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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).
One of the earliest mathematical writings is a Babylonian tablet from
the Yale Babylonian Collection (YBC 7289), which gives a hexadecimal
numerical approximation of
, the length of the diagonal in a unit square.
Being able to compute the sides of a triangle (and hence, being able to
compute square roots) is extremely important, for instance,
in astronomy, carpentry and construction.
Numerical analysis continues this long tradition of practical
mathematical calculations. Much like the Babylonian approximation of
,
modern numerical analysis does not seek exact answers, because exact
answers are often impossible to obtain in practice. Instead, much of
numerical analysis is concerned with obtaining approximate solutions while
maintaining reasonable bounds on errors.
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.
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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.
The rest of this section outlines several important themes of numerical
analysis.
History:
The field of numerical analysis predates the invention of modern
computers by many centuries. Linear interpolation was already in use more
than 2000 years ago. Many great mathematicians of the past were
preoccupied by numerical analysis, as is obvious from the names of
important algorithms like Newton's method, Lagrange interpolation
polynomial, Gaussian elimination, or Euler's method.
To facilitate computations by hand, large books were produced with
formulas and tables of data such as interpolation points and function
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Discretization:
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Chapter two
Linear and nonlinear equations
In mathematics, a linear function (or map)
both of the following properties:
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Additivity (Superposition),
Homogeneity,
(Additivity implies homogeneity for any rational , and, for continuous
functions, for any real . For a complex , homogeneity does not follow from
additivity; for example, an antilinear map is additive but not homogeneous.)
The conditions of additivity and homogeneity are often combined in
the superposition principle :
1- Types of Equations:
Each equation gets its form based on the highest degree, or exponent,
of the variable. For instance, in the case where y = x - 6x + 2, the degree of 3
gives this equation the name "cubic." Any equation that has a degree no
higher than (1) receives the name "linear". Otherwise, we call an equation
"nonlinear", whether it is quadratic, a sine-curve or in any other form.
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2- Input-Output Relationships:
In general, "x" is considered to be the input of an equation and "y" is
considered to be the output. In the case of a linear equation, any increase in
"x" will either cause an increase in "y" or a decrease in "y" corresponding to
the value of the slope.
In contrast, in a nonlinear equation, "x" may not always cause "y" to
increase. For example, if y = (5 - x), "y" decreases in value as "x"
approaches 5, but increases otherwise.
3- Graph Differences:
A graph displays the set of solutions for a given equation. In the case of
linear equations, the graph will always be a line. In contrast, a nonlinear
equation may look like a parabola if it is of degree 2, a curvy x-shape if it is
of degree 3, or any curvy variation thereof. While linear equations are always
straight, nonlinear equations often feature curves.
4- Exceptions:
Except for the case of vertical lines (x = a constant) and horizontal lines
(y = a constant), linear equations will exist for all values of "x" and "y."
Nonlinear equations, on the other hand, may not have solutions for certain
values of "x" or "y." For instance, if y = sqrt(x), then "x" exists only from 0
and beyond, as does "y," because the square root of a negative number does
not exist in the real number system and there are no square roots that result in
a negative output.
5- Benefits:
Linear relationships can be best explained by linear equations, where
the increase in one variable directly causes the increase or decrease of
another. For example, the number of cookies you eat in a day could have a
direct impact on your weight as illustrated by a linear equation. However, if
you were analyzing the division of cells under mitosis, a nonlinear,
exponential equation would fit the data better.
x = 18 -3y
x = 18 -3(6)
x = 18 - 18
x=0
Verify that (0,6) is the solution.
x = 18 -3y
0 = 18 3(6)
0 = 18 -18
0=0
3. Solve a System of Equations by Elimination (Addition):
The solution to the system of equations:
x + y = 180
3x + 2y = 414
Note: This method is useful when 2 variables are on one side of the equation,
and the constant is on the other side.
Stack the equations to add.
Multiply the top equation by -3.
-3(x + y = 180)
Why multiply by -3? Add to see.
-3x + -3y = -540
+ 3x + 2y = 414
0 + -1y = -126
Notice that x is eliminated.
Solve for y:
y = 126
Plug in y = 126 to find x.
x + y = 180
x + 126 = 180
x = 54
Verify that (54, 126) is the correct answer.
3x + 2y = 414
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One method for solving such a system is as follows. First, solve the top
equation for in terms of :
Now substitute this expression for x into the bottom equation:
Here
are the unknowns ,
are the
coefficients of the system , and
are the constant terms.
Often the coefficients and unknowns are real or complex numbers,
but integers and rational numbers are also seen, as are polynomials and
elements of an abstract algebraic structure.
Vector equation:
One extremely helpful view is that each unknown is a weight for
a column vector in a linear combination.
