Introduction to Minimax
By V. F. Dem’yanov and V. N. Malozemov
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Geared toward advanced undergraduate and graduate students of mathematical programming, the text explores best approximation by algebraic polynomials in both discrete and continuous cases; the discrete problem, with and without constraints; the generalized problem of nonlinear programming; and the continuous minimax problem. Several appendixes discuss algebraic interpolation, convex sets and functions, and other topics. 1974 edition.
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Introduction to Minimax - V. F. Dem’yanov
Authors.
Chapter I
BEST APPROXIMATION BY ALGEBRAIC POLYNOMIALS – DISCRETE CASE
§1. STATEMENT OF THE PROBLEM
Suppose we are given a table of values for some function:
We shall assume throughout this chapter that the values of the independent variable (abscissas) are arranged in increasing order:
The goodness of fit of an algebraic polynomial Pn (A, t) of degree at most n ),
to this table is most naturally characterized by the maximum deviation:
For fixed n, set
A polynomial Pn(A*, t) for which the maximum deviation
is minimal is known as a polynomial of best approximation to the original table [and the corresponding deviation (the number ρ) will be called the best fit].
Our subject in this chapter is the actual construction of polynomials of best approximation. Success in this project depends essentially on the relation between n and N.
Thus, if n = N (the degree of the required polynomial equals the number of abscissas in the table), the solution to our problem is clearly given by an interpolating polynomial (see Appendix I, §2). In this case, ρ = 0.
The first nontrivial (and, as we shall see, fundamental) case is N = n + 1, which leads to what is known as Chebyshev interpolation. Chebyshev interpolation ultimately provides a polynomial of best approximation in the general case N > n + 1.
§2. CHEBYSHEV INTERPOLATION
1. Retaining the previous notation and setting N = n + 1, we state and prove the following theorem.
Theorem 2.1. Let
There exists a polynomial of best approximation, and it is unique. A polynomial Pn(A*, t) is the polynomial of best approximation if and only if, for some h,
In that case, ρ = |h.
The proof will be divided into steps as follows: sufficiency, existence, necessity, uniqueness.
Sufficiency. Let Pn(A*, t) be a polynomial satisfying (2.1) for some h. We must show that Pn(A*, t) is a polynomial of best approximation.
Suppose, on the contrary, that
Then, by the definition of ρ, there is a polynomial Pn(A1, t) such that
Consider the polynomial Qn(t) = Pn(A1, t) – Pn(A*, t); its values at the abscissas tk, k ∈ [0 : n + 1], are
By (2.2), Qn(tk) has the same sign as (– 1)k h.
Since the abscissas tk, k ∈ [0 : n + 1], are arranged in increasing order, we see that Qn(t) has n + 1 consecutive sign changes and therefore n + 1 zeros. But a nontrivial polynomial of degree n cannot have n + 1 zeros, and so Qn(t) ≡ 0, i. e., Pn(A1, t) ≡ Pn(A*, t), contradicting (2.2). This proves sufficiency, and also that ρ = |h|.
Existence. The existence problem for a polynomial of best approximation is now reduced to solvability of system (2.1), which is a system of (n + 2) linear equations in (n + 2) unknowns h, ..., an:
The determinant Δ of this system is
Set
Expanding the determinant Δ in terms of its first column, we get
Since the tk are arranged in increasing order, all the terms in this sum are positive. Thus Δ > 0.
It follows that system (2.1') is always solvable and the solution is unique. Hence the existence of a polynomial of best approximation.
Necessity. We first develop an explicit expression for h. For all k ∈ [0 : n + 1], set
where
The numbers ak possess the following properties:
;
;
c) for any polynomial Pn(A, t)of degree at most n,
(Concerning these properties, see Appendix I, §1.)
Using (2.1), we get the equality
Hence it follows that
We can now take up the necessity proof. Let Pn(A*, t) be some polynomial of best approximation.
We have to prove that it satisfies (2.1), with h defined by (2.3). Since ρ = |h|, we have
We claim that in fact
We distinguish between the cases h = 0, h > 0, h < 0. If h = 0, the validity of (2.5) is evident from (2.4). Let h < 0 (the treatment of the case h > 0 is analogous), and suppose that at least one of the equalities (2.5) fails to hold. Then, first, by (2.4),
and, second, for some k0,
Using (2.3) and properties (a) – (c) of the numbers ak, we obtain
which is absurd. This proves necessity.
Uniqueness. That the polynomial of best approximation is unique now follows from the unique solvability of system (2.1) – (2.1'). The proof is complete.
2. Definition. The construction of a polynomial satisfying (2.1) is known as Chebyshev interpolation; the polynomial itself is called a Chebyshev interpolating polynomial.
Thus, the content of the preceding subsection may be summed up thus: we have shown that when N = n + 1 construction of a polynomial of best approximation reduces to Chebyshev interpolation. Moreover, the value of h is found in advance by (2.3).
