The Fourier extension method and discrete orthogonal polynomials on an arc of the circle

Abstract

The Fourier extension method, also known as the Fourier continuation method, is a method for approximating non-periodic functions on an interval using truncated Fourier series with period larger than the interval on which the function is defined. When the function being approximated is known at only finitely many points, the approximation is constructed as a projection based on this discrete set of points. In this paper we address the issue of estimating the absolute error in the approximation. The error can be expressed in terms of a system of discrete orthogonal polynomials on an arc of the unit circle, and these polynomials are then evaluated asymptotically using Riemann--Hilbert methods.