nag_ode_bvp_ps_lin_cgl_deriv (d02udc) (PDF version)
d02 Chapter Contents
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NAG C Library Manual

NAG Library Function Document

nag_ode_bvp_ps_lin_cgl_deriv (d02udc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_ode_bvp_ps_lin_cgl_deriv (d02udc) differentiates a function discretized on Chebyshev Gauss–Lobatto points. The grid points on which the function values are to be provided are normally returned by a previous call to nag_ode_bvp_ps_lin_cgl_grid (d02ucc).

2  Specification

#include <nag.h>
#include <nagd02.h>
void  nag_ode_bvp_ps_lin_cgl_deriv (Integer n, const double f[], double fd[], NagError *fail)

3  Description

nag_ode_bvp_ps_lin_cgl_deriv (d02udc) differentiates a function discretized on Chebyshev Gauss–Lobatto points on -1,1. The polynomial interpolation on Chebyshev points is equivalent to trigonometric interpolation on equally spaced points. Hence the differentiation on the Chebyshev points can be implemented by the Fast Fourier transform (FFT).
Given the function values fxi on Chebyshev Gauss–Lobatto points xi = - cos i-1 π / n , for i=1,2,,n+1, f is differentiated with respect to x by means of forward and backward FFTs on the function values fxi. nag_ode_bvp_ps_lin_cgl_deriv (d02udc) returns the computed derivative values fxi, for i=1,2,,n+1. The derivatives are computed with respect to the standard Chebyshev Gauss–Lobatto points on -1,1; for derivatives of a function on a,b the returned values have to be scaled by a factor 2/b-a.

4  References

Canuto C, Hussaini M Y, Quarteroni A and Zang T A (2006) Spectral Methods: Fundamentals in Single Domains Springer
Greengard L (1991) Spectral integration and two-point boundary value problems SIAM J. Numer. Anal. 28(4) 1071–80
Trefethen L N (2000) Spectral Methods in MATLAB SIAM

5  Arguments

1:     nIntegerInput
On entry: n, where the number of grid points is n+1. The fast Fourier transform requires that the prime factorization of n contain no more than 30 prime factors.
Constraint: n>0 and n is even.
2:     f[n+1]const doubleInput
On entry: the function values fxi, for i=1,2,,n+1
3:     fd[n+1]doubleOutput
On exit: the approximations to the derivatives of the function evaluated at the Chebyshev Gauss–Lobatto points. For functions defined on a,b, the returned derivative values (corresponding to the domain -1,1) must be multiplied by the factor 2/b-a to obtain the correct values on a,b.
4:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_INT
On entry, n=value.
Constraint: n>0.
On entry, n=value.
Constraint: n is even.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.

7  Accuracy

The accuracy is close to machine precision for small numbers of grid points, typically less than 100. For larger numbers of grid points, the error in differentiation grows with the number of grid points. See Greengard (1991) for more details.

8  Further Comments

The number of operations is of the order nlogn and the memory requirements are On; thus the computation remains efficient and practical for very fine discretizations (very large values of n).

9  Example

The function 2x+exp-x, defined on 0,1.5, is supplied and then differentiated on a grid.

9.1  Program Text

Program Text (d02udce.c)

9.2  Program Data

Program Data (d02udce.d)

9.3  Program Results

Program Results (d02udce.r)


nag_ode_bvp_ps_lin_cgl_deriv (d02udc) (PDF version)
d02 Chapter Contents
d02 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012