We shall need another expression for h. Let χ be a function defined at the abscissas tk by
Recalling the formula for divided differences (Appendix I, §1) and the definition of ak, we rewrite (2.3) as
This is the required expression.
Proceeding now to construction of the polynomial of best approximation, we first introduce an interpolating polynomial Ln + 1(t) of degree at most n + 1, uniquely determined by
Using Newton's formula, we express Ln + 1(t) as
and consider the last coefficient
By (2.6), w[t0, t1, ..., tn + 1] = 0, so that Ln + 1(t) is indeed a polynomial of degree at most n, satisfying (2.1)–(2.l"). Thus Ln + 1(t) ≡ Pn(A*, t), and we finally obtain the following formula:
Practical use of this formula involves the following steps:
I. Construct a table of divided differences for the functions y and χ
II. Compute h from (2.6).
III. Compute y0 – h and
and substitute these values into formula (2.7) to obtain Pn(A*, t).
IV. Check for the validity of the equalities
Example. Consider the function y(t) = |t|, and the following two systems of abscissas in [–1, 1]:
1)
;
2)
.
We shall construct polynomials of best approximation for |t| with these abscissas, supposing that N = n + 1; in the first case we shall get a polynomial of degree at most 2, in the second – of degree at most 3.
The computations are arranged in accordance with steps I through IV as recommended above.
1)
Here there is no need to set up a table of differences for χ, because y[t0, t1, t2, t3] = 0 and so h = 0. We at once find the polynomial of best approximation
It is readily checked that
2)
A direct check shows that
3*. To conclude this section, we consider a special choice of abscissas:
In this case we shall be able to derive simpler formulas than (2.6) and (2.7) for h and Pn(A*, t).
Theorem 2.2. Let
. Then
and
where
Here
is the Dirichlet kernel;
Proof. It suffices to check the relations
We first prove two lemmas.
Lemma 2.1. The function Tv,(t) = cos v is an algebraic polynomial of degree v with leading coefficient 2v–1, v = 1, 2, ...
Proof. We first note that
Next, since
we see, setting x = arccost t in this identity, that the functions Tv(t) obey the following recurrence relations:
and the statement of our lemma follows immediately. In particular,
The polynomials Tv(t) are known as the Chebyshev polynomials.
Corollary. The functions τs(t), s ∈ [0 : n + 1] defined above are algebraic polynomials of degree n.
Thus, all the expressions on the right of .
Lemma 2.2. The Dirichlet kernel Dn(x)(n = 0, 1, 2, ...) satisfies the equalities
. To determine the values of Dn(x, s = ± 1, ..., ± (2n + 1), we observe that
Therefore
Q. E. D.
We now return to the proof of the theorem, writing the following expression for Pn(A*, t) at the abscissas tk, k ∈ [0 : n + 1]:
Let k = 0. Then, since (– 1)ν = (– 1)–ν for any integer ν, we get
If k = n + 1, then
Finally, let k ∈ [1 : n]. Then
Q. E. D.
Corollary. k ∈ [0 : n + 1]. Then, for any algebraic polynomial Qn(t) of degree .
Proof. Set yk = Qn(tk), k ∈ [0 : n + 1]. Carrying out Chebyshev interpolation, we see via (2.6) and property 4 of divided differences (see Appendix I, §1), that
Formula (2.10) now follows from (2.8).
§3. GENERAL DISCRETE CASE; DE LA VALLÉE-POUSSIN ALGORITHM
1. We now consider the general case of the discrete problem, N > n + 1. Set
We wish to construct a polynomial of best approximation Pn(A*, t):
We shall show in this section that there is an exact solution to this problem, which is obtained by carrying out finitely many Chebyshev interpolations.
2. Definition. A basis is any subsystem of n + 2 abscissas
The set of bases {σ} will be denoted by Ξ.
For each basis σ of type (3.1), we can perform Chebyshev interpolation, i. e., construct the (unique) algebraic polynomial Pn(A(σ), t) such that
where
and
Let ρ(σ) be the best fit on the basis σ:
As we have seen,
Finally, we set
so that φ(A(σ)) is the maximum deviation of the polynomial Pn(A(σ), t) for the whole system of abscissas.
It is obvious that for any basis σ ∈ Ξ
Lemma 3.1. Suppose that for some basis σ*,
we have φ (A(σ*)) = ρ (σ*); then
i. e., Pn(A(σ*), t) is the required polynomial of best approximation.
Proof. By the definition of ρ(σ*), we have for any polynomial Pn(A, t)
A fortiori,
Since by assumption
it follows via (3.3) and (3.4) that for any polynomial Pn(A, t):
Thus (by the definition) Pn(A(σ*), t) is indeed a polynomial of best approximation for the whole system of abscissas.
