numerical analysis

Numerical Analysis

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EE, NCKUTien-Hao Chang (Darby Chang)

In the previous slide Accelerating convergence

– linearly convergent

– Newton’s method on a root of multiplicity

– (exercise 2)

Proceed to systems of equations– linear algebra review

– pivoting strategies

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In this slide Error estimation in system of equations

– vector/matrix norms

LU decomposition– split a matrix into the product of a lower and a upper

triangular matrices

– efficient in dealing with a lots of right-hand-side vectors

Direct factorization– as an systems of equations

– Crout decomposition

– Dollittle decomposition

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3.3

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Vector and matrix norms

Vector and matrix norms Pivoting strategies are designed to

reduce the impact roundoff error The size of a vector/matrix is

necessary to measure the error

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Vector norm

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The two most commonly used norms in practice

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Vector norm

Equivalent One of the other uses of norms is to

establish the convergence

Two trivial questions:– converge or diverge in different norms?

– converge to different limit values in different norms?

The answer to both is no– all vector norms are equivalent

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The Euclidean norm and the maximum norm are equivalent

Matrix norms

Similarly, there are various matrix norms, here we focus on those norms related to vector norms– natural matrix norms

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Matrix norms

Natural matrix norms

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Natural matrix norms

Computing maximum norm

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Natural matrix norms

Computing Euclidean norm Euclidean norm, unfortunately, is not

as straightforward as computing maximum matrix norms

Requires knowledge of the eigenvalues of the matrix

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Eigenvalue review

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later

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Eigenvalue review

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In action

http://thomashawk.com/hello/209/1017/1024/Jackson%20Running.jpg

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Any Questions?

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3.3 Vector and matrix norms

3.4

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Error estimates and condition number

Error estimation A linear system , and is an

approximate solution The error, , cannot be directly

computed ( is never known) The residue vector, , can be easily

computed

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Any Questions?

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Is a good estimation of ? Construct the relationship between

and From the definition

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hint#3

hint#2

hint#1

Is a good estimation of ? Construct the relationship between

and From the definition

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answerhint#4hint#3

hint#2

Is a good estimation of ? Construct the relationship between

and From the definition

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answerhint#4hint#3

Is a good estimation of ? Construct the relationship between

and From the definition

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answerhint#4

Is a good estimation of ? Construct the relationship between

and From the definition

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answer

Is a good estimation of ? Construct the relationship between

and From the definition

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Condition number

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Perturbations (skipped)

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.

.

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Any Questions?

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3.4 Error estimates and condition number

3.5

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LU decomposition

LU decomposition

Motivation Gaussian elimination solve a linear system,

, with unknowns

– with back substitution

– the minimum number of operations

If there are a lots of right-hand-side vectors– how many operations for a new RHS?

– with Gaussian elimination, all operations are also carried out on the RHS

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LU decomposition

Given a matrix , a lower triangular matrix and an upper triangular matrix for which are said to form an LU decomposition of

Here we replace mathematical descriptions with an example to show how Gaussian elimination is used to obtain an LU decomposition

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Any Questions?

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Is there any other LU decompositions in addition to using modified Gaussian elimination?– degree of freedoms (number of

unknowns)•

•

Direct factorization (3.6)– as an systems of equations

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answer

hint

Is there any other LU decompositions in addition to using modified Gaussian elimination?– degree of freedoms (number of

unknowns)•

•

Direct factorization (3.6)– as an systems of equations

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answer

Is there any other LU decompositions in addition to using modified Gaussian elimination?– degree of freedoms (number of

unknowns)•

•

Direct factorization (3.6)– as an systems of equations

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Solving a linear system

When a new RHS comes

– with , actually to solve and • both steps are easy

• notice that Pb does not require real matrix-vector multiplication

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Solving a linear system

In summary Anyway, the two-step algorithm (LU

decomposition) is superior to Gaussian elimination with back substitution

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Any Questions?

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3.5 LU decomposition

3.6Direct Factorization

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Is there any other LU decompositions in addition to using modified Gaussian elimination?– degree of freedoms (number of

unknowns)•

•

Direct factorization (3.6)– as an systems of equations

61Recall thathttp://www.dianadepasquale.com/ThinkingMonkey.jpg

Direct factorization Just add more equations

– ex: diagonal must be

Crout decomposition– for each

Dollittle decomposition– for each

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Any Questions?

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3.6 Direct factorization