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Version 0.11

(UCSD Math 174, Fall 2004)

Steven E. Pav

1

October 13, 2005

1

Department of Mathematics, MC0112, University of California at San Diego, La Jolla, CA 92093-0112.

<spav@ucsd.edu> This document is Copyright c 2004 Steven E. Pav. Permission is granted to copy,

distribute and/or modify this document under the terms of the GNU Free Documentation License, Version

1.2 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-

Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled ”GNU Free

Documentation License”.

2

Preface

These notes were originally prepared during Fall quarter 2003 for UCSD Math 174, Numerical

Methods. In writing these notes, it was not my intention to add to the glut of Numerical Analysis

texts; they were designed to complement the course text, Numerical Mathematics and Computing,

Fourth edition, by Cheney and Kincaid [7]. As such, these notes follow the conventions of that

text fairly closely. If you are at all serious about pursuing study of Numerical Analysis, you should

consider acquiring that text, or any one of a number of other ﬁne texts by e.g., Epperson, Hamming,

etc. [3, 4, 5].

3.1

3.2 8.4

3.3

1.4

3.4

1.1

4.2 7.1 10.1

4.3

5.1

5.2

7.2

8.3

8.2

9.1

9.2 9.3

10.2

10.3

Figure 1: The chapter dependency of this text, though some dependencies are weak.

Special thanks go to the students of Math 174, 2003–2004, who suﬀered through early versions

of these notes, which were riddled with (more) errors.

Revision History

0.0 Transcription of course notes for Math 174, Fall 2003.

0.1 As used in Math 174, Fall 2004.

0.11 Added material on functional analysis and Orthogonal Least Squares.

Todo

• More homework questions and example problems.

• Chapter on optimization.

• Chapters on basic ﬁnite diﬀerence and ﬁnite element methods?

• Section on root ﬁnding for functions of more than one variable.

i

ii

Contents

Preface i

1 Introduction 1

1.1 Taylor’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

1.2 Loss of Signiﬁcance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

1.3 Vector Spaces, Inner Products, Norms . . . . . . . . . . . . . . . . . . . . . . . . . . 5

1.3.1 Vector Space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

1.3.2 Inner Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

1.3.3 Norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

1.4 Eigenvalues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

1.4.1 Matrix Norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

2 A “Crash” Course in octave/Matlab 13

2.1 Getting Started . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

2.2 Useful Commands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

2.3 Programming and Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

2.3.1 Logical Forks and Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

2.4 Plotting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24

3 Solving Linear Systems 25

3.1 Gaussian Elimination with Na¨ıve Pivoting . . . . . . . . . . . . . . . . . . . . . . . . 25

3.1.1 Elementary Row Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

3.1.2 Algorithm Terminology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

3.1.3 Algorithm Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28

3.2 Pivoting Strategies for Gaussian Elimination . . . . . . . . . . . . . . . . . . . . . . 29

3.2.1 Scaled Partial Pivoting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

3.2.2 An Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

3.2.3 Another Example and A Real Algorithm . . . . . . . . . . . . . . . . . . . . . 32

3.3 LU Factorization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33

3.3.1 An Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

3.3.2 Using LU Factorizations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

3.3.3 Some Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

3.3.4 Computing Inverses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

3.4 Iterative Solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

3.4.1 An Operation Count for Gaussian Elimination . . . . . . . . . . . . . . . . . 37

iii

iv CONTENTS

3.4.2 Dividing by Multiplying . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

3.4.3 Impossible Iteration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40

3.4.4 Richardson Iteration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40

3.4.5 Jacobi Iteration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

3.4.6 Gauss Seidel Iteration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

3.4.7 Error Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

3.4.8 A Free Lunch? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

4 Finding Roots 49

4.1 Bisection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

4.1.1 Modiﬁcations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

4.1.2 Convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50

4.2 Newton’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50

4.2.1 Implementation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

4.2.2 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

4.2.3 Convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

4.2.4 Using Newton’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

4.3 Secant Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

4.3.1 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

4.3.2 Convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

5 Interpolation 63

5.1 Polynomial Interpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

5.1.1 Lagranges Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

5.1.2 Newton’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

5.1.3 Newton’s Nested Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66

5.1.4 Divided Diﬀerences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

5.2 Errors in Polynomial Interpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

5.2.1 Interpolation Error Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

5.2.2 Interpolation Error for Equally Spaced Nodes . . . . . . . . . . . . . . . . . . 73

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75

6 Spline Interpolation 79

6.1 First and Second Degree Splines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79

6.1.1 First Degree Spline Accuracy . . . . . . . . . . . . . . . . . . . . . . . . . . . 80

6.1.2 Second Degree Splines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81

6.1.3 Computing Second Degree Splines . . . . . . . . . . . . . . . . . . . . . . . . 82

6.2 (Natural) Cubic Splines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82

6.2.1 Why Natural Cubic Splines? . . . . . . . . . . . . . . . . . . . . . . . . . . . 83

6.2.2 Computing Cubic Splines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84

6.3 B Splines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87

CONTENTS v

7 Approximating Derivatives 89

7.1 Finite Diﬀerences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89

7.1.1 Approximating the Second Derivative . . . . . . . . . . . . . . . . . . . . . . 91

7.2 Richardson Extrapolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91

7.2.1 Abstracting Richardson’s Method . . . . . . . . . . . . . . . . . . . . . . . . . 92

7.2.2 Using Richardson Extrapolation . . . . . . . . . . . . . . . . . . . . . . . . . 93

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95

8 Integrals and Quadrature 97

8.1 The Deﬁnite Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97

8.1.1 Upper and Lower Sums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97

8.1.2 Approximating the Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99

8.1.3 Simple and Composite Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . 99

8.2 Trapezoidal Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100

8.2.1 How Good is the Composite Trapezoidal Rule? . . . . . . . . . . . . . . . . . 101

8.2.2 Using the Error Bound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103

8.3 Romberg Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104

8.3.1 Recursive Trapezoidal Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106

8.4 Gaussian Quadrature . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107

8.4.1 Determining Weights (Lagrange Polynomial Method) . . . . . . . . . . . . . . 107

8.4.2 Determining Weights (Method of Undetermined Coeﬃcients) . . . . . . . . . 108

8.4.3 Gaussian Nodes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109

8.4.4 Determining Gaussian Nodes . . . . . . . . . . . . . . . . . . . . . . . . . . . 110

8.4.5 Reinventing the Wheel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

9 Least Squares 117

9.1 Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117

9.1.1 The Deﬁnition of Ordinary Least Squares . . . . . . . . . . . . . . . . . . . . 117

9.1.2 Linear Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118

9.1.3 Least Squares from Basis Functions . . . . . . . . . . . . . . . . . . . . . . . 119

9.2 Orthonormal Bases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121

9.2.1 Alternatives to Normal Equations . . . . . . . . . . . . . . . . . . . . . . . . 122

9.2.2 Ordinary Least Squares in octave/Matlab . . . . . . . . . . . . . . . . . . . . 124

9.3 Orthogonal Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124

9.3.1 Computing the Orthogonal Least Squares Approximant . . . . . . . . . . . . 128

9.3.2 Principal Component Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . 129

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132

10 Ordinary Diﬀerential Equations 135

10.1 Elementary Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135

10.1.1 Integration and ‘Stepping’ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136

10.1.2 Taylor’s Series Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136

10.1.3 Euler’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137

10.1.4 Higher Order Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137

10.1.5 Errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138

10.1.6 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138

10.1.7 Backwards Euler’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141

vi CONTENTS

10.2 Runge-Kutta Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143

10.2.1 Taylor’s Series Redux . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144

10.2.2 Deriving the Runge-Kutta Methods . . . . . . . . . . . . . . . . . . . . . . . 144

10.2.3 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146

10.3 Systems of ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146

10.3.1 Larger Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147

10.3.2 Recasting Single ODE Methods . . . . . . . . . . . . . . . . . . . . . . . . . . 147

10.3.3 It’s Only Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149

10.3.4 It’s Only Autonomous Systems . . . . . . . . . . . . . . . . . . . . . . . . . . 150

Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154

A Old Exams 157

A.1 First Midterm, Fall 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157

A.2 Second Midterm, Fall 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158

A.3 Final Exam, Fall 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159

A.4 First Midterm, Fall 2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161

A.5 Second Midterm, Fall 2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162

A.6 Final Exam, Fall 2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164

B GNU Free Documentation License 167

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2. VERBATIM COPYING . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168

3. COPYING IN QUANTITY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168

4. MODIFICATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168

5. COMBINING DOCUMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169

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8. TRANSLATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170

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ADDENDUM: How to use this License for your documents . . . . . . . . . . . . . . . . . 170

Bibliography 171

Chapter 1

Introduction

1.1 Taylor’s Theorem

Recall from calculus the Taylor’s series for a function, f(x), expanded about some number, c, is

written as

f(x) ∼ a

0

+a

1

(x −c) +a

2

(x −c)

2

+. . . .

Here the symbol ∼ is used to denote a “formal series,” meaning that convergence is not guaranteed

in general. The constants a

i

are related to the function f and its derivatives evaluated at c. When

c = 0, this is a MacLaurin series.

For example we have the following Taylor’s series (with c = 0):

e

x

= 1 +x +

x

2

2!

+

x

3

3!

+. . .

sin (x) = x −

x

3

3!

+

x

5

5!

−. . .

cos (x) = 1 −

x

2

2!

+

x

4

4!

−. . .

(1.1)

(1.2)

(1.3)

Theorem 1.1 (Taylor’s Theorem). If f(x) has derivatives of order 0, 1, 2, . . . , n+1 on the closed

interval [a, b], then for any x and c in this interval

f(x) =

n

¸

k=0

f

(k)

(c) (x −c)

k

k!

+

f

(n+1)

(ξ) (x −c)

n+1

(n + 1)!

,

where ξ is some number between x and c, and f

k

(x) is the k

th

derivative of f at x.

We will use this theorem again and again in this class. The main usage is to approximate

a function by the ﬁrst few terms of its Taylor’s series expansion; the theorem then tells us the

approximation is “as good” as the ﬁnal term, also known as the error term. That is, we can make

the following manipulation:

1

2 CHAPTER 1. INTRODUCTION

f(x) =

n

¸

k=0

f

(k)

(c) (x −c)

k

k!

+

f

(n+1)

(ξ) (x −c)

n+1

(n + 1)!

f(x) −

n

¸

k=0

f

(k)

(c) (x −c)

k

k!

=

f

(n+1)

(ξ) (x −c)

n+1

(n + 1)!

f(x) −

n

¸

k=0

f

(k)

(c) (x −c)

k

k!

=

f

(n+1)

(ξ)

[x −c[

n+1

(n + 1)!

.

On the left hand side is the diﬀerence between f(x) and its approximation by Taylor’s series.

We will then use our knowledge about f

(n+1)

(ξ) on the interval [a, b] to ﬁnd some constant M such

that

f(x) −

n

¸

k=0

f

(k)

(c) (x −c)

k

k!

=

f

(n+1)

(ξ)

[x −c[

n+1

(n + 1)!

≤ M[x −c[

n+1

.

Example Problem 1.2. Find an approximation for f(x) = sinx, expanded about c = 0, using

n = 3.

Solution: Solving for f

(k)

is fairly easy for this function. We ﬁnd that

f(x) = sin x = sin(0) +

cos(0) x

1!

+

−sin(0) x

2

2!

+

−cos(0) x

3

3!

+

sin(ξ) x

4

4!

= x −

x

3

6

+

sin(ξ) x

4

24

,

so

sin x −

x −

x

3

6

=

sin(ξ) x

4

24

≤

x

4

24

,

because [sin(ξ)[ ≤ 1. ¬

Example Problem 1.3. Apply Taylor’s Theorem for the case n = 1.

Solution: Taylor’s Theorem for n = 1 states: Given a function, f(x) with a continuous derivative

on [a, b], then

f(x) = f(c) +f

t

(ξ)(x −c)

for some ξ between x, c when x, c are in [a, b].

This is the Mean Value Theorem. As a one-liner, the MVT says that at some time during a trip,

your velocity is the same as your average velocity for the trip. ¬

Example Problem 1.4. Apply Taylor’s Theorem to expand f(x) = x

3

−21x

2

+17 around c = 1.

Solution: Simple calculus gives us

f

(0)

(x) = x

3

−21x

2

+ 17,

f

(1)

(x) = 3x

2

−42x,

f

(2)

(x) = 6x −42,

f

(3)

(x) = 6,

f

(k)

(x) = 0.

1.1. TAYLOR’S THEOREM 3

with the last holding for k > 3. Evaluating these at c = 1 gives

f(x) = −3 +−39(x −1) +

−36 (x −1)

2

2

+

6 (x −1)

3

6

.

Note there is no error term, since the higher order derivatives are identically zero. By carrying out

simple algebra, you will ﬁnd that the above expansion is, in fact, the function f(x). ¬

There is an alternative form of Taylor’s Theorem, in this case substituting x + h for x, and x

for c in the more general version. This gives

Theorem 1.5 (Taylor’s Theorem, Alternative Form). If f(x) has derivatives of order 0, 1, . . . , n+

1 on the closed interval [a, b], then for any x in this interval and any h such that x + h is in this

interval,

f(x +h) =

n

¸

k=0

f

(k)

(x) (h)

k

k!

+

f

(n+1)

(ξ) (h)

n+1

(n + 1)!

,

where ξ is some number between x and x +h.

We generally apply this form of the theorem with h → 0. This leads to a discussion on the

matter of Orders of Convergence. The following deﬁnition will suﬃce for this class

Deﬁnition 1.6. We say that a function f(h) is in the class O

h

k

(pronounced “big-Oh of h

k

”)

if there is some constant C such that

[f(h)[ ≤ C [h[

k

for all h “suﬃciently small,” i.e., smaller than some h

∗

in absolute value.

For a function f ∈ O

h

k

we sometimes write f = O

h

k

. We sometimes also write O

h

k

,

meaning some function which is a member of this class.

Roughly speaking, through use of the “Big-O” function we can write an expression without

“sweating the small stuﬀ.” This can give us an intuitive understanding of how an approximation

works, without losing too many of the details.

Example 1.7. Consider the Taylor expansion of ln x:

ln (x +h) = ln x +

(1/x) h

1

+

−1/x

2

h

2

2

+

2/ξ

3

h

3

6

Letting x = 1, we have

ln (1 +h) = h −

h

2

2

+

1

3ξ

3

h

3

.

Using the fact that ξ is between 1 and 1 +h, as long as h is relatively small (say smaller than

1

2

),

the term

1

3ξ

3

can be bounded by a constant, and thus

ln (1 +h) = h −

h

2

2

+O

h

3

.

Thus we say that h −

h

2

2

is a O

h

3

**approximation to ln(1 +h). For example
**

ln(1 + 0.01) ≈ 0.009950331 ≈ 0.00995 = 0.01 −

0.01

2

2

.

4 CHAPTER 1. INTRODUCTION

1.2 Loss of Signiﬁcance

Generally speaking, a computer stores a number x as a mantissa and exponent, that is x = ±r10

k

,

where r is a rational number of a given number of digits in [0.1, 1), and k is an integer in a certain

range.

The number of signiﬁcant digits in r is usually determined by the user’s input. Operations

on numbers stored in this way follow a “lowest common denominator” type of rule, i.e., precision

cannot be gained but can be lost. Thus for example if you add the two quantities 0.171717 and

0.51, then the result should only have two signiﬁcant digits; the precision of the ﬁrst measurement

is lost in the uncertainty of the second.

This is as it should be. However, a loss of signiﬁcance can be incurred if two nearly equal

quantities are subtracted from one another. Thus if I were to direct my computer to subtract

0.177241 from 0.177589, the result would be .34810

−3

, and three signiﬁcant digits have been lost.

This loss is called subtractive cancellation, and can often be avoided by rewriting the expression.

This will be made clearer by the examples below.

Errors can also occur when quantities of radically diﬀerent magnitudes are summed. For exam-

ple 0.1234 + 5.6789 10

−20

might be rounded to 0.1234 by a system that keeps only 16 signiﬁcant

digits. This may lead to unexpected results.

The usual strategies for rewriting subtractive expressions are completing the square, factoring,

or using the Taylor expansions, as the following examples illustrate.

Example Problem 1.8. Consider the stability of

√

x + 1 − 1 when x is near 0. Rewrite the

expression to rid it of subtractive cancellation.

Solution: Suppose that x = 1.2345678 10

−5

. Then

√

x + 1 ≈ 1.000006173. If your computer

(or calculator) can only keep 8 signiﬁcant digits, this will be rounded to 1.0000062. When 1 is

subtracted, the result is 6.2 10

−6

. Thus 6 signiﬁcant digits have been lost from the original.

To ﬁx this, we rationalize the expression

√

x + 1 −1 =

√

x + 1 −1

√

x + 1 + 1

√

x + 1 + 1

=

x + 1 −1

√

x + 1 + 1

=

x

√

x + 1 + 1

.

This expression has no subtractions, and so is not subject to subtractive cancelling. When x =

1.2345678 10

−5

, this expression evaluates approximately as

1.2345678 10

−5

2.0000062

≈ 6.17281995 10

−6

on a machine with 8 digits, there is no loss of precision. ¬

Note that nearly all modern computers and calculators store intermediate results of calculations

in higher precision formats. This minimizes, but does not eliminate, problems like those of the

previous example problem.

Example Problem 1.9. Write stable code to ﬁnd the roots of the equation x

2

+bx +c = 0.

Solution: The usual quadratic formula is

x

±

=

−b ±

√

b

2

−4c

2

Supposing that b c > 0, the expression in the square root might be rounded to b

2

, giving two

roots x

+

= 0, x

−

= −b. The latter root is nearly correct, while the former has no correct digits.

1.3. VECTOR SPACES, INNER PRODUCTS, NORMS 5

To correct this problem, multiply the numerator and denominator of x

+

by −b −

√

b

2

−4c to get

x

+

=

2c

−b −

√

b

2

−4c

Now if b c > 0, this expression gives root x

+

= −c/b, which is nearly correct. This leads to the

pair:

x

−

=

−b −

√

b

2

−4c

2

, x

+

=

2c

−b −

√

b

2

−4c

Note that the two roots are nearly reciprocals, and if x

−

is computed, x

+

can easily be computed

with little additional work. ¬

Example Problem 1.10. Rewrite e

x

−cos x to be stable when x is near 0.

Solution: Look at the Taylor’s Series expansion for these functions:

e

x

−cos x =

¸

1 +x +

x

2

2!

+

x

3

3!

+

x

4

4!

+

x

5

5!

+. . .

−

¸

1 −

x

2

2!

+

x

4

4!

−

x

6

6!

+. . .

= x +x

2

+

x

3

3!

+O

x

5

**This expression has no subtractions, and so is not subject to subtractive cancelling. Note that we
**

propose calculating x + x

2

+ x

3

/6 as an approximation of e

x

− cos x, which we cannot calculate

exactly anyway. Since we assume x is nearly zero, the approximate should be good. If x is very

close to zero, we may only have to take the ﬁrst one or two terms. If x is not so close to zero, we

may need to take all three terms, or even more terms of the expansion; if x is far from zero we

should use some other technique. ¬

1.3 Vector Spaces, Inner Products, Norms

We explore some of the basics of functional analysis which may be useful in this text.

1.3.1 Vector Space

A vector space is a collection of objects together with a binary operator which is deﬁned over an

algebraic ﬁeld.

1

The binary operator allows transparent algebraic manipulation of vectors.

Deﬁnition 1.11. A collection of vectors, 1, with a binary addition operator, +, deﬁned over 1,

and a scalar multiply over the real ﬁeld R, forms a vector space if

1. For each u, v ∈ 1, the sum u+v is a vector in 1. (i.e., the space is “closed under addition.”)

2. Addition is commutative: u +v = v +u for each u, v ∈ 1.

3. For each u ∈ 1, and each scalar α ∈ R the scalar product αu is a vector in 1. (i.e., the space

is “closed under scalar multiplication.”)

4. There is a zero vector 0 ∈ 1 such that for any u ∈ 1, 0u = 0, where 0 is the zero of R.

5. For any u ∈ 1, 1u = u, where 1 is the multiplicative identity of R.

6. For any u, v ∈ 1, and scalars α, β ∈ R, both (α+

R

β)u = αu+βu and α(u +v) = αu+αv

hold, where +

R

is addition in R. (i.e., scalar multiplication distributes in both ways.)

1

For the purposes of this text, this algebraic ﬁeld will always be the real ﬁeld, R, though in the real world, the

complex ﬁeld, C, has some currency.

6 CHAPTER 1. INTRODUCTION

Example 1.12. The most familiar example of a vector space is R

n

, which is the collection of

n-tuples of real numbers. That is u ∈ R

n

is of the form [u

1

, u

2

, . . . , u

n

]

¯

, where u

i

∈ R for

i = 1, 2, . . . , n. Addition and scalar multiplication over R are deﬁned pairwise:

[u

1

, u

2

, . . . , u

n

]

¯

+ [v

1

, v

2

, . . . , v

n

]

¯

= [u

1

+v

1

, u

2

+v

2

, . . . , u

n

+v

n

]

¯

, and

α[u

1

, u

2

, . . . , u

n

]

¯

= [αu

1

, αu

2

, . . . , αu

n

]

¯

Note that some authors distinguish between points in n-dimensional space and vectors in n-

dimensional space. We will use R

n

to refer to both of them, as in this text there is no need to

distinguish them symbolically.

Example 1.13. Let X ⊆ R

k

be an closed, bounded set, and let H be the collection of all functions

from X to R. Then H forms a vector space under the “pointwise” deﬁned addition and scalar

multiplication over R. That is, for u, v ∈ H, u + v is the function in H deﬁned by [u +v] (x) =

u(x) +v(x) for all x ∈ X. And for u ∈ H, α ∈ R, αu is the function in [αu] (x) = α(u(x)).

Example 1.14. Let X ⊆ R

k

be a closed, bounded set, and let H

0

be the collection of all functions

from X to R that take the value zero on ∂X. Then H forms a vector space under the “pointwise”

deﬁned addition and scalar multiplication over R. The only diﬀerence between proving H

0

is a

vector space and the proof required for the previous example is in showing that H

0

is indeed closed

under addition and scalar multiplication. This is simple because if x ∈ ∂X, then [u +v] (x) =

u(x) +v(x) = 0 +0, and thus u +v has the property that it takes value 0 on ∂X. Similarly for αu.

This would not have worked if the functions of H

0

were required to take some other value on ∂X,

like, say, 2 instead of 0.

Example 1.15. Let {

n

be the collection of all ‘formal’ polynomials of degree less than or equal to

n with coeﬃcients from R. Then {

n

forms a vector space over R.

Example 1.16. The collection of all real-valued mn matrices forms a vector space over the reals

with the usual scalar multiplication and matrix addition. This space is denoted as R

mn

. Another

way of viewing this space is it is the space of linear functions which carry vectors of R

n

to vectors

of R

m

.

1.3.2 Inner Products

An inner product is a way of “multiplying” two vectors from a vector space together to get a scalar

from the same ﬁeld the space is deﬁned over (e.g., a real or a complex number). The inner product

should have the following properties:

Deﬁnition 1.17. For a vector space, 1, deﬁned over R, a binary function, (, ), which takes two

vectors of 1 to R is an inner product if

1. It is symmetric: (v, u) = (u, v).

2. It is linear in both its arguments:

(αu +βv, w) = α(u, w) +β (v, w) and

(u, αv +βw) = α(u, v) +β (u, w) .

A binary function for which this holds is sometimes called a bilinear form.

3. It is positive: (v, v) ≥ 0, with equality holding if and only if v is the zero vector of 1.

1.3. VECTOR SPACES, INNER PRODUCTS, NORMS 7

Example 1.18. The most familiar example of an inner product is the L

2

(pronounced “L two”)

inner product on the vector space R

n

. If u = [u

1

, u

2

, . . . , u

n

]

¯

, and v = [v

1

, v

2

, . . . , v

n

]

¯

, then

letting

(u, v)

2

=

¸

i

u

i

v

i

gives an inner product. This inner product is the usual vector calculus dot product and is sometimes

written as u v or u

¯

v.

Example 1.19. Let H be the vector space of functions from X to R from Example 1.13. Then

for u, v ∈ H, letting

(u, v)

H

=

X

u(x)v(x) dx,

gives an inner product. This inner product is like the “limit case” of the L

2

inner product on R

n

as n goes to inﬁnity.

1.3.3 Norms

A norm is a way of measuring the “length” of a vector:

Deﬁnition 1.20. A function || from a vector space, 1, to R

+

is called a norm if

1. It obeys the triangle inequality: |x +y| ≤ |x| +|y| .

2. It scales positively: |αx| = [α[ |x| , for scalar α.

3. It is positive: |x| ≥ 0, with equality only holding when x is the zero vector.

The easiest way of constructing a norm is on top of an inner product. If (, ) is an inner product

on vector space 1, then letting

|u| =

(u, u)

gives a norm on 1. This is how we construct our most common norms:

Example 1.21. For vector x ∈ R

n

, its L

2

norm is deﬁned

|x|

2

=

n

¸

i=1

x

2

i

1

2

=

x

¯

x

1

2

.

This is constructed on top of the L

2

inner product.

Example 1.22. The L

p

norm on R

n

generalizes the L

2

norm, and is deﬁned, for p > 0, as

|x|

p

=

n

¸

i=1

[x

i

[

p

1/p

.

Example 1.23. The L

∞

norm on R

n

is deﬁned as

|x|

∞

= max

i

[x

i

[ .

The L

∞

norm is somehow the “limit” of the L

p

norm as p →∞.

8 CHAPTER 1. INTRODUCTION

1.4 Eigenvalues

It is assumed the reader has some familiarity with linear algebra. We review the topic of eigenvalues.

Deﬁnition 1.24. A nonzero vector x is an eigenvector of a given matrix A, with corresponding

eigenvalue λ if

Ax = λx

Subtracting the right hand side from the left and gathering terms gives

(A −λI) x = 0.

Since x is assumed to be nonzero, the matrix A −λI must be singular. A matrix is singular if and

only if its determinant is zero. These steps are reversible, thus we claim λ is an eigenvalue if and

only if

det (A −λI) = 0.

The left hand side can be expanded to a polynomial in λ, of degree n where A is an nn matrix. This

gives the so-called characteristic equation. Sometimes eigenvectors,-values are called characteristic

vectors,-values.

Example Problem 1.25. Find the eigenvalues of

¸

1 1

4 −2

**Solution: The eigenvalues are roots of
**

0 = det

¸

1 −λ 1

4 −2 −λ

= (1 −λ) (−2 −λ) −4 = λ

2

+λ −6.

This equation has roots λ

1

= −3, λ

2

= 2. ¬

Example Problem 1.26. Find the eigenvalues of A

2

.

Solution: Let λ be an eigenvalue of A, with corresponding eigenvector x. Then

A

2

x = A(Ax) = A(λx) = λAx = λ

2

x.

¬

The eigenvalues of a matrix tell us, roughly, how the linear transform scales a given matrix; the

eigenvectors tell us which directions are “purely scaled.” This will make more sense when we talk

about norms of vectors and matrices.

1.4.1 Matrix Norms

Given a norm || on the vector space, R

n

, we can deﬁne the matrix norm “subordinate” to it, as

follows:

Deﬁnition 1.27. Given a norm || on R

n

, we deﬁne the subordinate matrix norm on R

nn

by

|A| = max

x,=0

|Ax|

|x|

.

1.4. EIGENVALUES 9

We will use the subordinate two-norm for matrices. From the deﬁnition of the subordinate

norm as a max, we conclude that if x is a nonzero vector then

|Ax|

2

|x|

2

≤ |A|

2

thus,

|Ax|

2

≤ |A|

2

|x|

2

.

Example 1.28. Strange but true: If Λ is the set of eigenvalues of A, then

|A|

2

= max

λ∈Λ

[λ[ .

