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<div class="section">
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<div class="titlepage"><div><div><h3 class="title">
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<a name="math_toolkit.sf_poly.chebyshev"></a><a class="link" href="chebyshev.html" title="Chebyshev Polynomials">Chebyshev Polynomials</a>
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</h3></div></div></div>
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<h5>
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<a name="math_toolkit.sf_poly.chebyshev.h0"></a>
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<span class="phrase"><a name="math_toolkit.sf_poly.chebyshev.synopsis"></a></span><a class="link" href="chebyshev.html#math_toolkit.sf_poly.chebyshev.synopsis">Synopsis</a>
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</h5>
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<pre class="programlisting"><span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">special_functions</span><span class="special">/</span><span class="identifier">chebyshev</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span>
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</pre>
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<pre class="programlisting"><span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">{</span> <span class="keyword">namespace</span> <span class="identifier">math</span><span class="special">{</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real1</span><span class="special">,</span> <span class="keyword">class</span> <span class="identifier">Real2</span><span class="special">,</span> <span class="keyword">class</span> <span class="identifier">Real3</span><span class="special">></span>
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<a class="link" href="../result_type.html" title="Calculation of the Type of the Result"><span class="emphasis"><em>calculated-result-type</em></span></a> <span class="identifier">chebyshev_next</span><span class="special">(</span><span class="identifier">Real1</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">x</span><span class="special">,</span> <span class="identifier">Real2</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">Tn</span><span class="special">,</span> <span class="identifier">Real3</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">Tn_1</span><span class="special">);</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real</span><span class="special">></span>
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<a class="link" href="../result_type.html" title="Calculation of the Type of the Result"><span class="emphasis"><em>calculated-result-type</em></span></a> <span class="identifier">chebyshev_t</span><span class="special">(</span><span class="keyword">unsigned</span> <span class="identifier">n</span><span class="special">,</span> <span class="identifier">Real</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">x</span><span class="special">);</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real</span><span class="special">,</span> <span class="keyword">class</span> <a class="link" href="../../policy.html" title="Chapter 20. Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">></span>
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<a class="link" href="../result_type.html" title="Calculation of the Type of the Result"><span class="emphasis"><em>calculated-result-type</em></span></a> <span class="identifier">chebyshev_t</span><span class="special">(</span><span class="keyword">unsigned</span> <span class="identifier">n</span><span class="special">,</span> <span class="identifier">Real</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">x</span><span class="special">,</span> <span class="keyword">const</span> <a class="link" href="../../policy.html" title="Chapter 20. Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">&);</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real</span><span class="special">></span>
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<a class="link" href="../result_type.html" title="Calculation of the Type of the Result"><span class="emphasis"><em>calculated-result-type</em></span></a> <span class="identifier">chebyshev_u</span><span class="special">(</span><span class="keyword">unsigned</span> <span class="identifier">n</span><span class="special">,</span> <span class="identifier">Real</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">x</span><span class="special">);</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real</span><span class="special">,</span> <span class="keyword">class</span> <a class="link" href="../../policy.html" title="Chapter 20. Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">></span>
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<a class="link" href="../result_type.html" title="Calculation of the Type of the Result"><span class="emphasis"><em>calculated-result-type</em></span></a> <span class="identifier">chebyshev_u</span><span class="special">(</span><span class="keyword">unsigned</span> <span class="identifier">n</span><span class="special">,</span> <span class="identifier">Real</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">x</span><span class="special">,</span> <span class="keyword">const</span> <a class="link" href="../../policy.html" title="Chapter 20. Policies: Controlling Precision, Error Handling etc">Policy</a><span class="special">&);</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real</span><span class="special">></span>
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<a class="link" href="../result_type.html" title="Calculation of the Type of the Result"><span class="emphasis"><em>calculated-result-type</em></span></a> <span class="identifier">chebyshev_t_prime</span><span class="special">(</span><span class="keyword">unsigned</span> <span class="identifier">n</span><span class="special">,</span> <span class="identifier">Real</span> <span class="keyword">const</span> <span class="special">&</span> <span class="identifier">x</span><span class="special">);</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real1</span><span class="special">,</span> <span class="keyword">class</span> <span class="identifier">Real2</span><span class="special">></span>
