Numerical analysis

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Babylonian clay tablet YBC 7289 (c. 1800-1600 BC) with annotations. The approximation of the square root of 2 is four sexagesimal figures, which is about six decimal figures. 1 + 24/60 + 51/60 + 10/60 = 1.41421296... Ybc7289-bw.jpg
Babylonian clay tablet YBC 7289 (c. 1800–1600 BC) with annotations. The approximation of the square root of 2 is four sexagesimal figures, which is about six decimal figures. 1 + 24/60 + 51/60 + 10/60 = 1.41421296...

Numerical analysis is the study of algorithms that use numerical approximation (as opposed to symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics). Numerical analysis naturally finds application in all fields of engineering and the physical sciences, but in the 21st century also the life sciences, social sciences, medicine, business and even the arts have adopted elements of scientific computations. The growth in computing power has revolutionized the use of realistic mathematical models in science and engineering, and subtle numerical analysis is required to implement these detailed models of the world. For example, ordinary differential equations appear in celestial mechanics (predicting the motions of planets, stars and galaxies); numerical linear algebra is important for data analysis; [2] [3] [4] stochastic differential equations and Markov chains are essential in simulating living cells for medicine and biology.

Contents

Before the advent of modern computers, numerical methods often depended on hand interpolation formulas applied to data from large printed tables. Since the mid 20th century, computers calculate the required functions instead, but many of the same formulas nevertheless continue to be used as part of the software algorithms. [5]

The numerical point of view goes back to the earliest mathematical writings. A tablet from the Yale Babylonian Collection (YBC 7289), gives a sexagesimal numerical approximation of the square root of 2, the length of the diagonal in a unit square.

Numerical analysis continues this long tradition: rather than exact symbolic answers, which can only be applied to real-world measurements by translation into digits, it gives approximate solutions within specified error bounds.

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:

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, [5] 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 coefficients. Using these tables, often calculated out to 16 decimal places or more for some functions, one could look up values to plug into the formulas given and achieve very good numerical estimates of some functions. The canonical work in the field is the NIST publication edited by Abramowitz and Stegun, a 1000-plus page book of a very large number of commonly used formulas and functions and their values at many points. The function values are no longer very useful when a computer is available, but the large listing of formulas can still be very handy.

The mechanical calculator was also developed as a tool for hand computation. These calculators evolved into electronic computers in the 1940s, and it was then found that these computers were also useful for administrative purposes. But the invention of the computer also influenced the field of numerical analysis, [5] since now longer and more complicated calculations could be done.

Direct and iterative methods

Consider the problem of solving

3x3 + 4 = 28

for the unknown quantity x.

Direct method
3x3 + 4 = 28.
Subtract 43x3 = 24.
Divide by 3x3 =  8.
Take cube rootsx =  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
abmidf(mid)
031.513.875
1.532.2510.17...
1.52.251.8754.22...
1.8752.252.06252.32...

From this table it can be concluded 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 and numerical integration

Schumacher (Ferrari) in practice at USGP 2005.jpg

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

Time0:201:001:40
km/h140150180

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).

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. [6] [7] [8] [9]

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.

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.

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 , after 10 or so iterations, it can be concluded that the root is roughly 1.99 (for example). Therefore, there is a truncation error of 0.01.

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

The truncation error is created when a mathematical procedure is approximated. To integrate a function exactly it is required to find the sum of infinite trapezoids, but numerically only the sum of only finite trapezoids can be found, and hence the approximation of the mathematical procedure. Similarly, to differentiate a function, the differential element approaches zero but numerically only a finite value of the differential element can be chosen.

Numerical stability and well-posed problems

Numerical stability is a notion in numerical analysis. An algorithm is called 'numerically stable' if an error, whatever its cause, does not grow to be much larger during the calculation. [10] This happens if the problem is 'well-conditioned', meaning that the solution changes by only a small amount if the problem data are changed by a small amount. [10] To the contrary, if a problem is 'ill-conditioned', then any small error in the data will grow to be a large error. [10]

Both the original problem and the algorithm used to solve that problem can be 'well-conditioned' or 'ill-conditioned', and any combination is possible.

So an algorithm that solves a well-conditioned problem may be either numerically stable or numerically unstable. An art of numerical analysis is to find a stable algorithm for solving a well-posed mathematical problem. For instance, computing the square root of 2 (which is roughly 1.41421) is a well-posed problem. Many algorithms solve this problem by starting with an initial approximation x0 to , for instance x0 = 1.4, and then computing improved guesses x1, x2, etc. One such method is the famous Babylonian method, which is given by xk+1 = xk/2 + 1/xk. Another method, called 'method X', is given by xk+1 = (xk2 − 2)2 + xk. [note 1] A few iterations of each scheme are calculated in table form below, with initial guesses x0 = 1.4 and x0 = 1.42.

BabylonianBabylonianMethod XMethod X
x0 = 1.4x0 = 1.42x0 = 1.4x0 = 1.42
x1 = 1.4142857...x1 = 1.41422535...x1 = 1.4016x1 = 1.42026896
x2 = 1.414213564...x2 = 1.41421356242...x2 = 1.4028614...x2 = 1.42056...
......
x1000000 = 1.41421...x27 = 7280.2284...

