NULecture1 PDF

Department of Mathematics
Amer Rasheed
Lecture 1
Numerical Analysis
Math344, Math541
Amer Rasheed (MATH344) Department of Mathematics 1 / 36

Course
Course Evaluations
Theory Assignments : 15 Marks
Programming Assignments : 15 marks
Mid Term : 30 marks
Final Exam : Theory = 30 Marks + Project = 10 marks

Course Outlines
Course Outlines
Introduction to course, Brief History, Error Analysis

Solution of Non-linear Equations
Interpolation and polynomial Approximation
Numerical Differentiation
Numerical Integration
Iterative methods for the solution of Linear Systems
Eigenvalue problems
Solutions of Ordinary Differential Equations using numerical tech-
niques
Finite difference methods for Ordinary/Partial Differential Equations
Finite Element Methods for Boundary Value Problems

Recommended Books
Recommended Books
Elementary Numerical Analysis, Atkinson and Han

Numerical Analysis, Burden and Faires
A First Course in the Numerical Analysis of Differential Equa-
tions, Arieh Iserles
Numerical solutions of partial differential equations by the fi-
nite element method, Claes Johnson
Finite Element Methods and Their Applications Zhangxin Chen
The Finite Element Methods for Elliptic Problems Philippe G.

Ciarlet

Motivations
Motivations
Can one finds the roots of the equations of type
ex 2x2 + 3 = 0.
How to find integral

Z Z
2
sin xdx, ex dx

Motivations
Motivations
How to fit a polynomial (function) to given data
How to find rate of change, derivative, in the following data
x y
1 10
2 12
3 15
4 17
5 21

Motivations
Motivations
How to solve nonlinear differential equations
d2 y dy
+ y = sin y.
dx2 dx
u 2u
+ k 2 = u3 .
t x

Brief History
Brief History
Isaac Newton (16421726)

Root finding techniques, Interpolation for function approximations,
Numerical differentiation and Integration
Leonhard Euler (17071783)

Numerical Differentiation and Solving ODEs
Joseph Loius Lagrange (17361813)

Interpolation of functions
Karl Friedrich Gauss (17771855)

Numerical Integration

Modern Techniques
Modern Techniques
Finite Difference Methods

Richard Courant, Kurt Friedrich and Hans Lewy (CFL) (1928)
Finite Element Methods
Lord Rayleigh (1894), Ritz (1908), Galerkin (1908), Courant (1943),
Faedo (1949), Argyris and Clough (1960), Philippe G Ciarlet (1970).

Error Analysis Absolute and Relative Errors
Error Analysis
Absolute Error and Relative Error
Suppose that p is an approximation to p.
Absolute Error : denoted by Ep , is defined by
Ep = p p
Relative Error : denoted by Rp , is defined by
p p Ep
Rp = = , p 6= 0.
p p

Error Analysis
Absolute Error is the amount of physical error in a measurement.
Lets, say, a meter stick is used to measure a given distance. The

error is rather hastily made, but it is good to 1mm. This is the
absolute error of the measurement.

Error Analysis
Relative Error gives an indication of how good a measurement is relative

to the size of the thing being measured.
Lets say that two students measure two objects with a meter stick. One
student measures the height of a room and gets a value of 3.215 me-
ters 1mm (0.001m). Another student measures the height of a small
cylinder and measures 0.075 meters 1mm (0.001m). Clearly, the ove-
rall accuracy of the ceiling height is much better than that of the 7.5cm
cylinder. The comparative accuracy of these measurements can be de-
termined by looking at their relative errors
0.001
Rceiling = 100 = 0.0003%
3.125
0.001
Rcylinder = 100 = 0.01%
0.075

Error Analysis
Definition : The number p is said to approximate p to d significant

digits, if d is the largest positive integer for which
|p p| 10d

|p| 2
or
10d
|Rp |
2

Error Analysis
Example : Number of significant digits

103
1). |Rp | = 0.0004896 = 0.4896 103 < , d=3
2
100
2). |Rp | = 0.2561 = 0.2561 100 < , d=0
2

Error Analysis Truncation Errors
Truncation Errors
The notion of the truncation errors usually refers to errors introduced

when a more complicated mathematical expression is replaced with a
more elementary formula (truncated Taylors series).
e.g. the Taylors series about x = 0
2 x4 x6 x2n
e x = 1 + x2 + + + + + ...
2! 3! n!
might be replaced with the finite number of terms while approximating
2
integral of ex numerically.

Truncation Errors
Given that
Z 1/2
2
ex dx = 0.544987104184 = p, (true value)
0
Determine the accuracy of the approximations obtained by replacing

the integrand with a truncated Taylors series
x4 x6 x8
P8 (x) = 1 + x2 + + +
2! 3! 4!
After calculations, we get
Z 1/2
P8 (x)dx = 0.544986720817 = p , (approx. value)
0

Truncation Errors
since
106
|Rp | = 7.03442 107
2

The approximation p agrees with the true value p to six significant
digits.

