Interpolation in numerical optimization

Abstract

The present work discusses the generation of the cubic-spline interpolator in numerical optimization methods which use a variable-step integrator with step size control based on local relative truncation error. An algorithm for generating the cubic spline with successive over-relaxation is presented which represents an improvement over that given by Ralston and Wilf (1967). Rewriting the code reduces the number of N-vectors from eight to one. The algorithm is formulated in such a way that the solution of the linear system set up yields the first derivatives at the nodal points. This method is as accurate as other schemes but requires the minimum amount of storage.