CHAPTER 10: NUMERICAL ANALYSIS

Introduction to Numerical analysis

Numerical analysis is the study of algorithms that use numerical approximation (as opposed to
general symbolic manipulations) for the problems of mathematical analysis (as distinguished
from discrete mathematics).

Numerical analysis naturally finds applications in all fields of engineering and the physical
sciences, but in the 21st century also the life sciences and even the arts have adopted elements of
scientific computations. Ordinary differential equations appear in celestial mechanics (planets,
stars and galaxies); numerical linear algebra is important for data analysis; stochastic differential
equations and Markov chains are essential in simulating living cells for medicine and biology.

Before the advent of modern computers numerical methods often depended on hand interpolation
in large printed tables. Since the mid 20th century, computers calculate the required functions
instead. These same interpolation formulas nevertheless continue to be used as part of the
software algorithms for solving differential equations.

General introduction
The overall goal of the field of numerical analysis is the design and analysis of techniques to
give approximate but accurate solutions to hard problems, the variety of which is suggested by
the following:

 Advanced numerical methods are essential in making numerical weather prediction feasible.
 Computing the trajectory of a spacecraft requires the accurate numerical solution of a system of
ordinary differential equations.
 Car companies can improve the crash safety of their vehicles by using computer simulations of car
crashes. Such simulations essentially consist of solving partial differential equations numerically.
 Hedge funds (private investment funds) use tools from all fields of numerical analysis to attempt to
calculate the value of stocks and derivatives more precisely than other market participants.
 Airlines use sophisticated optimization algorithms to decide ticket prices, airplane and crew
assignments and fuel needs. Historically, such algorithms were developed within the overlapping
field of operations research.
 Insurance companies use numerical programs for actuarial analysis.

Approximation theory
Use computable functions p(x) to approximate the values of functions f(x) that are not easily
computable or use approximations to simplify dealing with such functions. The most popular
types of computable functions p(x) are polynomials, rational functions, and piecewise versions
of them, for example spline functions. Trigonometric polynomials are also a very useful choice.

 Best approximations. Here a given function f(x) is approximated within a given finite-dimensional
family of computable functions. The quality of the approximation is expressed by a functional,

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 usually the maximum absolute value of the approximation error or an integral involving the error.
Least squares approximations and minimax approximations are the most popular choices.
 Interpolation. A computable function p(x) is to be chosen to agree with a given f(x) at a given finite
set of points x . The study of determining and analyzing such interpolation functions is still an active
area of research, particularly when p(x) is a multivariate polynomial.
 Fourier series. A function f(x) is decomposed into orthogonal components based on a given
orthogonal basis {φ1,φ2,…} , and then f(x) is approximated by using only the largest of such
components. The convergence of Fourier series is a classical area of mathematics, and it is very
important in many fields of application. The development of the Fast Fourier Transform in 1965
spawned a rapid progress in digital technology. In the 1990s wavelets became an important tool in
this area.
 Numerical integration and differentiation. Most integrals cannot be evaluated directly in terms of
elementary functions, and instead they must be approximated numerically. Most functions can be
differentiated analytically, but there is still a need for numerical differentiation, both to approximate
the derivative of numerical data and to obtain approximations for discretizing differential equations.

Numerical methods
Mathematical techniques for solving practical problems. They are called numerical methods
because they produce the solution as real numbers such as " 3.1768 ", rather than as algebraic
expressions (such as " x ² + c ") or surds (such as " 2 ± sqrt(11) " where sqrt means the square
root function).
Numerical methods are, some might say, a lot easier to use than the algebraic methods.

Numerical methods to solve three types of problem:

 Find a solution to a nonlinear equation F( x ) = 0

 Find an interpolated value from a table of data
 Find the numerical solution of a differential equation

Direct and iterative methods

Direct methods compute the solution to a problem in a finite number of steps. These methods
would give the precise answer if they were performed in infinite precision arithmetic. Examples
include Gaussian elimination, the QR factorization method for solving systems of linear
equations, and the simplex method of linear programming. In practice, finite precision is used
and the result is an approximation of the true solution (assuming stability).

In contrast to direct methods, iterative methods are not expected to terminate in a finite number
of steps. Starting from an initial guess, iterative methods form successive approximations that
converge to the exact solution only in the limit. A convergence test, often involving the residual,
is specified in order to decide when a sufficiently accurate solution has (hopefully) been found.
Even using infinite precision arithmetic these methods would not reach the solution within a
finite number of steps (in general). Examples include Newton's method, the bisection method,
and Jacobi iteration. In computational matrix algebra, iterative methods are generally needed for
large problems.

