < max{t, x

0

, . . . , x

n

}. Compare the above with

the representation

f(t) = p(t) +

(t −x

0

)

n+1

(n + 1)!

f

(n+1)

(τ),

where min{t, x

0

} < τ < max{t, x

0

}. Here, p is the Taylor polynomial of f at x

0

,

(2) p(t) =

n

i=0

(t −x

0

)

i

i!

f

(i)

(x

0

).

We see that (1) is some sort of a discrete analogue of (2). There is a much nicer

way to represent the interpolating polynomial (1) that brings out this analogy. The

representation uses divided diﬀerences.

1.3 Divided Diﬀerences

1.3.1 Deﬁnition. Let f : [a, b] → R be suﬃciently diﬀerentiable. Let p

n

de-

note the polynomial of degree at most n that interpolates f at the distinct points

x

0

, . . . , x

n

in [a, b]. We want to ﬁnd a way to obtain p

n

from p

n−1

. To this end, we

write

(1) p

n

(x) = p

n−1

(x) + c

n

(x),

Note 1: Lagrange Interpolation – August 15, 2011 26

where we think of c

n

as a “correction term” we add to p

n−1

to obtain p

n

. Can we

ﬁnd a simple way to represent c

n

?

First, we observe that

c

n

(x

i

) = p

n

(x

i

) −p

n−1

(x

i

)

= f(x

i

) −f(x

i

)

= 0

for i = 0, . . . , n − 1. Since c

n

must be a polynomial of degree at most n, it must

be the polynomial

c

n

(x) = a

n

(x −x

0

) · · · (x −x

n−1

),

where the coeﬃcient a

n

is to be determined. Note: If a

n

= 0, c

n

is the zero

polynomial; otherwise, c

n

is a polynomial of degree n.

We obtain

a

n

(x

n

−x

0

) · · · (x

n

−x

n−1

) = c

n

(x

n

)

= p

n

(x

n

) −p

n−1

(x

n

)

= f(x

n

) −p

n−1

(x

n

),

since p

n

(x

n

) = f(x

n

), giving

a

n

=

f(x

n

) −p

n−1

(x

n

)

(x

n

−x

0

) · · · (x

n

−x

n−1

)

.

The coeﬃcient a

n

is called is called the nth order divided diﬀerence and is denoted

by

a

n

= f[x

0

, . . . , x

n

].

(The notation may seem strange, but is the standard notation widely used.)

Finally, (1) yields the formula

(2) p

n

(x) = p

n−1

(x) + (x −x

0

) · · · (x −x

n−1

)f[x

0

, . . . , x

n

].

Deﬁne f[x

0

] = f(x

0

). The ﬁrst three interpolating polynomials have the repre-

sentations

p

0

(x) = f[x

0

],

p

1

(x) = f[x

0

] + (x −x

0

)f[x

0

, x

1

],

p

2

(x) = f[x

0

] + (x −x

0

)f[x

0

, x

1

] + (x −x

0

)(x −x

1

)f[x

0

, x

1

, x

2

],

while p

n

has the representation

(3) p

n

(x) =

n

i=0

[(x −x

0

) · · · (x −x

i−1

)]f[x

0

, . . . , x

i

].

Note 1: Lagrange Interpolation – August 15, 2011 27

The above is known as Newton’s divided diﬀerences formula for the interpolating

polynomial.

Compare the Taylor series for f about the point x

0

f(x) = f(x

0

) + (x −x

0

)f

(x

0

) +

(x −x

0

)

2

2!

f

(x

0

) +· · ·

+

(x −x

0

)

n

n!

f

(n)

(x

0

) +

(x −x

0

)

n+1

(n + 1)!

f

(n+1)

(τ

1

)

with the interpolating polynomial approximation

f(x) = f[x

0

] + (x −x

0

)f[x

0

, x

1

] + (x −x

0

)(x −x

1

)f[x

0

, x

1

, x

2

] +· · ·

(x −x

0

) · · · (x −x

n−1

)f[x

0

, . . . , x

n

] +

(x −x

0

) · · · (x −x

n

)

(n + 1)!

f

(n+1)

(τ

2

),

where τ

1

and τ

2

are points in (a, b). The interpolating polynomial p

n

is unique.

Whether we use Lagrange’s formula or the above reprentation, we have the same

polynomial. The above representation, however, makes a pretty good case for

thinking of the interpolating polynomial as a discrete analogue of the Taylor series,

with the kth divided diﬀerence being a discrete analogue of the kth derivative. We

prove this below.

1.3.2 Proposition. If f is a real function on [a, b] with k continuous derivatives

there and x

0

, . . . , x

k

are distinct points in [a, b], then

f[x

0

, . . . , x

k

] =

f

(k)

(τ)

k!

for some τ in the smallest open interval containing x

0

, . . . , x

k

.

Proof. Thanks to 1.3.1(2) and the equality f(x

k

) = p

k

(x

k

), we have

f(x

k

) = p

k

(x

k

) = p

k−1

(x

k

) + (x

k

−x

0

) · · · (x

k

−x

k−1

)f[x

0

, . . . , x

k

],

which we rewrite as

f(x

k

) −p

k−1

(x

k

) = (x

k

−x

0

) · · · (x

k

−x

k−1

)f[x

0

, . . . , x

k

].

Thanks to Proposition 1.2.2, we obtain

f(x

k

) −p

k−1

(x

k

) =

(x

k

−x

0

) · · · (x

k

−x

k−1

)

k!

f

(k)

(τ).

From the above two equations we obtain

(x

k

−x

0

) · · · (x

k

−x

k−1

)f[x

0

, . . . , x

k

] =

(x

k

−x

0

) · · · (x

k

−x

k−1

)

k!

f

(k)

(τ),

which is the desired result.

Note 1: Lagrange Interpolation – August 15, 2011 28

1.4 Computing with Divided Diﬀerences

1.4.1 Remarks. If p is a polynomial of degree at most n, then, of course, p is of

the form

(1) p(x) = a

n

x

n

+· · · + a

1

x + a

0

.

