7

AN INTRODUCTION TO
NUMERICAL ANALYSIS
Second Edition

Kendall E. Atkinson
University of Iowa

WILEY
John Wiley & Sons
New York Chichester Brisbane Toronto Singapore
 CONTENTS

ONE
ERROR; ITS SOURCES, PROPAGATION,
AND ANALYSIS 3

1.1 Mathematical Preliminaries 3

1.2 Computer Representation of Numbers 11
1.3 Definitions and Sources of Error 17
1.4 Propagation of Errors 23
1.5 Errors in Summation 29
1.6 Stability in Numerical Analysis 34
Discussion of the Literature 39
Problems 43

TWO
ROOTFINDING FOR NONLINEAR EQUATIONS 53
2.1 The Bisection Method 56
2.2 Newton's Method 58
2.3 The Secant Method 65
2.4 Muller's Method 73
2.5 A General Theory for One-Point Iteration Methods 76
2.6 Aitken Extrapolation for Linearly Convergent Sequences 83
2.7 The Numerical Evaluation of Multiple Roots 87
2.8 Brent's Rootfinding Algorithm 91
2.9 Roots of Polynomials 94
2.10 Systems of Nonlinear Equations 103
2.11 Newton's Method for Nonlinear Systems 108
2.12 Unconstrained Optimization 111
Discussion of the Literature 114
Problems 117

THREE
INTERPOLATION THEORY 131
3.1 Polynomial Interpolation Theory 131
3.2 Newton Divided Differences 138
<,

xiii
Xiv CONTENTS

3.3 Finite Differences and Table-Oriented Interpolation Formulas 147

3.4 Errors in Data and Forward Differences 151
3.5 Further Results on Interpolation Error 154
3.6 Hermite Interpolation 159
3.7 Piecewise Polynomial Interpolation 163
3.8 Trigonometric Interpolation 176
Discussion of the Literature 183
Problems 185

FOUR
APPROXIMATION O F FUNCTIONS 197
4.1 The Weierstrass Theorem and Taylor's Theorem
4.2 The Minimax Approximation Problem
4.3 The Least Squares Approximation Problem
4.4 Orthogonal Polynomials
4.5 The Least Squares Approximation Problem (continued)
4.6 Minimax Approximations
4.7 Near-Minimax Approximations
Discussion of the Literature
Problems

FIVE
NUMERICAL INTEGRATION
5.1 The Trapezoidal Rule and Simpson's Rule
5.2 Newton-Cotes Integration Formulas
53 Gaussian Quadrature
5.4 Asymptotic Error Formulas and Their Applications
5.5 Automatic Numerical Integration
5.6 Singular Integrals
5.7 Numerical Differentiation
Discussion of the Literature
Problems

SIX
NUMERICAL METHODS FOR ORDINARY
DIFFERENTIAL EQUATIONS
6.1 Existence, Uniqueness, and Stability Theory
6.2 Euler's Method
6.3 Multistep Methods
6.4 The Midpoint Method
6.5 The Trapezoidal Method
6.6 A Low-Order Predictor-Corrector Algorithm
 CONTENTS XV

6.7 Derivation of Higher Order Multistep Methods 381

6.8 Convergence and Stability Theory for Multistep Methods 33>4
6.9 Stiff Differential Equations and the Method of Lines . 409
6.10 Single-Step and Runge-Kutta Methods 418
6.11 Boundary Value Problems 433
Discussion of the Literature 444
Problems 450

SEVEN
LINEAR ALGEBRA 463
7.1 Vector Spaces, Matrices, and Linear Systems 463
7.2 Eigenvalues and Canonical Forms for Matrices 471
7.3 Vector and Matrix Norms 480
7.4 Convergence and Perturbation Theorems 490
Discussion of the Literature 495
Problems 496

EIGHT
NUMERICAL SOLUTION OF SYSTEMS
OF LINEAR EQUATIONS 507

8.1 Gaussian Elimination 508

8.2 Pivoting and Scaling in Gaussian Elimination 515
8.3 Variants of Gaussian Elimination 522
8.4 Error Analysis 529
8.5 The Residual Correction Method 540
8.6 Iteration Methods 544
8.7 Error Prediction and Acceleration 552
8.8 The Numerical Solution of Poisson's Equation 557
8.9 The Conjugate Gradient Method 562
Discussion of the Literature 569
Problems 574

NINE
THE MATRIX EIGENVALUE PROBLEM 587
9.1 Eigenvalue Location, Error, and Stability Results 588
9.2 The Power Method 602
9.3 Orthogonal Transformations Using Householder Matrices 609
9.4 The Eigenvalues of a Symmetric Tridiagonal Matrix 619
9.5 The QR Method 623
9.6 The Calculation of Eigenvectors and Inverse Iteration 628
9.7 Least Squares Solution of Linear Systems 633
Discussion of the Literature 645
Problems 648
XVI CONTENTS

APPENDIX:
MATHEMATICAL SOFTWARE 661
ANSWERS TO SELECTED EXERCISES 667
INDEX 683