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<a class="link" href="../result_type.html" title="Calculation of the Type of the Result"><span class="emphasis"><em>calculated-result-type</em></span></a> <span class="identifier">chebyshev_clenshaw_recurrence</span><span class="special">(</span><span class="keyword">const</span> <span class="identifier">Real</span><span class="special">*</span> <span class="keyword">const</span> <span class="identifier">c</span><span class="special">,</span> <span class="identifier">size_t</span> <span class="identifier">length</span><span class="special">,</span> <span class="identifier">Real2</span> <span class="identifier">x</span><span class="special">);</span>
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<span class="special">}}</span> <span class="comment">// namespaces</span>
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</pre>
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<p>
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<span class="emphasis"><em>"Real analysts cannot do without Fourier, complex analysts
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cannot do without Laurent, and numerical analysts cannot do without Chebyshev"</em></span>
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--Lloyd N. Trefethen
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</p>
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<p>
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The Chebyshev polynomials of the first kind are defined by the recurrence
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<span class="emphasis"><em>T</em></span><sub>n+1</sub>(<span class="emphasis"><em>x</em></span>) := <span class="emphasis"><em>2xT</em></span><sub>n</sub>(<span class="emphasis"><em>x</em></span>)
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- <span class="emphasis"><em>T</em></span><sub>n-1</sub>(<span class="emphasis"><em>x</em></span>), <span class="emphasis"><em>n > 0</em></span>,
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where <span class="emphasis"><em>T</em></span><sub>0</sub>(<span class="emphasis"><em>x</em></span>) := 1 and <span class="emphasis"><em>T</em></span><sub>1</sub>(<span class="emphasis"><em>x</em></span>)
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:= <span class="emphasis"><em>x</em></span>. These can be calculated in Boost using the following
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simple code
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</p>
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<pre class="programlisting"><span class="keyword">double</span> <span class="identifier">x</span> <span class="special">=</span> <span class="number">0.5</span><span class="special">;</span>
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<span class="keyword">double</span> <span class="identifier">T12</span> <span class="special">=</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">chebyshev_t</span><span class="special">(</span><span class="number">12</span><span class="special">,</span> <span class="identifier">x</span><span class="special">);</span>
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</pre>
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<p>
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Calculation of derivatives is also straightforward:
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</p>
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<pre class="programlisting"><span class="keyword">double</span> <span class="identifier">T12_prime</span> <span class="special">=</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">chebyshev_t_prime</span><span class="special">(</span><span class="number">12</span><span class="special">,</span> <span class="identifier">x</span><span class="special">);</span>
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</pre>
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<p>
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The complexity of evaluation of the <span class="emphasis"><em>n</em></span>-th Chebyshev polynomial
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by these functions is linear. So they are unsuitable for use in calculation
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of (say) a Chebyshev series, as a sum of linear scaling functions scales
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quadratically. Though there are very sophisticated algorithms for the evaluation
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of Chebyshev series, a linear time algorithm is presented below:
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</p>
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<pre class="programlisting"><span class="keyword">double</span> <span class="identifier">x</span> <span class="special">=</span> <span class="number">0.5</span><span class="special">;</span>
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<span class="identifier">std</span><span class="special">::</span><span class="identifier">vector</span><span class="special"><</span><span class="keyword">double</span><span class="special">></span> <span class="identifier">c</span><span class="special">{</span><span class="number">14.2</span><span class="special">,</span> <span class="special">-</span><span class="number">13.7</span><span class="special">,</span> <span class="number">82.3</span><span class="special">,</span> <span class="number">96</span><span class="special">};</span>
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<span class="keyword">double</span> <span class="identifier">T0</span> <span class="special">=</span> <span class="number">1</span><span class="special">;</span>
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<span class="keyword">double</span> <span class="identifier">T1</span> <span class="special">=</span> <span class="identifier">x</span><span class="special">;</span>
