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A new algorithm for approximating the least concave majorant

Martin FrancůRon KermanGord Sinnamon — 2017

Czechoslovak Mathematical Journal

The least concave majorant, F ^ , of a continuous function F on a closed interval, I , is defined by F ^ ( x ) = inf { G ( x ) : G F , G concave } , x I . We present an algorithm, in the spirit of the Jarvis March, to approximate the least concave majorant of a differentiable piecewise polynomial function of degree at most three on I . Given any function F 𝒞 4 ( I ) , it can be well-approximated on I by a clamped cubic spline S . We show that S ^ is then a good approximation to F ^ . We give two examples, one to illustrate, the other to apply our algorithm.

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