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Introduction
Sources of Error
2.2.3 Exceptions
2.3 Truncation error
2.4 Iterative Methods
2.5 Statistical error in Monte Carlo
2.6 Error propagation and ampliﬁcation
2.7. CONDITION NUMBER AND ILL CONDITIONED PROBLEMS 15
2.7 Condition number and ill conditioned prob-
2.8 Software
2.8.1 Floating point numbers are (almost) never equal
2.8.2 Plotting
2.10 Exercises
Local Analysis
3.1 Taylor series and asymptotic expansions
3.1.1 Technical points
3.2 Numerical Diﬀerentiation
3.2.1 Mixed partial derivatives
3.3 Error Expansions and Richardson Extrapo-
3.3.1 Richardson extrapolation
3.3.2 Convergence analysis
3.4 Integration
3.5 The method of undetermined coeﬃcients
3.7 Software
3.7.1 Flexible programming
3.7.2 Modular programming
3.7.3 Report failure
3.9 Exercises
4.1 Introduction
4.2 Review of linear algebra
4.2.1 Vector spaces
4.2.2 Matrices and linear transformations
4.2.3 Vector norms
4.2.4 Norms of matrices and linear transformations
4.2.5 Eigenvalues and eigenvectors
4.2.6 Diﬀerentiation and perturbation theory
4.2.7 Variational principles for the symmetric eigenvalue problem
4.2.8 Least squares
4.2.9 Singular values and principal components
4.3 Condition number
4.3.1 Linear systems, direct estimates
4.3.2 Linear systems, perturbation theory
4.3.3 Eigenvalues and eigenvectors
4.4 Software
4.4.1 Software for numerical linear algebra
4.4.2 Test condition numbers
4.6 Exercises
5.1 Introduction
5.2 Gauss elimination and the LU decomposi-
5.3 Choleski factorization
5.5 Projections and orthogonalization
5.6 Rank and conditioning of a basis set
5.7 Software: Performance and cache manage-
5.8 References and resources
5.9 Exercises
6.1 Introduction
6.2 Solving a single nonlinear equation
6.2.1 Bisection
6.2.2 Newton’s method for a nonlinear equation
6.3 Newton’s method in more than one dimen-
6.3.1 Quasi-Newton methods
6.4 One variable optimization
6.5. NEWTON’S METHOD FOR LOCAL OPTIMIZATION 121
6.5 Newton’s method for local optimization
6.6 Safeguards and global optimization
6.7 Gradient descent and iterative methods
6.7.1 Gauss Seidel iteration
6.9 Exercises
Approximating Functions
7.1 Polynomial interpolation
7.1.1 Vandermonde theory
7.1.2 Newton interpolation formula
7.1.3 Lagrange interpolation formula
7.2 Discrete Fourier transform
7.2.1 Fourier modes
7.2.2 The DFT
7.2.3 FFT algorithm
7.2.4 Trigonometric interpolation
7.3 Software
7.4 References and Resources
7.5 Exercises
8.1. TIME STEPPING AND THE FORWARD EULER METHOD 155
8.1 Time stepping and the forward Euler method
8.2 Runge Kutta methods
8.3 Linear systems and stiﬀ equations
8.5 Multistep methods
8.6 Implicit methods
8.7 Computing chaos, can it be done?
8.8 Software: Scientiﬁc visualization
8.10 Exercises
Monte Carlo methods
9.1 Quick review of probability
9.2 Random number generators
9.3 Sampling
9.3.1 Bernoulli coin tossing
9.3.2 Exponential
9.3.3 Using the distribution function
9.3.4 The Box Muller method
9.3.5 Multivariate normals
9.3.6 Rejection
9.3.7 Histograms and testing
9.4 Error bars
9.5 Software: performance issues
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Principles of Scientific Computing

# Principles of Scientific Computing

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This book grew out of a one semester rst course in Scientic Computing
for graduate students at New York University. It covers the basics that anyone
doing scientic computing needs to know. In my view, these are: some mathematics,
the most basic algorithms, a bit about the workings of a computer,
and an idea how to build and use software for scientic computing applications.
Students who have taken Scientic Computing are prepared for more specialized
classes such as Computational Fluid Dynamics or Computational Statistics.
This book grew out of a one semester rst course in Scientic Computing
for graduate students at New York University. It covers the basics that anyone
doing scientic computing needs to know. In my view, these are: some mathematics,
the most basic algorithms, a bit about the workings of a computer,
and an idea how to build and use software for scientic computing applications.
Students who have taken Scientic Computing are prepared for more specialized
classes such as Computational Fluid Dynamics or Computational Statistics.

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