Most of the times in engineering, science, finance and economic analysis, data is given at discrete points
(x1, ... ,xn) and
(y1, ... yn), and obtained by sampling or experimentation. These datasets represent the values of a function for a limited number of values, but how then does one find the value of y at any other value of x ?
A continuous function
f(x) may be used to represent the missing data values. An interpolation is therefore a method of constructing these new data points. Then one can find the value of y at any other value of x.
This C++ library provides three interpolation methods: Lagrande, Divided Differences and Cubic Splines.