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<span class="keyword">double</span> <span class="identifier">f</span> <span class="special">=</span> <span class="identifier">c</span><span class="special">[</span><span class="number">0</span><span class="special">]*</span><span class="identifier">T0</span><span class="special">/</span><span class="number">2</span><span class="special">;</span>
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<span class="keyword">unsigned</span> <span class="identifier">l</span> <span class="special">=</span> <span class="number">1</span><span class="special">;</span>
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<span class="keyword">while</span><span class="special">(</span><span class="identifier">l</span> <span class="special"><</span> <span class="identifier">c</span><span class="special">.</span><span class="identifier">size</span><span class="special">())</span>
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<span class="special">{</span>
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<span class="identifier">f</span> <span class="special">+=</span> <span class="identifier">c</span><span class="special">[</span><span class="identifier">l</span><span class="special">]*</span><span class="identifier">T1</span><span class="special">;</span>
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<span class="identifier">std</span><span class="special">::</span><span class="identifier">swap</span><span class="special">(</span><span class="identifier">T0</span><span class="special">,</span> <span class="identifier">T1</span><span class="special">);</span>
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<span class="identifier">T1</span> <span class="special">=</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">chebyshev_next</span><span class="special">(</span><span class="identifier">x</span><span class="special">,</span> <span class="identifier">T0</span><span class="special">,</span> <span class="identifier">T1</span><span class="special">);</span>
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<span class="special">++</span><span class="identifier">l</span><span class="special">;</span>
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<span class="special">}</span>
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</pre>
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<p>
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This uses the <code class="computeroutput"><span class="identifier">chebyshev_next</span></code>
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function to evaluate each term of the Chebyshev series in constant time.
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However, this naive algorithm has a catastrophic loss of precision as <span class="emphasis"><em>x</em></span>
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approaches 1. A method to mitigate this way given by <a href="http://www.ams.org/journals/mcom/1955-09-051/S0025-5718-1955-0071856-0/S0025-5718-1955-0071856-0.pdf" target="_top">Clenshaw</a>,
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and is implemented in boost as
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</p>
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<pre class="programlisting"><span class="keyword">double</span> <span class="identifier">x</span> <span class="special">=</span> <span class="number">0.5</span><span class="special">;</span>
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<span class="identifier">std</span><span class="special">::</span><span class="identifier">vector</span><span class="special"><</span><span class="keyword">double</span><span class="special">></span> <span class="identifier">c</span><span class="special">{</span><span class="number">14.2</span><span class="special">,</span> <span class="special">-</span><span class="number">13.7</span><span class="special">,</span> <span class="number">82.3</span><span class="special">,</span> <span class="number">96</span><span class="special">};</span>
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<span class="keyword">double</span> <span class="identifier">f</span> <span class="special">=</span> <span class="identifier">chebyshev_clenshaw_recurrence</span><span class="special">(</span><span class="identifier">c</span><span class="special">.</span><span class="identifier">data</span><span class="special">(),</span> <span class="identifier">c</span><span class="special">.</span><span class="identifier">size</span><span class="special">(),</span> <span class="identifier">Real</span> <span class="identifier">x</span><span class="special">);</span>
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</pre>
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<p>
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N.B.: There is factor of <span class="emphasis"><em>2</em></span> difference in our definition
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of the first coefficient in the Chebyshev series from Clenshaw's original
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work. This is because two traditions exist in notation for the Chebyshev
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series expansion,
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</p>
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<div class="blockquote"><blockquote class="blockquote"><p>
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<span class="emphasis"><em>f</em></span>(<span class="emphasis"><em>x</em></span>) ≈ ∑<sub>n=0</sub><sup>N-1</sup> <span class="emphasis"><em>a</em></span><sub>n</sub><span class="emphasis"><em>T</em></span><sub>n</sub>(<span class="emphasis"><em>x</em></span>)
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</p></blockquote></div>
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<p>
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and
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</p>
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<div class="blockquote"><blockquote class="blockquote"><p>
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<span class="emphasis"><em>f</em></span>(<span class="emphasis"><em>x</em></span>) ≈ <span class="emphasis"><em>c</em></span><sub>0</sub>/2