The coeﬃcients a

0

, . . . , a

n

are unique. Indeed, if we also have

p(x) = b

n

x

n

+· · · + b

1

x + b

0

,

then subtraction yields

(a

n

−b

n

)x

n

+· · · + (a

1

−b

1

)x + (a

0

−b

0

) = 0

for all x. Therefore, the above is the zero polynomial, whence a

i

= b

i

, settling the

issue of uniqueness. We can therefore make the following important observation

about divided diﬀerences.

1.4.2 Proposition. Let f be a real function deﬁned on [a, b] and let x

0

, . . . , x

n

be distinct points in [a, b]. The nth divided diﬀerence f[x

0

, . . . , x

n

] is a symmetric

function of x

0

, . . . , x

n

. In other words, let (i

0

, . . . , i

n

) denote any permutation of

(0, . . . , n). We have

f[x

0

, . . . , x

n

] = f[x

i

0

, . . . , x

in

].

Proof. Let p denote the polynomial of degree at most n that interpolates f at

x

0

, . . . , x

n

. Let q denote the polynomial of degree at most n that interpolates f at

x

i

0

, . . . , x

in

. Then

p(x) =

n

j=0

L

j

(x)f(x

j

) =

n

j=0

L

i

j

(x)f(x

i

j

) = q(x).

Since p is unique, and so is its representation of the form (1), each a

k

is invariant

with respect to any permutation of (x

0

, . . . , x

n

). In particular, we have a

n

=

f[x

0

, . . . , x

n

].

1.4.3 Remarks. We compute ﬁnite diﬀerences from tabulated data as follows.

Let p

n

denote, as usual, the polynomial of degree at most n that interpolates f at

x

0

, . . . , x

n

. Let q

n−1

denote the polynomial of degree at most n−1 that interpolates

f at the points x

1

, . . . , x

n

.

Deﬁne the polynomial p of degree at most n by

p(x) =

x −x

0

x

n

−x

0

q

n−1

(x) +

x

n

−x

x

n

−x

0

p

n−1

(x).

Note 1: Lagrange Interpolation – August 15, 2011 29

We have

p(x

0

) =

x

n

−x

0

x

n

−x

0

p

n−1

(x

0

) = f(x

0

)

and

p(x

n

) =

x

n

−x

0

x

n

−x

0

n

n−1

(x

n

) = f(x

n

).

We show how to generate the table shown in Figure 1.

x

k

f

k

f[x

k

, x

k+1

] f[x

k

, . . . , x

k+2

] f[x

k

, . . . , x

k+3

]

0.0000000000 0.0000000000

0.9995833854

0.0500000000 0.0499791693 −0.0499687578

0.9970849475 −0.9968772388

0.1000000000 0.0998334166 −0.0998126198

0.9920943165 −0.9918876474

0.1500000000 0.1494381325 −0.1494070021

0.9846239664 −0.9844188535

0.2000000000 0.1986693308 −0.1986279448

0.9746925692 −0.9744895252

0.2500000000 0.2474039593 −0.2473524211

0.9623249481 −0.9621244805

0.3000000000 0.2955202067 −0.2954586451

0.9475520159 −0.9473546257

0.3500000000 0.3428978075 −0.3428263764

0.9304106971 −0.9302168777

0.4000000000 0.3894183423 −0.3893372202

0.9109438361 −0.9107540719

0.4500000000 0.4349655341 −0.4348749238

0.8892000899 −0.8890148553

0.5000000000 0.4794255386 −0.4793256666

0.8652338065 −0.8650535645

0.5500000000 0.5226872289 −0.5225783448

0.8391048893 −0.8389300903

0.6000000000 0.5646424734 −0.5645248493

0.8108786468 −0.8107097278

0.6500000000 0.6051864057 −0.6050603357

0.7806256300 −0.7804630132

0.7000000000 0.6442176872 −0.6440834864

0.7484214557 −0.7482655476

0.7500000000 0.6816387600 −0.6814967638

0.7143466175

0.8000000000 0.7173560909

Figure 1: A table of divided diﬀerences.

Note 1: Lagrange Interpolation – August 15, 2011 30

Form our present discussion, we have, for 1 ≤ i ≤ n −1,

p(x

i

) =

x

i

−x

0

x

n

−x

0

q

n−1

(x

i

) +

x

n

−x

i

x

n

−x

0

p

n−1

(x

i

)

=

x

i

−x

0

x

n

−x

0

f(x

i

) +

x

n

−x

i

x

n

−x

0

f(x

i

)

= f(x

i

).

Further, we have that p = p

n

, i.e.: p interpolates f at x

0

, . . . , x

n

. Thanks

to the uniqueness of the interpolating polynomial and to the uniqueness of the

representation of the form (1),

f[x

0

, . . . , x

n

] = leading coeﬃcient of p(x)

=

leading coeﬃcient of q

n−1

(x)

x

n

−x

0

−

leading coeﬃcient of p

n−1

(x)

x

n

−x

0

=

f[x

1

, . . . , x

n

] −f[x

0

, . . . , x

n−1

]

x

n

−x

0

.

Beginning with tabulated values of f, as shown to the left in the table of

Figure 1, using the above relation

• we compute the column of ﬁrst-order divided diﬀerences f[x

k

, x

k+1

],

• then, we proceed to compute the column of second-order divided diﬀerences

f[x

k

, x

k+1

, x

k+2

],

• then we keep going as far as we want, up to the column with the single entry

f[x

0

, . . . , x

n

].

1.5 Interpolation Using Equidistant Points

Below, we show some basic forms taken by the interpolating polynomial when the

data points are equally spaced.

1.5.1 Deﬁnition. Suppose that f is a real function deﬁned on [a, b]. For ﬁxed

positive integer N, deﬁne

h = (b −a)/N and x

i

= a + ih, for i = 0, . . . , N.

Thus, to every f ∈ R

[a,b]

there corresponds a unique ﬁnite sequence

{f(x

0

), f(x

1

), . . . , f(x

N

)},

Note 1: Lagrange Interpolation – August 15, 2011 31

which is an element of R

N+1

. We use the shorthand

ˆ

f = {

ˆ

f

0

,

ˆ

f

1

, . . . ,

ˆ

f

N

}

to denote such a sequence.