Error Analysis Chopping Off & Rounding Off Errors
Chopping Off & Rounding Off Errors
Normalized Decimal Form Any real number p can be expressed in a

form
p = 0.d1 d2 d3 . . . dk dk+1 10n
where 1 d1 9 & 0 dk 9, for k > 1, & nZ

The chopped floating point representation of p, denoted by flchop (p), is

defined by
flchop (p) = 0.d1 d2 d3 . . . dk 10n
where 1 d1 9 & 0 dj 9, for 1 < j k, & nZ

Note : kth digit of flchop (p) agrees with kth digit of p.

The rounded floating point representation of p, denoted by flround (p), is

defined by
flround (p) = 0.d1 d2 d3 . . . rk 10n
where 1 d1 9 & 0 dj 9, for 1 < j k, & nZ

and the last digit rk is obtained by rounding off the number
dk .dk+1 dk+2 . . .
to the nearest integer.

Example
22
= = 3.142857142857142857
7
has the following six-digit representations
flchop () = 0.314285 101

flround () = 0.314286 101

Error Analysis Loss of Significance
Loss of Significance
LoS is an undesirable error in calculations using floating point arithe-

matic. It occurs when an operation on two numbers increases relative
error substantially more than the absolute error, e.g., in subtracting two
nearly equal numbers.
The number of significant digits in this case reduce unacceptably.
How to avoid LoS ... ?

Example 1
Compare the results of calculating f (500) and g(500) using 6-digits
rounding off calculations with the true value 11.174755300747, where

f (x) = x x+1 x
x
g(x) =
x+1+ x
After computations
f (500) = 11.1500, & g(500) = 11.1748
g(x) gives more accurate estimate.
Note : f and g are algebraically equivalent functions.

Example 2
Compare the results of calculating f (0.01) and g(0.01) using 6-digits
rounding off calculations with the true value 0.50167084168057542,
where
ex 1 x
f (x) =
x2
1 x x2
g(x) = + +
2 6 24
After computations
f (0.01) = 0.500000, & g(0.01) = 0.501671
g(x) gives more accurate estimate.
Note : g is the Taylors expansion of f .

Example 3
For polynomial evaluations, the rearrangement of terms would
sometimes produce better results
P (x) = x3 3x2 + 3x 1
Q(x) = ((x 3)x + 3) x 1
Use 3-digits rounding arithematic to compute P (2.19) and Q(2.19).
Compare with true value 1.685159.
After computations
P (2.19) = 1.67, & Q(2.19) = 1.69
Q(x) gives more accurate estimate.

Propagation of Errors Error Propagation in SUM
Propagation of Errors
How errors propagate in the successive computations ?
Let p is an approximation to p and q is an approximation to q. Then

we can write
p = p + p & q = q + q
where p is absolute error in p and q is absolute error in q.
Error Propagation in SUM
p + q = (p + p ) + (q + q )
p + q = (p + q ) + (p + q )
Thus for addition, the error in the sum is the sum of errors of the
addends.
Propagation of Errors Error Propagation in Product
Error Propagation in Product
pq = (p + p )(q + q )
pq = p q + p q + q p + p q
If p and q are greater than 1 in absolute values, then there might be

magnification of errors due to terms p q and q p .
We should investigate the relative error of the product pq
pq p q = p q + q p + p q
pq p q p q q p p q
= + +
pq pq pq pq
p q
Suppose that 1, 1 and Rp Rq 0
p q

Error Propagation in Product
pq p q p q q p p q
= + +
pq pq pq pq
pq p q q p
= +
pq q p
pq p q
= Rp + Rq (1)
pq
Thus the relative error in the product is the sum of relative errors in p
and q .

Exercise : How error propagate in

p
1).
q
2). pqr

Order of Approximation
Definition : Assume that f (h) is approximated by the function p(h) and

that there exists a real constant M > 0 and a positive integer n, so that
|f (h) p(h)|
< M, for sufficiently small h
|hn |
or
|f (h) p(h)| < M |hn |
we say that p(h) approximates f (h) with order of approximation O(hn )
and write
f (h) = p(h) + O(hn )
The term O(hn ) is pronounced as oh of hn

Properties of O(hn )
1). O(hn ) + O(hn ) = O(hn )
2). O(hp ) + O(hq ) = O(hr ), r = min{p, q}
3). O(hp )O(hq ) = O(hs ), s=p+q

Theorem
Assume that
f (h) = p(h) + O(hn ) & g(h) = q(h) + O(hm )
and p = min{n, m}. Then
1). f (h) + g(h) = p(h) + q(h) + O(hp )
2). f (h)g(h) = p(h)q(h) + O(hp )

f (h) p(h)
3). = + O(hp ), g(h) 6= 0 & q(h) 6= 0.
g(h) q(h)

Taylors Theorem
Taylors Theorem
Theorem
Assume that f C n+1 [a, b]. If both x0 and x0 + h lie in [a, b]. Then
n
X f k (x0 )
f (x0 + h) = hk + O(hn+1 ).
k!
k=0
Example
Taylors expansion of O(h4 ) about x0 = 0 of ex is
h2 h3
eh = 1 + h + + + O(h4 )
2! 3!

