Yesterday I wrote about rates of convergence for natural cubic splines. This brief post reports similar results for more boundary conditions.

As explained in the earlier post, a cubic spline that interpolates a function f at n+1 points satisfies 4n -2 equations in 4n variables. Two more equations are necessary to uniquely determine the interpolating cubic spline.

A natural cubic spline S over [a, b] satisfies

S”(a) = 0
S”(b) = 0.

There are other ways of coming up with two more equations. You might match first derivatives at the end points

S‘(a) = f‘(a)
S‘(b) = f‘(b)

or second derivatives

S”(a) = f”(a)
S”(b) = f”(b).

Or if f is periodic you could require first and second derivatives of the spline to match at a and b.

S‘(a) = S‘(b)
S”(a) = S”(b).

In each case, you get the same order of convergence as we reported earlier for the natural cubic spline, assuming f is 4 times continuously differentiable over [a, b]. The error goes down like O(1/n⁴).

Source: D. Kershaw. A Note on the Convergence of Interpolatory Cubic Splines. SIAM Journal on Numerical Analysis, Mar., 1971, Vol. 8, No. 1 pp. 67-74.

Example

When we use natural cubic splines to fit exp(x) over [0, 2π] in the earlier post, the error was fairly large. We get better results when we specify the derivatives at the two ends of the interval. Here’s what we get for 11 points:

The error is about 7 times smaller than with natural cubic splines.

And here’s what we get for 21 points:

In this case the error is about 8x smaller than with natural cubic splines.

When we go from 11 to 21 points, specifying the derivatives on each end, the error drops by about a factor of 15, close value of 16 we’d expect in the limit.

Incidentally, to specify the boundary conditions of the spline in Python we need to add an option parameter bc_type in the call to CubicSpline. Otherwise the code is the same as before. In our example

    bc_type=((1, 1), (1, np.exp(2*np.pi)))

We set bc_type equal to a pair of pairs. The first pair gives a boundary condition on the left end and the second gives a boundary condition on the right. The first argument of the inner pair in both cases is 1, because we’re specifying 1st derivatives. Use a 2 to specify 2nd derivatives. The second argument to the pair the value of the derivative: exp(0) = 1 on the left, and exp(2π) on the right.

Suppose you want to approximate a function with a polynomial by interpolating it at evenly spaced points. You might reasonably expect that the more points you use, the better the approximation will be. That might be true, but it might not. As explained here, for some functions the maximum approximation error actually increases as the number of points increases. This is called the Runge phenomenon.

What about cubic splines? Instead of fitting one high-degree polynomial, you fit a different cubic polynomial on each sub-interval, with the constraint that the pieces fit together smoothly. Specifically, the spline must be twice differentiable. This means that the first and second derivatives from both sides match at the end of each interval.

Say our function f is defined over an interval [a, b] and we break the interval into n sub-intervals. This means we interpolate f at n+1 evenly spaced points. We have 4n degrees of freedom: four polynomial coefficients over each interval. Interpolation adds 2n constraints: the value of the polynomial is specified at the ends of each sub-interval. Matching first and second derivatives at each of the n-1 interior nodes gives 2(n-1) constrains. This is a total of 4n – 2 equations for 4n unknowns.

We get the two more equations we need by specifying something about the derivatives at a and b. A natural cubic spline sets the second derivatives equal to zero at a and b.

So if we interpolate f at n+1 evenly spaced points using a natural cubic spline, does the splines converge uniformly to f as we increase n? Indeed they do. Nothing like Runge phenomenon can happen. If f is four times continuously differentiable over [a, b], then convergence is uniform on every compact subinterval of (a, b) and the rate of convergence is O(1/n⁴). If the second derivative of f is zero at a and b, then the rate of convergence is O(1/n⁴) over the whole interval [a, b].

Source: Kendall E. Atkinson. On the Order of Convergence of Natural Cubic Spline Interpolation. SIAM Journal on Numerical Analysis, Vol. 5, No. 1 (Mar., 1968), pp. 89-101.

Update: See this post for results for other kinds of cubic splines, i.e. cubic splines with different boundary conditions.

Experiment

We will look at sin(x) and exp(x) on the interval [0, 2π]. Note that the second derivatives of former at zero at both ends of the interval, but this is not true for the latter.

We will look at the error when interpolating our functions at 11 points and 21 points (i.e. 10 sub-intervals and 20 sub-intervals) with natural cubic splines. For the sine function we expect the error to go down by about a factor of 16 everywhere. For the exponential function, we expect the error to go down by about a factor of 16 in the interior of [0, 2π]. We’ll see what happens when we zoom in on the interval [2, 4].

We’re basing our expectations on a theorem about what happens as the number of nodes n goes to infinity, and yet we’re using fairly small values of n. So we shouldn’t expect too close of an agreement with theory, but we’ll see how close our prediction gets.