Observe that the Babylonian method converges quickly regardless of the initial guess, whereas Method X converges extremely slowly with initial guess x0 = 1.4 and diverges for initial guess x0 = 1.42. Hence, the Babylonian method is numerically stable, while Method X is numerically unstable.

Numerical stability is affected by the number of the significant digits the machine keeps on, if a machine is used that keeps only the four most significant decimal digits, a good example on loss of significance can be given by these two equivalent functions
Comparing the results of
and
by comparing the two results above, it is clear that loss of significance (caused here by catastrophic cancellation from subtracting approximations to the nearby numbers and , despite the subtraction's being computed exactly) has a huge effect on the results, even though both functions are equivalent, as shown below
The desired value, computed using infinite precision, is 11.174755...

Areas of study

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

Computing values of functions

Interpolation: Observing that the temperature varies 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 last year, it might extrapolated that it will be 105 billion this year.

A line through 20 points Linear-regression.svg
A line through 20 points

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

How much for a glass of lemonade? LemonadeJuly2006.JPG
How much for a glass of lemonade?

Optimization: Say lemonade is sold at a lemonade stand, at $1 197 glasses of lemonade can be sold per day, and that for each increase of $0.01, one glass of lemonade less will be sold per day. If $1.485 could be charged, profit would be maximized 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.

Wind direction in blue, true trajectory in black, Euler method in red Wind-particle.png
Wind direction in blue, true trajectory in black, Euler method in red

Differential equation: If 100 fans are set up to blow air from one end of the room to the other and then a feather is dropped 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.

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 the value of the unknown function at a point which is outside the given points must be found. [11]

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), the unknown function can be found. The least squares-method is one way to achieve this.

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 is linear while 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 [12] 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. [13] [14] 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 [15] 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 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. [16] Popular methods use one of the Newton–Cotes formulas (like the midpoint rule or Simpson's rule) or Gaussian quadrature. [17] 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 (see Monte Carlo integration [18] ), 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. [19]

Partial differential equations are solved by first discretizing the equation, bringing it into a finite-dimensional subspace. [20] This can be done by a finite element method, [21] [22] [23] a finite difference method, [24] or (particularly in engineering) a finite volume method. [25] 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.

Over the years the Royal Statistical Society published numerous algorithms in its Applied Statistics (code for these "AS" functions is here); ACM similarly, in its Transactions on Mathematical Software ("TOMS" code is here). The Naval Surface Warfare Center several times published its Library of Mathematics Subroutines (code here).

There are several popular numerical computing applications such as MATLAB, [26] [27] [28] TK Solver, S-PLUS, and IDL [29] as well as free and open source alternatives such as FreeMat, Scilab, [30] [31] GNU Octave (similar to Matlab), and IT++ (a C++ library). There are also programming languages such as R [32] (similar to S-PLUS) and Python with libraries such as NumPy, SciPy [33] [34] [35] 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. [36] [37]

Many computer algebra systems such as Mathematica also benefit from the availability of arbitrary-precision arithmetic which can provide more accurate results. [38] [39] [40] [41]

Also, any spreadsheet software can be used to solve simple problems relating to numerical analysis. Excel, for example, has hundreds of available functions, including for matrices, which may be used in conjunction with its built in "solver".

See also

Notes

  1. This is a fixed point iteration for the equation , whose solutions include . The iterates always move to the right since . Hence converges and diverges.

Related Research Articles

In computational mathematics, an iterative method is a mathematical procedure that uses an initial value to generate a sequence of improving approximate solutions for a class of problems, in which the n-th approximation is derived from the previous ones. A specific implementation of an iterative method, including the termination criteria, is an algorithm of the iterative method. An iterative method is called convergent if the corresponding sequence converges for given initial approximations. A mathematically rigorous convergence analysis of an iterative method is usually performed; however, heuristic-based iterative methods are also common.

In numerical analysis, Newton's method, also known as the Newton–Raphson method, named after Isaac Newton and Joseph Raphson, is a root-finding algorithm which produces successively better approximations to the roots of a real-valued function. The most basic version starts with a single-variable function f defined for a real variable x, the function's derivative f ′, and an initial guess x0 for a root of f. If the function satisfies sufficient assumptions and the initial guess is close, then

Partial differential equation Multivariable functions and their partial derivatives

In mathematics, a partial differential equation (PDE) is an equation which imposes relations between the various partial derivatives of a multivariable function.

In the mathematical subfield of numerical analysis, numerical stability is a generally desirable property of numerical algorithms. The precise definition of stability depends on the context. One is numerical linear algebra and the other is algorithms for solving ordinary and partial differential equations by discrete approximation.

Numerical methods for ordinary differential equations

Numerical methods for ordinary differential equations are methods used to find numerical approximations to the solutions of ordinary differential equations (ODEs). Their use is also known as "numerical integration", although this term can also refer to the computation of integrals.

