Synopsis

#include <boost/math/interpolators/pchip.hpp>

namespace boost::math::interpolators {

template <class RandomAccessContainer>
class pchip
{
public:

    using Real = RandomAccessContainer::value_type;

    pchip(RandomAccessContainer&& abscissas, RandomAccessContainer&& ordinates,
          Real left_endpoint_derivative = std::numeric_limits<Real>::quiet_NaN(),
          Real right_endpoint_derivative = std::numeric_limits<Real>::quiet_NaN());

    Real operator()(Real x) const;

    Real prime(Real x) const;

    void push_back(Real x, Real y);

    friend std::ostream& operator<<(std::ostream & os, const pchip & m);
};

} // namespaces

PCHIP Interpolation

The PCHIP interpolant takes non-equispaced data and interpolates between them via cubic Hermite polynomials whose slopes are chosen so that the resulting interpolant is monotonic; see Fritsch and Carlson for details. The interpolant is C¹ and evaluation has 𝑶(log(N)) complexity. An example usage is as follows:

std::vector<double> x{1, 5, 9 , 12};
std::vector<double> y{8,17, 4, -3};
using boost::math::interpolators::pchip;
auto spline = pchip(std::move(x), std::move(y));
// evaluate at a point:
double z = spline(3.4);
// evaluate derivative at a point:
double zprime = spline.prime(3.4);

Periodically, it is helpful to see what data the interpolator has, and the slopes it has chosen. This can be achieved via

std::cout << spline << "\n";

Note that the interpolator is pimpl'd, so that copying the class is cheap, and hence it can be shared between threads. (The call operator and .prime() are threadsafe; push_back is not.)

This interpolant can be updated in constant time. Hence we can use boost::circular_buffer to do real-time interpolation:

#include <boost/circular_buffer.hpp>
...
boost::circular_buffer<double> initial_x{1,2,3,4};
boost::circular_buffer<double> initial_y{4,5,6,7};
auto circular_pchip = pchip(std::move(initial_x), std::move(initial_y));
// interpolate via call operation:
double y = circular_pchip(3.5);
// add new data:
circular_pchip.push_back(5, 8);
// interpolate at 4.5:
y = circular_pchip(4.5);

Complexity and Performance

This interpolator chooses the slopes and forwards data to the cubic Hermite interpolator, so the performance is stated in the documentation for cubic_hermite.hpp.