Example Problem 1.29. Prove that

|AB|

2

≤ |A|

2

|B|

2

.

Solution:

|AB|

2

=

df

max

x,=0

|ABx|

2

|x|

2

≤ max

x,=0

|A|

2

|Bx|

2

|x|

2

= |A|

2

|B|

2

.

¬

10 CHAPTER 1. INTRODUCTION

Exercises

(1.1) Suppose f ∈ O

h

k

. Show that f ∈ O(h

m

) for any m with 0 < m < k. (Hint: Take

h

∗

< 1.) Note this may appear counterintuitive, unless you remember that O

h

k

is a better

approximation than O(h

m

) when m < k.

(1.2) Suppose f ∈ O

h

k

, and g ∈ O(h

m

) . Show that fg ∈ O

h

k+m

.

(1.3) Suppose f ∈ O

h

k

, and g ∈ O(h

m

) , with m < k. Show that f +g ∈ O(h

m

) .

(1.4) Prove that f(h) = −3h

5

is in O

h

5

.

(1.5) Prove that f(h) = h

2

+ 5h

17

is in O

h

2

.

(1.6) Prove that f(h) = h

3

is not in O

h

4

**(Hint: Proof by contradiction.)
**

(1.7) Prove that sin(h) is in O(h).

(1.8) Find a O

h

3

approximation to sin h.

(1.9) Find a O

h

4

**approximation to ln(1+h). Compare the approximate value to the actual when
**

h = 0.1. How does this approximation compare to the O

h

3

**approximate from Example 1.7
**

for h = 0.1?

(1.10) Suppose that f ∈ O

h

k

**. Can you show that f
**

t

∈ O

h

k−1

?

(1.11) Rewrite

√

x + 1 −

√

1 to get rid of subtractive cancellation when x ≈ 0.

(1.12) Rewrite

√

x + 1 −

√

x to get rid of subtractive cancellation when x is very large.

(1.13) Use a Taylor’s expansion to rid the expression 1 − cos x of subtractive cancellation for x

small. Use a O

x

5

approximate.

(1.14) Use a Taylor’s expansion to rid the expression 1 − cos

2

x of subtractive cancellation for x

small. Use a O

x

6

approximate.

(1.15) Calculate cos(π/2 + 0.001) to within 8 decimal places by using the Taylor’s expansion.

(1.16) Prove that if x is an eigenvector of A then αx is also an eigenvector of A, for the same

eigenvalue. Here α is a nonzero real number.

(1.17) Prove, by induction, that if λ is an eigenvalue of A then λ

k

is an eigenvalue of A

k

for integer

k > 1. The base case was done in Example Problem 1.26.

(1.18) Let B =

¸

k

i=0

α

i

A

i

, where A

0

= I. Prove that if λ is an eigenvalue of A, then

¸

k

i=0

α

i

λ

i

is

an eigenvalue of B. Thus for polynomial p(x), p(λ) is an eigenvalue of p(A).

(1.19) Suppose A is an invertible matrix with eigenvalue λ. Prove that λ

−1

is an eigenvalue for

A

−1

.

(1.20) Suppose that the eigenvalues of A are 1, 10, 100. Give the eigenvalues of B = 3A

3

−4A

2

+I.

Show that B is singular.

(1.21) Show that if |x|

2

= r, then x is on a sphere centered at the origin of radius r, in R

n

.

(1.22) If |x|

2

= 0, what does this say about vector x?

(1.23) Letting x = [3 4 12]

¯

, what is |x|

2

?

(1.24) What is the norm of

A =

1 0 0 0

0 1/2 0 0

0 0 1/3 0

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

0 0 0 1/n

¸

¸

¸

¸

¸

¸

¸

?

(1.25) Show that |A|

2

= 0 implies that A is the matrix of all zeros.

(1.26) Show that

A

−1

2

equals (1/[λ

min

[) , where λ

min

is the smallest, in absolute value, eigenvalue

of A.

(1.27) Suppose there is some µ > 0 such that, for a given A,

|Av|

2

≥ µ|v|

2

,

1.4. EIGENVALUES 11

for all vectors v.

(a) Show that µ ≤ |A|

2

. (Should be very simple.)

(b) Show that A is nonsingular. (Recall: A is singular if there is some x = 0 such that

Ax = 0.)

(c) Show that

A

−1

2

≤ (1/µ) .

(1.28) If A is singular, is it necessarily the case that |A|

2

= 0?

(1.29) If |A|

2

≥ µ > 0 does it follow that A is nonsingular?

(1.30) Towards proving the equality in Example Problem 1.28, prove that if Λ is the set of eigen-

values of A, then

|A| ≥ max

λ∈Λ

[λ[ ,

where || is any subordinate matrix norm. The inequality in the other direction holds when

the norm is ||

2

, but is diﬃcult to prove.

12 CHAPTER 1. INTRODUCTION

Chapter 2

A “Crash” Course in octave/Matlab

2.1 Getting Started

Matlab is a software package that allows you to program the mathematics of an algorithm without

getting too bogged down in the details of data structures, pointers, and reinventing the wheel.

It also includes graphing capabilities, and there are numerous packages available for all kinds of

functions, enabling relatively high-level programming. Unfortunately, it also costs quite a bit of

money, which is why I recommend the free Matlab clone, octave, available under the GPL

1

, freely

downloadable from http://www.octave.org.

In a lame attempt to retain market share, Mathworks continues to tinker with Matlab to make

it noncompatible with octave; this has the side eﬀect of obsoletizing old Matlab code. I will try

to focus on the intersection of the two systems, except where explicitly noted otherwise. What

follows, then, is an introduction to octave; Matlab users will have to make some changes.

You can ﬁnd a number of octave/Matlab tutorials for free on the web; many of them are

certainly better than this one. A brief web search reveals the following excellent tutorials:

• http://www.math.mtu.edu/~msgocken/intro/intro.html

• http://www.cyclismo.org/tutorial/matlab/vector.html

• http://web.ew.usna.edu/~mecheng/DESIGN/CAD/MATLAB/usna.html

Matlab has some demo programs covering a number of topics– from the most basic functionality

to the more arcane toolboxes. In Matlab, simply type demo.

What follows is a lame demo for octave. Start up octave. You should get something like:

GNU Octave, version 2.1.44 (i686-pc-linux-gnu).

Copyright (C) 1996, 1997, 1998, 1999, 2000, 2001, 2002, 2003 John W. Eaton.

This is free software; see the source code for copying conditions.

There is ABSOLUTELY NO WARRANTY; not even for MERCHANTIBILITY or

FITNESS FOR A PARTICULAR PURPOSE. For details, type ‘warranty’.

Please contribute if you find this software useful.

For more information, visit http://www.octave.org/help-wanted.html

Report bugs to <bug-octave@bevo.che.wisc.edu>.

octave:1>

1

Gnu Public License. See http://www.gnu.org/copyleft/gpl.html.

13

14 CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB

You now have a command line. The basic octavian data structure is a matrix; a scalar is a 11

matrix, a vector is an n 1 matrix. Some simple matrix constructions are as follows:

octave:2> a = [1 2 3]

a =

1 2 3

octave:3> b = [5;4;3]

b =

5

4

3

octave:4> c = a’

c =

1

2

3

octave:5> d = 5*c - 2 * b

d =

-5

2

9

You should notice that octave “echoes” the lvalues it creates. This is either a feature or an

annoyance. It can be prevented by appending a semicolon at the end of a command. Thus the

previous becomes

octave:5> d = 5*c - 2 * b;

octave:6>

For illustration purposes, I am leaving the semicolon oﬀ. To access an entry or entries of a

matrix, use parentheses. In the case where the variable is a vector, you only need give a single

index, as shown below; when the variable is a matrix, you need give both indices. You can also

give a range of indices, as in what follows.

WARNING: vectors and matrices in octave/Matlab are indexed starting from 1, and not

from 0, as is more common in modern programming languages. You are warned! Moreover, the

last index of a vector is denoted by the special symbol end.

octave:6> a(1) = 77

a =

77 2 3

octave:7> a(end) = -400

a =

77 2 -400

2.1. GETTING STARTED 15

octave:8> a(2:3) = [22 333]

a =

77 22 333

octave:9> M = diag(a)

M =

77 0 0

0 22 0

0 0 333

octave:10> M(2,1) = 14

M =

77 0 0

14 22 0

0 0 333

octave:11> M(1:2,1:2) = [1 2;3 4]

M =

1 2 0

3 4 0

0 0 333

The command diag(v) returns a matrix with v as the diagonal, if v is a vector. diag(M) returns

the diagonal of matrix M as a vector.

The form c:d gives returns a row vector of the integers between a and d, as we will examine

later. First we look at matrix manipulation:

octave:12> j = M * b

j =

13

31

999

octave:13> N = rand(3,3)

N =

0.166880 0.027866 0.087402

0.706307 0.624716 0.067067

0.911833 0.769423 0.938714

octave:14> L = M + N

L =

1.166880 2.027866 0.087402

3.706307 4.624716 0.067067

0.911833 0.769423 333.938714

octave:15> P = L * M

P =

16 CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB

7.2505e+00 1.0445e+01 2.9105e+01

1.7580e+01 2.5911e+01 2.2333e+01

3.2201e+00 4.9014e+00 1.1120e+05

octave:16> P = L .* M

P =

1.1669e+00 4.0557e+00 0.0000e+00

1.1119e+01 1.8499e+01 0.0000e+00

0.0000e+00 0.0000e+00 1.1120e+05

octave:17> x = M \ b

x =

-6.0000000

5.5000000

0.0090090

octave:18> err = M * x - b

err =

0

0

0

Note the diﬀerence between L * M and L .* M; the former is matrix multiplication, the latter

is element by element multiplication, i.e.,

(L .∗ M)

i,j

= L

i,j

M

i,j

.

The command rand(m,n) gives an m n matrix with each element “uniformly distributed” on

[0, 1]. For a zero mean normal distribution with unit variance, use randn(m,n).

In line 17 we asked octave to solve the linear system

Mx = b,

by setting

x = M`b = M

−1

b.

Note that you can construct matrices directly as you did vectors:

octave:19> B = [1 3 4 5;2 -2 2 -2]

B =

1 3 4 5

2 -2 2 -2

You can also create row vectors as a sequence, either using the form c:d or the form c:e:d, which

give, respectively, c, c+1, . . . , d, and c, c+e, . . . , d, (or something like it if e does not divide d−c)

as follows:

octave:20> z = 1:5

z =

1 2 3 4 5

2.2. USEFUL COMMANDS 17

octave:21> z = 5:(-1):1

z =

5 4 3 2 1

octave:22> z = 5:(-2):1

z =

5 3 1

octave:23> z = 2:3:11

z =

2 5 8 11

octave:24> z = 2:3:10

z =

2 5 8

Matrices and vectors can be constructed “blockwise.” Blocks in the same row are separated by a

comma, those in the same column by a semicolon. Thus

octave:2> y=[2 7 9]

y =

2 7 9

octave:3> m = [z;y]

m =

2 5 8

2 7 9

octave:4> k = [(3:4)’, m]

k =

3 2 5 8

4 2 7 9

2.2 Useful Commands

Here’s a none too complete listing of useful commands in octave:

• help is the most useful command.

• floor(X) returns the largest integer not greater than X. If X is a vector or matrix, it computes

the ﬂoor element-wise. This behavior is common in octave: many functions which we normally

think of as applicable to scalars can be applied to matrices, with the result computed element-

wise.

• ceil(X) returns the smallest integer not less than X, computed element-wise.

• sin(X), cos(X), tan(X), atan(X), sqrt(X), returns the sine, cosine, tangent, arctangent,

square root of X, computed elementwise.

• exp(X) returns e

X

, elementwise.

• abs(X) returns [X[ , elementwise.

18 CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB

• norm(X) returns the norm of X; if X is a vector, this is the L

2

norm:

|X|

2

=

¸

i

X

2

i

1/2

,

if X is a matrix, it is the matrix norm subordinate to the L

2

norm.

You can compute other norms with norm(X,p) where p is a number, to get the L

p

norm, or

with p one of Inf, -Inf, etc.

• zeros(m,n) returns an mn matrix of all zeros.

• eye(m) returns the mm identity matrix.

• [m,n] = size(A) returns the number of rows, columns of A. Similarly the functions rows(A)

and columns(A) return the number of rows and columns, respectively.

• length(v) returns the length of vector v, or the larger dimension if v is a matrix.

• find(M) returns the indices of the nonzero elements of N. This may not seem helpful at ﬁrst,

but it can be very useful for selecting subsets of data because the indices can be used for

selection. Thus, for example, in this code

octave:1> v = round(20*randn(400,3));

octave:2> selectv = v(find(v(:,2) == 7),:)

we have selected the rows of v where the element in the second column equals 7. Now you

see why leading computer scientists refer to octave/Matlab as “semantically suspect.” It is

a very useful language nonetheless, and you should try to learn its quirks rather than resist

them.

• diag(v) returns the diagonal matrix with vector v as diagonal. diag(M) returns as a vector,

the diagonal of matrix v. Thus diag(diag(v)) is v for vector v, but diag(diag(M)) is the

diagonal part of matrix M.

• toeplitz(v) returns the Toeplitz matrix associated with vector v. That is

toeplitz(v) =

v(1) v(2) v(3) v(n)

v(2) v(1) v(2) v(n −1)

v(3) v(2) v(1) v(n −2)

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

v(n) v(n −1) v(n −2) v(1)

¸

¸

¸

¸

¸

¸

¸

In the more general form, toeplitz(c,r) can be used to return a assymmetric Toeplitz

matrix.

A matrix which is banded on the cross diagonals is evidently called a “Hankel” matrix:

hankel(u, v) =

u(1) u(2) u(3) u(n)

u(2) u(3) u(4) v(2)

u(3) u(4) u(5) v(3)

.

.

.

.

.

.

.

.

.

.

.

.

u(n) v(2) v(3) v(n)

¸

¸

¸

¸

¸

¸

¸

• eig(M) returns the eigenvalues of M. [V, LAMBDA] = eig(M) returns the eigenvectors, and

eigenvalues of M.

• kron(M,N) returns the Kronecker product of the two matrices. This is a blcok construction

which returns a matrix where each block is an element of M as a scalar multiplied by the

whole matrix N.

• flipud(N) ﬂips the vector or matrix N so that its ﬁrst row is last and vice versa. Similarly

fliplr(N) ﬂips left/right.

2.3. PROGRAMMING AND CONTROL 19

2.3 Programming and Control

If you are going to do any serious programming in octave, you should keep your commands in a

ﬁle. octave loads commands from ‘.m’ ﬁles.

2

If you have the following in a ﬁle called myfunc.m:

function [y1,y2] = myfunc(x1,x2)

% comments start with a ‘%’

% this function is useless, except as an example of functions.

% input:

% x1 a number

% x2 another number

% output:

% y1 some output

% y2 some output

y1 = cos(x1) .* sin(x2);

y2 = norm(y1);

then you can call this function from octave, as follows:

octave:1> myfunc(2,3)

ans = -0.058727

octave:2> [a,b] = myfunc(2,3)

a = -0.058727

b = 0.058727

octave:3> [a,b] = myfunc([1 2 3 4],[1 2 3 4])

a =

0.45465 -0.37840 -0.13971 0.49468

b = 0.78366

Note this silly function will throw an error if x1 and x2 are not of the same size.

It is recommended that you write your functions so that they can take scalar and vector input

where appropriate. For example, the octave builtin sine function can take a scalar and output a

scalar, or take a vector and output a vector which is, elementwise, the sine of the input. It is not

too diﬃcult to write functions this way, it often only requires judicious use of .* multiplies instead

of * multiplies. For example, if the ﬁle myfunc.m were changed to read

y1 = cos(x1) * sin(x2);

it could easily crash if x1 and x2 were vectors of the same size because matrix multiplication is not

deﬁned for an n 1 matrix times another n 1 matrix.

An .m ﬁle does not have to contain a function, it can merely contain some octave commands.

For example, putting the following into runner.m:

x1 = rand(4,3);

x2 = rand(size(x1));

[a,b] = myfunc(x1,x2)

2

The ‘m’ stands for ‘octave.’

20 CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB

octave allows you to call this script without arguments:

octave:4> runner

a =

0.245936 0.478054 0.535323

0.246414 0.186454 0.206279

0.542728 0.419457 0.083917

0.257607 0.378558 0.768188

b = 1.3135

octave has to know where your .m ﬁle is. It will look in the directory from which it was called.

You can set this to something else with cd or chdir.

You can also use the octave builtin function feval to evaluate a function by name. For example,

the following is a diﬀerent way of calling myfunc.m:

octave:5> [a,b] = feval("myfunc",2,3)

a = -0.058727

b = 0.058727

In this form feval seems like a way of using more keystrokes to get the same result. However, you

can pass a variable function name as well:

octave:6> fname = "myfunc"

fname = myfunc

octave:7> [a,b] = feval(fname,2,3)

a = -0.058727

b = 0.058727

This allows you to eﬀectively pass functions to other functions.

2.3.1 Logical Forks and Control

octave has the regular assortment of ‘if-then-else’ and ‘for’ and ‘while’ loops. These take the

following form:

if expr1

statements

elseif expr2

statements

elsif expr3

statements

...

else

statements

end

for var=vector

statements

end

while expr

2.4. PLOTTING 21

statements

end

Note that the word end is one of the most overloaded in octave/Matlab. It stands for the last

index of a vector of matrix, as well as the exit point for for loops, if statements, switches, etc. To

simplify debugging, it is also permissible to use endif to end an if statement, endfor to end a

for loop, etc..

The test expressions may use the logical conditionals: >, <, >=, <=, ==, ~=. Do not use the

assignment operator = as a conditional, as this can lead to disastrous results, as in C.

Here are some examples:

%compute the sign of x

if x > 0

s = 1;

elseif x == 0

s = 0;

else

s = -1;

end

%a ‘regular’ for loop

for i=1:10

sm = sm + i;

end

%an ‘irregular’ for loop

for i=[1 2 3 5 8 13 21 34]

fsm = fsm + i;

end

while (sin(x) > 0)

x = x * pi;

end

2.4 Plotting

Plotting is one area in which there are some noticeable diﬀerences between octave and Matlab.

The commands and examples given herein are for octave, but the commands for Matlab are not

too diﬀerent. octave ships its plotting commands to Gnuplot.

The main plot command is plot. You may also use semilogx, semilogy,loglog for 2D plots

with log axes, and contour and mesh for 3D plots. Use the help command to get the speciﬁc

syntax for each command. We present some examples:

n = 100;

X = pi .* ((1:n) ./ n);

Y = sin(X);

%just plot Y

plot(Y);

22 CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB

%plot Y, but with the ‘right’ X axis labels

plot(X,Y);

W = sqrt(Y);

plot(W);

%plot W, but with the ‘right’ X axis labels

plot(Y,W);

The output from these commands is seen in Figure 2.1. In particular, you should note the

diﬀerence between plotting a vector, as in Figure 2.1(c) versus plotting the same vector but with

the appropriate abscissa values, as in Figure 2.1(d).

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

0 10 20 30 40 50 60 70 80 90 100

line 1

(a) Y = sin(X)

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

0 0.5 1 1.5 2 2.5 3 3.5

line 1

(b) Y versus X

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

0 10 20 30 40 50 60 70 80 90 100

line 1

(c) W =

√

Y

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

line 1

(d) W versus Y

Figure 2.1: Four plots from octave.

Some magic commands are required to plot to a ﬁle. For octave, I recommend the following

magic formula, which replots the ﬁgure to a ﬁle:

%call the plot commands before this line

gset term postscript color;

2.4. PLOTTING 23

gset output "filename.ps";

replot;

gset term x11;

gset output "/dev/null";

In Matlab, the commands are something like this:

%call the plot commands before this line

print(gcf,’-deps’,’filename.eps’);

24 CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB

Exercises

(2.1) What do the following pieces of octave/Matlab code accomplish?

(a) x = (0:40) ./ 40;

(b) a = 2;

b = 5;

x = a + (b-a) .* (0:40) ./ 40;

(c) x = a + (b-a) .* (0:40) ./ 40;

y = sin(x);

plot(x,y);

(2.2) Implement the na¨ıve quadratic formula to ﬁnd the roots of x

2

+bx+c = 0, for real b, c. Your

code should return

−b ±

√

b

2

−4c

2

.

Your m-ﬁle should have header line like:

function [x1,x2] = naivequad(b,c)

Test your code for (b, c) =

1 10

15

, 1

**. Do you get a spurious root?
**

(2.3) Implement a robust quadratic formula (cf. Example Problem 1.9) to ﬁnd the roots of x

2

+

bx +c = 0. Your m-ﬁle should have header line like:

function [x1,x2] = robustquad(b,c)

Test your code for (b, c) =

1 10

15

, 1

**. Do you get a spurious root?
**

(2.4) Write octave/Matlab code to ﬁnd a ﬁxed point for the cosine, i.e., some x such that x =

cos(x). Do this as follows: pick some initial value x

0

, then let x

i+1

= cos(x

i

) for i =

0, 1, . . . , n. Pick n to be reasonably large, or choose some convergence criterion (i.e., ter-

minate if [x

i+1

−x

i

[ < 1 10

−10

). Does your code always converge?

(2.5) Write code to implement the factorial function for integers:

function [nfact] = factorial(n)

where n factorial is equal to 1 2 3 (n−1) n. Either use a ‘for’ loop, or write the function

to recursively call itself.

Chapter 3

Solving Linear Systems

A number of problems in numerical analysis can be reduced to, or approximated by, a system of

linear equations.

3.1 Gaussian Elimination with Na¨ıve Pivoting

Our goal is the automatic solution of systems of linear equations:

a

11

x

1

+ a

12

x

2

+ a

13

x

3

+ + a

1n

x

n

= b

1

a

21

x

1

+ a

22

x

2

+ a

23

x

3

+ + a

2n

x

n

= b

2

a

31

x

1

+ a

32

x

2

+ a

33

x

3

+ + a

3n

x

n

= b

3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

x

1

+ a

n2

x

2

+ a

n3

x

3

+ + a

nn

x

n

= b

n

In these equations, the a

ij

and b

i

are given real numbers. We also write this as

Ax = b,

where A is a matrix, whose element in the i

th

row and j

th

column is a

ij

, and b is a column vector,

whose i

th

entry is b

i

.

This gives the easier way of writing this equation:

a

11

a

12

a

13

a

1n

a

21

a

22

a

23

a

2n

a

31

a

32

a

33

a

3n

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

¸

¸

¸

¸

¸

¸

¸

x

1

x

2

x

3

.

.

.

x

n

¸

¸

¸

¸

¸

¸

¸

=

b

1

b

2

b

3

.

.

.

b

n

¸

¸

¸

¸

¸

¸

¸

(3.1)

3.1.1 Elementary Row Operations

You may remember that one way to solve linear equations is by applying elementary row operations

to a given equation of the system. For example, if we are trying to solve the given system of

equations, they should have the same solution as the following system:

25

26 CHAPTER 3. SOLVING LINEAR SYSTEMS

a

11

a

12

a

13

a

1n

a

21

a

22

a

23

a

2n

a

31

a

32

a

33

a

3n

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

κa

i1

κa

i2

κa

i3

κa

in

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

x

1

x

2

x

3

.

.

.

x

i

.

.

.

x

n

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

=

b

1

b

2

b

3

.

.

.

κb

i

.

.

.

b

n

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

where κ is some given number which is not zero. It suﬃces to solve this system of linear

equations, as it has the same solution(s) as our original system. Multiplying a row of the system

by a nonzero constant is one of the elementary row operations.

The second elementary row operation is to replace a row by the sum of that row and a constant

times another. Thus, for example, the following system of equations has the same solution as the

original system:

a

11

a

12

a

13

a

1n

a

21

a

22

a

23

a

2n

a

31

a

32

a

33

a

3n

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

(i−1)1

a

(i−1)2

a

(i−1)3

a

(i−1)n

a

i1

+βa

j1

a

i2

+βa

j2

a

i3

+βa

j3

a

in

+βa

jn

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

x

1

x

2

x

3

.

.

.

x

(i−1)

x

i

.

.

.

x

n

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

=

b

1

b

2

b

3

.

.

.

b

(i−1)

b

i

+βb

j

.

.

.

b

n

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

We have replaced the i

th

row by the i

th

row plus β times the j

th

row.

The third elementary row operation is to switch rows:

a

11

a

12

a

13

a

1n

a

31

a

32

a

33

a

3n

a

21

a

22

a

23

a

2n

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

¸

¸

¸

¸

¸

¸

¸

x

1

x

2

x

3

.

.

.

x

n

¸

¸

¸

¸

¸

¸

¸

=

b

1

b

3

b

2

.

.

.

b

n

¸

¸

¸

¸

¸

¸

¸

We have here switched the second and third rows. The purpose of this e.r.o. is mainly to make

things look nice.

Note that none of the e.r.o.’s change the structure of the solution vector x. For this reason, it is

customary to drop the solution vector entirely and to write the matrix A and the vector b together

in augmented form:

¸

¸

¸

¸

¸

¸

a

11

a

12

a

13

a

1n

b

1

a

21

a

22

a

23

a

2n

b

2

a

31

a

32

a

33

a

3n

b

3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

b

n

¸

**The idea of Gaussian Elimination is to use the elementary row operations to put a system into
**

upper triangular form then use back substitution. We’ll give an example here:

3.1. GAUSSIAN ELIMINATION WITH NA

¨

IVE PIVOTING 27

Example Problem 3.1. Solve the set of linear equations:

x

1

+x

2

−x

3

= 2

−3x

1

−4x

2

+ 4x

3

= −7

2x

1

+ 1x

2

+ 1x

3

= 7

Solution: We start by rewriting in the augmented form:

¸

1 1 −1 2

−3 −4 4 −7

2 1 1 7

¸

We add 3 times the ﬁrst row to the second, and −2 times the ﬁrst row to the third to get:

¸

1 1 −1 2

0 −1 1 −1

0 −1 3 3

¸

We now add −1 times the second row to the third row to get:

¸

1 1 −1 2

0 −1 1 −1

0 0 2 4

¸

The matrix is now in upper triangular form: there are no nonzero entries below the diagonal. This

corresponds to the set of equations:

x

1

+x

2

−x

3

= 2

−x

2

+x

3

= −1

2x

3

= 4

We now solve this by back substitution. Because the matrix is in upper triangular form, we can

solve x

3

by looking only at the last equation; namely x

3

= 2. However, once x

3

is known, the second

equation involves only one unknown, x

2

, and can be solved only by x

2

= 3. Then the ﬁrst equation

has only one unknown, and is solved by x

1

= 1. ¬

All sorts of funny things can happen when you attempt Gaussian Elimination: it may turn

out that your system has no solution, or has a single solution (as above), or an inﬁnite number

of solutions. We should expect that an algorithm for automatic solution of systems of equations

should detect these problems.

3.1.2 Algorithm Terminology

The method outlined above is ﬁne for solving small systems. We should like to devise an algorithm

for doing the same thing which can be applied to large systems of equations. The algorithm will

take the system (in augmented form):

¸

¸

¸

¸

¸

¸

a

11

a

12

a

13

a

1n

b

1

a

21

a

22

a

23

a

2n

b

2

a

31

a

32

a

33

a

3n

b

3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

b

n

¸

**28 CHAPTER 3. SOLVING LINEAR SYSTEMS
**

The algorithm then selects the ﬁrst row as the pivot equation or pivot row, and the ﬁrst element of

the ﬁrst row, a

11

is the pivot element. The algorithm then pivots on the pivot element to get the

system:

¸

¸

¸

¸

¸

¸

a

11

a

12

a

13

a

1n

b

1

0 a

t

22

a

t

23

a

t

2n

b

t

2

0 a

t

32

a

t

33

a

t

3n

b

t

3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

0 a

t

n2

a

t

n3

a

t

nn

b

t

n

¸

Where

a

t

ij

= a

ij

−

a

i1

a

11

a

1j

b

t

i

= b

i

−

a

i1

a

11

b

1

(2 ≤ i ≤ n, 1 ≤ j ≤ n)

Eﬀectively we are carrying out the e.r.o. of replacing the i

th

row by the i

th

row minus

a

i1

a

11

times

the ﬁrst row. The quantity

a

i1

a

11

**is the multiplier for the i
**

th

row.