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This allows all the language and theory of vector spaces (or more
generally, modules) to be brought to bear. For example, the collection of all
possible linear combinations of the vectors on the left-hand side is called
their span, and the equations have a solution just when the right-hand vector
is within that span. If every vector within that span has exactly one
expression as a linear combination of the given left-hand vectors, then any
solution is unique. In any event, the span has a basis of linearly
independent vectors that do guarantee exactly one expression; and the
number of vectors in that basis (its dimension) cannot be larger than m or n,
but it can be smaller. This is important because if we have m independent
vectors a solution is guaranteed regardless of the right-hand side, and
otherwise not guaranteed.
Matrix equation:
The vector equation is equivalent to a matrix equation of the form
where A is an mn matrix, x is a column vector with n entries, and b is a
column vector with m entries.
Geometric interpretation:
For a system involving two variables (x and y), each linear equation
determines a line on the xy-plane. Because a solution to a linear system must
satisfy all of the equations, the solution set is the intersection of these lines,
and is hence either a line, a single point, or the empty set.
For three variables, each linear equation determines a plane in threedimensional space, and the solution set is the intersection of these planes.
Thus the solution set may be a plane, a line, a single point, or the empty set.
For example, as three parallel planes do not have a common point, the
solution set of their equations is empty; the solution set of the equations of
three planes intersecting at a point is single point; if three planes pass through
two points, their equations have at least two common solutions; in fact the
solution set is infinite and consists in all the line passing through these points
For n variables, each linear equation determines a hyperplane in ndimensional space. The solution set is the intersection of these hyperplanes,
which may be a flat of any dimension.
General behavior:
In general, the behavior of a linear system is determined by the
relationship between the number of equations and the number of unknowns:
Usually, a system with fewer equations than unknowns has infinitely
many solutions, but it may have no solution. Such a system is known as
an undetermined.
Usually, a system with the same number of equations and unknowns
has a single unique solution.
Usually, a system with more equations than unknowns has no solution.
Such a system is also known as an over determined system.
In the first case, the dimension of the solution set is usually equal
to n m, where n is the number of variables and m is the number of
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equations. The following pictures illustrate this trichotomy in the case of two
variables:
Properties:
1. Independence:
The equations of a linear system are independent if none of the
equations can be derived algebraically from the others. When the equations
are independent, each equation contains new information about the variables,
and removing any of the equations increases the size of the solution set. For
linear equations, logical independence is the same as linear independence.
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are not independent, because the third equation is the sum of the other two.
Indeed, any one of these equations can be derived from the other two, and
any one of the equations can be removed without affecting the solution set.
The graphs of these equations are three lines that intersect at a single point.
2. Consistency:
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3. Equivalence:
Two linear systems using the same set of variables are equivalent if
each of the equations in the second system can be derived algebraically from
the equations in the first system, and vice-versa.
Two systems are equivalent if either both are inconsistent or each
equation of any of them is a linear combination of the equations of the other
one. It follows that two linear systems are equivalent if and only if they have
the same solution set.
There are several algorithms for solving a system of linear equations.
Describing the solution:
When the solution set is finite, it is reduced to a single element. In this
case, the unique solution is described by a sequence of equations whose left
hand sides are the names of the unknowns and right hand sides are the
corresponding values, for example
. When an order
on the unknowns has been fixed, for example the alphabetical order the
solution may be described as a vector of values, like
for the
previous example.
It can be difficult to describe a set with infinite solutions. Typically,
some of the variables are designated as free (or independent, or
as parameters), meaning that they are allowed to take any value, while the
remaining variables are dependent on the values of the free variables.
For example, consider the following system:
The solution set to this system can be described by the following equations:
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Here z is the free variable, while x and y are dependent on z. Any point
in the solution set can be obtained by first choosing a value for z, and then
computing the corresponding values for x and y.
Each free variable gives the solution space one degree of freedom, the
number of which is equal to the dimension of the solution set. For example,
the solution set for the above equation is a line, since a point in the solution
set can be chosen by specifying the value of the parameter z. An infinite
solution of higher order may describe a plane, or higher-dimensional set.
Different choices for the free variables may lead to different
descriptions of the same solution set. For example, the solution to the above
equations can alternatively be described as follows:
Here x is the free variable, and y and z are dependent.
Elimination of variables:
The simplest method for solving a system of linear equations is to
repeatedly eliminate variables. This method can be described as follows:
In the first equation, solve for one of the variables in terms of the
others.
Substitute this expression into the remaining equations. This yields a
system of equations with one fewer equation and one fewer unknown.
Continue until you have reduced the system to a single linear equation.
Solve this equation, and then back-substitute until the entire solution is
found.
For example, consider the following system:
Solving the first equation for x gives x = 5 + 2z 3y, and plugging this
into the second and third equation yields:
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Solving the first of these equations for y yields y = 2 + 3z, and plugging
this into the second equation yields z = 2. We now have:
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The last matrix is in reduced row echelon form, and represents the
system x = 15, y = 8, z = 2. A comparison with the example in the previous
section on the algebraic elimination of variables shows that these two
methods are in fact the same; the difference lies in how the computations are
written down.
Cramer's rule:
Main article: Cramer's rule: Cramer's rule is an explicit formula for the
solution of a system of linear equations, with each variable given by a
quotient of two determinants. For example, the solution to the system:
is given by:
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