Computation

The following Python code will plot the error in the interpolation by natural cubic splines.

    import numpy as np
    from scipy.interpolate import CubicSpline
    import matplotlib.pyplot as plt

    for n in [11, 21]:
        for f in [np.sin, np.exp]:
            knots = np.linspace(0, 2*np.pi, n)
            cs = CubicSpline(knots, f(knots))
            x = np.linspace(0, 2*np.pi, 200)
        
            plt.plot(x, f(x) - cs(x))
            plt.xlabel("$x$")
            plt.ylabel("Error")
            plt.title(f"Interpolating {f.__name__} at {n} points")
            plt.savefig(f"{f.__name__}_spline_error_{n}.png")
            plt.close()

Notice an interesting feature of NumPy: we call the __name__ method on sin and exp to get their names as strings to use in the plot title and in the graphic file.

Here’s what we get for the sine function.

First for 10 intervals:

Then for 20 intervals:

When we doubled the number of intervals, the maximum error went down by about 30x, better than the theoretical upper bound on error.

Here’s what we get for the exponential function.

First for 10 intervals:

Then for 20 intervals:

The error in approximating the exponential function by splines is much greater than the error in approximating the sine function. That’s because the former acts less like a polynomial than the latter. Polynomial approximation, and piecewise polynomial approximation, works better on things that behave like polynomials.

When we doubled the number of intervals, the maximum error went down by a factor of 12. We shouldn’t be surprised that the error to go down by a factor of less than 16 since the hypotheses for the theorem that gives a factor of 16 aren’t satisfied.

Here’s what we get when we zoom in on the interval [2, 4].

For 10 subintervals:

And for 20 subintervals:

The error is much smaller over the interior interval. And when we double the number of interpolation points, the error over [2, 4] goes down by about a factor of 3 just as it did for sine.

Note that in these last two plots, we’re still interpolating over the entire interval [0, 2π], but we’re looking at the error over [2, 4]. We’re zooming in on part of the error plot, not allocating our interpolation points specifically to the smaller interval.

Related posts

• Chebyshev interpolation
• Monotonic interpolation

Accuracy isn’t everything. Sometimes when you’re approximating a function you care more about matching a function’s qualitative behavior than matching its numerical values.

One example is interpolating monotonic data. Say your data show that increasing input always increases output. It’s likely you want a function that interpolates your data to have the same property and that you might sacrifice some accuracy to assure monotonicity. In a visual application, you might get a distracting wiggle in what should be a smoothly bending curve. In software used to control a physical device, it could lead to unexpected behavior, or even disaster, if an increase in input led to a decrease in output, even if it was a small decrease.

Linear interpolation preserves monotonicity: if in your data increasing x leads to increasing y, the same is true of a linear interpolation to the data. But for higher-order interpolation this isn’t the case. A simple example would be the three points (-1, 1), (2, 4), and (3, 9). The unique quadratic polynomial interpolating these three points is x², which is not monotonic in any interval containing 0. We’d like to have a smoother and more accurate [1] way to interpolate data while still preserving monotonicity.

It’s unlikely that a polynomial interpolating monotone data will be monotone. I suspect that given a set of monotonic data, it’s more likely that a polynomial spline interpolant will be monotone than a polynomial interpolant because the former is more flexible. Formulating this suspicion into a conjecture that could be settled theoretically, or even tested empirically, would be a non-trivial but interesting exercise.

A cubic spline interpolating monotone data is not necessarily monotone. However, there is a way to determine derivative conditions so that a Hermite spline fitting the data will be monotone. Fritsch and Carleson published an algorithm for this in 1980.

Related posts

• Natural cubic splines
• Chebyshev interpolation
• Linear interpolation calculator

[1] If the function sampled by your data is smooth, then in general a smooth approximation to the function will be more accurate than a piecewise linear approximation.

Tridiagonal matrices

A tridiagonal matrix is a matrix that has nonzero entries only on the main diagonal and on the adjacent off-diagonals. This special structure comes up frequently in applications. For example, the finite difference numerical solution to the heat equation leads to a tridiagonal system. Another application, the one we’ll look at in detail here, is natural cubic splines. And we’ll mention an interesting result with Fibonacci numbers in passing.

Because these matrices have a special structure, the corresponding linear systems are quick and easy to solve. Also, we can find a simple recurrence relation for their determinants.

Determinants

Let’s label the component of a tridiagonal matrix as below

where every component not shown is implicitly zero. We can expand the determinant of the matrix above using minors along the last row. This gives a recursive expression for the determinant

with initial conditions d₀ = 1 and d_-1 = 0.