Hereafter the algorithm will not alter the ﬁrst row or ﬁrst column of the system. Thus, the

algorithm could be written recursively. By pivoting on the second row, the algorithm then generates

the system:

¸

¸

¸

¸

¸

¸

a

11

a

12

a

13

a

1n

b

1

0 a

t

22

a

t

23

a

t

2n

b

t

2

0 0 a

tt

33

a

tt

3n

b

tt

3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

0 0 a

tt

n3

a

tt

nn

b

tt

n

¸

**In this case
**

a

tt

ij

= a

t

ij

−

a

i2

a

22

a

t

2j

b

tt

i

= b

t

i

−

a

i2

a

22

b

t

2

(3 ≤ i ≤ n, 1 ≤ j ≤ n)

3.1.3 Algorithm Problems

The pivoting strategy we examined in this section is called ‘na¨ıve’ because a real algorithm is a bit

more complicated. The algorithm we have outlined is far too rigid–it always chooses to pivot on

the k

th

row during the k

th

step. This would be bad if the pivot element were zero; in this case all

the multipliers

a

ik

a

kk

are not deﬁned.

Bad things can happen if a

kk

is merely small instead of zero. Consider the following example:

Example 3.2. Solve the system of equations given by the augmented form:

**−0.0590 0.2372 −0.3528
**

0.1080 −0.4348 0.6452

**Note that the exact solution of this system is x
**

1

= 10, x

2

= 1. Suppose, however, that the algorithm

uses only 4 signiﬁcant ﬁgures for its calculations. The algorithm, na¨ıvely, pivots on the ﬁrst

equation. The multiplier for the second row is

0.1080

−0.0590

≈ −1.830508...,

which will be rounded to −1.831 by the algorithm.

3.2. PIVOTING STRATEGIES FOR GAUSSIAN ELIMINATION 29

The second entry in the matrix is replaced by

−0.4348 −(−1.831)(0.2372) = −0.4348 + 0.4343 = −0.0005,

where the arithmetic is rounded to four signiﬁcant ﬁgures each time. There is some serious sub-

tractive cancellation going on here. We have lost three ﬁgures with this subtraction. The errors

get worse from here. Similarly, the second vector entry becomes:

0.6452 −(−1.831)(−0.3528) = 0.6452 −0.6460 = −0.0008,

where, again, intermediate steps are rounded to four signiﬁcant ﬁgures, and again there is subtrac-

tive cancelling. This puts the system in the form

**−0.0590 0.2372 −0.3528
**

0 −0.0005 −0.0008

**When the algorithm attempts back substitution, it gets the value
**

x

2

=

−0.0008

−0.0005

= 1.6.

This is a bit oﬀ from the actual value of 1. The algorithm now ﬁnds

x

1

= (−0.3528 −0.2372 1.6) /−0.059 = (−0.3528 −0.3795) /−0.059 = (−0.7323) /−0.059 = 12.41,

where each step has rounding to four signiﬁcant ﬁgures. This is also a bit oﬀ.

3.2 Pivoting Strategies for Gaussian Elimination

Gaussian Elimination can fail when performed in the wrong order. If the algorithm selects a zero

pivot, the multipliers are undeﬁned, which is no good. We also saw that a pivot small in magnitude

can cause failure. As here:

x

1

+x

2

= 1

x

1

+x

2

= 2

The na¨ıve algorithm solves this as

x

2

=

2 −

1

1 −

1

= 1 −

1 −

x

1

=

1 −x

2

=

1

1 −

If is very small, then

1

**is enormous compared to both 1 and 2. With poor rounding, the algorithm
**

solves x

2

as 1. Then it solves x

1

= 0. This is nearly correct for x

2

, but is an awful approximation

for x

1

. Note that this choice of x

1

, x

2

satisﬁes the ﬁrst equation, but not the second.

Now suppose the algorithm changed the order of the equations, then solved:

x

1

+x

2

= 2

x

1

+x

2

= 1

30 CHAPTER 3. SOLVING LINEAR SYSTEMS

The algorithm solves this as

x

2

=

1 −2

1 −

x

1

= 2 −x

2

There’s no problem with rounding here.

The problem is not the small entry per se: Suppose we use an e.r.o. to scale the ﬁrst equation,

then use na¨ıve G.E.:

x

1

+

1

x

2

=

1

x

1

+x

2

= 2

This is still solved as

x

2

=

2 −

1

1 −

1

x

1

=

1 −x

2

,

and rounding is still a problem.

3.2.1 Scaled Partial Pivoting

The na¨ıve G.E. algorithm uses the rows 1, 2, . . . , n-1 in order as pivot equations. As shown above,

this can cause errors. Better is to pivot ﬁrst on row

1

, then row

2

, etc, until ﬁnally pivoting on

row

n−1

, for some permutation ¦

i

¦

n

i=1

of the integers 1, 2, . . . , n. The strategy of scaled partial

pivoting is to compute this permutation so that G.E. works well.

In light of our example, we want to pivot on an element which is not small compared to other

elements in its row. So our algorithm ﬁrst determines “smallness” by calculating a scale, row-wise:

s

i

= max

1≤j≤n

[a

ij

[ .

The scales are only computed once.

Then the ﬁrst pivot,

1

, is chosen to be the i such that

[a

i,1

[

s

i

is maximized. The algorithm pivots on row

1

, producing a bunch of zeros in the ﬁrst column. Note

that the algorithm should not rearrange the matrix–this takes too much work.

The second pivot,

2

, is chosen to be the i such that

[a

i,2

[

s

i

is maximized, but without choosing

2

=

1

. The algorithm pivots on row

2

, producing a bunch of

zeros in the second column.

In the k

th

step

k

is chosen to be the i not among

1

,

2

, . . . ,

k−1

such that

[a

i,k

[

s

i

3.2. PIVOTING STRATEGIES FOR GAUSSIAN ELIMINATION 31

is maximized. The algorithm pivots on row

k

, producing a bunch of zeros in the k

th

column.

The slick way to implement this is to ﬁrst set

i

= i for i = 1, 2, . . . , n. Then rearrange this

vector in a kind of “bubble sort”: when you ﬁnd the index that should be

1

, swap them, i.e., ﬁnd

the j such that

j

should be the ﬁrst pivot and switch the values of

1

,

j

.

Then at the k

th

step, search only those indices in the tail of this vector: i.e., only among

j

for

k ≤ j ≤ n, and perform a swap.

3.2.2 An Example

We present an example of using scaled partial pivoting with G.E. It’s hard to come up with an

example where the numbers do not come out as ugly fractions. We’ll look at a homework question.

¸

¸

¸

2 −1 3 7 15

4 4 0 7 11

2 1 1 3 7

6 5 4 17 31

¸

**The scales are as follows: s
**

1

= 7, s

2

= 7, s

3

= 3, s

4

= 17.

We pick

1

. It should be the index which maximizes [a

i1

[ /s

i

. These values are:

2

7

,

4

7

,

2

3

,

6

17

.

We pick

1

= 3, and pivot:

¸

¸

¸

0 −2 2 4 8

0 2 −2 1 −3

2 1 1 3 7

0 2 1 8 10

¸

We pick

2

. It should not be 3, and should be the index which maximizes [a

i2

[ /s

i

. These values

are:

2

7

,

2

7

,

2

17

.

We have a tie. In this case we pick the second row, i.e.,

2

= 2. We pivot:

¸

¸

¸

0 0 0 5 5

0 2 −2 1 −3

2 1 1 3 7

0 0 3 7 13

¸

**The matrix is in permuted upper triangular form. We could proceed, but would get a zero
**

multiplier, and no changes would occur.

If we did proceed we would have

3

= 4. Then

4

= 1. Our row permutation is 3, 2, 4, 1. When

we do back substitution, we work in this order reversed on the rows, solving x

4

, then x

3

, x

2

, x

1

.

We get x

4

= 1, so

x

3

=

1

3

(13 −7 ∗ 1) = 2

x

2

=

1

2

(−3 −1 ∗ 1 + 2 ∗ 2) = 0

x

1

=

1

2

(7 −3 ∗ 1 −1 ∗ 2 −1 ∗ 0) = 1

32 CHAPTER 3. SOLVING LINEAR SYSTEMS

3.2.3 Another Example and A Real Algorithm

Sometimes we want to solve

Ax = b

for a number of diﬀerent vectors b. It turns out we can run G.E. on the matrix A alone and come up

with all the multipliers, which can then be used multiple times on diﬀerent vectors b. We illustrate

with an example:

M

0

=

¸

¸

¸

1 2 4 1

4 2 1 2

2 1 2 3

1 3 2 1

¸

, =

1

2

3

4

¸

¸

¸

¸

.

The scale vector is s =

4 4 3 3

¯

.

Our scale choices are

1

4

,

4

4

,

2

3

,

1

3

. We choose

1

= 2, and swap

1

,

2

. In the places where there

would be zeros in the real matrix, we will put the multipliers. We will illustrate them here boxed:

M

1

=

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

1

4

3

2

15

4

1

2

4 2 1 2

1

2

0

3

2

2

1

4

5

2

7

4

1

2

¸

, =

2

1

3

4

¸

¸

¸

¸

.

Our scale choices are

3

8

,

0

3

,

5

6

. We choose

2

= 4, and so swap

2

,

4

:

M

2

=

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

1

4

3

5

27

10

1

5

4 2 1 2

1

2

0

3

2

2

1

4

5

2

7

4

1

2

¸

, =

2

4

3

1

¸

¸

¸

¸

.

Our scale choices are

27

40

,

1

2

. We choose

3

= 1, and so swap

3

,

4

:

M

3

=

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

1

4

3

5

27

10

1

5

4 2 1 2

1

2

0

5

9

17

9

1

4

5

2

7

4

1

2

¸

, =

2

4

1

3

¸

¸

¸

¸

.

Now suppose we had to solve the linear system for b =

−1 8 2 1

¯

.

We scale b by the multipliers in order:

1

= 2, so, we sweep through the ﬁrst column of M

3

,

picking oﬀ the boxed numbers (your computer doesn’t really have boxed variables), and scaling b

3.3. LU FACTORIZATION 33

appropriately:

−1

8

2

1

¸

¸

¸

¸

⇒

−3

8

−2

−1

¸

¸

¸

¸

This continues:

−3

8

−2

−1

¸

¸

¸

¸

⇒

−

12

5

8

−2

−1

¸

¸

¸

¸

⇒

−

12

5

8

−

2

3

−1

¸

¸

¸

¸

We then perform a permuted backwards substitution on the augmented system

¸

¸

¸

0 0

27

10

1

5

−

12

5

4 2 1 2 8

0 0 0

17

9

−

2

3

0

5

2

7

4

1

2

−1

¸

This proceeds as

x

4

=

−2

3

9

17

=

−6

17

x

3

=

10

27

−

12

5

−

1

5

−6

17

= . . .

x

2

=

2

5

−1 −

1

2

−6

17

−

7

4

x

3

= . . .

x

1

=

1

4

8 −2

−6

17

−x

3

−2x

2

= . . .

Fill in your own values here.

3.3 LU Factorization

We examined G.E. to solve the system

Ax = b,

where A is a matrix:

A =

a

11

a

12

a

13

a

1n

a

21

a

22

a

23

a

2n

a

31

a

32

a

33

a

3n

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

¸

¸

¸

¸

¸

¸

¸

.

We want to show that G.E. actually factors A into lower and upper triangular parts, that is A = LU,

where

L =

1 0 0 0

21

1 0 0

31

32

1 0

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

n1

n2

n3

1

¸

¸

¸

¸

¸

¸

¸

, U =

u

11

u

12

u

13

u

1n

0 u

22

u

23

u

2n

0 0 u

33

u

3n

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

0 0 0 u

nn

¸

¸

¸

¸

¸

¸

¸

.

We call this a LU Factorization of A.

34 CHAPTER 3. SOLVING LINEAR SYSTEMS

3.3.1 An Example

We consider solution of the following augmented form:

¸

¸

¸

2 1 1 3 7

4 4 0 7 11

6 5 4 17 31

2 −1 0 7 15

¸

(3.2)

The na¨ıve G.E. reduces this to

¸

¸

¸

2 1 1 3 7

0 2 −2 1 −3

0 0 3 7 13

0 0 0 12 18

¸

We are going to run the na¨ıve G.E., and see how it is a LU Factorization. Since this is the na¨ıve

version, we ﬁrst pivot on the ﬁrst row. Our multipliers are 2, 3, 1. We pivot to get

¸

¸

¸

2 1 1 3 7

0 2 −2 1 −3

0 2 1 8 10

0 −2 −1 4 8

¸

**Careful inspection shows that we’ve merely multiplied A and b by a lower triangular matrix M
**

1

:

M

1

=

1 0 0 0

−2 1 0 0

−3 0 1 0

−1 0 0 1

¸

¸

¸

¸

The entries in the ﬁrst column are the negative e.r.o. multipliers for each row. Thus after the ﬁrst

pivot, it is like we are solving the system

M

1

Ax = M

1

b.

We pivot on the second row to get:

¸

¸

¸

2 1 1 3 7

0 2 −2 1 −3

0 0 3 7 13

0 0 −3 5 5

¸

**The multipliers are 1, −1. We can view this pivot as a multiplication by M
**

2

, with

M

2

=

1 0 0 0

0 1 0 0

0 −1 1 0

0 1 0 1

¸

¸

¸

¸

We are now solving

M

2

M

1

Ax = M

2

M

1

b.

3.3. LU FACTORIZATION 35

We pivot on the third row, with a multiplier of −1. Thus we get

¸

¸

¸

2 1 1 3 7

0 2 −2 1 −3

0 0 3 7 13

0 0 0 12 18

¸

**We have multiplied by M
**

3

:

M

3

=

1 0 0 0

0 1 0 0

0 0 1 0

0 0 1 1

¸

¸

¸

¸

We are now solving

M

3

M

2

M

1

Ax = M

3

M

2

M

1

b.

But we have an upper triangular form, that is, if we let

U =

2 1 1 3

0 2 −2 1

0 0 3 7

0 0 0 12

¸

¸

¸

¸

Then we have

M

3

M

2

M

1

A = U,

A = (M

3

M

2

M

1

)

−1

U,

A = M

1

−1

M

2

−1

M

3

−1

U,

A = LU.

We are hoping that L is indeed lower triangular, and has ones on the diagonal. It turns out that

the inverse of each M

i

matrix has a nice form (See Exercise (3.6)). We write them here:

L =

1 0 0 0

2 1 0 0

3 0 1 0

1 0 0 1

¸

¸

¸

¸

1 0 0 0

0 1 0 0

0 1 1 0

0 −1 0 1

¸

¸

¸

¸

1 0 0 0

0 1 0 0

0 0 1 0

0 0 −1 1

¸

¸

¸

¸

=

1 0 0 0

2 1 0 0

3 1 1 0

1 −1 −1 1

¸

¸

¸

¸

This is really crazy: the matrix L looks to be composed of ones on the diagonal and multipliers

under the diagonal.

Now we check to see if we made any mistakes:

LU =

1 0 0 0

2 1 0 0

3 1 1 0

1 −1 −1 1

¸

¸

¸

¸

2 1 1 3

0 2 −2 1

0 0 3 7

0 0 0 12

¸

¸

¸

¸

=

2 1 1 3

4 4 0 7

6 5 4 17

2 −1 0 7

¸

¸

¸

¸

= A.

36 CHAPTER 3. SOLVING LINEAR SYSTEMS

3.3.2 Using LU Factorizations

We see that the G.E. algorithm can be used to actually calculate the LU factorization. We will look

at this in more detail in another example. We now examine how we can use the LU factorization

to solve the equation

Ax = b,

Since we have A = LU, we ﬁrst solve

Lz = b,

then solve

Ux = z.

Since L is lower triangular, we can solve for z with a forward substitution. Similarly, since U is

upper triangular, we can solve for x with a back substitution. We drag out the previous example

(which we never got around to solving):

¸

¸

¸

2 1 1 3 7

4 4 0 7 11

6 5 4 17 31

2 −1 0 7 15

¸

**We had found the LU factorization of A as
**

A =

1 0 0 0

2 1 0 0

3 1 1 0

1 −1 −1 1

¸

¸

¸

¸

2 1 1 3

0 2 −2 1

0 0 3 7

0 0 0 12

¸

¸

¸

¸

So we solve

1 0 0 0

2 1 0 0

3 1 1 0

1 −1 −1 1

¸

¸

¸

¸

z =

7

11

31

15

¸

¸

¸

¸

We get

z =

7

−3

13

18

¸

¸

¸

¸

Now we solve

2 1 1 3

0 2 −2 1

0 0 3 7

0 0 0 12

¸

¸

¸

¸

x =

7

−3

13

18

¸

¸

¸

¸

We get the ugly solution

z =

37

24

−17

12

5

6

3

2

¸

¸

¸

¸

3.4. ITERATIVE SOLUTIONS 37

3.3.3 Some Theory

We aren’t doing much proving here. The following theorem has an ugly proof in the Cheney &

Kincaid [7].

Theorem 3.3. If A is an nn matrix, and na¨ıve Gaussian Elimination does not encounter a zero

pivot, then the algorithm generates a LU factorization of A, where L is the lower triangular part of

the output matrix, and U is the upper triangular part.

This theorem relies on us using the fancy version of G.E., which saves the multipliers in the

spots where there should be zeros. If correctly implemented, then, L is the lower triangular part

but with ones put on the diagonal.

This theorem is proved in Cheney & Kincaid [7]. This appears to me to be a case of something

which can be better illustrated with an example or two and some informal investigation. The proof

is an unillustrating index-chase–read it at your own risk.

3.3.4 Computing Inverses

We consider ﬁnding the inverse of A. Since

AA

−1

= I,

then the j

th

column of the inverse A

−1

solves the equation

Ax = e

j

,

where e

j

is the column matrix of all zeros, but with a one in the j

th

position.

Thus we can ﬁnd the inverse of A by running n linear solves. Obviously we are only going

to run G.E. once, to put the matrix in LU form, then run n solves using forward and backward

substitutions.

3.4 Iterative Solutions

Recall we are trying to solve

Ax = b.

We examine the computational cost of Gaussian Elimination to motivate the search for an alter-

native algorithm.

3.4.1 An Operation Count for Gaussian Elimination

We consider the number of ﬂoating point operations (“ﬂops”) required to solve the system Ax = b.

Gaussian Elimnation ﬁrst uses row operations to transform the problem into an equivalent problem

of the form Ux = b

**, where U is upper triangular. Then back substitution is used to solve for x.
**

First we look at how many ﬂoating point operations are required to reduce

¸

¸

¸

¸

¸

¸

a

11

a

12

a

13

a

1n

b

1

a

21

a

22

a

23

a

2n

b

2

a

31

a

32

a

33

a

3n

b

3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n1

a

n2

a

n3

a

nn

b

n

¸

**38 CHAPTER 3. SOLVING LINEAR SYSTEMS
**

to

¸

¸

¸

¸

¸

¸

a

11

a

12

a

13

a

1n

b

1

0 a

t

22

a

t

23

a

t

2n

b

t

2

0 a

t

32

a

t

33

a

t

3n

b

t

3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

0 a

t

n2

a

t

n3

a

t

nn

b

t

n

¸

**First a multiplier is computed for each row. Then in each row the algorithm performs n
**

multiplies and n adds. This gives a total of (n−1) +(n−1)n multiplies (counting in the computing

of the multiplier in each of the (n−1) rows) and (n−1)n adds. In total this is 2n

2

−n−1 ﬂoating

point operations to do a single pivot on the n by n system.

Then this has to be done recursively on the lower right subsystem, which is an (n−1) by (n−1)

system. This requires 2(n − 1)

2

− (n − 1) − 1 operations. Then this has to be done on the next

subsystem, requiring 2(n −2)

2

−(n −2) −1 operations, and so on.

In total, then, we use I

n

total ﬂoating point operations, with

I

n

= 2

n

¸

j=1

j

2

−

n

¸

j=1

j −

n

¸

j=1

1.

Recalling that

n

¸

j=1

j

2

=

1

6

(n)(n + 1)(2n + 1), and

n

¸

j=1

j =

1

2

(n)(n + 1),

We ﬁnd that

I

n

=

1

6

(4n −1)n(n + 1) −n ≈

2

3

n

3

.

Now consider the costs of back substitution. To solve

¸

¸

¸

¸

¸

¸

a

11

a

1,n−2

a

1,n−1

a

1n

b

1

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

0 a

n−2,n−2

a

n−2,n−1

a

n−2,n

b

n−2

0 0 a

n−1,n−1

a

n−1,n

b

n−1

0 0 0 a

nn

b

n

¸

for x

n

requires only a single division. Then to solve for x

n−1

we compute

x

n−1

=

1

a

n−1,n−1

[b

n−1

−a

n−1,n

x

n

] ,

and requires 3 ﬂops. Similarly, solving for x

n−2

requires 5 ﬂops. Thus in total back substitution

requires B

n

total ﬂoating point operations with

B

n

=

n

¸

j=1

2j −1 = n(n −1) −n = n(n −2) ≈ n

2

3.4. ITERATIVE SOLUTIONS 39

3.4.2 Dividing by Multiplying

We saw that Gaussian Elimination requires around

2

3

n

3

operations just to ﬁnd the LU factorization,

then about n

2

operations to solve the system, when A is nn. When n is large, this may take too

long to be practical. Additionally, if A is sparse (has few nonzero elements per row), we would like

the complexity of our computations to scale with the sparsity of A. Thus we look for an alternative

algorithm.

First we consider the simplest case, n = 1. Suppose we are to solve the equation

Ax = b.

for scalars A, b. We solve this by

x =

1

A

b =

1

ωA

ωb =

1

1 −(1 −ωA)

ωb =

1

1 −r

ωb,

where ω = 0 is some real number chosen to “weight” the problem appropriately, and r = 1 − ωA.

Now suppose that ω is chosen such that [r[ < 1. This can be done so long as A = 0, which would

have been a problem anyway. Now use the geometric expansion:

1

1 −r

= 1 +r +r

2

+r

3

+. . .

Because of the assumption [r[ < 1, the terms r

n

converge to zero as n → ∞. This gives the

approximate solution to our one dimensional problem as

x ≈

1 +r +r

2

+r

3

+. . . +r

k

ωb

= ωb +

r +r

2

+r

3

+. . . +r

k

ωb

= ωb +r

1 +r +r

2

+. . . +r

k−1

ωb

This suggests an iterative approach to solving Ax = b. First let x

(0)

= ωb, then let

x

(k)

= ωb +rx

(k−1)

.

The iterates x

(k)

will converge to the solution of Ax = b if [r[ < 1.

You should now convince yourself that because r

n

→0, that the choice of the initial iterate x

(0)

was immaterial, i.e., that under any choice of initial iterate convergence is guaranteed.

We now translate this scalar result into the vector case. The algorithm proceeds as follows: ﬁrst

ﬁx some initial estimate of the solution, x

(0)

. A good choice might be ωb, but this is not necessary.

Then calculate successive approximations to the actual solution by updates of the form

x

(k)

= ωb + (I −ωA) x

(k−1)

.

It turns out that we can consider a slightly more general form of the algorithm, one in which

successive iterates are deﬁned implicitly. That is we consider iterates of the form

Qx

(k+1)

= (Q−ωA) x

(k)

+ωb, (3.3)

for some matrix Q, and some scaling factor ω. Note that this update relies on vector additions

and possibly by premultiplication of a vector by A or Q. In the case where these two matrices are

sparse, such an update can be relatively cheap.

40 CHAPTER 3. SOLVING LINEAR SYSTEMS

Now suppose that as k → ∞, x

(k)

converges to some vector x

∗

, which is a ﬁxed point of the

iteration. Then

Qx

∗

= (Q −ωA) x

∗

+ωb,

Qx

∗

= Qx

∗

−ωAx

∗

+ωb,

ωAx

∗

= ωb,

Ax

∗

= b.

We have some freedom in choosing Q, but there are two considerations we should keep in mind:

1. Choice of Q aﬀects convergence and speed of convergence of the method. In particular, we

want Q to be similar to A.

2. Choice of Q aﬀects ease of computing the update. That is, given

z = (Q−A) x

(k)

+b,

we should pick Q such that the equation

Qx

(k+1)

= z

is easy to solve exactly.

These two goals conﬂict with each other. At one end of the spectrum is the so-called “impossible

iteration,” at the other is the Richardsons.

3.4.3 Impossible Iteration

I made up the term “impossible iteration.” But consider the method which takes Q to be A. This

seems to be the best choice for satisfying the ﬁrst goal. Letting ω = 1, our method becomes

Ax

(k+1)

= (A −A) x

(k)

+b = b.

This method should clearly converge in one step. However, the second goal is totally ignored.

Indeed, we are considering iterative methods because we cannot easily solve this linear equation in

the ﬁrst place.

3.4.4 Richardson Iteration

At the other end of the spectrum is the Richardson Iteration, which chooses Q to be the identity

matrix. Solving the system

Qx

(k+1)

= z

is trivial: we just have x

(k+1)

= z.

Example Problem 3.4. Use Richardson Iteration with ω = 1 on the system

A =

6 1 1

2 4 0

1 2 6

¸

¸

, b =

12

0

6

¸

¸

.

Solution: We let

Q =

1 0 0

0 1 0

0 0 1

¸

¸

, (Q−A) =

−5 −1 −1

−2 −3 0

−1 −2 −5

¸

¸

.

3.4. ITERATIVE SOLUTIONS 41

We start with an arbitrary x

(0)

, say x

(0)

= [2 2 2]

¯

. We get x

(1)

= [−2 −10 −10]

¯

, and x

(2)

=

[42 34 78]

¯

.

Note the real solution is x = [2 −1 1]

¯

. The Richardson Iteration does not appear to converge

for this example, unfortunately. ¬

Example Problem 3.5. Apply Richardson Iteration with ω = 1/6 on the previous system.

Solution: Our iteration becomes

x

(k+1)

=

0 −1/6 −1/6

−1/3 1/3 0

−1/6 −1/3 0

¸

¸

x

(k)

+

2

0

1

¸

¸

.

We start with the same x

(0)

as previously, x

(0)

= [2 2 2]

¯

. We get x

(1)

= [4/3 0 0]

¯

, x

(2)

=

[2 −4/9 7/9]

¯

, and ﬁnally x

(12)

= [2 −0.99998 0.99998]

¯

.

Thus, the choice of ω has some aﬀect on convergence. ¬

We can rethink the Richardson Iteration as

x

(k+1)

= (I −ωA) x

(k)

+ωb = x

(k)

+ω

b −Ax

(k)

.

Thus at each step we are adding some scaled version of the residual, deﬁned as b − Ax

(k)

, to the

iterate.

3.4.5 Jacobi Iteration

The Jacobi Iteration chooses Q to be the matrix consisting of the diagonal of A. This is more

similar to A than the identity matrix, but nearly as simple to invert.

Example Problem 3.6. Use Jacobi Iteration, with ω = 1, to solve the system

A =

6 1 1

2 4 0

1 2 6

¸

¸

, b =

12

0

6

¸

¸

.

Solution: We let

Q =

6 0 0

0 4 0

0 0 6

¸

¸

, (Q−A) =

0 −1 −1

−2 0 0

−1 −2 0

¸

¸

, Q

−1

=

1

6

0 0

0

1

4

0

0 0

1

6

¸

¸

.