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+ ∑<sub>n=1</sub><sup>N-1</sup> <span class="emphasis"><em>c</em></span><sub>n</sub><span class="emphasis"><em>T</em></span><sub>n</sub>(<span class="emphasis"><em>x</em></span>)
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</p></blockquote></div>
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<p>
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<span class="emphasis"><em><span class="bold"><strong>boost math always uses the second convention,
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with the factor of 1/2 on the first coefficient.</strong></span></em></span>
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</p>
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<p>
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Chebyshev polynomials of the second kind can be evaluated via <code class="computeroutput"><span class="identifier">chebyshev_u</span></code>:
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</p>
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<pre class="programlisting"><span class="keyword">double</span> <span class="identifier">x</span> <span class="special">=</span> <span class="special">-</span><span class="number">0.23</span><span class="special">;</span>
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<span class="keyword">double</span> <span class="identifier">U1</span> <span class="special">=</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">chebyshev_u</span><span class="special">(</span><span class="number">1</span><span class="special">,</span> <span class="identifier">x</span><span class="special">);</span>
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</pre>
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<p>
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The evaluation of Chebyshev polynomials by a three-term recurrence is known
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to be <a href="https://link.springer.com/article/10.1007/s11075-014-9925-x" target="_top">mixed
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forward-backward stable</a> for <span class="emphasis"><em>x</em></span> ∊ [-1,
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1]. However, the author does not know of a similar result for <span class="emphasis"><em>x</em></span>
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outside [-1, 1]. For this reason, evaluation of Chebyshev polynomials outside
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of [-1, 1] is strongly discouraged. That said, small rounding errors in the
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course of a computation will often lead to this situation, and termination
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of the computation due to these small problems is very discouraging. For
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this reason, <code class="computeroutput"><span class="identifier">chebyshev_t</span></code>
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and <code class="computeroutput"><span class="identifier">chebyshev_u</span></code> have code
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paths for <span class="emphasis"><em>x > 1</em></span> and <span class="emphasis"><em>x < -1</em></span>
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which do not use three-term recurrences. These code paths are <span class="emphasis"><em>much
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slower</em></span>, and should be avoided if at all possible.
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</p>
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<p>
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Evaluation of a Chebyshev series is relatively simple. The real challenge
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is <span class="emphasis"><em>generation</em></span> of the Chebyshev series. For this purpose,
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boost provides a <span class="emphasis"><em>Chebyshev transform</em></span>, a projection operator
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which projects a function onto a finite-dimensional span of Chebyshev polynomials.
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But before we discuss the API, let's analyze why we might want to project
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a function onto a span of Chebyshev polynomials.
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</p>
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<div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; ">
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<li class="listitem">
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We want a numerically stable way to evaluate the function's derivative.
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</li>
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<li class="listitem">
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Our function is expensive to evaluate, and we wish to find a less expensive
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way to estimate its value. An example are the standard library transcendental
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functions: These functions are guaranteed to evaluate to within 1 ulp
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of the exact value, but often this accuracy is not needed. A projection
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onto the Chebyshev polynomials with a low accuracy requirement can vastly
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accelerate the computation of these functions.
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</li>
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<li class="listitem">
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We wish to numerically integrate the function.
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</li>
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</ul></div>
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<p>
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The API is given below.