For the chosen N we deﬁne the forward diﬀerence operator ∆ as follows. ∆ is

a function (operator

2

)

∆ : R

N+1

→ R

N

which maps a sequence

ˆ

f ∈ R

N+1

to the sequence ∆

ˆ

f in R

N

given by

(∆

ˆ

f)

i

=

ˆ

f

i+1

−

ˆ

f

i

,

for i = 0, 1, . . . , N −1.

For j = 0, 1, . . . , N, we deﬁne

∆

j

: R

N+1

→ R

N−j

by

(∆

0

ˆ

f) =

ˆ

f,

and

(∆

j+1

ˆ

f)

i

= (∆

j

ˆ

f)

i+1

−(∆

j

f)

i

,

for 0 < i ≤ N −j −1.

1.5.2 Proposition. For i = 0, . . . , N −k, we have

(1) f[x

k

, . . . , x

k+i

] =

(∆

i

ˆ

f)

k

i!h

i

.

Proof. The proof is by induction on i. The assertion is true for i = 0, since

f[x

k

] = f(x

k

) =

ˆ

f

k

= (∆

0

ˆ

f)

k

.

Suppose the assertion is true for some i ≥ 0 with i < N −k. Then, we have

f[x

k

, . . . , x

k+i+1

] =

f[x

k+1

, . . . , x

k+i+1

] −f[x

k

, . . . , x

k+i

]

x

k+i+1

−x

k

=

_

(∆

i

ˆ

f)

k+1

i!h

i

−

(∆

i

ˆ

f)

k

i!h

i

_

_

[(i + 1)h]

=

(∆

i

ˆ

f)

k+1

−(∆

i

ˆ

f)

k

(i + 1)!h

i+1

=

(∆

i+1

ˆ

f)

k

(i + 1)!h

i+1

,

2

“Operator” is usually reserved to name functions that map functions to functions. In this

case, ∆ maps sequences to sequences.

Note 1: Lagrange Interpolation – August 15, 2011 32

which is (1) with i replaced by i + 1. We have shown that the assertion holds for

i = 0, . . . , N −k.

1.5.3 Remark (Notation). Many use the notation ∆

i

f

k

for (∆

i

ˆ

f)

k

. While one

can get used to it, I ﬁnd it rather messy (and confusing to those who see it for the

ﬁrst time), even though it is pretty much the standard notation used in numerical

analysis.

1.5.4 Deﬁnition (Newton’s Forward-Diﬀerence Formula). Let p

n

denote the poly-

nomial of degree at most n that interpolates f at x

k

, . . . , x

k+n

. Thanks to 1.3.1(3)

this polynomial can be written

p

n

(x) =

k+n

i=k

[(x −x

k

) · · · (x −x

i−1

)]f[x

k

, . . . , x

i

].

Thanks to Proposition 1.5.2, we have

(1) p

n

(x) =

n

i=0

(∆

i ˆ

f)

k

i!h

i

i−1

j=0

(x −x

k+j

).

Introducing the notation s = (x −x

0

)/h, we can write

x −x

k+j

= x

0

+ sh + [x

0

+ (k + j)h]

= (s −k −j)h,

which we use to rewrite (1) as

p

n

(x) = p

n

(x

0

+ sh)

=

n

i=0

(∆

i

ˆ

f)

k

i!h

i

i−1

j=0

(s −k −j)h

=

n

i=0

(∆

i

ˆ

f)

k

i!

i−1

j=0

(s −k −j)

=

n

i=0

(∆

i

ˆ

f)

k

i−1

j=0

s −k −j

j + 1

.

Introduce the binomial function deﬁned by

3

_

t

0

_

= 1,

3

Note that

_

t

i

_

reduces to the usual binomial coeﬃcient

_

t

i

_

(read:“t choose i when t is a

positive integer.

Note 1: Lagrange Interpolation – August 15, 2011 33

and

_

t

i

_

=

i−1

j=0

t −j

j + 1

=

t(t −1) · · · (t −i + 1)

i!

, t > 0.

We can now rewrite p

n

as

p

n

(x

0

+ sh) =

n

i=0

_

s −k

i

_

(∆

i

ˆ

f)

k

=

ˆ

f

k

+ (s −k)(∆

ˆ

f)k +

(s −k)(s −k −1)

2

(∆

2

ˆ

f)

k

+· · · +

(s −k) · · · (s −k −n + 1)

n!

(∆

n

ˆ

f)

k

.

The above is called the Newton forward-diﬀerence formula for the polynomial p

n

of degree at most n that interpolates f at x

k

, . . . , x

k+n

. For k = 0 the above takes

the special form

(2) p

n

(x

0

+ sh) =

n

i=0

_

s

i

_

(∆

i

ˆ

f)

0

.

1.6 Examples

1.6.1 Example. The table in Figure 1 shows sinx, together with its divided dif-

ferences

f[x

k

, x

k+1

], f[x

k

, . . . , x

k+2

], f[x

k

, . . . , x

k+3

],

tabulated from 0 to 0.8 with a step of 0.05. (The values shown are rounded.)

Recalling the representation

p

3

(x) = f

0

+ (x −x

0

)f[x

0

, x

1

]

+ (x −x

0

)(x −x

1

)f[x

0

, x

1

, x

2

]

+ (x −x

0

)(x −x

1

)(x −x

2

)f[x

0

, x

1

, x

2

, x

3

],

we obtain the approximation

4

p

3

(x)

.

= 0.9995833854x

− 0.0499687578x(x −0.05)

− 0.9968772388x(x −0.05)(x −0.1)

4

The symbol

.

= means that the numeric values shown are rounded approximations to the true

coeﬃcient values.

Note 1: Lagrange Interpolation – August 15, 2011 34

for the polynomial of degree at most 3 that interpolates sin at the points 0, 0.05,

0.1, 0.15.