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Iterative methods are more common than direct methods in numerical analysis. Some methods
are direct in principle but are usually used as though they were not, e.g. GMRES and the
conjugate gradient method. For these methods the number of steps needed to obtain the exact
solution is so large that an approximation is accepted in the same manner as for an iterative
method.

Direct vs iterative methods

Consider the problem of solving

3x3 + 4 = 28
for the unknown quantity x.
Direct method
3x3 + 4 = 28.
Subtract 4 3x3 = 24.
Divide by 3 x3 = 8.
Take cube roots x = 2.

For the iterative method, apply the bisection method to f(x) = 3x3 − 24. The initial values are a =
0, b = 3, f(a) = −24, f(b) = 57.

Iterative method
a b mid f(mid)
0 3 1.5 −13.875
1.5 3 2.25 10.17...
1.5 2.25 1.875 −4.22...
1.875 2.25 2.0625 2.32...

We conclude from this table that the solution is between 1.875 and 2.0625. The algorithm might
return any number in that range with an error less than 0.2.

Discretization
Furthermore, continuous problems must sometimes be replaced by a discrete problem whose
solution is known to approximate that of the continuous problem; this process is called
discretization. For example, the solution of a differential equation is a function. This function
must be represented by a finite amount of data, for instance by its value at a finite number of
points at its domain, even though this domain is a continuum.

Discretization and numerical integration

In a two-hour race, we have measured the speed of the car at three instants and recorded
them in the following table.

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 Time 0:20 1:00 1:40
km/h 140 150 180

A discretization would be to say that the speed of the car was constant from 0:00 to
0:40, then from 0:40 to 1:20 and finally from 1:20 to 2:00. For instance, the total distance
traveled in the first 40 minutes is approximately (2/3 h × 140 km/h) = 93.3 km. This
would allow us to estimate the total distance traveled as 93.3 km + 100 km + 120 km =
313.3 km, which is an example of numerical integration (see below) using a Riemann
sum, because displacement is the integral of velocity.

Ill-conditioned problem: Take the function f(x) = 1/(x − 1). Note that f(1.1) = 10 and
f(1.001) = 1000: a change in x of less than 0.1 turns into a change in f(x) of nearly 1000.
Evaluating f(x) near x = 1 is an ill-conditioned problem.

Well-conditioned problem: By contrast, evaluating the same function f(x) = 1/(x − 1)

near x = 10 is a well-conditioned problem. For instance, f(10) = 1/9 ≈ 0.111 and f(11) =
0.1: a modest change in x leads to a modest change in f(x).

Generation and propagation of errors

The study of errors forms an important part of numerical analysis. There are several ways in
which error can be introduced in the solution of the problem.

Round-off
Round-off errors arise because it is impossible to represent all real numbers exactly on a machine
with finite memory (which is what all practical digital computers are).

Truncation and discretization error

Truncation errors are committed when an iterative method is terminated or a mathematical
procedure is approximated, and the approximate solution differs from the exact solution.
Similarly, discretization induces a discretization error because the solution of the discrete
problem does not coincide with the solution of the continuous problem. For instance, in the
iteration in the sidebar to compute the solution of 3x3+4=28, after 10 or so iterations, we
conclude that the root is roughly 1.99 (for example). We therefore have a truncation error of
0.01.

Once an error is generated, it will generally propagate through the calculation. For instance, we
have already noted that the operation + on a calculator (or a computer) is inexact. It follows that
a calculation of the type a+b+c+d+e is even more inexact.

What does it mean when we say that the truncation error is created when we approximate a
mathematical procedure? We know that to integrate a function exactly requires one to find the
sum of infinite trapezoids. But numerically one can find the sum of only finite trapezoids, and
hence the approximation of the mathematical procedure. Similarly, to differentiate a function, the

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differential element approaches zero but numerically we can only choose a finite value of the
differential element.

Areas of study
The field of numerical analysis includes many sub-disciplines. Some of the major ones are:

Computing values of functions

One of the simplest problems is the evaluation of a function at a given point. The most
straightforward approach, of just plugging in the number in the formula is sometimes not very
efficient. For polynomials, a better approach is using the Horner scheme, since it reduces the
necessary number of multiplications and additions. Generally, it is important to estimate and
control round-off errors arising from the use of floating point arithmetic.

Interpolation, extrapolation, and regression

Interpolation solves the following problem: given the value of some unknown function at a
number of points, what value does that function have at some other point between the given
points?

Extrapolation is very similar to interpolation, except that now we want to find the value of the
unknown function at a point which is outside the given points.

Regression is also similar, but it takes into account that the data is imprecise. Given some points,
and a measurement of the value of some function at these points (with an error), we want to
determine the unknown function. The least squares-method is one popular way to achieve this.

Interpolation: We have observed the temperature to vary from 20 degrees Celsius at 1:00 to 14
degrees at 3:00. A linear interpolation of this data would conclude that it was 17 degrees at 2:00
and 18.5 degrees at 1:30pm.