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</p>
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<pre class="programlisting"><span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">special_functions</span><span class="special">/</span><span class="identifier">chebyshev_transform</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span>
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</pre>
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<pre class="programlisting"><span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">{</span> <span class="keyword">namespace</span> <span class="identifier">math</span><span class="special">{</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">Real</span><span class="special">></span>
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<span class="keyword">class</span> <span class="identifier">chebyshev_transform</span>
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<span class="special">{</span>
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<span class="keyword">public</span><span class="special">:</span>
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<span class="keyword">template</span><span class="special"><</span><span class="keyword">class</span> <span class="identifier">F</span><span class="special">></span>
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<span class="identifier">chebyshev_transform</span><span class="special">(</span><span class="keyword">const</span> <span class="identifier">F</span><span class="special">&</span> <span class="identifier">f</span><span class="special">,</span> <span class="identifier">Real</span> <span class="identifier">a</span><span class="special">,</span> <span class="identifier">Real</span> <span class="identifier">b</span><span class="special">,</span> <span class="identifier">Real</span> <span class="identifier">tol</span><span class="special">=</span><span class="number">500</span><span class="special">*</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">numeric_limits</span><span class="special"><</span><span class="identifier">Real</span><span class="special">>::</span><span class="identifier">epsilon</span><span class="special">());</span>
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<span class="identifier">Real</span> <span class="keyword">operator</span><span class="special">()(</span><span class="identifier">Real</span> <span class="identifier">x</span><span class="special">)</span> <span class="keyword">const</span>
|
|
|
|
<span class="identifier">Real</span> <span class="identifier">integrate</span><span class="special">()</span> <span class="keyword">const</span>
|
|
|
|
<span class="keyword">const</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">vector</span><span class="special"><</span><span class="identifier">Real</span><span class="special">>&</span> <span class="identifier">coefficients</span><span class="special">()</span> <span class="keyword">const</span>
|
|
|
|
<span class="identifier">Real</span> <span class="identifier">prime</span><span class="special">(</span><span class="identifier">Real</span> <span class="identifier">x</span><span class="special">)</span> <span class="keyword">const</span>
|
|
<span class="special">};</span>
|
|
|
|
<span class="special">}}//</span> <span class="identifier">end</span> <span class="identifier">namespaces</span>
|
|
</pre>
|
|
<p>
|
|
The Chebyshev transform takes a function <span class="emphasis"><em>f</em></span> and returns
|
|
a <span class="emphasis"><em>near-minimax</em></span> approximation to <span class="emphasis"><em>f</em></span>
|
|
in terms of Chebyshev polynomials. By <span class="emphasis"><em>near-minimax</em></span>,
|
|
we mean that the resulting Chebyshev polynomial is "very close"
|
|
the polynomial <span class="emphasis"><em>p</em></span><sub>n</sub> which minimizes the uniform norm of
|
|
<span class="emphasis"><em>f</em></span> - <span class="emphasis"><em>p</em></span><sub>n</sub>. The notion of "very
|
|
close" can be made rigorous; see Trefethen's "Approximation Theory
|
|
and Approximation Practice" for details.
|
|
</p>
|
|
<p>
|
|
The Chebyshev transform works by creating a vector of values by evaluating
|
|
the input function at the Chebyshev points, and then performing a discrete
|
|
cosine transform on the resulting vector. In order to do this efficiently,
|
|
we have used <a href="http://www.fftw.org/" target="_top">FFTW3</a>. So to compile,
|
|
you must have <code class="computeroutput"><span class="identifier">FFTW3</span></code> installed,
|
|
and link with <code class="computeroutput"><span class="special">-</span><span class="identifier">lfftw3</span></code>
|
|
for double precision, <code class="computeroutput"><span class="special">-</span><span class="identifier">lfftw3f</span></code>
|
|
for float precision, <code class="computeroutput"><span class="special">-</span><span class="identifier">lfftw3l</span></code>
|
|
for long double precision, and -lfftwq for quad (<code class="computeroutput"><span class="identifier">__float128</span></code>)
|
|
precision. After the coefficients of the Chebyshev series are known, the
|
|
routine goes back through them and filters out all the coefficients whose
|
|
absolute ratio to the largest coefficient are less than the tolerance requested
|
|
in the constructor.
|
|
</p>
|
|
</div>
|
|
<table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
|
|
<td align="left"></td>
|
|
<td align="right"><div class="copyright-footer">Copyright © 2006-2019 Nikhar
|
|
Agrawal, Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos,
|
|
Hubert Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Matthew Pulver, Johan
|
|
Råde, Gautam Sewani, Benjamin Sobotta, Nicholas Thompson, Thijs van den Berg,
|
|
Daryle Walker and Xiaogang Zhang<p>
|
|
Distributed under the Boost Software License, Version 1.0. (See accompanying
|
|
file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
|
|
</p>
|
|
</div></td>
|
|
</tr></table>
|
|
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