Note that in this case the degree is actually 3. Note also that by starting farther

down in the table, we can obtain p

k

(x) for other values of k, as long as 3 ≤ k ≤ 16.

x

k

f

k

f[x

k

, x

k+1

] f[x

k

, . . . , x

k+2

] f[x

k

, . . . , x

k+3

]

0.0000000000 0.0000000000

0.9995833854

0.0500000000 0.0499791693 −0.0499687578

0.9970849475 −0.9968772388

0.1000000000 0.0998334166 −0.0998126198

0.9920943165 −0.9918876474

0.1500000000 0.1494381325 −0.1494070021

0.9846239664 −0.9844188535

0.2000000000 0.1986693308 −0.1986279448

0.9746925692 −0.9744895252

0.2500000000 0.2474039593 −0.2473524211

0.9623249481 −0.9621244805

0.3000000000 0.2955202067 −0.2954586451

0.9475520159 −0.9473546257

0.3500000000 0.3428978075 −0.3428263764

0.9304106971 −0.9302168777

0.4000000000 0.3894183423 −0.3893372202

0.9109438361 −0.9107540719

0.4500000000 0.4349655341 −0.4348749238

0.8892000899 −0.8890148553

0.5000000000 0.4794255386 −0.4793256666

0.8652338065 −0.8650535645

0.5500000000 0.5226872289 −0.5225783448

0.8391048893 −0.8389300903

0.6000000000 0.5646424734 −0.5645248493

0.8108786468 −0.8107097278

0.6500000000 0.6051864057 −0.6050603357

0.7806256300 −0.7804630132

0.7000000000 0.6442176872 −0.6440834864

0.7484214557 −0.7482655476

0.7500000000 0.6816387600 −0.6814967638

0.7143466175

0.8000000000 0.7173560909

Figure 1: A table of divided diﬀerences for the sine function.

1.6.2 Example. Finite diﬀerences are not only useful in polynomial interpolation.

They are very eﬀective in detecting errors that may have occureed in the transmis-

sion or recording of smooth data. The table in Figure 1 is identical to the table in

Figure 1.6.1(1), with one major exception: One of the f

k

’s has been perturbed by

1%.

Note 1: Lagrange Interpolation – August 15, 2011 35

An important lesson to be learned from this example is that the computation

of approximate derivatives is extremely sensitive to noise in the data. That is,

approximate numerical diﬀerentiation can be expected to make small errors big-

ger. This is usually the opposite of what we can expect of approximate numerical

integration, since integration is a “smoothing” operation.

x

k

f

k

f[x

k

, x

k+1

] f[x

k

, . . . , x

k+2

] f[x

k

, . . . , x

k+3

]

0.0000000000 0.0000000000

0.9995833854

0.0500000000 0.0499791693 −0.0499687578

0.9970849475 −0.9968772388

0.1000000000 0.0998334166 −0.0998126198

0.9920943165 −0.9918876474

0.1500000000 0.1494381325 −0.1494070021

0.9846239664 −0.9844188535

0.2000000000 0.1986693308 −0.1986279448

0.9746925692 −0.9744895252

0.2500000000 0.2474039593 −0.2473524211

0.9623249481 −0.9621244805

0.3000000000 0.2955202067 −0.2954586451

0.9475520159 −0.9473546257

0.3500000000 0.3428978075 −0.3428263764

0.9304106971 −0.9302168777

0.4000000000 0.3894183423 −0.3893372202

0.9109438361 37.4432890164

0.4500000000 0.4349655341 1.4828272306

0.9850851976 −115.9511441203

0.5000000000 0.4842197940 −4.3147299754

0.7693486988 114.1970757005

0.5500000000 0.5226872289 1.3951238096

0.8391048893 −39.1929731787

0.6000000000 0.5646424734 −0.5645248493

0.8108786468 −0.8107097278

0.6500000000 0.6051864057 −0.6050603357

0.7806256300 −0.7804630132

0.7000000000 0.6442176872 −0.6440834864

0.7484214557 −0.7482655476

0.7500000000 0.6816387600 −0.6814967638

0.7143466175

0.8000000000 0.7173560909

Figure 1: The eﬀect of an error in a table of divided diﬀerences.

Note the wild behavior of the third diﬀerence in the above table, where the entries

that diﬀer from the table in Example 1 are shown in Italics.

As a rule, numerical diﬀerentiation is seldom used unless the smoothness of the

data is very high. Numerical integration, on the other hand, does usually present

Note 1: Lagrange Interpolation – August 15, 2011 36

such concerns. Integration is a smoothing operation, while diﬀerentiation ampliﬁes

the errors (noise) that may be present in the data.

. we construct the L’s. . First we show existence. where q is a polynomial of degree n − 1.4 Theorem (Lagrange Interpolation). for j = 0. i. . Now. we use the polynomial (x − x0 ) · · · (x − xi−1 )(x − xi+1) · · · (x − xn ).3 Remark. The theorem given below states that there is a unique solution to a generalization of the problem of passing a line through two points. a parabola through three points. n. 1. Suppose that we have n + 1 polynomials L0 . In other words. 1. . to remove xi from this list. n. if p is a polynomial of degree n ≥ 1 and and x∗ is a zero of p. i = j. . . p is a polynomial of degree at most n. 2011 22 We have the Fundamental Theorem of Algebra: Every polynomial over the complex numbers C of positive degree has at least one zero. . Proof. . . Clearly. The reasoning goes as follows. p interpolates the given data. with xi = xj for i = j. (1) p(x) = i=0 Li (x)yi. xm . p is a polynomial of degree m + 1. x1. .: such that p(xi ) = yi for i = 0. then p is a polynomial of the form p(x) = c(x − x0)(x − x1) · · · (x − xm ). Ln of degree n such that Li (xj ) = Deﬁne the polynomial p by n 0. there is a unique polynomial p of degree at most n that interpolates the given data.e. an so on. It follows that if p is a polynomial with m + 1 distinct zeros x0 . . . yn ) in the plane. . Thus. i = j. The polynomial (x − x0) · · · (x − xn ) has the zeros x0. (xn . . then we have p(x) = q(x)(x − x∗).Note 1: Lagrange Interpolation – August 15. In other words. . . . So. provided that each data point lies on a unique vertical line 1. .1. xn . . . Further. . where c is some constant not equal to zero. we have n p(xj ) = i=0 Li (xj )yi = Lj (xj )yj = yj . Given n+1 data points (x0. since the coeﬃcient of the leading power xm+1 is c = 0. since each of the L’s is a polynomial of degree n. y0 ). . . To show existence of an interpolating polynomial we use Lagrange’s interpolation formula (given by (1) and (2)) for representing it. . .1.