We start with an arbitrary x

(0)

, say x

(0)

= [2 2 2]

¯

. We get x

(1)

=

4

3

−1 0

¯

. Then x

(2)

=

13

6

−

2

3

10

9

¯

. Continuing, we ﬁnd that x

(5)

≈ [1.987 −1.019 0.981]

¯

.

Note the real solution is x = [2 −1 1]

¯

. ¬

There is an alternative way to describe the Jacobi Iteration for ω = 1. By considering the update

elementwise, we see that the operation can be described by

x

(k+1)

j

=

1

a

jj

¸

b

j

−

n

¸

i=1,i,=j

a

ji

x

(k)

i

¸

.

Thus an update takes less than 2n

2

operations. In fact, if A is sparse, with less than k nonzero

entries per row, the update should take less than 2nk operations.

42 CHAPTER 3. SOLVING LINEAR SYSTEMS

3.4.6 Gauss Seidel Iteration

The Gauss Seidel Iteration chooses Q to be lower triangular part of A, including the diagonal. In

this case solving the system

Qx

(k+1)

= z

is performed by forward substitution. Here the Q is more like A than for Jacobi Iteration, but

involves more work for inverting.

Example Problem 3.7. Use Gauss Seidel Iteration to again solve for

A =

6 1 1

2 4 0

1 2 6

¸

¸

, b =

12

0

6

¸

¸

.

Solution: We let

Q =

6 0 0

2 4 0

1 2 6

¸

¸

, (Q−A) =

0 −1 −1

0 0 0

0 0 0

¸

¸

.

We start with an arbitrary x

(0)

, say x

(0)

= [2 2 2]

¯

. We get x

(1)

=

4

3

−

2

3

1

¯

. Then x

(2)

=

35

18

−

35

36

1

¯

.

Already this is fairly close to the actual solution x = [2 −1 1]

¯

. ¬

Just as with Jacobi Iteration, there is an easier way to describe the Gauss Seidel Iteration. In

this case we will keep a single vector x and overwrite it, element by element. Thus for j = 1, 2, . . . , n,

we set

x

j

←

1

a

jj

¸

b

j

−

n

¸

i=1,i,=j

a

ji

x

i

¸

.

This looks exactly like the Jacobi update. However, in the sum on the right there are some “old”

values of x

i

and some “new” values; the new values are those x

i

for which i < j.

Again this takes less than 2n

2

operations. Or less than 2nk if A is suﬃciently sparse.

An alteration of the Gauss Seidel Iteration is to make successive “sweeps” of this redeﬁnition,

one for j = 1, 2, . . . , n, the next for j = n, n − 1, . . . , 2, 1. This amounts to running Gauss Seidel

once with Q the lower triangular part of A, then running it with Q the upper triangular part. This

iterative method is known as “red-black Gauss Seidel.”

3.4.7 Error Analysis

Suppose that x is the solution to equation 3.4. Deﬁne the error vector:

e

(k)

= x

(k)

−x.

3.4. ITERATIVE SOLUTIONS 43

Now notice that

x

(k+1)

= Q

−1

(Q−ωA) x

(k)

+Q

−1

ωb,

x

(k+1)

= Q

−1

Qx

(k)

−ωQ

−1

Ax

(k)

+ωQ

−1

Ax,

x

(k+1)

= x

(k)

−ωQ

−1

A

x

(k)

−x

,

x

(k+1)

−x = x

(k)

−x −ωQ

−1

A

x

(k)

−x

,

e

(k+1)

= e

(k)

−ωQ

−1

Ae

(k)

,

e

(k+1)

=

I −ωQ

−1

A

e

(k)

.

Reusing this relation we ﬁnd that

e

(k)

=

I −ωQ

−1

A

e

(k−1)

,

=

I −ωQ

−1

A

2

e

(k−2)

,

=

I −ωQ

−1

A

k

e

(0)

.

We want to ensure that e

(k+1)

is “smaller” than e

(k)

. To do this we recall matrix and vector norms

from Subsection 1.4.1.

e

(k)

2

=

I −ωQ

−1

A

k

e

(0)

2

≤

I −ωQ

−1

A

k

2

e

(0)

2

.

(See Example Problem 1.29.)

Thus our iteration converges (e

(k)

goes to the zero vector, i.e., x

(k)

→x) if

I −ωQ

−1

A

2

< 1.

This gives the theorem:

Theorem 3.8. An iterative solution scheme converges for any starting x

(0)

if and only if all

eigenvalues of I −ωQ

−1

A are less than 1 in absolute value, i.e., if and only if

I −ωQ

−1

A

2

< 1

Another way of saying this is “the spectral radius of I −ωQ

−1

A is less than 1.”

In fact, the speed of convergence is decided by the spectral radius of the matrix–convergence

is faster for smaller values. Recall our introduction to iterative methods in the scalar case, where

the result relied on ω being chosen such that [1 −ωA[ < 1. You should now think about how

eigenvalues generalize the absolute value of a scalar, and how this relates to the norm of matrices.

Let y be an eigenvector for Q

−1

A, with corresponding eigenvalue λ. Then

I −ωQ

−1

A

y = y −ωQ

−1

Ay = y −ωλy = (1 −ωλ) y.

This relation may allow us to pick the optimal ω for given A,Q. It can also show us that

sometimes no choice of ω will give convergence of the method. There are a number of diﬀerent

related results that show when various methods will work for certain choices of ω. We leave these

to the exercises.

44 CHAPTER 3. SOLVING LINEAR SYSTEMS

Example Problem 3.9. Find conditions on ω which guarantee convergence of Richardson’s Iter-

ation for ﬁnding approximate iterative solutions to the system Ax = b, where

A =

6 1 1

2 4 0

1 2 6

¸

¸

, b =

12

0

6

¸

¸

.

Solution: By Theorem 3.8, with Q the identity matrix, we have convergence if and only if

|I −ωA|

2

< 1

We now use the fact that “eigenvalues commute with polynomials;” that is if f(x) is a polynomial

and λ is an eigenvalue of a matrix A, then f(λ) is an eigenvalue of the matrix f(A). In this case the

polynomial we consider is f(x) = x

0

−ωx

1

. Using octave or Matlab you will ﬁnd that the eigenvalues

of A are approximately 7.7321, 4.2679, and 4. Thus the eigenvalues of I −ωA are approximately

1 −7.7321ω, 1 −4.2679ω, 1 −4ω.

With some work it can be shown that all three of these values will be less than one in absolute

value if and only if

0 < ω <

3

7.7321

≈ 0.388

(See also Exercise (3.10).)

Compare this to the results of Example Problem 3.4, where for this system, ω = 1 apparently did

not lead to convergence, while for Example Problem 3.5, with ω = 1/6, convergence was observed.

¬

3.4.8 A Free Lunch?

The analysis leading to Theorem 3.8 leads to an interesting possible variant of the iterative scheme.

For simplicity we will only consider an alteration of Richardson’s Iteration. In the altered algorithm

we presuppose the existence, via some oracle, of a sequence of weightings, ω

i

, which we use in each

iterative update. Thus our algorithm becomes:

1. Select some initial iterate x

(0)

.

2. Given iterate x

(k−1)

, deﬁne

x

(k)

= (I −ω

k

A) x

(k−1)

+ω

k

b.

Following the analysis for Theorem 3.8, it can be shown that

e

(k)

= (I −ω

k

A) e

(k−1)

where, again, e

(k)

= x

(k)

− x, with x the actual solution to the linear system. Expanding e

(k−1)

similarly gives

e

(k)

= (I −ω

k

A) (Iω

k−1

A) e

(k−2)

=

k

¸

i=1

I −ω

i

A

e

(0)

.

3.4. ITERATIVE SOLUTIONS 45

Remember that we want e

(k)

to be small in magnitude, or, better yet, to be zero. One way to

guarantee that e

(k)

is zero, regardless of the choice of e

(0)

it to somehow ensure that the matrix

B =

k

¸

i=1

I −ω

i

A

has all zero eigenvalues.

We again make use of the fact that eigenvalues “commute” with polynomials to claim that if

λ

j

is an eigenvalue of A, then

k

¸

i=1

1 −ω

i

λ

j

is an eigenvalue of B. This eigenvalue is zero if one of the ω

i

for 1 ≤ i ≤ k is 1/λ

j

. This suggests

how we are to pick the weightings: let them be the inverses of the eigenvalues of A.

In fact, if A has a small number of distinct eigenvalues, say m eigenvalues, then convergence to

the exact solution could be guaranteed after only m iterations, regardless of the size of the matrix.

As you may have guessed from the title of this subsection, this is not exactly a practical

algorithm. The problem is that it is not simple to ﬁnd, for a given arbitrary matrix A, one, some,

or all its eigenvalues. This problem is of suﬃcient complexity to outweigh any savings to be gotten

from our “free lunch” algorithm.

However, in some limited situations this algorithm might be practical if the eigenvalues of A

are known a priori .

46 CHAPTER 3. SOLVING LINEAR SYSTEMS

Exercises

(3.1) Find the LU decomposition of the following matrices, using na¨ıve Gaussian Elimination

(a)

3 −1 −2

9 −1 −4

−6 10 13

¸

¸

(b)

8 24 16

1 12 11

4 13 19

¸

¸

(c)

−3 6 0

1 −2 0

−4 5 −8

¸

¸

(3.2) Perform back substitution to solve the equation

1 3 5 3

0 2 4 3

0 0 2 1

0 0 0 2

¸

¸

¸

¸

x =

−1

−1

1

2

¸

¸

¸

¸

(3.3) Perform Na¨ıve Gaussian Elimination to prove Cramer’s rule for the 2D case. That is, prove

that the solution to

¸

a b

c d

¸

x

y

=

¸

f

g

is given by

y =

det

¸

a f

c g

det

¸

a b

c d

and x =

det

¸

f b

g d

det

¸

a b

c d

**(3.4) Implement Cramer’s rule to solve a pair of linear equations in 2 variables. Your m-ﬁle should
**

have header line like:

function x = cramer2(A,b)

where A is a 2 2 matrix, and b and x are 2 1 vectors. Your code should ﬁnd the x such

that Ax = b. (See Exercise (3.3))

Test your code on the following (augmented) systems:

(a)

3 −2 1

4 −3 −1

(b)

1.24 −3.48 1

−0.744 2.088 2

(c)

1.24 −3.48 1

−0.744 2.088 −0.6

(d)

**−0.0590 0.2372 −0.3528
**

0.1080 −0.4348 0.6452

**(3.5) Given two lines parametrized by f(t) = at +b, and g(s) = cs+d, set up a linear 22 system
**

of equations to ﬁnd the t, s at the point of intersection of the two lines. If you were going

to write a program to detect the intersection of two lines, how would you detect whether

they are parallel? How is this related to the form of the solution to a system of two linear

equations? (See Exercise (3.3))

(3.6) Prove that the inverse of the matrix

1 0 0 0

a

2

1 0 0

a

3

0 1 0

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

a

n

0 0 1

¸

¸

¸

¸

¸

¸

¸

3.4. ITERATIVE SOLUTIONS 47

is the matrix

1 0 0 0

−a

2

1 0 0

−a

3

0 1 0

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

−a

n

0 0 1

¸

¸

¸

¸

¸

¸

¸

(Hint: Multiply them together.)

(3.7) Under the strategy of scaled partial pivoting, which row of the following matrix will be the

ﬁrst pivot row?

10 17 −10 0.1 0.9

−3 3 −3 0.3 −4

0.3 0.1 0.01 −1 0.5

2 3 4 −3 5

10 100 1 0.1 0

¸

¸

¸

¸

¸

¸

(3.8) Let A be a symmetric positive deﬁnite n n matrix with n distinct eigenvalues. Letting

y

(0)

= b/ |b|

2

, consider the iteration

y

(k+1)

=

Ay

(k)

Ay

(k)

2

.

(a) What is

y

(k)

2

?

(b) Show that y

(k)

= A

k

b/

A

k

b

2

.

(c) Show that as k →∞, y

(k)

converges to the (normalized) eigenvector associated with the

largest eigenvalue of A.

(3.9) Consider the equation

1 3 5

−2 2 4

4 −3 −4

¸

¸

x =

−5

−6

10

¸

¸

Letting x

(0)

= [1 1 0]

¯

, ﬁnd the iterate x

(1)

by one step of Richardson’s Method. And by

one step of Jacobi Iteration. And by Gauss Seidel.

(3.10) Let A be a symmetric n n matrix with eigenvalues in the interval [α, β], with 0 < α ≤ β,

and α +β = 0. Consider Richardson’s Iteration

x

(k+1)

= (I −ωA) x

(k)

+ωb.

Recall that e

(k+1)

= (I −ωA) e

(k)

.

(a) Show that the eigenvalues of I −ωA are in the interval [1 −ωβ, 1 −ωα].

(b) Prove that

max ¦[λ[ : 1 −ωβ ≤ λ ≤ 1 −ωα¦

is minimized when we choose ω such that 1 − ωβ = −(1 −ωα) . (Hint: It may help to

look at the graph of something versus ω.)

(c) Show that this relationship is satisﬁed by ω = 2/ (α +β).

(d) For this choice of ω show that the spectral radius of I −ωA is

[α −β[

[α +β[

.

48 CHAPTER 3. SOLVING LINEAR SYSTEMS

(e) Show that when 0 < α, this quantity is always smaller than 1.

(f) Prove that if A is positive deﬁnite, then there is an ω such that Richardson’s Iteration

with this ω will converge for any choice of x

(0)

.

(g) For which matrix do you expect faster convergence of Richardson’s Iteration: A

1

with

eigenvalues in [10, 20] or A

2

with eigenvalues in [1010, 1020]? Why?

(3.11) Implement Richardson’s Iteration to solve the system Ax = b. Your m-ﬁle should have

header line like:

function xk = richardsons(A,b,x0,w,k)

Your code should return x

(k)

based on the iteration

x

(j+1)

= x

(j)

−ω

Ax

(j)

−b

.

Let w take the place of ω, and let x0 be the initial iterate x

(0)

. Test your code for A, b for

which you know the actual solution to the problem. (Hint: Start with A and the solution x

and generate b.) Test your code on the following matrices:

• Let A be the Hilbert Matrix. This is generated by the octave command A = hilb(10),

or whatever (smallish) integer. Try diﬀerent values of ω, including ω = 1.

• Let A be a Toeplitz matrix of the form:

A =

−2 1 0 0

1 −2 1 0

0 1 −2 0

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

0 0 0 −2

¸

¸

¸

¸

¸

¸

¸

These can be generated by the octave command A = toeplitz([-2 1 0 0 0 0 0 0]).

Try diﬀerent values of ω, including ω = −1/2.

(3.12) Let A be a nonsingular n n matrix. We wish to solve Ax = b. Let x

(0)

be some starting

vector, let T

k

be span

¸

r

(0)

, Ar

(0)

, . . . , A

k

r

(0)

¸

, and let {

k

be the set of polynomials, p(x) of

degree k with p(0) = 1.

Consider the following iterative method: Let x

(k+1)

be the x that solves

min

x∈x

(0)

+T

k

|b −Ax|

2

.

Let r

(k)

= b −Ax

(k)

.

(a) Show that if x ∈ x

(0)

+T

k

, then b −Ax = p(A)r

(0)

for some p ∈ {

k

.

(b) Prove that, conversely, for any p ∈ {

k

there is some x ∈ x

(0)

+T

k

, such that b −Ax =

p(A)r

(0)

.

(c) Argue that

r

(k+1)

2

= min

p∈1

k

p(A)r

(0)

2

.

(d) Prove that this iteration converges in at most n steps. (Hint: Argue for the existence

of a polynomial in {

n

that vanishes at all the eigenvalues of A. Use this polynomial to

show that

r

(n)

2

≤ 0.)

Chapter 4

Finding Roots

4.1 Bisection

We are now concerned with the problem of ﬁnding a zero for the function f(x), i.e., some c such

that f(c) = 0.

The simplest method is that of bisection. The following theorem, from calculus class, insures

the success of the method

Theorem 4.1 (Intermediate Value Theorem). If f(x) is continuous on [a, b] then for any y

such that y is between f(a) and f(b) there is a c ∈ [a, b] such that f(c) = y.

The IVT is best illustrated graphically. Note that continuity is really a requirement here–a

single point of discontinuity could ruin your whole day, as the following example illustrates.

Example 4.2. The function f(x) =

1

x

is not continuous at 0. Thus if 0 ∈ [a, b] , we cannot apply

the IVT. In particular, if 0 ∈ [a, b] it happens to be the case that for every y between f(a), f(b)

there is no c ∈ [a, b] such that f(c) = y.

In particular, the IVT tells us that if f(x) is continuous and we know a, b such that f(a), f(b)

have diﬀerent sign, then there is some root in [a, b]. A decent estimate of the root is c =

a+b

2

.

We can check whether f(c) = 0. If this does not hold then one and only one of the two following

options holds:

1. f(a), f(c) have diﬀerent signs.

2. f(c), f(b) have diﬀerent signs.

We now choose to recursively apply bisection to either [a, c] or [c, b], respectively, depending on

which of these two options hold.

4.1.1 Modiﬁcations

Unfortunately, it is impossible for a computer to test whether a given black box function is contin-

uous. Thus malicious or incompetent users could cause a na¨ıvely implemented bisection algorithm

to fail. There are a number of easily conceivable problems:

1. The user might give f, a, b such that f(a), f(b) have the same sign. In this case the function

f might be legitimately continuous, and might have a root in the interval [a, b]. If, taking

c =

a+b

2

, f(a), f(b), f(c) all have the same sign, the algorithm would be at an impasse. We

should perform a “sanity check” on the input to make sure f(a), f(b) have diﬀerent signs.

49

50 CHAPTER 4. FINDING ROOTS

2. The user might give f, a, b such that f is not continuous on [a, b], moreover has no root in

the interval [a, b]. For a poorly implemented algorithm, this might lead to an inﬁnite search

on smaller and smaller intervals about some discontinuity of f. In fact, the algorithm might

descend to intervals as small as machine precision, in which case the midpoint of the interval

will, due to rounding, be the same as one of the endpoints, resulting in an inﬁnite recursion.

3. The user might give f such that f has no root c that is representable in the computer’s

memory. Recall that we think of computers as storing numbers in the form ±r 10

k

; given

a ﬁnite number of bits to represent a number, only a ﬁnite number of such numbers can be

represented. It may legitimately be the case that none of them is a root to f. In this case,

the behaviour of the algorithm may be like that of the previous case. A well implemented

version of bisection should check the length of its input interval, and give up if the length is

too small, compared to machine precision.

Another common error occurs in the testing of the signs of f(a), f(b). A slick programmer might

try to implement this test in the pseudocode:

if (f(a)f(b) > 0) then ...

Note however, that [f(a)[ , [f(b)[ might be very small, and that f(a)f(b) might be too small to

be representable in the computer; this calculation would be rounded to zero, and unpredictable

behaviour would ensue. A wiser choice is

if (sign(f(a)) * sign(f(b)) > 0) then ...

where the function sign (x) returns −1, 0, 1 depending on whether x is negative, zero, or positive,

respectively.

The pseudocode bisection algorithm is given as Algorithm 1.

4.1.2 Convergence

We can see that each time recursive bisection(f, a, b, . . .) is called that [b −a[ is half the length

of the interval in the previous call. Formally call the ﬁrst interval [a

0

, b

0

], and the ﬁrst midpoint

c

0

. Let the second interval be [a

1

, b

1

], etc. Note that one of a

1

, b

1

will be c

0

, and the other will be

either a

0

or b

0

. We are claiming that

b

n

−a

n

=

b

n−1

−a

n−1

2

=

b

0

−a

0

2

n

Theorem 4.3 (Bisection Method Theorem). If f(x) is a continuous function on [a, b] such that

f(a)f(b) < 0, then after n steps, the algorithm run bisection will return c such that [c −c

t

[ ≤

[b−a[

2

n

, where c

t

is some root of f.

4.2 Newton’s Method

Newton’s method is an iterative method for root ﬁnding. That is, starting from some guess at the

root, x

0

, one iteration of the algorithm produces a number x

1

, which is supposed to be closer to a

root; guesses x

2

, x

3

, . . . , x

n

follow identically.

Newton’s method uses “linearization” to ﬁnd an approximate root. Recalling Taylor’s Theorem,

we know that

f(x +h) ≈ f(x) +f

t

(x)h.

4.2. NEWTON’S METHOD 51

Algorithm 1: Algorithm for ﬁnding root by bisection.

Input: a function, two endpoints, a x-tolerance, and a y-tolerance

Output: a c such that [f(c)[ is smaller than the y-tolerance.

run bisection(f, a, b, δ, )

(1) Let fa ←sign (f(a)) .

(2) Let fb ←sign (f(b)) .

(3) if fafb > 0

(4) throw an error.

(5) else if fafb = 0

(6) if fa = 0

(7) return a

(8) else

(9) return b

(10) Let c ←

a+b

2

(11) while b −a > 2δ

(12) Let fc ←f(c).

(13) if [fc[ <

(14) return c

(15) if sign (fa) sign (fc) < 0

(16) Let b ←c, fb ←fc, c ←

a+c

2

.

(17) else

(18) Let a ←c, fa ←fc, c ←

c+b

2

.

(19) return c

This approximation is better when f

tt

() is “well-behaved” between x and x+h. Newton’s method

attempts to ﬁnd some h such that

0 = f(x +h) = f(x) +f

t

(x)h.

This is easily solved as

h =

−f(x)

f

t

(x)

.

An iteration of Newton’s method, then, takes some guess x

k

and returns x

k+1

deﬁned by

x

k+1

= x

k

−

f(x

k

)

f

t

(x

k

)

. (4.1)

An iteration of Newton’s method is shown in Figure 4.1, along with the linearization of f(x) at

x

k

.

4.2.1 Implementation

Use of Newton’s method requires that the function f(x) be diﬀerentiable. Moreover, the derivative

of the function must be known. This may preclude Newton’s method from being used when f(x)

is a black box. As is the case for the bisection method, our algorithm cannot explicitly check for

continuity of f(x). Moreover, the success of Newton’s method is dependent on the initial guess

x

0

. This was also the case with bisection, but for bisection there was an easy test of the initial

interval–i.e., test if f(a

0

)f(b

0

) < 0.

52 CHAPTER 4. FINDING ROOTS

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

x

k

x

k−1

f(x

k

)

f(x

k−1

)

Figure 4.1: One iteration of Newton’s method is shown for a quadratic function f(x). The lin-

earization of f(x) at x

k

is shown. It is clear that x

k+1

is a root of the linearization. It happens to

be the case that [f(x

k+1

)[ is smaller than [f(x

k

)[ , i.e., x

k+1

is a better guess than x

k

.

Our algorithm will test for goodness of the estimate by looking at [f(x

k

)[ . The algorithm will

also test for near-zero derivative. Note that if it were the case that f

t

(x

k

) = 0 then h would be ill

deﬁned.

Algorithm 2: Algorithm for ﬁnding root by Newton’s Method.

Input: a function, its derivative, an initial guess, an iteration limit, and a tolerance

Output: a point for which the function has small value.

run newton(f, f

t

, x0, N, tol)

(1) Let x ←x0, n ←0.

(2) while n ≤ N

(3) Let fx ←f(x).

(4) if [fx[ < tol

(5) return x.

(6) Let fpx ←f

t

(x).

(7) if [fpx[ < tol

(8) Warn “f

t

(x) is small; giving up.”

(9) return x.

(10) Let x ←x −fx/fpx.

(11) Let n ←n + 1.

4.2. NEWTON’S METHOD 53

4.2.2 Problems

As mentioned above, convergence is dependent on f(x), and the initial estimate x

0

. A number of

conceivable problems might come up. We illustrate them here.

Example 4.4. Consider Newton’s method applied to the function f(x) = x

j

with j > 1, and with

initial estimate x

0

= 0.

Note that f(x) = 0 has the single root x = 0. Now note that

x

k+1

= x

k

−

x

j

k

jx

j−1

k

=

1 −

1

j

x

k

.

Since the equation has the single root x = 0, we ﬁnd that x

k

is converging to the root. However,

it is converging at a rate slower than we expect from Newton’s method: at each step we have a

constant decrease of 1−(1/j) , which is a larger number (and thus worse decrease) when j is larger.

Example 4.5. Consider Newton’s method applied to the function f(x) =

lnx

x

, with initial estimate

x

0

= 3.

Note that f(x) is continuous on R

+

. It has a single root at x = 1. Our initial guess is not too far

from this root. However, consider the derivative:

f

t

(x) =

x

1

x

−ln x

x

2

=

1 −ln x

x

2

If x > e

1

, then 1 −ln x < 0, and so f

t

(x) < 0. However, for x > 1, we know f(x) > 0. Thus taking

x

k+1

= x

k

−

f(x

k

)

f

t

(x

k

)

> x

k

.

The estimates will “run away” from the root x = 1.

Example 4.6. Consider Newton’s method applied to the function f(x) = sin (x) for the initial

estimate x

0

= 0, where x

0

has the odious property 2x

0

= tan x

0

.

You should verify that there are an inﬁnite number of such x

0

. Consider the identity of x

1

:

x

1

= x

0

−

f(x

0

)

f

t

(x

0

)

= x

0

−

sin(x

0

)

cos(x

0

)

= x

0

−tan x

0

= x

0

−2x

0

= −x

0

.

Now consider x

2

:

x

2

= x

1

−

f(x

1

)

f

t

(x

1

)

= −x

0

−

sin(−x

0

)

cos(−x

0

)

−x

0

+

sin(x

0

)

cos(x

0

)

= −x

0

+ tan x

0

= −x

0

+ 2x

0

= x

0

.

Thus Newton’s method “cycles” between the two values x

0

, −x

0

.

Of course, Newton’s method may ﬁnd some iterate x

k

for which f

t

(x

k

) = 0, in which case, there

is no well-deﬁned x

k+1

.

4.2.3 Convergence

When Newton’s Method converges, it actually displays quadratic convergence. That is, if e

k

= x

k

−r,

where r is the root that the x

k

are converging to, that [e

k+1

[ ≤ C [e

k

[

2

. If, for example, it were

the case that C = 1, then we would double the accuracy of our root estimate with each iterate.

That is, if e

0

were 0.001, we would expect e

1

to be on the order of 0.000001. The following theorem

formalizes our claim:

54 CHAPTER 4. FINDING ROOTS

Theorem 4.7 (Newton’s Method Convergence). If f(x) has two continuous derivatives, and

r is a simple root of f(x), then there is some D such that if [x

0

−r[ < D, Newton’s method will

converge quadratically to r.

The proof is based on arguments from real analysis, and is omitted; see Cheney & Kincaid for

the proof [7]. Take note of the following, though:

1. The proof requires that r be a simple root, that is that f

t

(r) = 0. When this does not hold

we may get only linear convergence, as in Example 4.4.

2. The key to the proof is using Taylor’s theorem, and the deﬁnition of Newton’s method to

show that

e

k+1

=

−f

tt

(ξ

k

)e

2

k

2f

t

(x

k

)

,

where ξ

k

is between x

k

and r = x

k

+e

k

.

The proof then proceeds by showing that there is some region about r such that

(a) in this region [f

tt

(x)[ is not too large and [f

t

(x)[ is not too small, and

(b) if x

k

is in the region, then x

k+1

is in the region.

In particular the region is chosen to be so small that if x

k

is in the region, then the factor

e

2

k

will outweigh the factor [f

tt

(ξ

k

)[ /2 [f

t

(x

k

)[ . You can roughly think of this region as an

“attractor” region for the root.

3. The theorem never guarantees that some x

k

will fall into the “attractor” region of a root r of

the function, as in Example 4.5 and Example 4.6. The theorem that follows gives suﬃcient

conditions for convergence to a particular root.