Extrapolation: If the gross domestic product of a country has been growing an average of 5%
per year and was 100 billion dollars last year, we might extrapolate that it will be 105 billion
dollars this year.

Regression: In linear regression, given n points, we compute a line that passes as close as
possible to those n points.

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Optimization: Say you sell lemonade at a lemonade stand, and notice that at $1, you can sell
197 glasses of lemonade per day, and that for each increase of $0.01, you will sell one glass of
lemonade less per day. If you could charge $1.485, you would maximize your profit, but due to
the constraint of having to charge a whole cent amount, charging $1.48 or $1.49 per glass will
both yield the maximum income of $220.52 per day.

Differential equation: If you set up 100 fans to blow air from one end of the room to the other
and then you drop a feather into the wind, what happens? The feather will follow the air currents,
which may be very complex. One approximation is to measure the speed at which the air is
blowing near the feather every second, and advance the simulated feather as if it were moving in
a straight line at that same speed for one second, before measuring the wind speed again. This is
called the Euler method for solving an ordinary differential equation.

Solving equations and systems of equations

Another fundamental problem is computing the solution of some given equation. Two cases are
commonly distinguished, depending on whether the equation is linear or not. For instance, the
equation 2X+5=3 is linear while 2X2+5=3 is not.

Much effort has been put in the development of methods for solving systems of linear equations.
Standard direct methods, i.e., methods that use some matrix decomposition are Gaussian
elimination, LU decomposition, Cholesky decomposition for symmetric (or hermitian) and
positive-definite matrix, and QR decomposition for non-square matrices. Iterative methods such
as the Jacobi method, Gauss–Seidel method, successive over-relaxation and conjugate gradient
method are usually preferred for large systems. General iterative methods can be developed
using a matrix splitting.

Root-finding algorithms are used to solve nonlinear equations (they are so named since a root of
a function is an argument for which the function yields zero). If the function is differentiable and
the derivative is known, then Newton's method is a popular choice. Linearization is another
technique for solving nonlinear equations.

Solving eigenvalue or singular value problems

Several important problems can be phrased in terms of eigenvalue decompositions or singular
value decompositions. For instance, the spectral image compression algorithm is based on the
singular value decomposition. The corresponding tool in statistics is called principal component
analysis.

Optimization
Optimization problems ask for the point at which a given function is maximized (or minimized).
Often, the point also has to satisfy some constraints.

The field of optimization is further split in several subfields, depending on the form of the
objective function and the constraint. For instance, linear programming deals with the case that

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both the objective function and the constraints are linear. A famous method in linear
programming is the simplex method.

The method of Lagrange multipliers can be used to reduce optimization problems with
constraints to unconstrained optimization problems.

Evaluating integrals
Numerical integration, in some instances also known as numerical quadrature, asks for the value
of a definite integral. Popular methods use one of the Newton–Cotes formulas (like the midpoint
rule or Simpson's rule) or Gaussian quadrature. These methods rely on a "divide and conquer"
strategy, whereby an integral on a relatively large set is broken down into integrals on smaller
sets. In higher dimensions, where these methods become prohibitively expensive in terms of
computational effort, one may use Monte Carlo or quasi-Monte Carlo methods , or in modestly
large dimensions, the method of sparse grids.

Differential equations
Numerical analysis is also concerned with computing (in an approximate way) the solution of
differential equations, both ordinary differential equations and partial differential equations.

Partial differential equations are solved by first discretizing the equation, bringing it into a finite-
dimensional subspace. This can be done by a finite element method, a finite difference method,
or (particularly in engineering) a finite volume method. The theoretical justification of these
methods often involves theorems from functional analysis. This reduces the problem to the
solution of an algebraic equation.

Software
Since the late twentieth century, most algorithms are implemented in a variety of programming
languages. The Netlib repository contains various collections of software routines for numerical
problems, mostly in Fortran and C. Commercial products implementing many different
numerical algorithms include the IMSL and NAG libraries; a free-software alternative is the
GNU Scientific Library.

There are several popular numerical computing applications such as MATLAB, TK Solver, S-
PLUS, and IDL as well as free and open source alternatives such as FreeMat, Scilab, GNU
Octave (similar to Matlab), and IT++ (a C++ library). There are also programming languages
such as R (similar to S-PLUS) and Python with libraries such as NumPy, SciPy and SymPy.
Performance varies widely: while vector and matrix operations are usually fast, scalar loops may
vary in speed by more than an order of magnitude.

Many computer algebra systems such as Mathematica also benefit from the availability of
arbitrary precision arithmetic which can provide more accurate results.

Also, any spreadsheet software can be used to solve simple problems relating to numerical
analysis.

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