. Each Li is called a Lagrange coeﬃcient polynomial. P (x) = c(x − x0 )(x − x1 ) · · · (x − xn ). .Note 1: Lagrange Interpolation – August 15. we never divide by zero. Deﬁne the polynomial P = p − q. In other words. suppose that p and q are polynomials of degree at most n that interpolate the given data. Given the function f : [a. That is. Now. Using Lagrange’s formula. . To this end. xn . there is no polynomial P degree at most n with n + 1 distinct zeros. n. any two interpolating polynomials are identical. pn is such that pn (xi ) = f(xi ) for i = 0. n. We have a contradiction. . Moreover P (xi ) = p(xi ) − q(xi) = yi − yi = 0 for i = 0. . 1. . . we divide by a constant. To prove uniqueness. .2. This means that p(xi ) = yi and q(xi) = yi for i = 0. where c is some constant and xi = xj for i = j. There is only one polynomial that satisﬁes our requirement: the zero polynomial P (x) = 0 for all x. Then P is a polynomial of degree at most n also (since p and q are). b] → R and given n + 1 distinct points x0 . . (xi − x0) · · · (xi − xi−1 )(xi − xi+1 ) · · · (xi − xn ) 23 Note that since the x’s are distinct.2 The Error in Lagrange Interpolation 1. . b]. . where the Li are the Lagrange coeﬃcient polynomials given by Li (x) = (x − x0) · · · (x − xi−1 )(x − xi+1 ) · · · (x − xn ) . . . xn in [a. to obtain Li (xi) = 1. we see that pn can be written n (1) pn (x) = i=0 Li (x)f(xi ). we argue that any two interpolating polynomials of degree at most n are identical. we prove uniqueness. We obtain (2) Li (x) = (x − x0) · · · (x − xi−1 )(x − xi+1 ) · · · (x − xn ) . 2011 Finally. Therefore. (xi − x0) · · · (xi − xi−1 )(xi − xi+1 ) · · · (xi − xn ) .1 Deﬁnition (The Interpolation Error). p = q. . In other words. let pn denote the polynomial of degree at most n that interpolates f at the given points. .

. Thus. . The result is true if t = xi for i = 0. . . . . xn be n + 1 distinct real numbers. Let t be any real number. where Ψ(x) = (x − x0) · · · (x − xn ). We can obtain a useful expression for E(x).: G(n+1) (τ ) = 0. Then. . xn . as we show below. Note that for i = 0. . b = max{t. Ψ(t) Ψ(x) E(t). .2. Note that if a = b there is nothing to prove. (n + 1)! (Note the similarity between the above and the remainder in Taylor’s formula.) Proof. i. . x0. b) for j = 1. Let pn denote the polynomial of degree at most n that interpolates f at x0 . . . . . b] with n + 1 continuous derivatives. Let x0. so is G. b). we proceed for t = xi . . 1. xn we have G(xi ) = E(xi ) − and G(t) = E(t) − Ψ(xi ) E(t) = 0.2 Proposition. Ψ(t) Thus. Fix t and deﬁne G(x) = E(x) − for all x in [a. there exists a number τ in (a. . . G has n + 2 distinct zeros in [a. . . n + 1. . So. . G(n+1) has at least one zero in (a. By the mean value theorem. . . b]. Deﬁne a and b by a = min{t. . xn }. 2011 24 Deﬁne the interpolation error E(x) = f(x)−pn (x) for x in [a. .Note 1: Lagrange Interpolation – August 15. b]. . . xn }. x0. n. b) such that E(t) = f(t) − pn (t) = (t − x0) · · · (t − xn ) (n+1) f (τ ). Let f be a real-valued function deﬁned on [a. . provided f is suﬃciently diﬀerentiable. b). We proceed by induction: G(j) has n + 2 − j distinct zeros in (a. .e. Ψ(t) Ψ(t) E(t) = 0. Because E and Ψ are n + 1 times continuously diﬀerentiable functions. Let τ denote any such zero.. b]. its derivative G has n + 1 distinct zeros in (a.

. x0.1 Deﬁnition. We have obtained the representation of f (1) f(t) = pn (t) + (t − x0 ) · · · (t − xn ) (n+1) f (τ ). 1.3 Divided Diﬀerences 1.Note 1: Lagrange Interpolation – August 15. x − n} < τ < max{t. Compare the above with the representation (t − x0 )n+1 (n+1) f (τ ). .3 Remark. n (2) p(t) = i=0 (t − x0 )i (i) f (x0 ). . . b]. . . To this end. (n + 1)! 1. Let f : [a. . There is a much nicer way to represent the interpolating polynomial (1) that brings out this analogy. . 2011 Because E (n+1) (x) = f (n+1) (x) and Ψ(n+1) (x) = (n + 1)! we obtain G(n+1) (x) = f (n+1) (x) − which gives 0 = G(n+1) (τ ) = f (n+1) (τ ) − whence E(t) = (n + 1)! E(t). b] → R be suﬃciently diﬀerentiable. x0} < τ < max{t.3. Ψ(t) 25 Ψ(t) (n+1) f (τ ). x0}. we write (1) pn (x) = pn−1 (x) + cn (x). Here. Ψ(t) (n + 1)! E(t). (n + 1)! where min{t. The representation uses divided diﬀerences. f(t) = p(t) + (n + 1)! where min{t. i! We see that (1) is some sort of a discrete analogue of (2). x0. We want to ﬁnd a way to obtain pn from pn−1 . . . Let pn denote the polynomial of degree at most n that interpolates f at the distinct points x0. xn }. .2. p is the Taylor polynomial of f at x0. . xn in [a. .