Theorem 4.8 (Newton’s Method Convergence II [2]). If f(x) has two continuous derivatives

on [a, b], and

1. f(a)f(b) < 0,

2. f

t

(x) = 0 on [a, b],

3. f

tt

(x) does not change sign on [a, b],

4. Both [f(a)[ ≤ (b −a) [f

t

(a)[ and [f(b)[ ≤ (b −a) [f

t

(b)[ hold,

then Newton’s method converges to the unique root of f(x) = 0 for any choice of x

0

∈ [a, b] .

4.2.4 Using Newton’s Method

Newton’s Method can be used to program more complex functions using only simple functions.

Suppose you had a computer which could perform addition, subtraction, multiplication, division,

and storing and retrieving numbers, and it was your task to write a subroutine to compute some

complex function g(). One way of solving this problem is to have your subroutine use Newton’s

Method to solve some equation equivalent to g(z) −x = 0, where z is the input to the subroutine.

Note that it is assumed the subroutine cannot evaluate g(z) directly, so this equation needs to be

modiﬁed to satisfy the computer’s constraints.

Quite often when dealing with problems of this type, students make the mistake of using New-

ton’s Method to try to solve a linear equation. This should be an indication that a mistake was

made, since Newton’s Method can solve a linear equation in a single step:

Example 4.9. Consider Newton’s method applied to the function f(x) = ax +b. The iteration is

given as

x

k+1

←x

k

−

ax

k

+b

a

.

This can be rewritten simply as x

k+1

←−b/a.

4.3. SECANT METHOD 55

The following example problems should illustrate this process of “bootstrapping” via Newton’s

Method.

Example Problem 4.10. Devise a subroutine using only subtraction and multiplication that can

ﬁnd the multiplicative inverse of an input number z, i.e., can ﬁnd (1/z) .

Solution: We are tempted to use the linear function f(x) = (1/z) −x. But this is a linear equation

for which Newton’s Method would reduce to x

k+1

← (1/z) . Since the subroutine can only use

subtraction and multiplication, this will not work.

Instead apply Newton’s Method to f(x) = z −(1/x) . The Newton step is

x

k+1

←x

k

−

z −(1/x

k

)

1/x

2

k

= x

k

−zx

2

k

+x

k

= x

k

(2 −zx

k

) .

Note this step uses only multiplication and subtraction. The subroutine is given in Algorithm 3.

¬

Algorithm 3: Algorithm for ﬁnding a multiplicative inverse using simple operations.

Input: a number

Output: its multiplicative inverse

invs(z)

(1) if z = 0 throw an error.

(2) Let x ←sign (z) , n ←0.

(3) while n ≤ 50

(4) Let x ←x(2 −zx) .

(5) Let n ←n + 1.

Example Problem 4.11. Devise a subroutine using only simple operations which computes the

square root of an input number z.

Solution: The temptation is to ﬁnd a zero for f(x) =

√

z − x. However, this equation is linear

in x. Instead let f(x) = z − x

2

. You can easily see that if x is a positive root of f(x) = 0, then

x =

√

z. The Newton step becomes

x

k+1

←x

k

−

z −x

2

k

−2x

k

.

after some simpliﬁcation this becomes

x

k+1

←

x

k

2

+

z

2x

k

.

Note this relies only on addition, multiplication and division.

The ﬁnal subroutine is given in Algorithm 4.

¬

4.3 Secant Method

The secant method for root ﬁnding is roughly based on Newton’s method; however, it is not

assumed that the derivative of the function is known, rather the derivative is approximated by

the value of the function at some of the iterates, x

k

. More speciﬁcally, the slope of the tangent

56 CHAPTER 4. FINDING ROOTS

Algorithm 4: Algorithm for ﬁnding a square root using simple operations.

Input: a number

Output: its square root

sqrt(z)

(1) if z < 0 throw an error.

(2) Let x ←1, n ←0.

(3) while n ≤ 50

(4) Let x ←(x +z/x) /2.

(5) Let n ←n + 1.

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

x

k

x

k−1

f(x

k

)

f(x

k−1

)

x

k+1

f

(

x

k

+

1

)

Figure 4.2: One iteration of the Secant method is shown for some quadratic function f(x). The

secant line through (x

k−1

, f(x

k−1

)) and (x

k

, f(x

k

)) is shown. It happens to be the case that

[f(x

k+1

)[ is smaller than [f(x

k

)[ , i.e., x

k+1

is a better guess than x

k

.

line at (x

k

, f(x

k

)) , which is f

t

(x

k

) is approximated by the slope of the secant line passing through

(x

k−1

, f(x

k−1

)) and (x

k

, f(x

k

)) , which is

f(x

k

) −f(x

k−1

)

x

k

−x

k−1

Thus the iterate x

k+1

is the root of this secant line. That is, it is a root to the equation

f(x

k

) −f(x

k−1

)

x

k

−x

k−1

(x −x

k

) = y −f(x

k

).

4.3. SECANT METHOD 57

Since the root has a y value of 0, we have

f(x

k

) −f(x

k−1

)

x

k

−x

k−1

(x

k+1

−x

k

) = −f(x

k

),

x

k+1

−x

k

= −

x

k

−x

k−1

f(x

k

) −f(x

k−1

)

f(x

k

),

x

k+1

= x

k

−

x

k

−x

k−1

f(x

k

) −f(x

k−1

)

f(x

k

). (4.2)

You will note this is the recurrence of Newton’s method, but with the slope f

t

(x

k

) substituted

by the slope of the secant line. Note also that the secant method requires two initial guesses, x

0

, x

1

,

but can be used on a black box function. The secant method can suﬀer from some of the same

problems that Newton’s method does, as we will see.

An iteration of the secant method is shown in Figure 4.2, along with the secant line.

Example 4.12. Consider the secant method used on x

3

+x

2

−x −1, with x

0

= 2, x

1

=

1

2

.

Note that this function is continuous and has roots ±1. We give the iterates here:

k x

k

f(x

k

)

0 2 9

1 0.5 −1.125

2 0.666666666666667 −0.925925925925926

3 1.44186046511628 2.63467367653163

4 0.868254072087394 −0.459842466254495

5 0.953491494113659 −0.177482458876898

6 1.00706900811804 0.0284762692197613

7 0.999661272951803 −0.0013544492875992

8 0.999997617569723 −9.52969840528617 10

−06

9 1.0000000008072 3.22880033820638 10

−09

10 0.999999999999998 −7.43849426498855 10

−15

4.3.1 Problems

As with Newton’s method, convergence is dependent on f(x), and the initial estimates x

0

, x

1

. We

illustrate a few possible problems:

Example 4.13. Consider the secant method for the function f(x) =

lnx

x

, with x

0

= 3, x

1

= 4.

As with Newton’s method, the iterates diverge towards inﬁnity, looking for a nonexistant root. We

58 CHAPTER 4. FINDING ROOTS

give some iterates here:

k x

k

f(x

k

)

0 3 0.366204096222703

1 4 0.346573590279973

2 21.6548475770851 0.142011128224341

3 33.9111765137635 0.103911011441661

4 67.3380435135758 0.0625163004418104

5 117.820919458675 0.0404780904944712

6 210.543986613847 0.0254089165873003

7 366.889164762149 0.0160949419231219

8 637.060241341843 0.010135406045582

9 1096.54125113444 0.00638363233543847

10 1878.34688714646 0.00401318169994875

11 3201.94672271613 0.0025208146648422

12 5437.69020766155 0.00158175793894727

13 9203.60222260594 0.000991714984152597

14 15533.1606791089 0.000621298692241343

15 26149.7196085218 0.000388975250950428

16 43924.8466075548 0.000243375589137882

17 73636.673898472 0.000152191807070607

Example 4.14. Consider Newton’s method applied to the function f(x) =

1

1+x

2

−

1

17

, with initial

estimates x

0

= −1, x

1

= 1.

You can easily verify that f(x

0

) = f(x

1

), and thus the secant line is horizontal. And thus x

2

is not

deﬁned.

Algorithm 5: Algorithm for ﬁnding root by secant method.

Input: a function, initial guesses, an iteration limit, and a tolerance

Output: a point for which the function has small value.

run secant(f, x0, x1, N, tol)

(1) Let x ←x1, xp ←x0, fh ←f(x1), fp ←f(x0), n ←0.

(2) while n ≤ N

(3) if [fh[ < tol

(4) return x.

(5) Let fpx ←(fh −fp)/(x −xp).

(6) if [fpx[ < tol

(7) Warn “secant slope is too small; giving up.”

(8) return x.

(9) Let xp ←x, fp ←fh.

(10) Let x ←x −fh/fpx.

(11) Let fh ←f(x).

(12) Let n ←n + 1.

4.3.2 Convergence

We consider convergence analysis as in Newton’s method. We assume that r is a root of f(x), and

let e

n

= r −x

n

. Because the secant method involves two iterates, we assume that we will ﬁnd some

4.3. SECANT METHOD 59

relation between e

k+1

and the previous two errors, e

k

, e

k−1

.

Indeed, this is the case. Omitting all the nasty details (see Cheney & Kincaid [7]), we arrive at

the imprecise equation:

e

k+1

≈ −

f

tt

(r)

2f

t

(r)

e

k

e

k−1

= Ce

k

e

k−1

.

Again, the proof relies on ﬁnding some “attractor” region and using continuity.

We now postulate that the error terms for the secant method follow some power law of the

following type:

[e

k+1

[ ∼ A[e

k

[

α

.

Recall that this held true for Newton’s method, with α = 2. We try to ﬁnd the α for the secant

method. Note that

[e

k

[ = A[e

k−1

[

α

,

so

[e

k−1

[ = A

−

1

α

[e

k

[

1

α

.

Then we have

A[e

k

[

α

= [e

k+1

[ = C [e

k

[ [e

k−1

[ = CA

−

1

α

[e

k

[

1+

1

α

,

Since this equation is to hold for all e

k

, we must have

α = 1 +

1

α

.

This is solved by α =

1

2

1 +

√

5

**≈ 1.62. Thus we say that the secant method enjoys superlinear
**

convergence; This is somewhere between the convergence rates for bisection and Newton’s method.

60 CHAPTER 4. FINDING ROOTS

Exercises

(4.1) Consider the bisection method applied to ﬁnd the zero of the function f(x) = x

2

− 5x + 3,

with a

0

= 0, b

0

= 1. What are a

1

, b

1

? What are a

2

, b

2

?

(4.2) Approximate

√

10 by using two steps of Newton’s method, with an initial estimate of x

0

= 3.

(cf. Example Problem 4.11) Your answer should be correct to 5 decimal places.

(4.3) Consider bisection for ﬁnding the root to cos x = 0. Let the initial interval I

0

be [0, 2]. What

is the next interval considered, call it I

1

? What is I

2

? I

6

?

(4.4) What does the sequence deﬁned by

x

0

= 1, x

k+1

=

1

2

x

k

+

1

x

k

converge to?

(4.5) Devise a subroutine using only simple operations that ﬁnds, via Newton’s Method, the cubed

root of some input number z.

(4.6) Use Newton’s Method to approximate

3

√

9. Start with x

0

= 2. Find x

2

.

(4.7) Use Newton’s Method to devise a sequence x

0

, x

1

, . . . such that x

k

→ln 10. Is this a reasonable

way to write a subroutine that, given z, computes ln z? (Hint: such a subroutine would require

computation of e

x

k

. Is this possible for rational x

k

without using a logarithm? Is it practical?)

(4.8) Give an example (graphical or analytic) of a function, f(x) for which Newton’s Method:

(a) Does not ﬁnd a root for some choices of x

0

.

(b) Finds a root for every choice of x

0

.

(c) Falls into a cycle for some choice of x

0

.

(d) Converges slowly to the zero of f(x).

(4.9) How will Newton’s Method perform for ﬁnding the root to f(x) =

[x[ = 0?

(4.10) Implement the inverse ﬁnder described in Example Problem 4.10. Your m-ﬁle should have

header line like:

function c = invs(z)

where z is the number to be inverted. You may wish to use the builtin function sign. As

an extra termination condition, you should have the subroutine return the current iterate if

zx is suﬃciently close to 1, say within the interval (0.9999, 0.0001). Can you ﬁnd some z for

which the algorithm performs poorly?

(4.11) Implement the bisection method in octave/Matlab. Your m-ﬁle should have header line like:

function c = run_bisection(f, a, b, tol)

where f is the name of the function. Recall that feval(f,x) when f is a string with the

name of some function evaluates that function at x. This works for builtin functions and

m-ﬁles.

(a) Run your code on the function f(x) = cos x, with a

0

= 0, b

0

= 2. In this case you can

set f = "cos".

(b) Run your code on the function f(x) = x

2

−5x + 3, with a

0

= 0, b

0

= 1. In this case you

will have to set f to the name of an m-ﬁle (without the “.m”) which will evaluate the

given f(x).

(c) Run your code on the function f(x) = x −cos x, with a

0

= 0, b

0

= 1.

(4.12) Implement Newton’s Method. Your m-ﬁle should have header line like:

function x = run_newton(f, fp, x0, N, tol)

where f is the name of the function, and fp is its derivative. Run your code to ﬁnd zeroes of

the following functions:

(a) f(x) = tan x −x.

4.3. SECANT METHOD 61

(b) f(x) = x

2

−(2 +)x + 1 +, for small.

(c) f(x) = x

7

−7x

6

+ 21x

5

−35x

4

+ 35x

3

−21x

2

+ 7x −1.

(d) f(x) = (x −1)

7

.

(4.13) Implement the secant method Your m-ﬁle should have header line like:

function x = run_secant(f, x0, x1, N, tol)

where f is the name of the function. Run your code to ﬁnd zeroes of the following functions:

(a) f(x) = tan x −x.

(b) f(x) = x

2

+ 1. (Note: This function has no zeroes.)

(c) f(x) = 2 + sin x. (Note: This function also has no zeroes.)

62 CHAPTER 4. FINDING ROOTS

Chapter 5

Interpolation

5.1 Polynomial Interpolation

We consider the problem of ﬁnding a polynomial that interpolates a given set of values:

x x

0

x

1

. . . x

n

y y

0

y

1

. . . y

n

where the x

i

are all distinct. A polynomial p(x) is said to interpolate these data if p(x

i

) = y

i

for

i = 0, 1, . . . , n. The x

i

values are called “nodes.”

Sometimes, we will consider a variant of this problem: we have some black box function, f(x),

which we want to approximate with a polynomial p(x). We do this by ﬁnding the polynomial

interpolant to the data

x x

0

x

1

. . . x

n

f(x) f(x

0

) f(x

1

) . . . f(x

n

)

for some choice of distinct nodes x

i

.

5.1.1 Lagranges Method

As you might have guessed, for any such set of data, there is an n-degree polynomial that interpo-

lates it. We present a constructive proof of this fact by use of Lagrange Polynomials.

Deﬁnition 5.1 (Lagrange Polynomials). For a given set of n + 1 nodes x

i

, the Lagrange

polynomials are the n + 1 polynomials

i

deﬁned by

i

(x

j

) = δ

ij

=

0 if i = j

1 if i = j

Then we deﬁne the interpolating polynomial as

p

n

(x) =

n

¸

i=0

y

i

i

(x).

If each Lagrange Polynomial is of degree at most n, then p

n

also has this property. The Lagrange

Polynomials can be characterized as follows:

i

(x) =

n

¸

j=0, j,=i

x −x

j

x

i

−x

j

. (5.1)

63

64 CHAPTER 5. INTERPOLATION

By evaluating this product for each x

j

, we see that this is indeed a characterization of the Lagrange

Polynomials. Moreover, each polynomial is clearly the product of n monomials, and thus has degree

no greater than n.

This gives the theorem

Theorem 5.2 (Interpolant Existence and Uniqueness). Let ¦x

i

¦

n

i=0

be distinct nodes. Then

for any values at the nodes, ¦y

i

¦

n

i=0

, there is exactly one polynomial, p(x) of degree no greater than

n such that p(x

i

) = y

i

for i = 0, 1, . . . , n.

Proof. The Lagrange Polynomial construction gives existence of such a polynomial p(x) of degree

no greater than n.

Suppose there were two such polynomials, call them p(x), q(x), each of degree no greater than

n, both interpolating the data. Let r(x) = p(x) −q(x). Note that r(x) can have degree no greater

than n, yet it has roots at x

0

, x

1

, . . . , x

n

. The only polynomial of degree ≤ n that has n+1 distinct

roots is the zero polynomial, i.e., 0 ≡ r(x) = p(x) − q(x). Thus p(x), q(x) are equal everywhere,

i.e., they are the same polynomial.

Example Problem 5.3. Construct the polynomial interpolating the data

x 1

1

2

3

y 3 −10 2

by using Lagrange Polynomials.

Solution: We construct the Lagrange Polynomials:

0

(x) =

(x −

1

2

)(x −3)

(1 −

1

2

)(1 −3)

= −(x −

1

2

)(x −3)

1

(x) =

(x −1)(x −3)

(

1

2

−1)(

1

2

−3)

=

4

5

(x −1)(x −3)

2

(x) =

(x −1)(x −

1

2

)

(3 −1)(3 −

1

2

)

=

1

5

(x −1)(x −

1

2

)

Then the interpolating polynomial, in “Lagrange Form” is

p

2

(x) = −3(x −

1

2

)(x −3) −8(x −1)(x −3) +

2

5

(x −1)(x −

1

2

)

¬

5.1.2 Newton’s Method

There is another way to prove existence. This method is also constructive, and leads to a diﬀerent

algorithm for constructing the interpolant. One way to view this construction is to imagine how

one would update the Lagrangian form of an interpolant. That is, suppose some data were given,

and the interpolating polynomial calculated using Lagrange Polynomials; then a new point was

given (x

n+1

, y

n+1

), and an interpolant for the augmented set of data is to be found. Each Lagrange

Polynomial would have to be updated. This could take a lot of calculation (especially if n is large).

So the alternative method constructs the polynomials iteratively. Thus we create polynomials

p

k

(x) such that p

k

(x

i

) = y

i

for 0 ≤ i ≤ k. This is simple for k = 0, we simply let

p

0

(x) = y

0

,

5.1. POLYNOMIAL INTERPOLATION 65

-1

-0.5

0

0.5

1

1.5

2

0 0.5 1 1.5 2 2.5 3 3.5

l0(x)

l1(x)

l2(x)

Figure 5.1: The 3 Lagrange polynomials for the example are shown. Verify, graphically, that these

polynomials have the property

i

(x

j

) = δ

ij

for the nodes 1,

1

2

, 3.

the constant polynomial with value y

0

. Then assume we have a proper p

k

(x) and want to construct

p

k+1

(x). The following construction works:

p

k+1

(x) = p

k

(x) +c(x −x

0

)(x −x

1

) (x −x

k

),

for some constant c. Note that the second term will be zero for any x

i

for 0 ≤ i ≤ k, so p

k+1

(x)

will interpolate the data at x

0

, x

1

, . . . , x

k

. To get the value of the constant we calculate c such that

y

k+1

= p

k+1

(x

k+1

) = p

k

(x

k+1

) +c(x

k+1

−x

0

)(x

k+1

−x

1

) (x

k+1

−x

k

).

This construction is known as Newton’s Algorithm, and the resultant form is Newton’s form of

the interpolant

Example Problem 5.4. Construct the polynomial interpolating the data

x 1

1

2

3

y 3 −10 2

by using Newton’s Algorithm.

Solution: We construct the polynomial iteratively:

p

0

(x) = 3

p

1

(x) = 3 +c(x −1)

We want −10 = p

1

(

1

2

) = 3 +c(−

1

2

), and thus c = 26. Then

p

2

(x) = 3 + 26(x −1) +c(x −1)(x −

1

2

)

66 CHAPTER 5. INTERPOLATION

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

0 0.5 1 1.5 2 2.5 3 3.5 4

p(x)

Figure 5.2: The interpolating polynomial for the example is shown.

We want 2 = p

2

(3) = 3 + 26(2) +c(2)(

5

2

), and thus c =

−53

5

. Then we get

p

2

(x) = 3 + 26(x −1) +

−53

5

(x −1)(x −

1

2

).

¬

Does Newton’s Algorithm give a diﬀerent polynomial? It is easy to show, by induction, that

the degree of p

n

(x) is no greater than n. Then, by Theorem 5.2, it must be the same polynomial

as the Lagrange interpolant.

The two methods give the same interpolant, we may wonder “Which should we use?” Newton’s

Algorithm seems more ﬂexible–it can deal with adding new data. There also happens to be a way

of storing Newton’s form of the interpolant that makes the polynomial simple to evaluate (in the

sense of number of calculations required).

5.1.3 Newton’s Nested Form

Recall the iterative construction of Newton’s Form:

p

k+1

(x) = p

k

(x) +c

k

(x −x

0

)(x −x

1

) (x −x

k

).

The previous iterate p

k

(x) was constructed similarly, so we can write:

p

k+1

(x) = [p

k−1

(x) +c

k−1

(x −x

0

)(x −x

1

) (x −x

k−1

)] +c

k

(x −x

0

)(x −x

1

) (x −x

k

).

Continuing in this way we see that we can write

p

n

(x) =

n

¸

k=0

c

k

¸

0≤j<k

(x −x

j

)

¸

¸

, (5.2)

where an empty product has value 1 by convention. This can be rewritten in a funny form, where

a monomial is factored out of each successive summand:

p

n

(x) = c

0

+ (x −x

0

)[c

1

+ (x −x

1

)[c

2

+ (x −x

2

) [. . .]]]

5.1. POLYNOMIAL INTERPOLATION 67

Supposing for an instant that the constants c

k

were known, this provides a better way of

calculating p

n

(t) at arbitrary t. By “better” we mean requiring few multiplications and additions.

This nested calculation is performed iteratively:

v

0

= c

n

v

1

= c

n−1

+ (t −x

n−1

)v

0

v

2

= c

n−2

+ (t −x

n−2

)v

1

.

.

.

v

n

= c

0

+ (t −x

0

)v

n−1

This requires only n multiplications and 2n additions. Compare this with the number required

for using the Lagrange form: at least n

2

additions and multiplications.

5.1.4 Divided Diﬀerences

It turns out that the coeﬃcients c

k

for Newton’s nested form can be calculated relatively easily by

using divided diﬀerences. We assume, for the remainder of this section, that we are considering

interpolating a function, that is, we have values of f(x

i

) at the nodes x

i

.

Deﬁnition 5.5 (Divided Diﬀerences). For a given collection of nodes ¦x

i

¦

n

i=0

and values

¦f(x

i

)¦

n

x=0

, a k

th

order divided diﬀerence is a function of k + 1 (not necessarily distinct) nodes,

written as

f [x

i

0

, x

i

1

, . . . , x

i

k

]

The divided diﬀerences are deﬁned recursively as follows:

• The 0

th

order divided diﬀerences are simply deﬁned:

f [x

i

] = f(x

i

).

• Higher order divided diﬀerences are the ratio of diﬀerences:

f [x

i

0

, x

i

1

, . . . , x

i

k

] =

f [x

i

1

, x

i

2

, . . . , x

i

k

] −f

x

i

0

, x

i

1

, . . . , x

i

k−1

x

i

k

−x

i

0

We care about divided diﬀerences because coeﬃcients for the Newton nested form are divided

diﬀerences:

c

k

= f [x

0

, x

1

, . . . , x

k

] . (5.3)

Because we are only interested in the Newton method coeﬃcients, we will only consider divided

diﬀerences with successive nodes, i.e., those of the form f [x

j

, x

j+1

, . . . , x

j+k

]. In this case the

higher order diﬀerences can more simply be written as

f [x

j

, x

j+1

, . . . , x

j+k

] =

f [x

j+1

, x

j+2

, . . . , x

j+k

] −f [x

j

, x

j+1

, . . . , x

j+k−1

]

x

j+k

−x

j

68 CHAPTER 5. INTERPOLATION

The graphical way to calculate these things is a “pyramid scheme”

1

, where you compute the

following table columnwise, from left to right:

x f[ ] f[ , ] f[ , , ] f[ , , , ]

x

0

f[x

0

]

f[x

0

, x

1

]

x

1

f[x

1

] f[x

0

, x

1

, x

2

]

f[x

1

, x

2

] f[x

0

, x

1

, x

2

, x

3

]

x

2

f[x

2

] f[x

1

, x

2

, x

3

]

f[x

2

, x

2

]

x

3

f[x

3

]

Note that by deﬁnition, the ﬁrst column just echoes the data: f[x

i

] = f(x

i

).

We drag out our example one last time:

Example Problem 5.6. Find the divided diﬀerences for the following data

x 1

1

2

3

f(x) 3 −10 2

Solution: We start by writing in the data:

x f[ ] f[ , ] f[ , , ]

1 3

1

2

−10

3 2

Then we calculate:

f[x

0

, x

1

] =

−10 −3

(1/2) −1

= 26, and f[x

1

, x

2

] =

2 −−10

3 −(1/2)

= 24/5.

Adding these to the table, we have

x f[ ] f[ , ] f[ , , ]

1 3

26

1

2

−10

24

5

3 2

Then we calculate

f[x

0

, x

1

, x

2

] =

24/5 −26

3 −1

=

−53

5

.

So we complete the table:

x f[ ] f[ , ] f[ , , ]

1 3

26

1

2

−10

−53

5

24

5

3 2

1

That’s supposed to be a joke.

5.2. ERRORS IN POLYNOMIAL INTERPOLATION 69

You should verify that along the top line of this pyramid you can read oﬀ the coeﬃcients for

Newton’s form, as found in Example Problem 5.4. ¬

5.2 Errors in Polynomial Interpolation

We now consider two questions:

1. If we want to interpolate some function f(x) at n + 1 nodes over some closed interval, how

should we pick the nodes?

2. How accurate can we make a polynomial interpolant over a closed interval?

You may be surprised to ﬁnd that the answer to the ﬁrst question is not that we should make

the x

i

equally spaced over the closed interval, as the following example illustrates.

Example 5.7 (Runge Function). Let

f(x) =

1 +x

2

−1

,

(known as the Runge Function), and let p

n

(x) interpolate f on n equally spaced nodes, including

the endpoints, on [−5, 5]. Then

lim

n→∞

max

x∈[−5,5]

[p

n

(x) −f(x)[ = ∞.

This behaviour is shown in Figure 5.3.

It turns out that a much better choice is related to the Chebyshev Polynomials (“of the ﬁrst

kind”). If our closed interval is [−1, 1], then we want to deﬁne our nodes as

x

i

= cos

¸

2i + 1

2n + 2

π

, 0 ≤ i ≤ n.

Literally interpreted, these Chebyshev Nodes are the projections of points uniformly spaced on

a semi circle; see Figure 5.4. By using the Chebyshev nodes, a good polynomial interpolant of the

Runge function of Example 5.7 can be found, as shown in Figure 5.5.

5.2.1 Interpolation Error Theorem

We did not just invent the Chebyshev nodes. The fact that they are “good” for interpolation

follows from the following theorem:

Theorem 5.8 (Interpolation Error Theorem). Let p be the polynomial of degree at most n

interpolating function f at the n+1 distinct nodes x

0

, x

1

, . . . , x

n

on [a, b]. Let f

(n+1)

be continuous.

Then for each x ∈ [a, b] there is some ξ ∈ [a, b] such that

f(x) −p(x) =

1

(n + 1)!

f

(n+1)

(ξ)

n

¸

i=0

(x −x

i

) .

You should be thinking that the term on the right hand side resembles the error term in Taylor’s

Theorem.

70 CHAPTER 5. INTERPOLATION

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

-6 -4 -2 0 2 4 6

runge

3 nodes

7 nodes

10 nodes

(a) 3,7,10 equally spaced nodes

-1

0

1

2

3

4

5

6

7

8

-6 -4 -2 0 2 4 6

runge

15 nodes

(b) 15 equally spaced nodes

-700000

-600000

-500000

-400000

-300000

-200000

-100000

0

100000

-6 -4 -2 0 2 4 6

runge

50 nodes

(c) 50 equally spaced nodes

Figure 5.3: The Runge function is poorly interpolated at n equally spaced nodes, as n gets large.

