New algorithms for convex interpolation

יום ב', 11/03/2019 - 14:30
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In various settings, from computer graphics to financial mathematics, it is necessary to smoothly interpolate a convex curve from a set of data points. Standard interpolation schemes do not respect convexity, and existing special purpose methods require arbitrary  choices and/or give interpolants that are very flat between data points. We consider a broad set of spline-type schemes and show that convexity preservation requires the basic spline to be infinitely differentiable but nonanalytic at its endpoints. Using such a scheme - which essentially corresponds to building-in the possibility of "very flatness" 

ab initio, rather than, say, enforcing it through extreme parameter choices  - gives far more satisfactory numerical results.

Joint work with Eli Passov.