. Note: If an = 0. . where the coeﬃcient an is to be determined. x1] + (x − x0 )(x − x1 )f[x0. cn is the zero polynomial. . x1. . we observe that cn (xi ) = pn (xi ) − pn−1 (xi ) = f(xi ) − f(xi ) = 0 for i = 0. . . We obtain an (xn − x0 ) · · · (xn − xn−1 ) = cn (xn ) = pn (xn ) − pn−1 (xn ) = f(xn ) − pn−1 (xn ). . p2 (x) = f[x0 ] + (x − x0)f[x0 . 2011 26 where we think of cn as a “correction term” we add to pn−1 to obtain pn . Deﬁne f[x0 ] = f(x0 ). xn ]. . The ﬁrst three interpolating polynomials have the representations p0 (x) = f[x0 ]. . . x1].) Finally. while pn has the representation n (3) pn (x) = i=0 [(x − x0 ) · · · (x − xi−1 )]f[x0. it must be the polynomial cn (x) = an (x − x0) · · · (x − xn−1 ). Since cn must be a polynomial of degree at most n. . cn is a polynomial of degree n. . . p1 (x) = f[x0 ] + (x − x0)f[x0 . giving an = f(xn ) − pn−1 (xn ) . x2]. since pn (xn ) = f(xn ). (1) yields the formula (2) pn (x) = pn−1 (x) + (x − x0 ) · · · (x − xn−1 )f[x0 . . (The notation may seem strange. n − 1. (xn − x0) · · · (xn − xn−1 ) The coeﬃcient an is called is called the nth order divided diﬀerence and is denoted by an = f[x0. xi ]. . Can we ﬁnd a simple way to represent cn ? First. . xn ]. . otherwise. but is the standard notation widely used.Note 1: Lagrange Interpolation – August 15.

. . . . xk ]. . we have the same polynomial. . . xk .2. we obtain (xk − x0) · · · (xk − xk−1 ) (k) f (τ ). . 1. . Compare the Taylor series for f about the point x0 f(x) = f(x0 ) + (x − x0 )f (x0) + (x − x0)2 f (x0 ) + · · · 2! (x − x0)n+1 (n+1) (x − x0 )n (n) + f (x0) + f (τ1 ) n! (n + 1)! with the interpolating polynomial approximation f(x) = f[x0] + (x − x0 )f[x0. . .2. then f (k) (τ ) k! for some τ in the smallest open interval containing x0. we have f(xk ) = pk (xk ) = pk−1 (xk ) + (xk − x0) · · · (xk − xk−1 )f[x0. Whether we use Lagrange’s formula or the above reprentation. makes a pretty good case for thinking of the interpolating polynomial as a discrete analogue of the Taylor series. The interpolating polynomial pn is unique. Thanks to Proposition 1.1(2) and the equality f(xk ) = pk (xk ). If f is a real function on [a. b]. k! . x1] + (x − x0 )(x − x1 )f[x0. . xn ] + (n + 1)! where τ1 and τ2 are points in (a. . xk are distinct points in [a. k! From the above two equations we obtain f(xk ) − pk−1 (xk ) = (xk − x0 ) · · · (xk − xk−1 )f[x0. 2011 27 The above is known as Newton’s divided diﬀerences formula for the interpolating polynomial. with the kth divided diﬀerence being a discrete analogue of the kth derivative. x1.3. (xk − x0 ) · · · (xk − xk−1 ) (k) f (τ ).2 Proposition. .Note 1: Lagrange Interpolation – August 15. (x − x0 ) · · · (x − xn−1 )f[x0. . .3. however. b] with k continuous derivatives there and x0 . f[x0 . . The above representation. which we rewrite as f(xk ) − pk−1 (xk ) = (xk − x0) · · · (xk − xk−1 )f[x0. . . We prove this below. . b). . . . . xk ] = which is the desired result. . x2 ] + · · · (x − x0) · · · (x − xn ) (n+1) f (τ2 ). xk ]. . xk ] = Proof. Thanks to 1. . .

Let qn−1 denote the polynomial of degree at most n−1 that interpolates f at the points x1 . . Let pn denote.4 Computing with Divided Diﬀerences 1. xn − x0 xn − x0 . xn ]. an are unique. . p is of the form (1) p(x) = an xn + · · · + a1x + a0. whence ai = bi .1 Remarks. The nth divided diﬀerence f[x0 . as usual. . . xn ). of course. . each ak is invariant with respect to any permutation of (x0 .2 Proposition. . We compute ﬁnite diﬀerences from tabulated data as follows. 1. if we also have p(x) = bn xn + · · · + b1 x + b0 . xin . Deﬁne the polynomial p of degree at most n by p(x) = x − x0 xn − x qn−1 (x) + pn−1 (x). In other words. the above is the zero polynomial. xn ] = f[xi0 . then subtraction yields (an − bn )xn + · · · + (a1 − b1 )x + (a0 − b0 ) = 0 for all x. . . settling the issue of uniqueness. . and so is its representation of the form (1). . . . . . . 1. xn . . . . Therefore. the polynomial of degree at most n that interpolates f at x0. . Let p denote the polynomial of degree at most n that interpolates f at x0. xn . . .3 Remarks. . 2011 28 1.4. . . . . . . xin ]. n). . we have an = f[x0. . . . The coeﬃcients a0. Proof. If p is a polynomial of degree at most n.4. We have f[x0.4. . . . . xn . . . Since p is unique. Let q denote the polynomial of degree at most n that interpolates f at xi0 . . . . . xn be distinct points in [a. b]. . Let f be a real function deﬁned on [a. . . . . Indeed. . . in ) denote any permutation of (0.Note 1: Lagrange Interpolation – August 15. . We can therefore make the following important observation about divided diﬀerences. . . In particular. let (i0 . . xn . Then n n p(x) = j=0 Lj (x)f(xj ) = j=0 Lij (x)f(xij ) = q(x). b] and let x0. then. . . . xn ] is a symmetric function of x0.

