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Numerical methods challenge: Day 10

During October (2017) I will write a program per day for some well-known numerical methods in both Python and Julia. It is intended to be an exercise then don't expect the code to be good enough for real use. Also, I should mention that I have almost no experience with Julia, so it probably won't be idiomatic Julia but more Python-like Julia.

Lagrange interpolation: Runge phenomenon

Today we have Lagrange interpolation, again. Technically, I am not posting about a different method, but just using the same algorithm for interpolation. The difference is that I will change the sampling, that is, I will use non-uniform sampling.

The problem with uniform interpolation is known as Runge phenomenon and is illustrated in the following image.

Runge phenomenon.

One way to mitigate the problem is to use non-uniform sampling, such as Chebyshev nodes or Lobatto nodes. The former set minimizes the Runge phenomenon, while the latter maximizes the Vandermonde determinant.

In the example below we use Lobatto sampling. Lobatto nodes are the zeros of

\begin{equation*} (1 - x^2) P'_N(x) \end{equation*}

where \(P_N\) refers to the Nth Legendre polynomial. The use of these nodes is useful in numerical integration and spectral methods. Finding the zeroes of these polynomials might be cumbersome in general. Nevertheless, we use an approach originally implemented in MATLAB by Greg von Winckel that use Chebyshev nodes as first guess and then update this guess using Newton-Raphson method.

Following are the codes.

Python

from __future__ import division
from numpy import (zeros_like, pi, cos, zeros, amax, abs,
                   array, linspace, prod)
import matplotlib.pyplot as plt


def lagrange(x_int, y_int, x_new):
    y_new = zeros_like(x_new)
    for xi, yi in zip(x_int, y_int):
        y_new += yi*prod([(x_new - xj)/(xi - xj)
                         for xj in x_int if xi!=xj], axis=0)
    return y_new


def gauss_lobatto(N, tol=1e-15):
    x = -cos(linspace(0, pi, N))
    P = zeros((N, N))  # Vandermonde Matrix
    x_old = 2
    while amax(abs(x - x_old)) > tol:
        x_old = x
        P[:, 0] = 1
        P[:, 1] = x
        for k in range(2, N):
            P[:, k] = ((2 * k - 1) * x * P[:, k - 1] -
                       (k - 1) * P[:, k - 2]) / k
        x = x_old - (x * P[:, N - 1] - P[:, N - 2]) / (N * P[:, N - 1])
        print(x)
    return array(x)


runge = lambda x: 1/(1 + 25*x**2)
x = linspace(-1, 1, 100)
x_int = linspace(-1, 1, 11)
x_int2 = gauss_lobatto(11)
x_new = linspace(-1, 1, 1000)
y_new = lagrange(x_int, runge(x_int), x_new)
y_new2 = lagrange(x_int2, runge(x_int2), x_new)
plt.plot(x, runge(x), "k")
plt.plot(x_new, y_new)
plt.plot(x_new, y_new2)
plt.legend(["Runge function",
            "Uniform interpolation",
            "Lobatto-sampling interpolation"])
plt.xlabel("x")
plt.ylabel("y")
plt.show()

Julia

using PyPlot


function lagrange(x_int, y_int, x_new)
    y_new = zeros(x_new)
    for (xi, yi) in zip(x_int, y_int)
        prod = ones(x_new)
        for xj in x_int
            if xi != xj
                prod = prod.* (x_new - xj)/(xi - xj)
            end
        end
        y_new += yi*prod
    end
    return y_new
end


function gauss_lobatto(N; tol=1e-15)
    x = -cos.(linspace(0, pi, N))
    P = zeros(N, N)  # Vandermonde Matrix
    x_old = 2
    while maximum(abs.(x - x_old)) > tol
        x_old = x
        P[:, 1] = 1
        P[:, 2] = x
        for k = 3:N
            P[:, k] = ((2 * k - 1) * x .* P[:, k - 1] -
                       (k - 1) * P[:, k - 2]) / k
        end
        x = x_old - (x .* P[:, N] - P[:, N - 1]) ./ (N* P[:, N])
    end
    return x
end


runge(x) =  1./(1 + 25*x.^2)
x = linspace(-1, 1, 100)
x_int = linspace(-1, 1, 11)
x_int2 = gauss_lobatto(11)
x_new = linspace(-1, 1, 1000)
y_new = lagrange(x_int, runge(x_int), x_new)
y_new2 = lagrange(x_int2, runge(x_int2), x_new)
plot(x, runge(x), "k")
plot(x_new, y_new)
plot(x_new, y_new2)
legend(["Runge function",
            "Uniform interpolation",
            "Lobatto-sampling interpolation"])
xlabel("x")
ylabel("y")

In both cases the result is plot shown above.

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