Improved FFT-based numerical inversion of Laplace transforms via fast Hartley transform algorithm
The disadvantages of numerical inversion of the Laplace transform via the conventional fast Fourier transform (FFT) are identified and an improved method is presented to remedy them. The improved method is based on introducing a new integration step length Delta(omega) = pi/mT for trapezoidal-rule approximation of the Bromwich integral, in which a new parameter, m, is introduced for controlling the accuracy of the numerical integration. Naturally, this method leads to multiple sets of complex FFT computations. A new inversion formula is derived such that N equally spaced samples of the inverse Laplace transform function can be obtained by (m/2) + 1 sets of N-point complex FFT computations or by m sets of real fast Hartley transform (FHT) computations.