3. To summarize: if it turns out that φ(A (σ)) = ρ(σ) for some basis σ, then Pn(A(σ), t) is a polynomial of best approximation in the general discrete case.
We now consider bases σ ∈ Ξ of type (3.1) for which
We shall introduce a standard transformation S that converts any basis σ satisfying (3.5) into a new basis σ1 = Sσ,
such that
This type of transformation will have a major role to play in the sequel.
Prior to describing the transformation S, we set
and let tk0 be an abscissa at which
(if there are several, we choose any one).
There are three possibilities:
1) tk0 < tk0 tin+1;
2) tk0 < ti0;
3) tk0 > tin+1.
The transformation S is defined differently in each case.
Case 1. A typical situation is illustrated in Figure 1.
FIGURE 1.
Let ν be an integer such that
We first set
If sign Δσ(tk0) = sign Δσ (tiν), then
But if this condition fails to hold, then
In this case, then the basis σ1 = Sσ is completely defined. In the situation of Figure 1, the basis σ1 is obtained from σ by replacing ti2 by tk0.
Case 2. If sign Δ0(tk0) = sign Δσ(ti0), we set
If the above condition fails to hold, then
(the abscissa tin+1 is discarded).
Case 3. If sign Δσ(tk0) = sign Δσ(tin+1), then
Otherwise,
(the abscissa ti0 is discarded).
This completes our description of the transformation S.
The construction and inequality (3.5) imply the following properties of the basis σ1 = Sσ if ρ(σ) > 0:
, k ∈ [0: n].
denotes the abscissa in the basis σ1 corresponding to tk0, then
We can now prove the fundamental property of the basis σ1:
Proof. By (3.2) and property 4 of divided differences (see Appendix I, §1),
First let ρ(σ) > 0.
Since αik, (σ1) > 0, k ∈ [0 : n , it follows via I and II that
But if ρ(σ) = 0, then
In all cases, then, ρ(σ1) > ρ(σ).
This proves our assertion.
The result is summarized in the following lemma.
Lemma 3.2. Let σ ∈ Ξ be a basis for which φ(A(σ)) > ρ(σ). Then there exists a new basis σ1 = Sσ such that ρ(σ1) > ρ(σ).
4. Set
Definition. A basis σ* for which
is called an extremal basis.
Since the set Ξ is finite, it is clear that an extremal basis exists, though in general it need not be unique.
Theorem 3.1. In the general discrete case, there exists a unique polynomial of best approximation. A polynomial Pn(A*, t) is the polynomial of best approximation if and only if it is a Chebyshev interpolating polynomial for some extremal basis σ*, i. e.,
Finally, so that
Proof. Sufficiency. Let σ* be some extremal basis. This means that for any σ ∈ Ξ
We must show that Pn(A(σ*), t) is a polynomial of best approximation, i. e.,
By Lemma 3.1, it will suffice to verify that φ(A(σ*)) = ρ(σ*).
If this is false, then φ(A(σ*)) > ρ (σ*). By Lemma 3.2, there is a new basis σ1, = Sσ* such that
and this contradicts (3.8), proving sufficiency.
We have at the same time proved (3.7), for
The existence of a polynomial of best approximation follows from the existence of an extremal basis.
Necessity. Fix some extremal basis σ*:
and let Pn(A*, t) be some polynomial of best approximation. Since
it follows that
Thus Pn(A*, t) is a polynomial of best approximation for σ*. Since the σ* latter is unique, we conclude that
This proves both necessity and uniqueness, completing the proof.
Corollary. A basis
is extremal if and only if
or, equivalently,
5. The fundamental theorem yields a procedure for constructing polynomials of best approximation in the general (discrete) case. One first examines all bases, and selects a basis σ* for which ρ(σ*) is maximal. The Chebyshev interpolating polynomial Pn(A(σ*), t) will then be the required polynomial.
The difficulty here is how to organize examination of the bases in the most rational manner. This is particularly important when N is large.
Since we are looking for a basis giving the maximal best fit, it is reasonable to demand that we discard a basis σk and adopt a new one σk + 1 only when
Fulfillment of this condition also guarantees that no basis can come up more than once in any examination.
The above idea is implemented in the de la Vallée-Poussin algorithm for constructing polynomials of best approximation. This algorithm employs the transformation S described in subsection 3.
Select an initial basis σ1, arbitrarily, and construct the polynomial Pn(A(σ1) t). If
then (Lemma 3.1) Pn(A(σ1), t) is the polynomial of best approximation. On the other hand, if
we proceed to a new basis σ2 = Sσ1. By Lemma 3.2,
Suppose we have already constructed a basis σk. Determine Pn(A(σk), t). If
then Pn(A (σk), t) is the required polynomial. Otherwise, i. e., if
we go on to the basis σk + 1 = Sσk.
This procedure will yield an extremal basis, and hence a polynomial of best approximation, in finitely many trials. That the procedure is indeed finite follows from the fact that the number of bases