Numerical Methods I Trigonometric Polynomials and the FFT Aleksandar Donev Courant Institute, NYU1
[email protected] 1MATH-GA 2011.003 / CSCI-GA 2945.003, Fall 2014 Nov 13th, 2014 A. Donev (Courant Institute) Lecture X 11/2014 1 / 41 Outline 1 Trigonometric Orthogonal Polynomials 2 Fast Fourier Transform 3 Applications of FFT 4 Wavelets 5 Conclusions A. Donev (Courant Institute) Lecture X 11/2014 2 / 41 Trigonometric Orthogonal Polynomials Periodic Functions Consider now interpolating / approximating periodic functions defined on the interval I = [0; 2π]: 8x f (x + 2π) = f (x); as appear in practice when analyzing signals (e.g., sound/image processing). Also consider only the space of complex-valued square-integrable 2 functions L2π, Z 2π 2 2 2 8f 2 Lw :(f ; f ) = kf k = jf (x)j dx < 1: 0 Polynomial functions are not periodic and thus basis sets based on orthogonal polynomials are not appropriate. Instead, consider sines and cosines as a basis function, combined together into complex exponential functions ikx φk (x) = e = cos(kx) + i sin(kx); k = 0; ±1; ±2;::: A. Donev (Courant Institute) Lecture X 11/2014 3 / 41 Trigonometric Orthogonal Polynomials Fourier Basis ikx φk (x) = e ; k = 0; ±1; ±2;::: It is easy to see that these are orhogonal with respect to the continuous dot product Z 2π Z 2π ? (φj ; φk ) = φj (x)φk (x)dx = exp [i(j − k)x] dx = 2πδij x=0 0 The complex exponentials can be shown to form a complete 2 trigonometric polynomial basis for the space L2π, i.e., 1 2 X ^ ikx 8f 2 L2π : f (x) = fk e ; k=−∞ where the Fourier coefficients can be computed for any frequency or wavenumber k using: Z 2π (f ; φk ) 1 −ikx f^k = = : f (x)e dx: 2π 2π 0 A.