4500000000 0. xk+2] f[xk .9920943165 −0.7143466175 0.0998334166 0.9846239664 −0.3428263764 0. .2954586451 0.4794255386 0.4000000000 0.Note 1: Lagrange Interpolation – August 15.3428978075 0.7804630132 −0. xk+1 ] 0.2000000000 0. 2011 We have p(x0 ) = and p(xn ) = xn − x0 pn−1 (x0) = f(x0) xn − x0 29 xn − x0 nn−1 (xn ) = f(xn ).6500000000 0.6442176872 0.9621244805 −0.1986279448 0.7000000000 0.9475520159 −0.0499687578 0.8892000899 −0.9107540719 −0. .9844188535 −0.5500000000 0.7482655476 −0.7173560909 Figure 1: A table of divided diﬀerences.5646424734 0.0998126198 0.7500000000 0.8391048893 −0.2474039593 0.6440834864 0.9623249481 −0.9109438361 −0. .0000000000 0.7484214557 −0.3894183423 0.9746925692 −0. . .2955202067 0.6814967638 0.9995833854 f[xk . xn − x0 We show how to generate the table shown in Figure 1.9304106971 −0.1986693308 0.1494070021 0. .8650535645 −0. xk+3 ] −0. .7806256300 −0.5225783448 0.5226872289 0.8652338065 −0. .1000000000 0.2500000000 0.1494381325 0.8107097278 −0.8108786468 −0.8890148553 −0.9744895252 −0.0000000000 0.9473546257 −0.9968772388 −0.1500000000 0.3893372202 0.9302168777 −0.3000000000 0.6816387600 0.6050603357 0.6051864057 0.5645248493 0.9918876474 −0.9970849475 −0.4793256666 0.8389300903 −0.0499791693 f[xk . xk fk 0.3500000000 0.5000000000 0.4349655341 0.6000000000 0. .2473524211 0.0500000000 0.8000000000 0.4348749238 0.

xn ] − f[x0 . . . Thanks to the uniqueness of the interpolating polynomial and to the uniqueness of the representation of the form (1). xn − x0 Beginning with tabulated values of f. Thus. . . . using the above relation • we compute the column of ﬁrst-order divided diﬀerences f[xk . Suppose that f is a real function deﬁned on [a. . . we proceed to compute the column of second-order divided diﬀerences f[xk . f(x1 ). we show some basic forms taken by the interpolating polynomial when the data points are equally spaced.e. xk+2 ]. .5. For ﬁxed positive integer N. to every f ∈ R[a. • then we keep going as far as we want. 1. 1. p(xi ) = xn − xi xi − x0 qn−1 (xi ) + pn−1 (xi ) xn − x0 xn − x0 xi − x0 xn − xi = f(xi ) + f(xi ) xn − x0 xn − x0 = f(xi ). .1 Deﬁnition. . . xn−1 ] = . . we have. . . .Note 1: Lagrange Interpolation – August 15. 30 Further. .: p interpolates f at x0 . . . xn ]. • then. . .b] there corresponds a unique ﬁnite sequence {f(x0 ). . as shown to the left in the table of Figure 1. we have that p = pn . b]. . xk+1 . . 2011 Form our present discussion. f[x0. . i. xk+1 ]. deﬁne h = (b − a)/N and xi = a + ih. for 1 ≤ i ≤ n − 1. f(xN )}. . . for i = 0. . N. . xn . up to the column with the single entry f[x0.5 Interpolation Using Equidistant Points Below. . xn ] = leading coeﬃcient of p(x) leading coeﬃcient of qn−1 (x) = xn − x0 leading coeﬃcient of pn−1 (x) − xn − x0 f[x1 .

We use the shorthand ˆ ˆ ˆ ˆ f = {f0 . N − 1. For i = 0. fN } 31 to denote such a sequence. xk+i+1 ] − f[xk . . . N. xk+i+1 ] = f[xk+1 . 2011 which is an element of RN +1. . . ∆ is a function (operator2 ) ∆ : RN +1 → RN ˆ ˆ which maps a sequence f ∈ RN +1 to the sequence ∆f in RN given by ˆ ˆ ˆ (∆f)i = fi+1 − fi . . . N − k. 1. .Note 1: Lagrange Interpolation – August 15. . Then. i!hi Proof. The proof is by induction on i. . . (i + 1)!hi+1 ˆ ˆ (∆0f) = f. we deﬁne ∆j : RN +1 → RN −j by and for 0 < i ≤ N − j − 1. . . . . . . .2 Proposition. . . . ˆ ˆ (∆j+1 f)i = (∆j f)i+1 − (∆j f)i . For j = 0. .5. for i = 0. since (1) f[xk . we have f[xk . we have ˆ (∆if )k . 1. The assertion is true for i = 0. 2 . . . xk+i ] = ˆ ˆ f[xk ] = f(xk ) = fk = (∆0 f)k . ∆ maps sequences to sequences. . For the chosen N we deﬁne the forward diﬀerence operator ∆ as follows. . “Operator” is usually reserved to name functions that map functions to functions. xk+i ] xk+i+1 − xk iˆ ˆ (∆ f )k+1 (∆i f)k = − [(i + 1)h] i!hi i!hi ˆ ˆ (∆i f )k+1 − (∆if )k = (i + 1)!hi+1 ˆ (∆i+1 f)k = . In this case. f1. 1. . . . . . Suppose the assertion is true for some i ≥ 0 with i < N − k. . .

While one can get used to it. . 3 t i = 1. N − k. t i reduces to the usual binomial coeﬃcient (read:“t choose i when t is a .5. I ﬁnd it rather messy (and confusing to those who see it for the ﬁrst time). . xi ]. . . j=0 Introducing the notation s = (x − x0 )/h. Many use the notation ∆i fk for (∆if )k . xk+n . ˆ 1. 1. 2011 32 which is (1) with i replaced by i + 1. . . which we use to rewrite (1) as pn (x) = pn (x0 + sh) n ˆ i−1 (∆i f)k = (s − k − j)h i!hi j=0 i=0 n = i=0 n ˆ (∆i f)k i! ˆ (∆if )k i−1 (s − k − j) j=0 i−1 = i=0 s−k−j . .Note 1: Lagrange Interpolation – August 15.1(3) this polynomial can be written k+n pn (x) = i=k [(x − xk ) · · · (x − xi−1 )]f[xk . Let pn denote the polynomial of degree at most n that interpolates f at xk .3 Remark (Notation). Thanks to Proposition 1. .2.3. we have n (1) pn (x) = i=0 ˆ (∆i f)k i!hi i−1 (x − xk+j ). .5.5. . . j+1 j=0 Introduce the binomial function deﬁned by3 t 0 Note that positive integer. Thanks to 1. we can write x − xk+j = x0 + sh + [x0 + (k + j)h] = (s − k − j)h. . even though it is pretty much the standard notation used in numerical analysis. We have shown that the assertion holds for i = 0.4 Deﬁnition (Newton’s Forward-Diﬀerence Formula).