At ﬁrst, the interpolations appear to improve with larger n, as in (a). In (b) it becomes apparent

that the interpolant is good in center of the interval, but bad at the edges. As shown in (c), this

gets worse as n gets larger.

5.2. ERRORS IN POLYNOMIAL INTERPOLATION 71

bottomright

topleft

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

1 1 −

Figure 5.4: The Chebyshev nodes are the projections of nodes equally spaced on a semi circle.

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

-6 -4 -2 0 2 4 6

runge

3 nodes

7 nodes

10 nodes

(a) 3,7,10 Chebyshev nodes

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

-6 -4 -2 0 2 4 6

runge

17 nodes

(b) 17 Chebyshev nodes

Figure 5.5: The Chebyshev nodes yield good polynomial interpolants of the Runge function. Com-

pare these ﬁgures to those of Figure 5.3. For more than about 25 nodes, the interpolant is indis-

tinguishable from the Runge function by eye.

Proof. First consider when x is one of the nodes x

i

; in this case both the LHS and RHS are zero.

So assume x is not a node. Make the following deﬁnitions

w(t) =

n

¸

i=0

(t −x

i

) ,

c =

f(x) −p(x)

w(x)

,

φ(t) = f(t) −p(t) −cw(t).

Since x is not a node, w(x) is nonzero. Now note that φ(x

i

) is zero for each node x

i

, and that by

deﬁnition of c, that φ(x) = 0 for our x. That is φ(t) has n + 2 roots.

Some other facts: f, p, w have n + 1 continuous derivatives, by assumption and deﬁnition; thus

φ has this many continuous derivatives. Apply Rolle’s Theorem to φ(t) to ﬁnd that φ

t

(t) has n+1

72 CHAPTER 5. INTERPOLATION

roots. Then apply Rolle’s Theorem again to ﬁnd φ

tt

(t) has n roots. In this way we see that φ

(n+1)

(t)

has a root, call it ξ. That is

0 = φ

(n+1)

(ξ) = f

(n+1)

(ξ) −p

(n+1)

(ξ) −cw

(n+1)

(ξ).

But p(t) is a polynomial of degree ≤ n, so p

(n+1)

is identically zero. And w(t) is a polynomial

of degree n + 1 in t, so its n + 1

th

derivative is easily seen to be (n + 1)! Thus

0 = f

(n+1)

(ξ) −c(n + 1)!

c(n + 1)! = f

(n+1)

(ξ)

f(x) −p(x)

w(x)

=

1

(n + 1)!

f

(n+1)

(ξ)

f(x) −p(x) =

1

(n + 1)!

f

(n+1)

(ξ)w(x),

which is what was to be proven.

Thus the error in a polynomial interpolation is given as

f(x) −p(x) =

1

(n + 1)!

f

(n+1)

(ξ)

n

¸

i=0

(x −x

i

) .

We have no control over the function f(x) or its derivatives, and once the nodes and f are ﬁxed, p

is determined; thus the only way we can make the error [f(x) −p(x)[ small is by judicious choice

of the nodes x

i

.

The Chebyshev nodes on [−1, 1] have the remarkable property that

n

¸

i=0

(t −x

i

)

≤ 2

−n

for any t ∈ [−1, 1] . Moreover, it can be shown that for any choice of nodes x

i

that

max

t∈[−1,1]

n

¸

i=0

(t −x

i

)

≥ 2

−n

.

Thus the Chebyshev nodes are considered the best for polynomial interpolation.

Merging this result with Theorem 5.8, the error for polynomial interpolants deﬁned on Cheby-

shev nodes can be bounded as

[f(x) −p(x)[ ≤

1

2

n

(n + 1)!

max

ξ∈[−1,1]

f

(n+1)

(ξ)

.

The Chebyshev nodes can be rescaled and shifted for use on the general interval [α, β]. In this

case they take the form

x

i

=

β −α

2

cos

¸

2i + 1

2n + 2

π

+

α +β

2

, 0 ≤ i ≤ n.

In this case, the rescaling of the nodes changes the bound on

¸

(t −x

i

) so the overall error bound

becomes

[f(x) −p(x)[ ≤

(β −α)

n+1

2

2n+1

(n + 1)!

max

ξ∈[α,β]

f

(n+1)

(ξ)

,

for x ∈ [α, β] .

5.2. ERRORS IN POLYNOMIAL INTERPOLATION 73

Example Problem 5.9. How many Chebyshev nodes are required to interpolate the function

f(x) = sin(x) + cos(x) to within 10

−8

on the interval [0, π]?

Solution: We ﬁrst ﬁnd the derivatives of f

f

t

(x) = cos(x) −sin(x)

f

tt

(x) = −sin(x) −cos(x)

f

ttt

(x) = −cos(x) + sin(x)

.

.

.

As a crude approximation we can assert that

f

(k)

(x)

≤ [cos x[ +[sin x[ ≤ 2.

Thus it suﬃces to take n large enough such that

π

n+1

2

2n+1

(n + 1)!

2 ≤ 10

−8

By trial and error we see that n = 10 suﬃces. ¬

5.2.2 Interpolation Error for Equally Spaced Nodes

Despite the proven superiority of Chebyshev Nodes, and the problems with the Runge Function,

equally spaced nodes are frequently used for interpolation, since they are easy to calculate

2

. We

now consider bounding

max

x∈[a,b]

n

¸

i=0

[x −x

i

[ ,

where

x

i

= a +hi = a +

(b −a)

n

i, i = 0, 1, . . . , n.

Start by picking an x. We can assume x is not one of the nodes, otherwise the product in

question is zero. Then x is between some x

j

, x

j+1

We can show that

[x −x

j

[ [x −x

j+1

[ ≤

h

2

4

.

by simple calculus.

Now we claim that [x −x

i

[ ≤ (j −i + 1) h for i < j, and [x −x

i

[ ≤ (i −j) h for j +1 < i. Then

n

¸

i=0

[x −x

i

[ ≤

h

2

4

(j + 1)!h

j

(n −j)!h

n−j−1

.

It can be shown that (j + 1)!(n −j)! ≤ n!, and so we get an overall bound

n

¸

i=0

[x −x

i

[ ≤

h

n+1

n!

4

.

2

Never underestimate the power of laziness.

74 CHAPTER 5. INTERPOLATION

The interpolation theorem then gives us

[f(x) −p(x)[ ≤

h

n+1

4 (n + 1)

max

ξ∈[a,b]

f

(n+1)

(ξ)

,

where h = (b −a)/n.

The reason this result does not seem to apply to Runge’s Function is that f

(n)

for Runge’s

Function becomes unbounded as n →∞.

Example Problem 5.10. How many equally spaced nodes are required to interpolate the function

f(x) = sin(x) + cos(x) to within 10

−8

on the interval [0, π]?

Solution: As in Example Problem 5.9, we make the crude approximation

f

(k)

(x)

≤ [cos x[ +[sin x[ ≤ 2.

Thus we want to make n suﬃciently large such that

h

n+1

4(n + 1)

2 ≤ 10

−8

,

where h = (π −0)/n. That is we want to ﬁnd n large enough such that

π

n+1

2n

n+1

(n + 1)

≤ 10

−8

,

By simply trying small numbers, we can see this is satisﬁed if n = 12. ¬

5.2. ERRORS IN POLYNOMIAL INTERPOLATION 75

Exercises

(5.1) Find the Lagrange Polynomials for the nodes ¦−1, 1¦.

(5.2) Find the Lagrange Polynomials for the nodes ¦−1, 1, 5¦.

(5.3) Find the polynomial of degree no greater than 2 that interpolates

x −1 1 5

y 3 3 −2

(5.4) Complete the divided diﬀerences table:

x f[ ] f[ , ] f[ , , ]

−1 3

1 3

5 −2

Find the Newton form of the polynomial interpolant.

(5.5) Find the polynomial of degree no greater than 3 that interpolates

x −1 1 5 −3

y 3 3 −2 4

(Hint: reuse the Newton form of the polynomial from the previous question.)

(5.6) Find the nested form of the polynomial interpolant of the data

x 1 3 4 6

y −3 13 21 1

by completing the following divided diﬀerences table:

x f[ ] f[ , ] f[ , , ] f[ , , , ]

1 −3

3 13

4 21

6 1

(5.7) Find the polynomial of degree no greater than 3 that interpolates

x 1 0 3/2 2

y 3 2 37/8 8

(5.8) Complete the divided diﬀerences table:

x f[ ] f[ , ] f[ , , ] f[ , , , ]

−1 6

0 3

1 2

2 3

76 CHAPTER 5. INTERPOLATION

(Something a little odd should have happened in the last column.) Find the Newton form of

the polynomial interpolant. Of what degree is the polynomial interpolant?

(5.9) Let p(x) interpolate the function cos(x) at n equally spaced nodes on the interval [0, 2]. Bound

the error

max

0≤x≤2

[p(x) −cos(x)[

as a function of n. How small is the error when n = 10? How small would the error be if

Chebyshev nodes were used instead? How about when n = 10?

(5.10) Let p(x) interpolate the function x

−2

at n equally spaced nodes on the interval [0.5, 1].

Bound the error

max

0.5≤x≤1

p(x) −x

−2

**as a function of n. How small is the error when n = 10?
**

(5.11) How many Chebyshev nodes are required to interpolate the function

1

x

to within 10

−6

on

the interval [1, 2]?

(5.12) Write code to calculate the Newton form coeﬃcients, by divided diﬀerences, for the nodes

x

i

and values f(x

i

). Your m-ﬁle should have header line like:

function coefs = newtonCoef(xs,fxs)

where xs is the vector of n + 1 nodes, and fxs the vector of n + 1 values. Test your code on

the following input:

octave:1> xs = [1 -1 2 -2 3 -3 4 -4];

octave:2> fxs = [1 1 2 3 5 8 13 21];

octave:3> newtonCoef(xs,fxs)

ans =

1.00000 -0.00000 0.33333 -0.08333 0.05000 0.00417 -0.00020 -0.00040

(a) What do you get when you try the following?

octave:4> xs = [1 4 5 9 14 23 37 60];

octave:5> fxs = [3 1 4 1 5 9 2 6];

octave:6> newtonCoef(xs,ys)

(b) Try the following:

octave:7> xs = [1 3 4 2 8 -2 0 14 23 15];

octave:8> fxs = xs.*xs + xs .+ 4;

octave:9> newtonCoef(xs,fxs)

(5.13) Write code to calculate a polynomial interpolant from its Newton form coeﬃcients and the

node values. Your m-ﬁle should have header line like:

function y = calcNewton(t,coefs,xs)

where coefs is a vector of the Newton coeﬃcients, xs is a vector of the nodes x

i

, and y is

the value of the interpolating polynomial at t. Check your code against the following values:

octave:1> xs = [1 3 4];

octave:2> coefs = [6 5 1];

octave:3> calcNewton (5,coefs,xs)

ans = 34

octave:4> calcNewton (-3,coefs,xs)

ans = 10

(a) What do you get when you try the following?

octave:5> xs = [3 1 4 5 9 2 6 8 7 0];

5.2. ERRORS IN POLYNOMIAL INTERPOLATION 77

octave:6> coefs = [1 -1 2 -2 3 -3 4 -4 5 -5];

octave:7> calcNewton(0.5,coefs,xs)

(b) Try the following

octave:8> xs = [3 1 4 5 9 2 6 8 7 0];

octave:9> coefs = [1 -1 2 -2 3 -3 4 -4 5 -5];

octave:10> calcNewton(1,coefs,xs)

78 CHAPTER 5. INTERPOLATION

Chapter 6

Spline Interpolation

Splines are used to approximate complex functions and shapes. A spline is a function consisting of

simple functions glued together. In this way a spline is diﬀerent from a polynomial interpolation,

which consists of a single well deﬁned function that approximates a given shape; splines are normally

piecewise polynomial.

6.1 First and Second Degree Splines

Splines make use of partitions, which are a way of cutting an interval into a number of subintervals.

Deﬁnition 6.1 (Partition). A partition of the interval [a, b] is an ordered sequence ¦t

i

¦

n

i=0

such

that

a = t

0

< t

1

< < t

n−1

< t

n

= b

The numbers t

i

are known as knots.

A spline of degree 1, also known as a linear spline, is a function which is linear on each subinterval

deﬁned by a partition:

Deﬁnition 6.2 (Linear Splines). A function S is a spline of degree 1 on [a, b] if

1. The domain of S is [a, b].

2. S is continuous on [a, b].

3. There is a partition ¦t

i

¦

n

i=0

of [a, b] such that on each [t

i

, t

i+1

], S is a linear polynomial.

A linear spline is deﬁned entirely by its value at the knots. That is, given

t t

0

t

1

. . . t

n

y y

0

y

1

. . . y

n

there is only one linear spline with these values at the knots and linear on each given subinterval.

For a spline with this data, the linear polynomial on each subinterval is deﬁned as

S

i

(x) = y

i

+

y

i+1

−y

i

t

i+1

−t

i

(x −t

i

) .

Note that if x ∈ [t

i

, t

i+1

] , then x − t

i

> 0, but x − t

i−1

≤ 0. Thus if we wish to evaluate S(x), we

search for the largest i such that x −t

i

> 0, then evaluate S

i

(x).

Example 6.3. The linear spline for the following data

t 0.0 0.1 0.4 0.5 0.75 1.0

y 1.3 4.5 2.0 2.1 5.0 3

is shown in Figure 6.1.

79

80 CHAPTER 6. SPLINE INTERPOLATION

0

1

2

3

4

5

6

0 0.2 0.4 0.6 0.8 1

Figure 6.1: A linear spline. The spline is piecewise linear, and is linear between each knot.

6.1.1 First Degree Spline Accuracy

As with polynomial functions, splines are used to interpolate tabulated data as well as functions. In

the latter case, if the spline is being used to interpolate the function f, say, then this is equivalent

to interpolating the data

t t

0

t

1

. . . t

n

y f(t

0

) f(t

1

) . . . f(t

n

)

A function and its linear spline interpolant are shown in Figure 6.2. The spline interpolant in

that ﬁgure is fairly close to the function over some of the interval in question, but it also deviates

greatly from the function at other points of the interval. We are interested in ﬁnding bounds on

the possible error between a function and its spline interpolant.

To ﬁnd the error bound, we will consider the error on a single interval of the partition, and use

a little calculus.

1

Suppose p(t) is the linear polynomial interpolating f(t) at the endpoints of the

subinterval [t

i

, t

i+1

], then for t ∈ [t

i

, t

i+1

] ,

[f(t) −p(t)[ ≤ max ¦[f(t) −f(t

i

)[ , [f(t) −f(t

i+1

)[¦ .

That is, [f(t) −p(t)[ is no larger than the “maximum variation” of f(t) on this interval.

In particular, if f

t

(t) exists and is bounded by M

1

on [t

i

, t

i+1

], then

[f(t) −p(t)[ ≤

M

1

2

(t

i+1

−t

i

) .

Similarly, if f

tt

(t) exists and is bounded by M

2

on [t

i

, t

i+1

], then

[f(t) −p(t)[ ≤

M

2

8

(t

i+1

−t

i

)

2

.

Over a given partition, these become, respectively

1

Although we could directly claim Theorem 5.8, it is a bit of overkill.

6.1. FIRST AND SECOND DEGREE SPLINES 81

2

2.5

3

3.5

4

4.5

5

5.5

6

0 0.2 0.4 0.6 0.8 1

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

function

spline interpolant

Figure 6.2: The function f(t) = 4.1 + sin (1/(0.08t + 0.5)) is shown, along with the linear spline

interpolant, for the knots 0, 0.1, 0.4, 0.6, 0.75, 0.9, 1.0 For some values of t, the function and its

interpolant are very close, while they vary greatly in the middle of the interval.

[f(t) −p(t)[ ≤

M

1

2

max

0≤i<n

(t

i+1

−t

i

) ,

[f(t) −p(t)[ ≤

M

2

8

max

0≤i<n

(t

i+1

−t

i

)

2

.

(6.1)

If equally spaced nodes are used, these bounds guarantee that spline interpolants become better

as the number of nodes is increased. This contrasts with polynomial interpolants, which may get

worse as the number of nodes is increased, cf. Example 5.7.

6.1.2 Second Degree Splines

Piecewise quadratic splines, or splines of degree 2, are deﬁned similarly:

Deﬁnition 6.4 (Quadratic Splines). A function Q is a quadratic spline on [a, b] if

1. The domain of Q is [a, b].

2. Q is continuous on [a, b].

3. Q

t

is continuous on (a, b).

4. There is a partition ¦t

i

¦

n

i=0

of [a, b] such that on [t

i

, t

i+1

], Q is a polynomial of degree at most

2.

Example 6.5. The following is a quadratic splne:

Q(x) =

−x x ≤ 0,

x

2

−x 0 ≤ x ≤ 2,

−x

2

+ 7x −8 2 ≤ x.

Unlike linear splines, quadratic splines are not deﬁned entirely by their values at the knots. We

consider why that is. The spline Q(x) is deﬁned by its piecewise polynomials,

Q

i

(x) = a

i

x

2

+b

i

x +c

i

.

82 CHAPTER 6. SPLINE INTERPOLATION

Thus there are 3n parameters to deﬁne Q(x).

For each of the n subintervals, the data

t t

0

t

1

. . . t

n

y y

0

y

1

. . . y

n

give two equations regarding Q

i

(x), namely that Q

i

(t

i

) must equal y

i

and Q

i

(t

i+1

) must equal y

i+1

.

This is 2n equations. The condition on continuity of Q

t

gives a single equation for each of the n−1

internal nodes. This totals 3n −1 equations, but 3n unknowns. This system is underdetermined.

Thus some additional user-chosen condition is required to determine the quadratic spline. One

might choose, for example, Q

t

(a) = 0, or Q

tt

(a) = 0, or some other condition.

6.1.3 Computing Second Degree Splines

Suppose the data

t t

0

t

1

. . . t

n

y y

0

y

1

. . . y

n

are given. Let z

i

= Q

t

i

(t

i

), and suppose that the additional condition to deﬁne the quadratic spline

is given by specifying z

0

. We want to be able to compute the form of Q

i

(x).

Because Q

i

(t

i

) = y

i

, Q

t

i

(t

i

) = z

i

, Q

t

i

(t

i+1

) = z

i+1

, we see that we can deﬁne

Q

i

(x) =

z

i+1

−z

i

2 (t

i+1

−t

i

)

(x −t

i

)

2

+z

i

(x −t

i

) +y

i

.

Use this at t

i+1

:

y

i+1

= Q

i

(t

i+1

) =

z

i+1

−z

i

2 (t

i+1

−t

i

)

(t

i+1

−t

i

)

2

+z

i

(t

i+1

−t

i

) +y

i

,

y

i+1

−y

i

=

z

i+1

−z

i

2

(t

i+1

−t

i

) +z

i

(t

i+1

−t

i

) ,

y

i+1

−y

i

=

z

i+1

+z

i

2

(t

i+1

−t

i

) .

Thus we can determine, from the data alone, z

i+1

from z

i

:

z

i+1

= 2

y

i+1

−y

i

t

i+1

−t

i

−z

i

.

6.2 (Natural) Cubic Splines

If you recall the deﬁnition of the linear and quadratic splines, probably you can guess the deﬁnition

of the spline of degree k:

Deﬁnition 6.6 (Splines of Degree k). A function S is a spline of degree k on [a, b] if

1. The domain of S is [a, b].

2. S, S

t

, S

tt

, . . . , S

(k−1)

are continuous on (a, b).

3. There is a partition ¦t

i

¦

n

i=0

of [a, b] such that on [t

i

, t

i+1

], S is a polynomial of degree ≤ k.

You would also expect that a spline of degree k has k − 1 “degrees of freedom,” as we show

here. If the partition has n+1 knots, the spline of degree k is deﬁned by n(k +1) parameters. The

given data

t t

0

t

1

. . . t

n

y y

0

y

1

. . . y

n

6.2. (NATURAL) CUBIC SPLINES 83

provide 2n equations. The continuity of S

t

, S

tt

, . . . , S

(k−1)

at the n − 1 internal knots gives (k −

1)(n − 1) equations. This is a total of n(k + 1) − (k − 1) equations. Thus we have k − 1 more

unknowns than equations. Thus, barring some singularity, we can (and must) add k−1 constraints

to uniquely deﬁne the spline. These are the degrees of freedom.

Often k is chosen as 3. This yields cubic splines. We must add 2 extra constraints to deﬁne the

spline. The usual choice is to make

S

tt

(t

0

) = S

tt

(t

n

) = 0.

This yields the natural cubic spline.

6.2.1 Why Natural Cubic Splines?

It turns out that natural cubic splines are a good choice in the sense that they are the “inter-

polant of minimal H

2

seminorm.” The corollary following this theorem states this in more easily

understandable terms:

Theorem 6.7. Suppose f has two continuous derivatives, and S is the natural cubic spline inter-

polating f at knots a = t

0

< t

1

< . . . < t

n

= b. Then

b

a

S

tt

(x)

2

dx ≤

b

a

f

tt

(x)

2

dx

Proof. We let g(x) = f(x) −S(x). Then g(x) is zero on the (n+1) knots t

i

. Derivatives are linear,

meaning that

f

tt

(x) = S

tt

(x) +g

tt

(x).

Then

b

a

f

tt

(x)

2

dx =

b

a

S

tt

(x)

2

dx +

b

a

g

tt

(x)

2

dx +

b

a

2S

tt

(x)g

tt

(x) dx.

We show that the last integral is zero. Integrating by parts we get

b

a

S

tt

(x)g

tt

(x) dx = S

tt

g

t

b

a

−

b

a

S

ttt

g

t

dx = −

b

a

S

ttt

g

t

dx,

because S

tt

(a) = S

tt

(b) = 0. Then notice that S is a polynomial of degree ≤ 3 on each interval, thus

S

ttt

(x) is a piecewise constant function, taking value c

i

on each interval [t

i

, t

i+1

]. Thus

b

a

S

ttt

g

t

dx =

n−1

¸

i=0

b

a

c

i

g

t

dx =

n−1

¸

i=0

c

i

g

t

i+1

t

i

= 0,

with the last equality holding because g(x) is zero at the knots.

Corollary 6.8. The natural cubic spline is best twice-continuously diﬀerentiable interpolant for a

twice-continuously diﬀerentiable function, under the measure given by the theorem.

Proof. Let f be twice-continuously diﬀerentiable, and let S be the natural cubic spline interpolating

f(x) at some given nodes ¦t

i

¦

n

i=0

. Let R(x) be some twice-continuously diﬀerentiable function

which also interpolates f(x) at these nodes. Then S(x) interpolates R(x) at these nodes. Apply

the theorem to get

b

a

S

tt

(x)

2

dx ≤

b

a

R

tt

(x)

2

dx

84 CHAPTER 6. SPLINE INTERPOLATION

6.2.2 Computing Cubic Splines

First we present an example of computing the natural cubic spline by hand:

Example Problem 6.9. Construct the natural cubic spline for the following data:

t −1 0 2

y 3 −1 3

Solution: The natural cubic spline is deﬁned by eight parameters:

S(x) =

ax

3

+bx

2

+cx +d x ∈ [−1, 0]

ex

3

+fx

2

+gx +h x ∈ [0, 2]

We interpolate to ﬁnd that d = h = −1 and

−a +b −c −1 = 3

8e + 4f + 2g −1 = 3

We take the derivative of S:

S

t

(x) =

3ax

2

+ 2bx +c x ∈ [−1, 0]

3ex

2

+ 2fx +g x ∈ [0, 2]

Continuity at the middle node gives c = g. Now take the second derivative of S:

S

tt

(x) =

6ax + 2b x ∈ [−1, 0]

6ex + 2f x ∈ [0, 2]

Continuity at the middle node gives b = f. The natural cubic spline condition gives −6a + 2b = 0

and 12e + 2f = 0. Solving this by “divide and conquer” gives

S(x) =

x

3

+ 3x

2

−2x −1 x ∈ [−1, 0]

−

1

2

x

3

+ 3x

2

−2x −1 x ∈ [0, 2]

¬

Finding the constants for the previous example was fairly tedious. And this is for the case of

only three nodes. We would like a method easier than setting up the 4n equations and unknowns,

something akin to the description in Subsection 6.1.3. The method is rather tedious, so we leave it

to the exercises.

6.3 B Splines

The B splines form a basis for spline functions, whence the name. We presuppose the existence of

an inﬁnite number of knots:

. . . < t

2

< t

1

< t

0

< t

1

< t

2

< . . . ,

with lim

k→−∞

t

k

= −∞ and lim

k→∞

t

k

= ∞.

The B splines of degree 0 are deﬁned as single “blocks”:

B

0

i

(x) =

1 t

i

≤ x < t

i+1

0 otherwise

6.3. B SPLINES 85

The zero degree B splines are continuous from the right, are nonzero only on one subinterval

[t

i

, t

i+1

), sum to 1 everywhere.

We justify the description of B splines as basis splines: If S is a spline of degree 0 on the given

knots and is continuous from the right then

S(x) =

¸

i

S(x

i

)B

0

i

(x).

That is, the basis splines work in the same way that Lagrange Polynomials worked for polynomial

interpolation.

The B splines of degree k are deﬁned recursively:

B

k

i

(x) =

x −t

i

t

i+k

−t

i

B

k−1

i

(x) +

t

i+k+1

−x

t

i+k+1

−t

i+1

B

k−1

i+1

(x).

Some B splines are shown in Figure 6.3.

The B splines quickly become unwieldy. We focus on the case k = 1. The B spline B

1

i

(x) is

• Piecewise linear.

• Continuous.

• Nonzero only on (t

i

, t

i+2

).

• 1 at t

i+1

.

These B splines are sometimes called hat functions. Imagine wearing a hat shaped like this! What-

ever.

The nice thing about the hat functions is they allow us to use analogy. Harken back to polyno-

mial interpolation and the Lagrange Functions. The hat functions play a similar role because

B

1

i

(t

j

) = δ

(i+1)j

=

1 (i + 1) = j

0 (i + 1) = j

Then if we want to interpolate the following data with splines of degree 1:

t t

0

t

1

. . . t

n

y y

0

y

1

. . . y

n

We can immediately set

S(x) =

n

¸

i=0

y

i

B

1

i−1

(x).

86 CHAPTER 6. SPLINE INTERPOLATION

-1

-0.5

0

0.5

1

1.5

2

2.5

3

0 1 2 3 4 5 6

(a) Degree 0 B spline

-1

-0.5

0

0.5

1

1.5

2

2.5

3

0 1 2 3 4 5 6

(b) Degree 1 B spline

-1

-0.5

0

0.5

1

1.5

2

2.5

3

0 1 2 3 4 5 6

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

B

1

0

(x)

B

1

1

(x)

B

2

0

(x)

(c) Degree 2 B spline, with 2 Degree 1 B splines

Figure 6.3: Some B splines for the knots t

0

= 1, t

1

= 2.5, t

2

= 3.5, t

3

= 4 are shown. In (a), one of

the degree 0 B splines; in (b), a degree 1 B spline; in (c), two of the degree 1 B splines and a degree

2 B spline are shown. The two hat functions “merge” together to give the quadratic B spline.

6.3. B SPLINES 87

Exercises

(6.1) Is the following function a linear spline on [0, 4]? Why or why not?

S(x) =

3x + 2 : 0 ≤ x < 1

−2x + 4 : 1 ≤ x ≤ 4

(6.2) Is the following function a linear spline on [0, 2]? Why or why not?

S(x) =

x + 3 : 0 ≤ x < 1

3 : 1 ≤ x ≤ 2

(6.3) Is the following function a linear spline on [0, 4]? Why or why not?