Example
Consider the Taylors expansions
h2 h3
eh = 1 + h + + + O(h4 )
2! 3!
h2 h4
cos h = 1
+ + O(h6 )
2! 4!
Determine the order of approximations of their SUM and PRODUCT.

Order of Convergence
The order of convergence of a sequence is analogous to the order of
approximation.
Definition : Assume that lim xn = x and {rn }
n=1 is a sequence with
n
lim rn = 0. We say that {xn }
n=1 converges to x with the order of
n
convergence O(rn ), if there exists a constant K > 0 such that
|xn x|
< K, for sufficiently large n
|rn |
or
|xn x| < K|rn |
This is indicated by writing
xn = x + O(rn )
or xn x with order of convergence O(rn ).

Example
Determine the order of convergence of the sequence

cos n
n2
Let
cos n 1
xn = & rn =
n2 n2
As
cos n 1
0 & 0
n2 n2
and
|xn x| cos n/n2
= = | cos n| 1, n
|rn | 1/n2
cos n 1
Thus the sequence 2
converges with O( 2 ).
n n

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Department of Mathematics

Amer Rasheed (MATH344) Department of Mathematics 1 / 36

Theory Assignments : 15 Marks

Programming Assignments : 15 marks

Mid Term : 30 marks

Final Exam : Theory = 30 Marks + Project = 10 marks

Amer Rasheed (MATH344) Department of Mathematics 2 / 36

Introduction to course, Brief History, Error Analysis

Amer Rasheed (MATH344) Department of Mathematics 3 / 36

Elementary Numerical Analysis, Atkinson and Han

The Finite Element Methods for Elliptic Problems Philippe G.

Amer Rasheed (MATH344) Department of Mathematics 4 / 36

Can one finds the roots of the equations of type

Amer Rasheed (MATH344) Department of Mathematics 5 / 36

Amer Rasheed (MATH344) Department of Mathematics 6 / 36

How to solve nonlinear differential equations

Amer Rasheed (MATH344) Department of Mathematics 7 / 36

Isaac Newton (16421726)

Leonhard Euler (17071783)

Joseph Loius Lagrange (17361813)

Karl Friedrich Gauss (17771855)

Amer Rasheed (MATH344) Department of Mathematics 8 / 36

Finite Difference Methods

Amer Rasheed (MATH344) Department of Mathematics 9 / 36

Suppose that p is an approximation to p.

Absolute Error : denoted by Ep , is defined by

Relative Error : denoted by Rp , is defined by

Amer Rasheed (MATH344) Department of Mathematics 10 / 36

Absolute Error is the amount of physical error in a measurement.

Lets, say, a meter stick is used to measure a given distance. The

Amer Rasheed (MATH344) Department of Mathematics 11 / 36

Relative Error gives an indication of how good a measurement is relative

Amer Rasheed (MATH344) Department of Mathematics 12 / 36

Definition : The number p is said to approximate p to d significant

Amer Rasheed (MATH344) Department of Mathematics 13 / 36

Example : Number of significant digits

Amer Rasheed (MATH344) Department of Mathematics 14 / 36

The notion of the truncation errors usually refers to errors introduced

Amer Rasheed (MATH344) Department of Mathematics 15 / 36

Determine the accuracy of the approximations obtained by replacing

Amer Rasheed (MATH344) Department of Mathematics 16 / 36

Amer Rasheed (MATH344) Department of Mathematics 17 / 36

Chopping Off & Rounding Off Errors

Normalized Decimal Form Any real number p can be expressed in a

where 1 d1 9 & 0 dk 9, for k > 1, & nZ

Amer Rasheed (MATH344) Department of Mathematics 18 / 36

Chopping Off & Rounding Off Errors

The chopped floating point representation of p, denoted by flchop (p), is

flchop (p) = 0.d1 d2 d3 . . . dk 10n

where 1 d1 9 & 0 dj 9, for 1 < j k, & nZ

Amer Rasheed (MATH344) Department of Mathematics 19 / 36

Chopping Off & Rounding Off Errors

The rounded floating point representation of p, denoted by flround (p), is

flround (p) = 0.d1 d2 d3 . . . rk 10n

where 1 d1 9 & 0 dj 9, for 1 < j k, & nZ

to the nearest integer.

Amer Rasheed (MATH344) Department of Mathematics 20 / 36

Chopping Off & Rounding Off Errors

has the following six-digit representations

flchop () = 0.314285 101

Amer Rasheed (MATH344) Department of Mathematics 21 / 36

LoS is an undesirable error in calculations using floating point arithe-

The number of significant digits in this case reduce unacceptably.