Structural analysis is the determination of the effects of loads on physical structures and their components. Structures subject to this type of analysis include all that must withstand loads, such as buildings, bridges, aircraft and ships. Structural analysis employs the fields of applied mechanics, materials science and applied mathematics to compute a structure's deformations, internal forces, stresses, support reactions, accelerations, and stability. The results of the analysis are used to verify a structure's fitness for use, often precluding physical tests. Structural analysis is thus a key part of the engineering design of structures.

Numerical methods for partial differential equations is the branch of numerical analysis that studies the numerical solution of partial differential equations (PDEs).

In numerical analysis, a multigrid method is an algorithm for solving differential equations using a hierarchy of discretizations. They are an example of a class of techniques called multiresolution methods, very useful in problems exhibiting multiple scales of behavior. For example, many basic relaxation methods exhibit different rates of convergence for short- and long-wavelength components, suggesting these different scales be treated differently, as in a Fourier analysis approach to multigrid. MG methods can be used as solvers as well as preconditioners.

Computational electromagnetics (CEM), computational electrodynamics or electromagnetic modeling is the process of modeling the interaction of electromagnetic fields with physical objects and the environment.

Numerical linear algebra, sometimes called applied linear algebra, is the study of how matrix operations can be used to create computer algorithms which efficiently and accurately provide approximate answers to questions in continuous mathematics. It is a subfield of numerical analysis, and a type of linear algebra. Computers use floating-point arithmetic and cannot exactly represent irrational data, so when a computer algorithm is applied to a matrix of data, it can sometimes increase the difference between a number stored in the computer and the true number that it is an approximation of. Numerical linear algebra uses properties of vectors and matrices to develop computer algorithms that minimize the error introduced by the computer, and is also concerned with ensuring that the algorithm is as efficient as possible.

Numerical continuation is a method of computing approximate solutions of a system of parameterized nonlinear equations,

In numerical mathematics, relaxation methods are iterative methods for solving systems of equations, including nonlinear systems.

In numerical linear algebra, the Alternating Direction Implicit (ADI) method is an iterative method used to solve Sylvester matrix equations. It is a popular method for solving the large matrix equations that arise in systems theory and control, and can be formulated to construct solutions in a memory-efficient, factored form. It is also used to numerically solve parabolic and elliptic partial differential equations, and is a classic method used for modeling heat conduction and solving the diffusion equation in two or more dimensions. It is an example of an operator splitting method.

Finite element method Numerical method for solving physical or engineering problems

The finite element method (FEM) is the most widely used method for solving problems of engineering and mathematical models. Typical problem areas of interest include the traditional fields of structural analysis, heat transfer, fluid flow, mass transport, and electromagnetic potential. The FEM is a particular numerical method for solving partial differential equations in two or three space variables. To solve a problem, the FEM subdivides a large system into smaller, simpler parts that are called finite elements. This is achieved by a particular space discretization in the space dimensions, which is implemented by the construction of a mesh of the object: the numerical domain for the solution, which has a finite number of points. The finite element method formulation of a boundary value problem finally results in a system of algebraic equations. The method approximates the unknown function over the domain. The simple equations that model these finite elements are then assembled into a larger system of equations that models the entire problem. The FEM then uses variational methods from the calculus of variations to approximate a solution by minimizing an associated error function.

The following is a timeline of numerical analysis after 1945, and deals with developments after the invention of the modern electronic computer, which began during Second World War. For a fuller history of the subject before this period, see timeline and history of mathematics.

Fluid motion is governed by the Navier–Stokes equations, a set of coupled and nonlinear partial differential equations derived from the basic laws of conservation of mass, momentum and energy. The unknowns are usually the flow velocity, the pressure and density and temperature. The analytical solution of this equation is impossible hence scientists resort to laboratory experiments in such situations. The answers delivered are, however, usually qualitatively different since dynamical and geometric similitude are difficult to enforce simultaneously between the lab experiment and the prototype. Furthermore, the design and construction of these experiments can be difficult, particularly for stratified rotating flows. Computational fluid dynamics (CFD) is an additional tool in the arsenal of scientists. In its early days CFD was often controversial, as it involved additional approximation to the governing equations and raised additional (legitimate) issues. Nowadays CFD is an established discipline alongside theoretical and experimental methods. This position is in large part due to the exponential growth of computer power which has allowed us to tackle ever larger and more complex problems.

In mathematics, the walk-on-spheres method (WoS) is a numerical probabilistic algorithm, or Monte-Carlo method, used mainly in order to approximate the solutions of some specific boundary value problem for partial differential equations (PDEs). The WoS method was first introduced by Mervin E. Muller in 1956 to solve Laplace's equation, and was since then generalized to other problems.

The proper generalized decomposition (PGD) is an iterative numerical method for solving boundary value problems (BVPs), that is, partial differential equations constrained by a set of boundary conditions.

In mathematics, Anderson acceleration, also called Anderson mixing, is a method for the acceleration of the convergence rate of fixed-point iterations. Introduced by Donald G. Anderson, this technique can be used to find the solution to fixed point equations often arising in the field of computational science.

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