Introduction to Numerical Methods

19-23 September 2005 Numerical analysis and methods are applied to a very wide range of subject areas. Indeed, whenever a mathematical problem is encountered in science or engineering, which cannot readily or rapidly be solved by a traditional mathematical analysis, then a numerical method is usually sought and a numerical analysis carried out. This one-week course aims to give a broad understanding of the theoretical basis for numerical analysis, including an awareness of the nature and types of numerical errors that occur in computer calculations, and extensive "hands-on" experience in the application of numerical methods. In this context, a wide variety of elementary but important problems will be considered, such as collocation and interpolation, differentiation, integration, initial value problems for differential equations, non-linear algebraic equations, and systems of linear algebraic equations. This course is specifically intended for practising scientists and engineers of all disciplines who need to understand the fundamental principles of modern numerical analysis and key numerical methods for the computer solution of basic scientific problems. There are no rigid entry requirements, but it is expected that students will be educated to degree level in a scientific discipline. The course includes: Nature of numerical analysis: Introduction to computational methods and the requirement for a numerical analysis. The floating-point representation of a number in the computer, and analysis of floating point arithmetic. The existence of rounding error, significance error and truncation error. Consideration of the posedness and conditioning of a problem and the stability of a numerical method used to solve it. Perturbation analysis for systems of linear equations: Introduction to vector and matrix norms as a measure of magnitude. The properties of vector and matrix norms, and their application in perturbation analysis for systems of linear equations. Definition of the Condition Number of a matrix, and its effect upon the upper bound for the relative error of the solution arising from small perturbations in the data of the problem. The importance of a forward and backward error analysis when solving a system of linear equations by a numerical method. Non-linear algebraic equations: The uni-variate non-linear equation f(x) = 0 and the existence and uniqueness of a solution in an interval (a,b). Algorithms for the Bisection method, the Secant method, the Newton-Raphson method and the method of Fixed-Point iteration are developed. Aitken's Acceleration technique for linearly convergent iteration methods. For each of these methods, the rate of convergence and a full error analysis is provided.

Matrices and systems of linear equations: Review of matrices and fundamental matrix algebra. Systems of linear equations and particular structures which frequently occur in practice. Existence and uniqueness of the solution. Decomposition methods for systems of linear equations: The method of Gaussian Elimination with Back-substitution, and the requirement for partial pivoting and row scaling in practical application. The LU decomposition algorithm with Forward- and Back-substitution. The Cholesky Decomposition algorithm for symmetric, positive-definite systems of linear equations. Each of these algorithms is derived by considering a full matrix but amendments for particular matrix structures are discussed. Iteration methods for systems of linear equations: The iteration algorithms of Jacobi and Gauss-Seidel, and the method of Successiveover-Relaxation, for systems of linear equations with a sparse matrix structure. Conditions for convergence of each technique and estimation of the optimum acceleration parameter in the SOR method for large systems. The Conjugate Gradient method is introduced as a method for solving a system of linear equations, and the requirement for pre-conditioning is considered. Collocation and interpolation: Definition of the collocation problem. Collocation to n+1 data points by a polynomial of degree n. The Lagrange representation of the collocating polynomial is developed to demonstrate the existence of a solution, and the Uniqueness Theorem for polynomial collocation is discussed. An error analysis for the Lagrange representation is also given. Hermite collocation to function values and derivatives. Orthogonal polynomials are introduced and the advantages of collocating at the zeros of an orthogonal polynomial are demonstrated. Finite difference operators: Definition of the finite difference operators, and derivation of the relationships that exist between them. The application of finite difference operators is demonstrated by deriving Newton's Forward Difference and Backward Difference Interpolation formulae, and the associated formation of Difference Tables. Numerical differentiation: Derivation of difference formulae for approximating derivatives of functions from discrete data, eg Forward and Backward Difference formulae and Mean Central Difference formulae with a discussion of the truncation error in each case. Numerical integration: Introduction to open and closed Newton-Cotes quadrature formulae for the approximation of definite integrals. Derivation of the Trapezium Rule and Simpson's Rule, plus composite forms, and Romberg's extrapolation method. Derivation of Gaussian quadrature rules, with the Gauss-Legendre rule being used for demonstration. Adaptive techniques for numerical integration with an example based on Simpson's rule being used for demonstration.

Initial value ordinary differential equations: Introduction to numerical methods for solving first order initial value ordinary differential equations. Taylor's series derivation of Euler's method and the EulerTrapezium method; the Taylor's series method is also discussed. Runge-Kutta algorithms are considered, without derivation, and a comparison between RungeKutta and predictor-corrector methods is presented. Application of these numerical methods to higher order initial value problems is also considered. Practicals: Each of the major topics is supported by a practical session.

The course lectures will be given by the teaching and research staff of the Applied Mathematics and Operational Research Group under the direction of Dr Stephen Shaw with the assistance of other colleagues. AMOR home