S(x) =

x

2

+ 3 : 0 ≤ x < 3

5x −6 : 3 ≤ x ≤ 4

(6.4) Find constants, α, β such that the following is a linear spline on [0, 5].

S(x) =

4x −2 : 0 ≤ x < 1

αx +β : 1 ≤ x < 3

−2x + 10 : 3 ≤ x ≤ 5

(6.5) Is the following function a quadratic spline on [0, 4]? Why or why not?

Q(x) =

x

2

+ 3 : 0 ≤ x < 3

5x −6 : 3 ≤ x ≤ 4

(6.6) Is the following function a quadratic spline on [0, 2]? Why or why not?

Q(x) =

x

2

+ 3x + 2 : 0 ≤ x < 1

2x

2

+x + 3 : 1 ≤ x ≤ 2

(6.7) Find constants, α, β, γ such that the following is a quadratic spline on [0, 5].

Q(x) =

1

2

x

2

+ 2x +

3

2

: 0 ≤ x < 1

αx

2

+βx +γ : 1 ≤ x < 3

3x

2

−7x + 12 : 3 ≤ x ≤ 5

(6.8) Find the quadratic spline that interpolates the following data:

t 0 1 4

y 1 −2 1

To resolve the single degree of freedom, assume that Q

t

(0) = −Q

t

(4). Assume your solution

takes the form

Q(x) =

α

1

(x −1)

2

+β

1

(x −1) −2 : 0 ≤ x < 1

α

2

(x −1)

2

+β

2

(x −1) −2 : 1 ≤ x ≤ 4

Find the constants α

1

, β

1

, α

2

, β

2

.

88 CHAPTER 6. SPLINE INTERPOLATION

(6.9) Find the natural cubic spline that interpolates the data

x 0 1 3

y 4 2 7

It may help to assume your answer has the form

S(x) =

Ax

3

+Bx

2

+Cx + 4 : 0 ≤ x < 1

D(x −1)

3

+E(x −1)

2

+F(x −1) + 2 : 1 ≤ x ≤ 3

Chapter 7

Approximating Derivatives

7.1 Finite Diﬀerences

Suppose we have some blackbox function f(x) and we wish to calculate f

t

(x) at some given x. Not

surprisingly, we start with Taylor’s theorem:

f(x +h) = f(x) +f

t

(x)h +

f

tt

(ξ)h

2

2

.

Rearranging we get

f

t

(x) =

f(x +h) −f(x)

h

−

f

tt

(ξ)h

2

.

Remember that ξ is between x and x +h, but its exact value is not known. If we wish to calculate

f

t

(x), we cannot evaluate f

tt

(ξ), so we approximate the derivative by dropping the last term. That

is, we calculate [f(x +h) −f(x)] /h as an approximation

1

to f

t

(x). In so doing, we have dropped

the last term. If there is a ﬁnite bound on f

tt

(z) on the interval in question then the dropped term

is bounded by a constant times h. That is,

f

t

(x) =

f(x +h) −f(x)

h

+O(h) (7.1)

The error that we incur when we approximate f

t

(x) by calculating [f(x +h) −f(x)] /h is called

truncation error. It has nothing to do with the kind of error that you get when you do calculations

with a computer with limited precision; even if you worked in inﬁnite precision, you would still

have truncation error.

The truncation error can be made small by making h small. However, as h gets smaller, precision

will be lost in equation 7.1 due to subtractive cancellation. The error in calculation for small h

is called roundoﬀ error. Generally the roundoﬀ error will increase as h decreases. Thus there is

a nonzero h for which the sum of these two errors is minimized. See Example Problem 7.5 for an

example of this.

The truncation error for this approximation is O(h). We may want a more precise approxima-

tion. By now, you should know that any calculation starts with Taylor’s Theorem:

f(x +h) = f(x) +f

t

(x)h +

f

tt

(x)

2

h

2

+

f

ttt

(ξ

1

)

3!

h

3

f(x −h) = f(x) −f

t

(x)h +

f

tt

(x)

2

h

2

−

f

ttt

(ξ

2

)

3!

h

3

1

This approximation for f

(x) should remind you of the deﬁnition of f

(x) as a limit.

89

90 CHAPTER 7. APPROXIMATING DERIVATIVES

By subtracting these two lines, we get

f(x +h) −f(x −h) = 2f

t

(x)h +

f

ttt

(ξ

1

) +f

ttt

(ξ

2

)

3!

h

3

.

Thus

2f

t

(x)h = f(x +h) −f(x −h) −

f

ttt

(ξ

1

) +f

ttt

(ξ

2

)

3!

h

3

f

t

(x) =

f(x +h) −f(x −h)

2h

−

¸

f

ttt

(ξ

1

) +f

ttt

(ξ

2

)

2

h

2

6

If f

ttt

(x) is continuous, then there is some ξ between ξ

1

, ξ

2

such that f

ttt

(ξ) =

f

(ξ

1

)+f

(ξ

2

)

2

. (This

is the MVT at work.) Assuming some uniform bound on f

ttt

(), we get

f

t

(x) =

f(x +h) −f(x −h)

2h

+O

h

2

(7.2)

In some situations it may be necessary to use evaluations of a function at “odd” places to

approximate a derivative. These are usually straightforward to derive, involving the use of Taylor’s

Theorem. The following examples illustrate:

Example Problem 7.1. Use evaluations of f at x+h and x+2h to approximate f

t

(x), assuming

f(x) is an analytic function, i.e., one with inﬁntely many derivatives.

Solution: First use Taylor’s Theorem to expand f(x+h) and f(x+2h), then subtract to get some

factor of f

t

(x):

f(x + 2h) = f(x) + 2hf

t

(x) +

4h

2

2!

f

tt

(x) +

8h

3

3!

f

ttt

(x) +

16h

4

4!

f

(4)

(x) +. . .

f(x +h) = f(x) +hf

t

(x) +

h

2

2!

f

tt

(x) +

h

3

3!

f

ttt

(x) +

h

4

4!

f

(4)

(x) +. . .

f(x + 2h) −f(x +h) = hf

t

(x) +

3h

2

2!

f

tt

(x) +

7h

3

3!

f

ttt

(x) +

15h

4

4!

f

(4)

(x) +. . .

(f(x + 2h) −f(x +h)) /h = f

t

(x) +

3h

2!

f

tt

(x) +

7h

2

3!

f

ttt

(x) +

15h

3

4!

f

(4)

(x) +. . .

Thus (f(x + 2h) −f(x +h)) /h = f

t

(x) +O(h) ¬

Example Problem 7.2. Show that

4f(x +h) −f(x + 2h) −3f(x)

2h

= f

t

(x) +O

h

2

,

for f with suﬃcient number of derivatives

Solution: In this case we do not have to ﬁnd the approximation scheme, it is given to us. We only

have to expand the appropriate terms with Taylor’s Theorem. As before:

f(x +h) = f(x) +hf

t

(x) +

h

2

2!

f

tt

(x) +

h

3

3!

f

ttt

(x) +. . .

4f(x +h) = 4f(x) + 4hf

t

(x) +

4h

2

2!

f

tt

(x) +

4h

3

3!

f

ttt

(x) +. . .

f(x + 2h) = f(x) + 2hf

t

(x) +

4h

2

2!

f

tt

(x) +

8h

3

3!

f

ttt

(x) +. . .

4f(x +h) −f(x + 2h) = 3f(x) + 2hf

t

(x) + 0f

tt

(x) +

−4h

3

3!

f

ttt

(x) +. . .

4f(x +h) −f(x + 2h) −3f(x) = 2hf

t

(x) +

−4h

3

3!

f

ttt

(x) +. . .

(4f(x +h) −f(x + 2h) −3f(x)) /2h = f

t

(x) +

−2h

2

3!

f

ttt

(x) +. . .

¬

7.2. RICHARDSON EXTRAPOLATION 91

7.1.1 Approximating the Second Derivative

Suppose we want to approximate the second derivative of some blackbox function f(x). Again,

start with Taylor’s Theorem:

f(x +h) = f(x) +f

t

(x)h +

f

tt

(x)

2

h

2

+

f

ttt

(x)

3!

h

3

+

f

(4)

(x)

4!

h

4

+. . .

f(x −h) = f(x) −f

t

(x)h +

f

tt

(x)

2

h

2

−

f

ttt

(x)

3!

h

3

+

f

(4)

(x)

4!

h

4

−. . .

Now add the two series to get

f(x +h) +f(x −h) = 2f(x) +h

2

f

tt

(x) + 2

f

(4)

(x)

4!

h

4

+ 2

f

(6)

(x)

6!

h

6

+. . .

Then let

ψ(h) =

f(x +h) −2f(x) +f(x −h)

h

2

= f

tt

(x) + 2

f

(4)

(x)

4!

h

2

+ 2

f

(6)

(x)

6!

h

4

+. . . ,

= f

tt

(x) +

∞

¸

k=1

b

2k

h

2k

.

Thus we can use Richardson Extrapolation on ψ(h) to get higher order approximations.

This derivation also gives us the centered diﬀerence approximation to the second derivative:

f

tt

(x) =

f(x +h) −2f(x) +f(x −h)

h

2

+O

h

2

. (7.3)

7.2 Richardson Extrapolation

The centered diﬀerence approximation gives a truncation error of O

h

2

**, which is better than
**

O(h) . Can we do better? Let’s deﬁne

φ(h) =

1

2h

[f(x +h) −f(x −h)] .

Had we expanded the Taylor’s Series for f(x +h), f(x −h) to more terms we would have seen

that

φ(h) = f

t

(x) +a

2

h

2

+a

4

h

4

+a

6

h

6

+a

8

h

8

+. . .

The constants a

i

are a function of f

(i+1)

(x) only. (In fact, they should take the value of

f

(i+1)

(x)

(i+1)!

.)

What happens if we now calculate φ(h/2)?

φ(h/2) = f

t

(x) +

1

4

a

2

h

2

+

1

16

a

4

h

4

+

1

64

a

6

h

6

+

1

256

a

8

h

8

+. . .

But we can combine this with φ(h) to get better accuracy. We have to be a little tricky, but we

can get the O

h

2

**terms to cancel by taking the right multiples of these two approximations:
**

φ(h) −4φ(h/2) = −3f

t

(x) +

3

4

4h

4

+

15

16

a

6

h

6

+

63

64

a

8

h

8

+. . .

4φ(h/2) −φ(h)

3

= f

t

(x) −

1

4

4h

4

−

5

16

a

6

h

6

−

21

64

a

8

h

8

+. . .

92 CHAPTER 7. APPROXIMATING DERIVATIVES

This approximation has a truncation error of O

h

4

.

This technique of getting better approximations is known as the Richardson Extrapolation, and

can be repeatedly applied. We will also use this technique later to get better quadrature rules–that

is, ways of approximating the deﬁnite integral of a function.

7.2.1 Abstracting Richardson’s Method

We now discuss Richardson’s Method in a more abstract framework. Suppose you want to calculate

some quantity L, and have found, through theory, some approximation:

φ(h) = L +

∞

¸

k=1

a

2k

h

2k

.

Let

D(n, 0) = φ

h

2

n

.

Now deﬁne

D(n, m) =

4

m

D(n, m−1) −D(n −1, m−1)

4

m

−1

. (7.4)

We will be interested in calculating D(n, n) for some n. We claim that

D(n, n) = L +O

h

2(n+1)

.

First we examine the recurrence for D(n, m). As in divided diﬀerences, we use a pyramid table:

D(0, 0)

D(1, 0) D(1, 1)

D(2, 0) D(2, 1) D(2, 2)

.

.

.

.

.

.

.

.

.

.

.

.

D(n, 0) D(n, 1) D(n, 2) D(n, n)

By deﬁnition we know how to calculate the ﬁrst column of this table; every other entry in the table

depends on two other entries, one directly to the left, and the other to the left and up one space.

Thus to calculate D(n, n) we have to compute this whole lower triangular array.

We want to show that D(n, n) = L+O

h

2(n+1)

, that is D(n, n) is a O

h

2(n+1)

approximation

to L. The following theorem gives this result:

Theorem 7.3 (Richardson Extrapolation). There are constants a

k,m

such that

D(n, m) = L +

∞

¸

k=m+1

a

k,m

h

2

n

2k

(0 ≤ m ≤ n) .

The proof is by an easy, but tedious, induction. We skip the proof.

7.2. RICHARDSON EXTRAPOLATION 93

7.2.2 Using Richardson Extrapolation

We now try out the technique on an example or two.

Example Problem 7.4. Approximate the derivative of f(x) = log x at x = 1.

Solution: The real answer is f

t

(1) = 1/1 = 1, but our computer doesn’t know that. Deﬁne

φ(h) =

1

2h

[f(1 +h) −f(1 −h)] =

log

1+h

1−h

2h

.

Let’s use h = 0.1. We now try to ﬁnd D(2, 2), which is supposed to be a O

h

6

approximation to

f

t

(1) = 1:

n`m 0 1 2

0

log

1.1

0.9

0.2

≈ 1.003353477

1

log

1.05

0.95

0.1

≈ 1.000834586 ≈ 0.999994954

2

log

1.025

0.975

0.05

≈ 1.000208411 ≈ 0.999999686 ≈ 1.000000002

This shows that the Richardson method is pretty good. However, notice that for this simple

example, we have, already, that φ(0.00001) ≈ 0.999999999. ¬

Example Problem 7.5. Consider the ugly function:

f(x) = arctan(x).

Attempt to ﬁnd f

t

(

√

2). Recall that f

t

(x) =

1

1+x

2

, so the value that we are seeking is

1

3

.

Solution: Let’s use h = 0.01. We now try to ﬁnd D(2, 2), which is supposed to be a O

h

6

approximation to

1

3

:

n`m 0 1 2

0 0.333339506181068

1 0.333334876543723 0.333333333331274

2 0.33333371913582 0.333333333333186 0.333333333333313

Note that we have some motivation to use Richardson’s method in this case: If we let

φ(h) =

1

2h

f(

√

2 +h) −f(

√

2 −h)

,

then making h small gives a good approximation to f

t

√

2

**until subtractive cancelling takes over.
**

The following table illustrates this:

94 CHAPTER 7. APPROXIMATING DERIVATIVES

h φ(h)

1.0 0.39269908169872408

0.1 0.33395069677431943

0.01 0.33333950618106845

0.001 0.33333339506169679

0.0001 0.33333333395058062

1 10

−5

0.33333333334106813

1 10

−6

0.33333333332441484

1 10

−7

0.33333333315788138

1 10

−8

0.33333332760676626

1 10

−9

0.33333336091345694

1 10

−10

0.333333360913457

1 10

−11

0.333333360913457

1 10

−12

0.33339997429493451

1 10

−13

0.33306690738754696

1 10

−14

0.33306690738754696

1 10

−15

0.33306690738754691

1 10

−16

0

The data are illustrated in Figure 7.1. Notice that φ(h) gives at most 10 decimal places of

accuracy, then begins to deteriorate; Note however, we get 13 decimal places from D(2, 2). ¬

1e-12

1e-10

1e-08

1e-06

0.0001

0.01

1

1e-16 1e-14 1e-12 1e-10 1e-08 1e-06 0.0001 0.01 1

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

total error

Figure 7.1: The total error for the centered diﬀerence approximation to f

t

(

√

2) is shown versus

h. The total error is the sum of a truncation term which decreases as h decreases, and a roundoﬀ

term which increases. The optimal h value is around 1 10

−5

. Note that Richardson’s D(2, 2)

approximation with h = 0.01 gives much better results than this optimal h.

7.2. RICHARDSON EXTRAPOLATION 95

Exercises

(7.1) Derive the approximation

f

t

(x) ≈

4f(x +h) −3f(x) −f(x −2h)

6h

using Taylor’s Theorem.

(a) Assuming that f(x) has bounded derivatives, give the accuracy of the above approxi-

mation. Your answer should be something like O

h

?

.

(b) Let f(x) = x

3

. Approximate f

t

(0) with this approximation, using h =

1

4

.

(7.2) Let f(x) be an analytic function, i.e., one which is inﬁnitely diﬀerentiable. Let ψ(h) be the

centered diﬀerence approximation to the ﬁrst derivative:

ψ(h) =

f(x +h) −f(x −h)

2h

(a) Show that ψ(h) = f

t

(x) +

h

2

3!

f

ttt

(x) +

h

4

5!

f

(5)

(x) +

h

6

7!

f

(7)

(x) +. . .

(b) Show that

8 (ψ(h) −ψ(h/2))

h

2

= f

ttt

(x) +O

h

2

.

(7.3) Derive the approximation

f

t

(x) ≈

4f(x + 3h) + 5f(x) −9f(x −2h)

30h

using Taylor’s Theorem.

(a) What order approximation is this? (Assume f(x) has bounded derivatives of arbitrary

order.)

(b) Use this formula to approximate f

t

(0), where f(x) = x

4

, and h = 0.1

(7.4) Suppose you want to know quantity Q, and can approximate it with some formula, say φ(h),

which depends on parameter h, and such that φ(h) = Q + a

1

h + a

2

h

2

+ a

3

h

3

+ a

4

h

4

+ . . .

Find some linear combination of φ(h) and φ(−h) which is a O

h

2

approximation to Q.

(7.5) Assuming that φ(h) = Q + a

2

h

2

+ a

4

h

4

+ a

6

h

6

. . ., ﬁnd some combination of φ(h), φ(h/3)

which is a O

h

4

approximation to Q.

(7.6) Let λ be some number in (0, 1). Assuming that φ(h) = Q+a

2

h

2

+a

4

h

4

+a

6

h

6

. . ., ﬁnd some

combination of φ(h), φ(λh) which is a O

h

4

**approximation to Q. To make the constant
**

associated with the h

4

term small in magnitude, what should you do with λ? Is this practical?

Note that the method of Richardson Extrapolation that we considered used the value λ = 1/2.

(7.7) Assuming that φ(h) = Q + a

2

h

2

+ a

4

h

4

+ a

6

h

6

. . ., ﬁnd some combination of φ(h), φ(h/4)

which is a O

h

4

approximation to Q.

(7.8) Suppose you have some great computational approximation to the quantity Q such that

ψ(h) = Q +a

3

h

3

+ a

6

h

6

+ a

9

h

9

. . . Can you ﬁnd some combination of ψ(h), ψ(h/2) which is

a O

h

6

approximation to Q?

(7.9) Complete the following Richardson’s Extrapolation Table, assuming the ﬁrst column consists

of values D(n, 0) for n = 0, 1, 2:

n`m 0 1 2

0 2

1 1.5 ?

2 1.25 ? ?

(See equation 7.4 if you’ve forgotten the deﬁnitions.)

96 CHAPTER 7. APPROXIMATING DERIVATIVES

(7.10) Write code to complete a Richardson’s Method table, given the ﬁrst column. Your m-ﬁle

should have header line like:

function Dnn = richardsons(col0)

where Dnn is the value at the lower left corner of the table, D(n, n) while col0 is the column

of n + 1 values D(i, 0), for i = 0, 1, . . . , n. Test your code on the following input:

octave:1> col0 = [1 0.5 0.25 0.125 0.0625 0.03125];

octave:2> richardsons(col0)

ans = 0.019042

(a) What do you get when you try the following?

octave:5> col0 = [1.5 0.5 1.5 0.5 1.5 0.5 1.5];

octave:6> richardsons(col0)

(b) What do you get when you try the following?

octave:7> col0 = [0.9 0.99 0.999 0.9999 0.99999];

octave:8> richardsons(col0)

Chapter 8

Integrals and Quadrature

8.1 The Deﬁnite Integral

Often enough the numerical analyst is presented with the challenge of ﬁnding the deﬁnite integral

of some function:

b

a

f(x) dx.

In your golden years of Calculus, you learned the Fundamental Theorem of Calculus, which claims

that if f(x) is continuous, and F(x) is an antiderivative of f(x), then

b

a

f(x) dx = F(b) −F(a).

What you might not have been told in Calculus is there are some functions for which a closed

form antiderivative does not exist or at least is not known to humankind. Nevertheless, you may

ﬁnd yourself in a situation where you have to evaluate an integral for just such an integrand. An

approximation will have to do.

8.1.1 Upper and Lower Sums

We will review the deﬁnition of the Riemann integral of a function. A partition of an interval [a, b]

is a ﬁnite, ordered collection of nodes x

i

:

a = x

0

< x

1

< x

2

< < x

n

= b.

Given such a partition, P, deﬁne the upper and lower bounds on each subinterval [x

j

, x

j+1

] as

follows:

m

i

= inf ¦f(x) [ x

i

≤ x ≤ x

i+1

¦

M

i

= sup¦f(x) [ x

i

≤ x ≤ x

i+1

¦

Then for this function f and partition P, deﬁne the upper and lower sums:

L(f, P) =

n−1

¸

i=0

m

i

(x

i+1

−x

i

)

U(f, P) =

n−1

¸

i=0

M

i

(x

i+1

−x

i

)

97

98 CHAPTER 8. INTEGRALS AND QUADRATURE

We can interpret the upper and lower sums graphically as the sums of areas of rectangles deﬁned

by the function f and the partition P, as in Figure 8.1.

bottomright

**(a) The Lower Sum
**

bottomright

**(b) The Upper Sum
**

Figure 8.1: The (a) lower, and (b) upper sums of a function on a given interval are shown. These

approximations to the integral are the sums of areas of rectangles. Note that the lower sums are

an underestimate, and the upper sums an overestimate of the integral.

Notice a few things about the upper, lower sums:

(i) L(f, P) ≤ U(f, P).

(ii) If we switch to a “better” partition (i.e., a ﬁner one), we expect that L(f, ) increases and

U(f, ) decreases.

The notion of integrability familiar from Calculus class (that is Riemann Integrability) is deﬁned

in terms of the upper and lower sums.

Deﬁnition 8.1. A function f is Riemann Integrable over interval [a, b] if

sup

P

L(f, P) = inf

P

U(f, P),

where the supremum and inﬁmum are over all partitions of the interval [a, b]. Moreover, in case

f(x) is integrable, we deﬁne the integral

b

a

f(x) dx = inf

P

U(f, P),

You may recall the following

Theorem 8.2. Every continuous function on a closed bounded interval of the real line is Riemann

Integrable (on that interval).

Continuity is suﬃcient, but not necessary.

Example 8.3. Consider the Heaviside function:

f(x) =

0 x < 0

1 0 ≤ x

This function is not continuous on any interval containing 0, but is Riemann Integrable on every

closed bounded interval.

8.1. THE DEFINITE INTEGRAL 99

Example 8.4. Consider the Dirichlet function:

f(x) =

0 x rational

1 x irrational

For any partition P of any interval [a, b], we have L(f, P) = 0, while U(f, P) = 1, so

sup

P

L(f, P) = 0 = 1 = inf

P

U(f, P),

so this function is not Riemann Integrable.

8.1.2 Approximating the Integral

The deﬁnition of the integral gives a simple method of approximating an integral

b

a

f(x) dx. The

method cuts the interval [a, b] into a partition of n equal subintervals x

i

= a+

b−a

n

, for i = 0, 1, . . . , n.

The algorithm then has to somehow ﬁnd the supremum and inﬁmum of f(x) on each interval

[x

i

, x

i+1

]. The integral is then approximated by the mean of the lower and upper sums:

b

a

f(x) dx ≈

1

2

(L(f, P) +U(f, P)) .

Because the value of the integral is between L(f, P) and U(f, P), this approximation has error at

most

1

2

(U(f, P) −L(f, P)) .

Note that in general, or for a black box function, it is usually not feasible to ﬁnd the suprema

and inﬁma of f(x) on the subintervals, and thus the lower and upper sums cannot be calculated.

However, if some information is known about the function, it becomes easier:

Example 8.5. Consider for example, using this method on some function f(x) which is monotone

increasing, that is x ≤ y implies f(x) ≤ f(y). In this case, the inﬁmum of f(x) on each interval

occurs at the leftmost endpoint, while the supremum occurs at the right hand endpoint. Thus for

this partition, P, we have

L(f, P) =

n−1

¸

k=0

m

i

[x

k+1

−x

k

[ =

[b −a[

n

n−1

¸

k=0

f(x

k

)

U(f, P) =

n−1

¸

k=0

M

i

[x

k+1

−x

k

[ =

[b −a[

n

n−1

¸

k=0

f(x

k+1

) =

[b −a[

n

n

¸

k=1

f(x

k

)

Then the error of the approximation is

1

2

(U(f, P) −L(f, P)) =

1

2

[b −a[

n

[f(x

n

) −f(x

0

)] =

[b −a[ [f(b) −f(a)]

2n

.

8.1.3 Simple and Composite Rules

For the remainder of this chapter we will study “simple” quadrature rules, i.e., rules which approx-

imate the integral of a function, f(x) over an interval [a, b] by means of a number of evaluations of

f at points in this interval. The error of a simple quadrature rule usually depends on the function

100 CHAPTER 8. INTEGRALS AND QUADRATURE

f, and the width of the interval [a, b] to some power which is determined by the rule. That is we

usually think of a simple rule as being applied to a small interval.

To use a simple rule on a larger interval, we usually cast it into a “composite” rule. Thus the

trapezoidal rule, which we will study next becomes the composite trapezoidal rule. The means of

extending a simple rule to a composite rule is straightforward: Partition the given interval into

subintervals, apply the simple rule to each subinterval, and sum the results. Thus, for example if

the interval in question is [α, β], and the partition is α = x

0

< x

1

< x

2

< . . . < x

n

= β, we have

composite rule on [α, β] =

n−1

¸

i=0

simple rule applied to [x

i

, x

i+1

].

8.2 Trapezoidal Rule

Suppose we are trying to approximate the integral

b

a

f(x) dx,

for some unpleasant or black box function f(x).

The trapezoidal rule approximates the integral

b

a

f(x) dx

by the (signed) area of the trapezoid through the points (a, f(a)) , (b, f(b)) , and with one side the

segment from a to b. See Figure 8.2.

lleft

uright

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

a b

Figure 8.2: The trapezoidal rule for approximating the integral of a function over [a, b] is shown.

By old school math, we can ﬁnd this signed area easily. This gives the (simple) trapezoidal rule:

b

a

f(x) dx ≈ (b −a)

f(a) +f(b)

2

.

8.2. TRAPEZOIDAL RULE 101

The composite trapezoidal rule can be written in a simpliﬁed form, one which you saw in your

calculus class, if the interval in question is partitioned into equal width subintervals. That is if you

let [α, β] be partitioned by

α = x

0

< x

1

< x

2

< x

3

< . . . < x

n

= β,

with x

i

= α +ih, where h = (β −α)/n, then the composite trapezoidal rule is

β

α

f(x) dx =

n−1

¸

i=0

x

i+1

x

i

f(x) dx ≈

1

2

n−1

¸

i=0

(x

i+1

−x

i

) [f(x

i

) +f(x

i+1

)] . (8.1)

Since each subinterval has equal width, x

i+1

−x

i

= h, and we have

b

a

f(x) dx ≈

h

2

n−1

¸

i=0

[f(x

i

) +f(x

i+1

)] . (8.2)

In your calculus class, you saw this in the less comprehensible form:

b

a

f(x) dx ≈ h

¸

f(a) +f(b)

2

+

n−1

¸

i=1

f(x

i

)

¸

.

Note that the composite trapezoidal rule for equal subintervals is the same as the approximation

we found for increasing functions in Example 8.5.

Example Problem 8.6. Approximate the integral

2

0

1

1 +x

2

dx

by the composite trapezoidal rule with a partition of equally spaced points, for n = 2.

Solution: We have h =

2−0

2

= 1, and f(x

0

) = 1, f(x

1

) =

1

2

, f(x

2

) =

1

5

. Then the composite

trapezoidal rule gives the value

1

2

[f(x

0

) +f(x

1

) +f(x

1

) +f(x

2

)] =

1

2

¸

1 + 1 +

1

5

=

11

10

.

