4/14/2013

OVERVIEW
Numerical analysis is the study • Babylonian tablet YBC 7289
of algorithms for the problems of
continuous mathematics.
Numerical analysis continues
long tradition of practical
mathematical calculations.
Numerical analysis naturally
finds applications in all fields of
engineering and the physical
sciences, but in the 21st century,
the life sciences and even the arts
have adopted elements of
scientific computations.

Engr. Kristine P. Ortega

OVERVIEW GENERAL INTRODUCTION

SOME APPLICATIONS:
•ordinary differential equations appear in the
movement of heavenly bodies
•optimization occurs in portfolio management
•numerical linear algebra is essential to
quantitative psychology
•stochastic differential equations and Markov
chains are essential in simulating living cells for
medicine and biology
Numerical Analysis overall goal is the design
and analysis of techniques to give approximate
solutions to hard problems.
CONSIDER SOME PROBLEMS AND METHODS:
•If a company wants to put a toothpaste commercial on
television, it might produce five commercials and then
choose the best one by testing each one on a focus
group. This would be an example of a Monte Carlo
optimization method.

Engr. Kristine P. Ortega Engr. Kristine P. Ortega

GENERAL INTRODUCTION GENERAL INTRODUCTION

•To send a rocket to the moon, rocket scientists will •Airlines use sophisticated optimization
need a rocket simulator. This simulator will essentially
be an integrator for an ordinary differential equation.
algorithms to decide ticket prices, airplane and
•Car companies can improve the crash safety of their crew assignments and fuel needs. This field is
vehicles by using computer simulations of car crashes. also called operations research.
These simulations are essentially solving partial •Insurance companies use numerical programs
differential equations numerically.
for actuarial analysis
•Hedge funds (private investment funds) use tools from
all fields of numerical analysis to calculate the value of
stocks and derivatives more precisely than other
market participants.
Engr. Kristine P. Ortega Engr. Kristine P. Ortega

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HISTORY
•The field of numerical analysis predates the
invention of modern computers by many
centuries.
•To facilitate computations by hand, large books
were produced with formulas and tables of data
such as interpolation points and function
coefficients.
•The mechanical calculator was also developed
as a tool for hand computation.
Engr. Kristine P. Ortega
DISCRETIZATION
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.
Engr. Kristine P. Ortega
THE GENERATION AND PROPAGATION OF
ERRORS
Discretization induces a discretization error
because the solution of the discrete problem does
not coincide with the solution of the continuous
problem.
•Numerical stability and well posedness
An algorithm is numerically stable if an error,
once it is generated, does not grow too much
during the calculation.
An algorithm that solves a well-conditioned
problem may or may not be numerically stable.
Engr. Kristine P. Ortega
4/14/2013
DIRECT AND ITERATIVE METHODS
Direct methods compute the solution to a
problem in a finite number of steps.
Iterative methods form successive
approximations that converge to the exact
solution only in the limit.
Engr. Kristine P. Ortega
THE 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 finite-state
machine.
•Truncation and discretization error
Truncation errors are committed when an iterative
method is terminated and the approximate solution
differs from the exact solution.
Engr. Kristine P. Ortega
AREAS OF STUDY
Seven core areas:
• Nonlinear equations
– Finding the zeros of a given function. The problem
translates into finding the roots of the equation,
or the points along the x-axis where the function
crosses. The roots may exist as real numbers. In
cases where the real roots do not exist, there are
corresponding imaginary roots.
Engr. Kristine P. Ortega
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AREAS OF STUDY AREAS OF STUDY

• System of linear equations
– Often encountered in various science and
engineering problems. The problem arises
frequently as the original problem reduces to
linear equations at some stage in the solution. For
example, mesh modeling using the finite-element
method in a fluid dynamics results in a system of
hundreds of linear equations. As the size of the
matrix in this problem is large, the solution needs
to be tackled using a fast numerical method.
Engr. Kristine P. Ortega
• Interpolation and approximation
– curve fitting problems that contribute in things
like designing the surface of an aircraft. The
techniques are also applied in other problems,
such as forecasting, pattern matching, and
routing.
Engr. Kristine P. Ortega

AREAS OF STUDY AREAS OF STUDY

• Differentiation and integration
– fundamental topics that arise in many problems.
Good approximations are needed to these two
topics as their exact values may not be easy to
obtain.
• Eigenvalues and eigenvectors
• Ordinary differential equations
– Arise in modeling and simulation. Exact solutions
are difficult to obtain as the models are subject to
variation because of the presence of constraints
and nonlinear factors. Therefore, numerical
methods are needed in their successful
implementation.

Engr. Kristine P. Ortega Engr. Kristine P. Ortega

AREAS OF STUDY
• Partial differential equations
– Modeling and simulation involving partial
differential equations commonly use numerical
techniques as their fundamental elements.
Numerical methods contribute to provide the
desired solutions in most cases as the exact
solutions are not practical for implementation on
the computer.

Engr. Kristine P. Ortega