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You are on page 1of 36

Amer Rasheed

Lecture 1

Numerical Analysis

Math344, Math541

Course

Course Evaluations

Course Outlines

Course Outlines

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

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

Ciarlet

Motivations

Motivations

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

d2 y dy

+ y = sin y.

dx2 dx

u 2u

+ k 2 = u3 .

t x

Brief History

Brief History

Root finding techniques, Interpolation for function approximations,

Numerical differentiation and Integration

Numerical Differentiation and Solving ODEs

Interpolation of functions

Numerical Integration

Modern Techniques

Modern Techniques

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

Ep = p p

p p Ep

Rp = = , p 6= 0.

p p

Error Analysis Absolute and Relative Errors

Error Analysis

Absolute Error and Relative Error

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

absolute error of the measurement.

Error Analysis Absolute and Relative Errors

Error Analysis

Absolute Error and Relative Error

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 Absolute and Relative Errors

Error Analysis

Absolute Error and Relative Error

digits, if d is the largest positive integer for which

|p p| 10d

|p| 2

or

10d

|Rp |

2

Error Analysis Absolute and Relative Errors

Error Analysis

Absolute Error and Relative Error

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

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.

Error Analysis Truncation Errors

Truncation Errors

Given that

Z 1/2

2

ex dx = 0.544987104184 = p, (true value)

0

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

Error Analysis Truncation Errors

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

form

p = 0.d1 d2 d3 . . . dk dk+1 10n

Error Analysis Chopping Off & Rounding Off Errors

defined by

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

Error Analysis Chopping Off & Rounding Off Errors

defined by

and the last digit rk is obtained by rounding off the number

dk .dk+1 dk+2 . . .

Error Analysis Chopping Off & Rounding Off Errors

Example

22

= = 3.142857142857142857

7

flround () = 0.314286 101

Error Analysis Loss of Significance

Loss of Significance

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.

Error Analysis Loss of Significance

Loss of Significance

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

Error Analysis Loss of Significance

Loss of Significance

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

Amer Rasheed (MATH344) Department of Mathematics 24 / 36

Error Analysis Loss of Significance

Loss of Significance

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

Propagation of Errors Error Propagation in SUM

Propagation of Errors

we can write

p = p + p & q = q + q

where p is absolute error in p and q is absolute error in q.

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.

Amer Rasheed (MATH344) Department of Mathematics 26 / 36

Propagation of Errors Error Propagation in Product

Propagation of Errors

Error Propagation in Product

pq = (p + p )(q + q )

pq = p q + p q + q p + p q

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

Propagation of Errors Error Propagation in Product

Propagation of Errors

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 .

Propagation of Errors Error Propagation in Product

Propagation of Errors

p

1).

q

2). pqr

Order of Approximation

Order of Approximation

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

Order of Approximation

Order of Approximation

Properties of O(hn )

Order of Approximation

Order of Approximation

Theorem

Assume that

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!

Order of Approximation

Order of Approximation

Example

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

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 )

Amer Rasheed (MATH344) Department of Mathematics 35 / 36

Order of Convergence

Order of Convergence

Example

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

Amer Rasheed (MATH344) Department of Mathematics 36 / 36

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