Numerical Laplace Transform of InterpolatingFunction

Question

What are some ways to find the numerical Laplace transform of an InterpolatingFunction? (I know that numerical Laplace transforms are rarely used but my application requires a numerical evaluation). Thanks in advance for any help -- I'm relatively new to Mathematica and would really appreciate it!

Answer 1

Taking the definition of LaplaceTransform and using NIntegrate is a possiblity:

(* 1d case *)
nlap[f_, s_?NumericQ] := NIntegrate[f[t] Exp[-s*t], {t, 0, ∞}]

The multi-dimensional case is a bit harder - I think this does the trick though:

(* multidimensional case *)
nlapnd[f_, s_?(VectorQ[#, NumericQ] &)] := 
 With[{vars = Array[t, Length@s]},
  With[{dots = vars.s, g = Apply[f, vars]},
   NIntegrate[g*Exp[-dots], 
    Evaluate[Sequence @@ ({#, 0, ∞} & /@ vars)]]]
  ]

This simple test case below for f[x]:=x^2 with LaplaceTransform 2/s^3 shows the numerical one matches the analytic one, so I think my implementation is correct, at least for 1D:

f[x_] := x^2
(* make some data and the interpolation function *)
data = Table[f[x], {x, 1, 5}];
intp = Interpolation[data];

(* show that they match up *)
Show[
 ListPlot[data],
 Plot[f[x], {x, 0, 5}]
 ]

(* get the laplace transform *)
lp = LaplaceTransform[f[x], x, s]
(* result: 2/s^3 *)

(* verify the error is very small between lp transform of f[x] and the numerical 
   transform of the interpolation function.  *)
Plot[nlap[intp, s] - lp, {s, 0, 3}]