.6 Examples 1.05) − 0. .05)(x − 0. x2] + (x − x0)(x − x1)(x − x2)f[x0 . x2. The table in Figure 1 shows sin x. together with its divided differences f[xk . xk+2 ].05. . . . p3 (x) = 0. x1] + (x − x0)(x − x1)f[x0 .) Recalling the representation p3 (x) = f0 + (x − x0)f[x0 .1 Example. (The values shown are rounded. .9995833854x − 0. xk+1 ]. . f[xk . We can now rewrite pn as n pn (x0 + sh) = i=0 s−k ˆ (∆i f)k i (s − k)(s − k − 1) 2 ˆ ˆ ˆ = fk + (s − k)(∆f)k + (∆ f )k 2 (s − k) · · · (s − k − n + 1) n ˆ (∆ f)k . . . x3]. 4 . . For k = 0 the above takes the special form n (2) pn (x0 + sh) = i=0 s ˆ (∆i f)0 .9968772388x(x − 0. +··· + n! The above is called the Newton forward-diﬀerence formula for the polynomial pn of degree at most n that interpolates f at xk . f[xk .Note 1: Lagrange Interpolation – August 15. i 1. tabulated from 0 to 0.8 with a step of 0.0499687578x(x − 0. j+1 i! t > 0. x1.6. . x1. The symbol = means that the numeric values shown are rounded approximations to the true coeﬃcient values.1) . 2011 and t i = j=0 33 i−1 t(t − 1) · · · (t − i + 1) t−j = . we obtain the approximation4 . . xk+3 ]. xk+n .

7500000000 0. .3893372202 −0. 0.8107097278 −0.2 Example.3000000000 0.9970849475 0.5645248493 −0.0998334166 0. xk fk 0.8890148553 −0. xk+1 ] 0.9109438361 0.6. Finite diﬀerences are not only useful in polynomial interpolation. 2011 34 for the polynomial of degree at most 3 that interpolates sin at the points 0. Note that in this case the degree is actually 3.1500000000 0.8892000899 0.8391048893 0. we can obtain pk (x) for other values of k.2473524211 −0. . with one major exception: One of the fk ’s has been perturbed by 1%.2954586451 −0.1. xk+3 ] Figure 1: A table of divided diﬀerences for the sine function.3428978075 0.1494381325 0.7143466175 0.7482655476 −0.8650535645 −0.9918876474 f[xk .9995833854 −0.0000000000 0.1986279448 −0.5500000000 0.05.7173560909 −0.8000000000 0.3500000000 0.5646424734 0.6050603357 −0.8108786468 0.7806256300 0.2474039593 0.5226872289 0. The table in Figure 1 is identical to the table in Figure 1. as long as 3 ≤ k ≤ 16.1000000000 0.8652338065 0.6442176872 0.6.4000000000 0.2000000000 0.9744895252 −0.1986693308 0.4794255386 0.1(1).4500000000 0. .9623249481 0.15.6051864057 0.6000000000 0. .9920943165 0.0499687578 −0. . Note also that by starting farther down in the table.9475520159 0.8389300903 −0.4793256666 −0.4348749238 −0.2500000000 0. .Note 1: Lagrange Interpolation – August 15.6500000000 0.0500000000 0.3894183423 0.3428263764 −0. They are very eﬀective in detecting errors that may have occureed in the transmission or recording of smooth data.5000000000 0.6440834864 −0.9304106971 0.4349655341 0.9746925692 0.9844188535 −0. 1.6814967638 −0. . 0.0499791693 0.0000000000 0. xk+2] f[xk .9621244805 −0.9846239664 0. .0998126198 −0. .2955202067 0.6816387600 0.7804630132 −0.9473546257 −0.9302168777 −0.1494070021 −0.9968772388 f[xk .7000000000 0.9107540719 −0. 0.5225783448 −0.7484214557 0.

2000000000 0.8391048893 0.0000000000 0.9746925692 0. .3894183423 0.3147299754 114 .6051864057 0.Note 1: Lagrange Interpolation – August 15. does usually present .1986279448 −0. .5645248493 −0.0998126198 −0.0499687578 −0.3500000000 0.9846239664 0.6814967638 −0. .4000000000 0.9304106971 0.7000000000 0.9920943165 0. numerical diﬀerentiation is seldom used unless the smoothness of the data is very high. .9623249481 0.9511441203 −0.5226872289 0.0998334166 0. where the entries that diﬀer from the table in Example 1 are shown in Italics.9844188535 −0. .1500000000 0.2955202067 0.2500000000 0. That is.9850851976 0.0000000000 0. xk 0. Note the wild behavior of the third diﬀerence in the above table. As a rule.8108786468 0.8107097278 1 .7484214557 0.6442176872 0. This is usually the opposite of what we can expect of approximate numerical integration. Numerical integration.1986693308 0.9302168777 −0.6816387600 0.7173560909 −0.1970757005 1 .8000000000 0. since integration is a “smoothing” operation.6050603357 −0. 2011 35 An important lesson to be learned from this example is that the computation of approximate derivatives is extremely sensitive to noise in the data.5500000000 0.9968772388 f[xk .6000000000 0.3893372202 37 .9918876474 f[xk .9744895252 −0. on the other hand.9473546257 −0.9970849475 0. .9475520159 0.6500000000 0.4828272306 −115 .4842197940 0 . . xk+3 ] Figure 1: The eﬀect of an error in a table of divided diﬀerences.2954586451 −0.7482655476 −0.7804630132 −0.2473524211 −0.4500000000 fk 0.9109438361 0.7693486988 0.9621244805 −0.6440834864 −0.3428978075 0. xk+1 ] 0.1494070021 −0.7500000000 0.5000000000 0 .5646424734 0.4432890164 −0. .3951238096 −39 . xk+2] f[xk .2474039593 0.7143466175 0.3000000000 0.1000000000 0.9995833854 −0.7806256300 0.0500000000 0.1929731787 −4 .4349655341 0 . approximate numerical diﬀerentiation can be expected to make small errors bigger.3428263764 −0.0499791693 0.1494381325 0.

Note 1: Lagrange Interpolation – August 15. Integration is a smoothing operation. 2011 36 such concerns. . while diﬀerentiation ampliﬁes the errors (noise) that may be present in the data.

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