Numerical Analysis: 2009-2010
Information
Overview
Scientific computing pervades our lives: modern buildings and structures are designed using it, medical
images are reconstructed for doctors using it, the cars and planes we travel on are designed with it, the pricing of "instruments"
in the financial market is done using it, tomorrows weather is predicted with it.
The derivation and study of the core, underpinning algorithm for this vast range of applications defines the
subject of Numerical Analysis. This course gives an introduction to that subject.
Through studying the material of this course students should gain an understanding of numerical methods, their
derivation, analysis and applicability. They should be able to solve certain mathematically posed problems using numerical
algorithms. This course is designed to introduce numerical methods - i.e. techniques which lead to the (approximate) solution
of mathematical problems which are usually implemented on computers. The course covers derivation of useful methods and analysis
of their accuracy and applicability.
The course begins with a
study of methods and errors associated with computation of functions which are described by data values (interpolation or
data fitting). Following this we turn to numerical methods of linear algebra, which form the basis of a large part of computational
mathematics, science, and engineering. Key ideas here include algorithms for linear equations, least squares, and eigenvalues
built on LU and QR matrix factorizations. The course will also include the simple and computationally convenient approximation
of curves: this includes the use of splines to provide a smooth representation of complicated curves, such as arise in computer
aided design. Use of such representations leads to approximate methods of integration. Techniques for improving accuracy through
extrapolation will also be described.
The course requires elementary
knowledge of functions and calculus and of linear algebra. Although there are no assessed practicals for this course, the
classwork will involve a mix of written work and Matlab programming. No previous knowledge of Matlab is required. Specifically,
like Numerical Solution of Differential Equations, Numerical Analysis has 16 lectures, no practicals, and 7 classes per term.
There will be some simple use of Matlab which will be demonstrated both in lectures and in problem classes.
Learning outcomes
At the end of the course the student will know how to:
- Find the solution of linear systems of equations.
- Compute eigenvalues and eigenvectors of matrices.
- Approximate functions of one variable by polynomials and piecewise polynomials (splines).
- Compute good approximations to one-dimensional integrals.
- Increase the accuracy of numerical approximations by extrapolation.
- Use Matlab to achieve these goals.
Synopsis
- Lagrange interpolation (1 lecture), Newton-Cotes quadrature (2 lectures)
- Gaussian elimination and LU factorization (2 lectures),
- QR factorization (1 lecture),
- Eigenvalues: Gershgorins theorem, symmetric QR algorithm (3 lectures),
- Best approximation in inner product spaces, least squares, orthogonal polynomials (4 lectures),
- Piecewise polynomials, splines (2 lectures)
- Richardson Extrapolation (1 lecture)
Syllabus
- Lagrange interpolation (1 lecture), Newton-Cotes quadrature (2 lectures)
- Gaussian elimination and LU factorization (2 lectures),
- QR factorization (1 lecture),
- Eigenvalues: Gershgorins theorem, symmetric QR algorithm (3 lectures),
- Best approximation in inner product spaces, least squares, orthogonal polynomials (4 lectures),
- Piecewise polynomials, splines (2 lectures)
- Richardson Extrapolation (1 lecture)
Reading list
You can find the material for this course in many introductory books on Numerical Analysis such as
- A Quarteroni, R Sacco and F Saleri, Numerical Mathematics, Springer, 2000.
- K E Atkinson, An Introduction to Numerical Analysis, 2nd Edition, Wiley, 1989.
- S D Conte and C de Boor, Elementary Numerical Analysis, 3rd Edition, Graw-Hill, 1980.
- G M Phillips and P J Taylor, Theory and Applications of Numerical Analysis, 2nd Edition, Academic Press, 1996.
- W Gautschi, Numerical Analysis: An Introduction, Birkhauser, 1977
- H.R. Schwarz, Numerical Analysis: A Comprehensive Introduction, Wiley, 1989
- E Suli and D F Mayers, An Introduction to Numerical Analysis, CUP, 2006 (Second Printing), of which the relevant chapters are: 6, 7, 2, 5, 9, 11.