Note that if all the a‘s and b‘s are 1 and all the c‘s are -1, then you get the recurrence relation that defines the Fibonacci numbers. That is, the Fibonacci numbers are given by the determinant

Natural cubic splines

A cubic spline interpolates a set of data points with piecewise cubic polynomials. There’s a (potentially) different cubic polynomial over each interval between input values, all fitted together so that the resulting function, its derivative, and its second derivative are all continuous.

Suppose you have input points, called knots in this context, t₀, t₁, … t_n and output values y₀, y₁, … y_n. For the spline to interpolate the data, its value at t_i must be y_i.

A cubic spline then is a set of n cubic polynomials, one for each interval [t_i, t_i+1]. A cubic polynomial has four coefficients, so we have 4n coefficients in total. At each interior knot, t₁ through t_n-1, we have four constraints. Both polynomials that meet at t_i must take on the value y_i at that point, and the two polynomials must have the same first and second derivative at that point. That gives us 4(n-1) equations. The value of the first polynomial is specified on the left end at t₀ the value of the last polynomial is specified at the right end at t_n. This gives us 4n – 2 equations in total.

We need two more equations. A clamped cubic spline specifies the derivatives at each end point. The natural cubic spline specifies instead that the second derivatives at each end are zero. What is natural about a natural cubic spline? In a certain sense it is the smoothest curve interpolating the specified points. With these boundary conditions we now have as many constraints as degrees of freedom.

So how would we go about finding the coefficients of each polynomial? Our task will be much easier if we parameterize the polynomials cleverly to start with. Instead of powers of x, we want powers of (x – t_i) and (t_i+1 – x) because these expressions are 0 on different ends of the interval [t_i, t_i+1]. It turns out we parameterize the spline over the ith interval as

where h_i = t_i+1 – t_i, the length of the ith interval.

This may seem unmotivated, and no doubt it is cleaner than the first thing someone probably tried, but it’s the kind of thing you’re lead to when you try to make the derivation work out smoothly.

The basic form is  powers of (x – t_i) and (t_i+1 – x), each to the first and third powers, for reasons given above. Why the 6’s in the denominators? They’re not strictly necessary, but they cancel out when we take second derivatives. Let’s look at the second derivative.

Note how when we stick in t_i the first term is zero and the second is z_i, and when we stick in t_i+1 the first term is z_i+1 and the second is zero.

We can now write down the system of equations for the z‘s. We have z₀ = z_n from the natural cubic spline condition, and for 1 ≤ i ≤ n-1 we have

where

Note that this is a tridiagonal system because the ith equation only involves z‘s with subscripts i-1, i, and i+1.

Because of its tridiagonal structure, these equations can be solved simply and efficiently, much more efficiently than a general system of equations.

Related math posts

• Applied linear algebra
• Chebyshev interpolation
• Help with interpolation

Fitting a polynomial to a function at more points might not produce a better approximation. This is Faber’s theorem, something I wrote about the other day.

If the function you’re interpolating is smooth, then interpolating at more points may or may not improve the fit of the interpolation, depending on where you put the points. The famous example of Runge shows that interpolating

f(x) = 1 / (1 + x²)

at more points can make the fit worse. When interpolating at 16 evenly spaced points, the behavior is wild at the ends of the interval.

Here’s the Python code that produced the plot.

    import matplotlib.pyplot as plt
    from scipy import interpolate, linspace

    def cauchy(x):
        return (1 + x**2)**-1

    n = 16
    x = linspace(-5, 5, n) # points to interpolate at

    y = cauchy(x)
    f = interpolate.BarycentricInterpolator(x, y)

    xnew = linspace(-5, 5, 200) # points to plot at
    ynew = f(xnew)
    plt.plot(x, y, 'o', xnew, ynew, '-')
    plt.show()

However, for smooth functions interpolating at more points does improve the fit if you interpolate at the roots of Chebyshev polynomials. As you interpolate at the roots of higher and higher degree Chebyshev polynomials, the interpolants converge to the function being interpolated. The plot below shows how interpolating at the roots of T₁₆, the 16th Chebyshev polynomial, eliminates the bad behavior at the ends.

To make this plot, we replaced x above with the roots of T₁₆, rescaled from the interval [-1, 1] to the interval [-5, 5] to match the example above.

    x = [cos(pi*(2*k-1)/(2*n)) for k in range(1, n+1)]
    x = 5*array(x)

What if the function we’re interpolating isn’t smooth? If the function has a step discontinuity, we can see Gibbs phenomena, similar to what we saw in the previous post. Here’s the result of interpolating the indicator function of the interval [-1, 1] at 100 Chebyshev points. We get the same “bat ears” as before.

Related: Help with interpolation

I’ve added an quadratic interpolator to my website similar to  the linear interpolator I wrote earlier. I find this useful when I’m doing a brute force search for some parameter and I’m unwilling or unable to do anything fancier.