Lecture 2

Types of Numerical Errors, Error Propagation

Anna Yershova
Department of Computer Science University of Illinois at Urbana-Champaign

August 25, 2011

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Announcements

HW1 https://wiki.engr.illinois.edu/display/cs357fa11/Homework Due on Sep 1st

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Last Time

What is the subject of Numerical Analysis Applications of Numerical Analysis Importance of Error study in Numerical Analysis

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Today

How to measure errors (absolute, relative) Sources of error (input, round-off, truncation) Propagation error Taylor Series (examples of errors) Big-O (bounding errors) Signicant digits (bounding errors)

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Absolute Error
AbsoluteError(a) = ApproximateValue(a ) ExactValue(a)

Example
2

How to measure absolute error without knowing the true value?

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Signicant Digits
Denition
|a| = |a a| 0.5 10t Then, a is said to have t correct decimals. If t > 0, the digits in positions with unit 10t are called signicant digits.

Example

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Signicant Digits
Example

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Absolute Error
AbsoluteError(a) = ApproximateValue(a ) ExactValue(a)

Example
Numerical calculation of derivative of a function f (x)

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Absolute vs Relative Error

AbsoluteError(a) = ApproximateValue(a ) ExactValue(a)

Example
Numerical calculation of derivative of a function f (x) = 3ex/2

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Relative Error
RelativeError a a = AbsoluteError(a ) ExactValue(a)

Example
Numerical calculation of derivative of a function f (x) = 3 106 ex/2

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Relative Error
RelativeError a a = AbsoluteError(a ) ExactValue(a)

Example
2

Often a percentage is given instead

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Today

How to measure errors (absolute, relative) Sources of error (input, round-off, truncation) Propagation error Taylor Series (examples of errors) Big-O (bounding errors) Signicant digits (bounding errors)

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CS 357

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Sources of errors. Input Error

Denition
Input errors are the result of the input data being measured with limited accuracy, or real numbers represented in a computer with a xed number of digits.

Example
Numerical interpolation

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Sources of errors. Rounding Error

Example

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Sources of errors. Truncation Error

Denition
Truncation errors arise when an innite process is replaced by a nite one.

Example
Differentiation

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Truncation Error
Example
Series: Taylor series

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Big O
Denition
f (x) = O(g(x)) if and only if there exists a positive real number M and a real number x0 such that |f (x)| M|g(x)| for all x > x0 .

Example

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Truncation Error
Example
Maclaurin Series: Taylor series with a = 0

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Truncation Error
Example
Maclaurin Series, e4

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Truncation Error
Example
Maclaurin Series, sin x

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Truncation Error
Example
Integration

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Truncation Error vs Rounding Error

Example

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Error Propagation
When approximate values are used in computations, their errors will propagate in the results.

Example

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Error Propagation
Example
Addition, subtraction

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Error Propagation
Example
Multiplication, division

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Error Propagation
Example
Function evaluation, mean value theorem

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Error Propagation
Example
Finite Taylor series

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