The actual value is arctan 2 ≈ 1.107149, and our approximation is correct to two decimal places. ¬

8.2.1 How Good is the Composite Trapezoidal Rule?

We consider the composite trapezoidal rule for partitions of equal subintervals. Let p

i

(x) be the

polynomial of degree ≤ 1 that interpolates f(x) at x

i

, x

i+1

. Let

I

i

=

x

i+1

x

i

f(x) dx, T

i

=

x

i+1

x

i

p

i

(x) dx = (x

i+1

−x

i

)

p

i

(x

i

) +p

i

(x

i+1

)

2

=

h

2

(f(x

i

) +f(x

i+1

)) .

That’s right: the composite trapezoidal rule approximates the integral of f(x) over [x

i

, x

i+1

] by

the integral of p

i

(x) over the same interval.

Now recall our theorem on polynomial interpolation error. For x ∈ [x

i

, x

i+1

] , we have

f(x) −p

i

(x) =

1

(2)!

f

(2)

(ξ

x

) (x −x

i

) (x −x

i+1

) ,

102 CHAPTER 8. INTEGRALS AND QUADRATURE

for some ξ

x

∈ [x

i

, x

i+1

] . Recall that ξ

x

depends on x. To make things simpler, call it ξ(x).

Now integrate:

I

i

−T

i

=

x

i+1

x

i

f(x) −p

i

(x) dx =

1

2

x

i+1

x

i

f

tt

(ξ(x)) (x −x

i

) (x −x

i+1

) dx.

We will now attack the integral on the right hand side. Recall the following theorem:

Theorem 8.7 (Mean Value Theorem for Integrals). Suppose f is continuous, g is Riemann

Integrable and does not change sign on [α, β]. Then there is some ζ ∈ [α, β] such that

β

α

f(x)g(x) dx = f(ζ)

β

α

g(x) dx.

We use this theorem on our integral. Note that (x −x

i

) (x −x

i+1

) is nonpositive on the interval

of question, [x

i

, x

i+1

]. We assume continuity of f

tt

(x), and wave our hands to get continuity of

f

tt

(ξ(x)). Then we have

I

i

−T

i

=

1

2

f

tt

(ξ)

x

i+1

x

i

(x −x

i

) (x −x

i+1

) dx,

for some ξ

i

∈ [x

i

, x

i+1

]. By boring calculus and algebra, we ﬁnd that

x

i+1

x

i

(x −x

i

) (x −x

i+1

) dx = −

h

3

6

.

This gives

I

i

−T

i

= −

h

3

12

f

tt

(ξ

i

),

for some ξ

i

∈ [x

i

, x

i+1

].

We now sum over all subintervals to ﬁnd the total error of the composite trapezoidal rule

E =

n−1

¸

i=0

I

i

−T

i

= −

h

3

12

n−1

¸

i=0

f

tt

(ξ

i

) = −

(b −a) h

2

12

¸

1

n

n−1

¸

i=0

f

tt

(ξ

i

)

¸

.

On the far right we have an average value,

1

n

¸

n−1

i=0

f

tt

(ξ

i

), which lies between the least and greatest

values of f

tt

on the inteval [a, b], and thus by the IVT, there is some ξ which takes this value. So

E = −

(b −a) h

2

12

f

tt

(ξ)

This gives us the theorem:

Theorem 8.8 (Error of the Composite Trapezoidal Rule). Let f

tt

(x) be continuous on [a, b].

Let T be the value of the trapezoidal rule applied to f(x) on this interval with a partition of uniform

spacing, h, and let I =

b

a

f(x) dx. Then there is some ξ ∈ [a, b] such that

I −T = −

(b −a) h

2

12

f

tt

(ξ).

Note that this theorem tells us not only the magnitude of the error, but the sign as well. Thus

if, for example, f(x) is concave up and thus f

tt

is positive, then I − T will be negative, i.e., the

trapezoidal rule gives an overestimate of the integral I. See Figure 8.3.

8.2. TRAPEZOIDAL RULE 103

lleft

uright

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

x

i

x

i+1

Figure 8.3: The trapezoidal rule is an overestimate for a function which is concave up, i.e., has

positive second derivative.

8.2.2 Using the Error Bound

Example Problem 8.9. How many intervals are required to approximate the integral

ln 2 = I =

1

0

1

1 +x

dx

to within 1 10

−10

?

Solution: We have f(x) =

1

1+x

, thus f

t

(x) = −

1

(1+x)

2

. And f

tt

(x) =

2

(1+x)

3

. Thus f

tt

(ξ) is

continuous and bounded by 2 on [0, 1]. If we use n equal subintervals then Theorem 8.8 tells us the

error will be

−

1 −0

12

1 −0

n

2

f

tt

(ξ) = −

f

tt

(ξ)

12n

2

.

To make this smaller than 1 10

−10

, in absolute value, we need only take

1

6n

2

≤ 1 10

−10

,

and so n ≥

1

6

10

5

suﬃces. Because f

tt

(x) is positive on this interval, the trapezoidal rule will

be an overestimate. ¬

Example Problem 8.10. How many intervals are required to approximate the integral

2

0

x

3

−1 dx

to within 1 10

−6

?

Solution: We have f(x) = x

3

− 1, thus f

t

(x) = 3x

2

, and f

tt

(x) = 6x. Thus f

tt

(ξ) is continuous

and bounded by 12 on [0, 2]. If we use n equal subintervals then by Theorem 8.8 the error will be

−

2 −0

12

2 −0

n

2

f

tt

(ξ) = −

2f

tt

(ξ)

3n

2

.

104 CHAPTER 8. INTEGRALS AND QUADRATURE

To make this smaller than 1 10

−6

, in absolute value, it suﬃces to take

24

3n

2

≤ 1 10

−6

,

and so n ≥

√

8 10

3

suﬃces. Because f

tt

(x) is positive on this interval, the trapezoidal rule will

be an overestimate. ¬

8.3 Romberg Algorithm

Theorem 8.8 tells us, approximately, that the error of the composite trapezoidal rule approximation

is O

h

2

**. If we halve h, the error is quartered. Sometimes we want to do better than this. We’ll
**

use the same trick that we did from Richardson extrapolation. In fact, the forms are exactly the

same.

Towards this end, suppose that f, a, b are given. For a given n, we are going to use the trapezoidal

rule on a partition of 2

n

equal subintervals of [a, b]. That is h =

b−a

2

n

. Then deﬁne

φ(n) =

1

2

b −a

2

n

2

n

−1

¸

i=0

f(x

i

) +f(x

i+1

)

=

b −a

2

n

¸

f(a)

2

+

f(b)

2

+

2

n

−1

¸

i=1

f

a +i

b −a

2

n

¸

.

The intervals used to calculate φ(n + 1) are half the size of those for φ(n). As mentioned above,

this means the error is one quarter.

It turns out that if we had proved the error theorem diﬀerently, we would have proved the

relation:

φ(n) =

b

a

f(x) dx +a

2

h

2

n

+a

4

h

4

n

+a

6

h

6

n

+a

8

h

8

n

+. . . ,

where h

n

=

b−a

2

n

. The constants a

i

are a function of f

(i)

(x) only. This should look just like something

from Chapter 7. What happens if we now calculate φ(n + 1)? We have

φ(n + 1) =

b

a

f(x) dx +a

2

h

2

n+1

+a

4

h

4

n+1

+a

6

h

6

n+1

+a

8

h

8

n+1

+. . . ,

=

b

a

f(x) dx +

1

4

a

2

h

2

n

+

1

16

a

4

h

4

n

+

1

64

a

6

h

6

n

+

1

256

a

8

h

8

n

+. . . .

This happens because h

n+1

=

b−a

2

n+1

=

1

2

b−a

2

n

=

hn

2

. As with Richardon’s method for approximating

derivatives, we now combine the right multiples of these:

φ(n) −4φ(n + 1) = −3

b

a

f(x) dx +

3

4

4h

4

n

+

15

16

a

6

h

6

n

+

63

64

a

8

h

8

n

+. . .

4φ(n) −φ(n + 1)

3

=

b

a

f(x) dx −

1

4

4h

4

n

−

5

16

a

6

h

6

n

−

21

64

a

8

h

8

n

+. . .

This approximation has a truncation error of O

h

4

n

.

Like in Richardson’s method, we can use this to get better and better approximations to the

integral. We do this by constructing a triangular array of approximations, each entry depending

on two others. Towards this end, we let

R(n, 0) = φ(n),

8.3. ROMBERG ALGORITHM 105

then deﬁne, for m > 0

R(n, m) =

4

m

R(n, m−1) −R(n −1, m−1)

4

m

−1

. (8.3)

The familiar pyramid table then is:

R(0, 0)

R(1, 0) R(1, 1)

R(2, 0) R(2, 1) R(2, 2)

.

.

.

.

.

.

.

.

.

.

.

.

R(n, 0) R(n, 1) R(n, 2) R(n, n)

Even though this is exactly the same as Richardon’s method, it has another name: this is called

the Romberg Algorithm.

Example Problem 8.11. Approximating the integral

2

0

1

1 +x

2

dx

by Romberg’s Algorithm; ﬁnd R(1, 1).

Solution: The ﬁrst column is calculated by the trapezoidal rule. Successive columns are found by

combining members of previous columns. So we ﬁrst calculate R(0, 0) and R(1, 0). These are fairly

simple, the ﬁrst is the trapezoidal rule on a single subinterval, the second is the trapezoidal rule on

two subintervals. Then

R(0, 0) =

2 −0

1

1

2

[f(0) +f(2)] =

6

5

,

R(1, 0) =

2 −0

2

1

2

[f(0) +f(1) +f(1) +f(2)] =

11

10

.

Then, using Romberg’s Algorithm we have

R(1, 1) =

4R(1, 0) −R(0, 0)

4 −1

=

44

10

−

12

10

3

=

32

30

= 1.0

¯

6.

¬

At this point we are tempted to use Richardson’s analysis. This would claim that R(n, n) is a

O

h

2(n+1)

0

**approximation to the integral. However, h
**

0

= b − a, and need not be smaller than 1.

This is a bit diﬀerent from Richardson’s method, where the original h is independently set before

starting the triangular array; for Romberg’s algorithm, h

0

is determined by a and b.

We can easily deal with this problem by picking some k such that

b−a

2

k

is small enough, say

smaller than 1. Then calculating the following array:

R(k, 0)

R(k + 1, 0) R(k + 1, 1)

R(k + 2, 0) R(k + 2, 1) R(k + 2, 2)

.

.

.

.

.

.

.

.

.

.

.

.

R(k +n, 0) R(k +n, 1) R(k +n, 2) R(k +n, n)

106 CHAPTER 8. INTEGRALS AND QUADRATURE

Quite often Romberg’s Algorithm is used to compute columns of this array. Subtractive can-

celling or unbounded higher derivatives of f(x) can make successive approximations less accurate.

For this reason, entries in ever rightward columns are usually not calculated, rather lower entries

in a single column are calculated instead. That is, the user calculates the array:

R(k, 0)

R(k + 1, 0) R(k + 1, 1)

R(k + 2, 0) R(k + 2, 1) R(k + 2, 2)

.

.

.

.

.

.

.

.

.

.

.

.

R(k +n, 0) R(k +n, 1) R(k +n, 2) R(k +n, n)

R(k +n + 1, 0) R(k +n + 1, 1) R(k +n + 1, 2) R(k +n + 1, n)

R(k +n + 2, 0) R(k +n + 2, 1) R(k +n + 2, 2) R(k +n + 2, n)

R(k +n + 3, 0) R(k +n + 3, 1) R(k +n + 3, 2) R(k +n + 3, n)

.

.

.

.

.

.

.

.

.

.

.

.

Then R(k +n +l, n) makes a ﬁne approximation to the integral as l →∞. Usually n is small,

like 2 or 3.

8.3.1 Recursive Trapezoidal Rule

It turns out there is an eﬃcient way of calculating R(n + 1, 0) given R(n, 0); ﬁrst notice from the

above example that

R(0, 0) =

b −a

1

1

2

[f(a) +f(b)] ,

R(1, 0) =

b −a

2

1

2

¸

f(a) +f(

a +b

2

) +f(

a +b

2

) +f(b)

.

It would be best to calculate R(1, 0) without recalculating f(a) and f(b). It turns out this is possible.

Let h

n

=

b−a

2

n

, and recall that

R(n, 0) = φ(n) = h

n

¸

f(a) +f(b)

2

+

2

n

−1

¸

i=1

f (a +ih

n

)

¸

.

Thus

R(n + 1, 0) = φ(n + 1) = h

n+1

f(a) +f(b)

2

+

2

n+1

−1

¸

i=1

f (a +ih

n+1

)

¸

¸

,

=

1

2

h

n

¸

f(a) +f(b)

2

+

2

n

−1

¸

i=1

f (a + (2i −1)h

n+1

) +f

a + (2i)

1

2

h

n

¸

,

=

1

2

h

n

¸

f(a) +f(b)

2

+

2

n

−1

¸

i=1

f (a +ih

n

) +

2

n

−1

¸

i=1

f (a + (2i −1)h

n+1

)

¸

,

=

1

2

R(n, 0) +h

n+1

2

n

−1

¸

i=1

f (a + (2i −1)h

n+1

) .

Then calculating R(n + 1, 0) requires only 2

n

−1 additional evaluations of f(x), instead of the

2

n+1

+ 1 usually required.

8.4. GAUSSIAN QUADRATURE 107

8.4 Gaussian Quadrature

The word quadrature refers to a method of approximating the integral of a function as the linear

combination of the function at certain points, i.e.,

b

a

f(x) dx ≈ A

0

f(x

0

) +A

1

f(x

1

) +. . . A

n

f(x

n

), (8.4)

for some collection of nodes ¦x

i

¦

n

i=0

, and weights ¦A

i

¦

n

i=0

. Normally one ﬁnds the nodes and weights

in a table somewhere; we expect a quadrature rule with more nodes to be more accurate in some

sense–the tradeoﬀ is in the number of evaluations of f(). We will examine how these rules are

created.

8.4.1 Determining Weights (Lagrange Polynomial Method)

Suppose that the nodes ¦x

i

¦

n

i=0

are given. An easy way to ﬁnd “good” weights ¦A

i

¦

n

i=0

for these

nodes is to rig them so the quadrature rule gives the integral of p(x), the polynomial of degree ≤ n

which interpolates f(x) on these nodes. Recall

p(x) =

n

¸

i=0

f(x

i

)

i

(x),

where

i

(x) is the i

th

Lagrange polynomial. Thus our rigged approximation is the one that gives

b

a

f(x) dx ≈

b

a

p(x) dx =

n

¸

i=0

f(x

i

)

b

a

i

(x) dx.

If we let

A

i

=

b

a

i

(x) dx,

then we have a quadrature rule.

If f(x) is a polynomial of degree ≤ n then f(x) = p(x), and the quadrature rule is exact.

Example Problem 8.12. Construct a quadrature rule on the interval [0, 4] using nodes 0, 1, 2.

Solution: The nodes are given, we determine the weights by constructing the Lagrange Polyno-

mials, and integrating them.

0

(x) =

(x −1)(x −2)

(0 −1)(0 −2)

=

1

2

(x −1)(x −2),

1

(x) =

(x −0)(x −2)

(1 −0)(1 −2)

= −(x)(x −2),

2

(x) =

(x −0)(x −1)

(2 −0)(2 −1)

=

1

2

(x)(x −1).

Then the weights are

A

0

=

4

0

0

(x) dx =

4

0

1

2

(x −1)(x −2) dx =

8

3

,

A

1

=

4

0

1

(x) dx =

4

0

−(x)(x −2) dx = −

16

3

,

A

2

=

4

0

2

(x) dx =

4

0

1

2

(x)(x −1) dx =

20

3

.

108 CHAPTER 8. INTEGRALS AND QUADRATURE

Thus our quadrature rule is

4

0

f(x) dx ≈

8

3

f(0) −

16

3

f(1) +

20

3

f(2).

We expect this rule to be exact for a quadratic function f(x). To illustrate this, let f(x) = x

2

+1.

By calculus we have

4

0

x

2

+ 1 dx =

1

3

x

3

+x

4

0

=

64

3

+ 4 =

76

3

.

The approximation is

4

0

x

2

+ 1 dx ≈

8

3

[0 + 1] −

16

3

[1 + 1] +

20

3

[4 + 1] =

76

3

.

¬

8.4.2 Determining Weights (Method of Undetermined Coeﬃcients)

Using the Lagrange Polynomial Method to ﬁnd the weights A

i

is ﬁne for a computer, but can

be tedious (and error-prone) if done by hand (say, on an exam). The method of undetermined

coeﬃcients is a good alternative for ﬁnding the weights by hand, and for small n.

The idea behind the method is to ﬁnd n+1 equations involving the n+1 weights. The equations

are derived by letting the quadrature rule be exact for f(x) = x

j

for j = 0, 1, . . . , n. That is, setting

b

a

x

j

dx =

n

¸

i=0

A

i

(x

i

)

j

.

For example, we reconsider Example Problem 8.12.

Example Problem 8.13. Construct a quadrature rule on the interval [0, 4] using nodes 0, 1, 2.

Solution: The method of undetermined coeﬃcients gives the equations:

4

0

1 dx = 4 = A

0

+A

1

+A

2

4

0

xdx = 8 = A

1

+ 2A

2

4

0

x

2

dx = 64/3 = A

1

+ 4A

2

.

We perform Na¨ıve Gaussian Elimination on the system:

¸

1 1 1 4

0 1 2 8

0 1 4 64/3

¸

**We get the same weights as in Example Problem 8.12: A
**

2

=

20

3

, A

1

= −

16

3

, A

0

=

8

3

. ¬

Notice the diﬀerence compared to the Lagrange Polynomial Method: undetermined coeﬃcients

requires solution of a linear system, while the former method calculates the weights “directly.”

Since we will not consider n to be very large, solving the linear system may not be too burdensome.

Moreover, the method of undetermined coeﬃcients is useful in more general settings, as illus-

trated by the next example:

8.4. GAUSSIAN QUADRATURE 109

Example Problem 8.14. Determine a “quadrature” rule of the form

1

0

f(x) dx ≈ Af(1) +Bf

t

(1) +Cf

tt

(1)

that is exact for polynomials of highest possible degree. What is the highest degree polynomial for

which this rule is exact?

Solution: Since there are three unknown coeﬃcients to be determined, we look for three equations.

We get these equations by plugging in successive polynomials. That is, we plug in f(x) = 1, x, x

2

and assuming the coeﬃcients give equality:

1

0

1 dx = 1 = A1 +B0 +C 0 = A

1

0

xdx = 1/2 = A1 +B1 +C 0 = A+B

1

0

x

2

dx = 1/3 = A1 +B2 +C 2 = A+ 2B + 2C

This is solved by A = 1, B = −1/2, C = 1/6. This rule should be exact for polynomials of degree

no greater than 2, but it might be better. We should check:

1

0

x

3

dx = 1/4 = 1/2 = 1 −3/2 + 1 = A1 +B3 +C 6,

and thus the rule is not exact for cubic polynomials, or those of higher degree. ¬

8.4.3 Gaussian Nodes

It would seem this is the best we can do: using n+1 nodes we can devise a quadrature rule that is

exact for polynomials of degree ≤ n by choosing the weights correctly. It turns out that by choosing

the nodes in the right way, we can do far better. Gauss discovered that the right nodes to choose

are the n + 1 roots of the (nontrivial) polynomial, q(x), of degree n + 1 which has the property

b

a

x

k

q(x) dx = 0 (0 ≤ k ≤ n) .

(If you view the integral as an inner product, you could say that q(x) is orthogonal to the polyno-

mials x

k

in the resultant inner product space, but that’s just fancy talk.)

Suppose that we have such a q(x)–we will not prove existence or uniqueness. Let f(x) be a

polynomial of degree ≤ 2n + 1. We write

f(x) = p(x)q(x) +r(x).

Both p(x), r(x) are of degree ≤ n. Because of how we picked q(x) we have

b

a

p(x)q(x) dx = 0.

Thus

b

a

f(x) dx =

b

a

p(x)q(x) dx +

b

a

r(x)dx =

b

a

r(x)dx.

110 CHAPTER 8. INTEGRALS AND QUADRATURE

Now suppose that the A

i

are chosen by Lagrange Polynomials so the quadrature rule on the

nodes x

i

is exact for polynomials of degree ≤ n. Then

n

¸

i=0

A

i

f(x

i

) =

n

¸

i=0

A

i

[p(x

i

)q(x

i

) +r(x

i

)] =

n

¸

i=0

A

i

r(x

i

).

The last equality holds because the x

i

are the roots of q(x). Because of how the A

i

are chosen we

then have

n

¸

i=0

A

i

f(x

i

) =

n

¸

i=0

A

i

r(x

i

) =

b

a

r(x) dx =

b

a

f(x) dx.

Thus this rule is exact for f(x). We have (or rather, Gauss has) made quadrature twice as good.

Theorem 8.15 (Gaussian Quadrature Theorem). Let x

i

be the n + 1 roots of a (nontrivial)

polynomial, q(x), of degree n + 1 which has the property

b

a

x

k

q(x) dx = 0 (0 ≤ k ≤ n) .

Let A

i

be the coeﬃcients for these nodes chosen by integrating the Lagrange Polynomials. Then the

quadrature rule for this choice of nodes and coeﬃcients is exact for polynomials of degree ≤ 2n+1.

8.4.4 Determining Gaussian Nodes

We can determine the Gaussian nodes in the same way we determine coeﬃcients. The example is

illustrative

Example Problem 8.16. Find the two Gaussian nodes for a quadrature rule on the interval [0, 2].

Solution: We will ﬁnd the function q(x) of degree 2, which is “orthogonal” to 1, x under the inner

product of integration over [0, 2]. Thus we let q(x) = c

0

+c

1

x +c

2

x

2

. The orthogonality condition

becomes

2

0

1q(x) dx =

2

0

xq(x) dx = 0 that is,

2

0

c

0

+c

1

x +c

2

x

2

dx =

2

0

c

0

x +c

1

x

2

+c

2

x

3

dx = 0

Evaluating these integrals gives the following system of linear equations:

2c

0

+ 2c

1

+

8

3

c

2

= 0,

2c

0

+

8

3

c

1

+ 4c

2

= 0.

This system is “underdetermined,” that is, there are two equations, but three unknowns. Notice,

however, that if q(x) satisﬁes the orthogonality conditions, then so does ˆ q(x) = αq(x), for any real

number α. That is, we can pick the scaling of q(x) as we wish.

With great foresight, we “guess” that we want c

2

= 3. This reduces the equations to

2c

0

+ 2c

1

= −8,

2c

0

+

8

3

c

1

= −12.

8.4. GAUSSIAN QUADRATURE 111

Simple Gaussian Elimination (cf. Chapter 3) yields the answer c

0

= 2, c

1

= −6, c

2

= 3.

Then our nodes are the roots of q(x) = 2 −6x + 3x

2

. That is the roots

6 ±

√

36 −24

6

= 1 ±

√

3

3

.

These nodes are a bit ugly. Rather than construct the Lagrange Polynomials, we will use the

method of undetermined coeﬃcients. Remember, we want to construct A

0

, A

1

such that

2

0

f(x) dx ≈ A

0

f(1 −

√

3

3

) +A

1

f(1 +

√

3

3

)

is exact for polynomial f(x) of degree ≤ 1. It suﬃces to make this approximation exact for the

“building blocks” of such polynomials, that is, for the functions 1 and x. That is, it suﬃces to ﬁnd

A

0

, A

1

such that

2

0

1 dx = A

0

+A

1

2

0

xdx = A

0

(1 −

√

3

3

) +A

1

(1 +

√

3

3

)

This gives the equations

2 = A

0

+A

1

2 = A

0

(1 −

√

3

3

) +A

1

(1 +

√

3

3

)

This is solved by A

0

= A

1

= 1.

Thus our quadrature rule is

2

0

f(x) dx ≈ f(1 −

√

3

3

) +f(1 +

√

3

3

) .

We expect this rule to be exact for cubic polynomials. ¬

Example Problem 8.17. Verify the results of the previous example problem for f(x) = x

3

.

Solution: We have

2

0

f(x) dx = (1/4) x

4

2

0

= 4.

The quadrature rule gives

f(1 −

√

3

3

) +f(1 +

√

3

3

) =

1 −

√

3

3

3

+

1 +

√

3

3

3

=

1 −3

√

3

3

+ 3

3

9

−

3

√

3

27

+

1 + 3

√

3

3

+ 3

3

9

+

3

√

3

27

=

2 −

√

3 −

√

3/9

+

2 +

√

3 +

√

3/9

= 4

Thus the quadrature rule is exact for f(x). ¬

112 CHAPTER 8. INTEGRALS AND QUADRATURE

8.4.5 Reinventing the Wheel

While it is good to know the theory, it doesn’t make sense in practice to recompute these things all

the time. There are books full of quadrature rules; any good textbook will list a few. The simplest

ones are given in Table 8.1.

See also http://mathworld.wolfram.com/Legendre-GaussQuadrature.html

n x

i

A

i

0 x

0

= 0 A

0

= 2

1

x

0

= −

1/3 A

0

= 1

x

1

=

1/3 A

1

= 1

x

0

= −

3/5 A

0

= 5/9

2 x

1

= 0 A

1

= 8/9

x

2

=

3/5 A

1

= 5/9

Table 8.1: Gaussian Quadrature rules for the interval [−1, 1]. Thus

1

−1

f(x) dx ≈

¸

n

i=0

A

i

f(x

i

),

with this relation holding exactly for all polynomials of degree no greater than 2n + 1.

Quadrature rules are normally given for the interval [−1, 1]. On ﬁrst consideration, it would

seem you need a diﬀerent rule for each interval [a, b]. This is not the case, as the following example

problem illustrates:

Example Problem 8.18. Given a quadrature rule which is good on the interval [−1, 1], derive a

version of the rule to apply to the interval [a, b].

Solution: Consider the substitution:

x =

b −a

2

t +

b +a

2

, so dx =

b −a

2

dt.

Then

b

a

f(x) dx =

1

−1

f

b −a

2

t +

b +a

2

b −a

2

dt.

Letting

g(t) =

b −a

2

f

b −a

2

t +

b +a

2

,

if f(x) is a polynomial, g(t) is a polynomial of the same degree. Thus we can use the quadrature

rule for [−1, 1] on g(t) to evaluate the integral of f(x) over [a, b]. ¬

Example Problem 8.19. Derive the quadrature rules of Example Problem 8.16 by using the

technique of Example Problem 8.18 and the quadrature rules of Table 8.1.

Solution: We have a = 0, b = 2. Thus

g(t) =

b −a

2

f

b −a

2

t +

b +a

2

= f(t + 1).

To integrate f(x) over [0, 2], we integrate g(t) over [−1, 1]. The standard Gaussian Quadrature rule

approximates this as

1

−1

g(t) dt ≈ g(−

1/3) +g(

1/3) = f(1 −

1/3) +f(1 +

1/3).

This is the same rule that was derived (with much more work) in Example Problem 8.16. ¬

8.4. GAUSSIAN QUADRATURE 113

Exercises

(8.1) Use the composite trapezoidal rule, by hand, to approximate

3

0

x

2

dx (= 9)

Use the partition ¦x

i

¦

2

i=0

= ¦0, 1, 3¦ . Why is your approximation an overestimate?

(8.2) Use the composite trapezoidal rule, by hand, to approximate

1

0

1

x + 1

dx (= ln 2 ≈ 0.693)

Use the partition ¦x

i

¦

3

i=0

=

¸

0,

1

4

,

1

2

, 1

¸

. Why is your approximation an overestimate? (Check:

I think the answer is 0.7)

(8.3) Use the composite trapezoidal rule, by hand to approximate

1

0

4

1 +x

2

dx.

Use n = 4 subintervals. How good is your answer?

(8.4) Use Theorem 8.8 to bound the error of the composite trapezoidal rule approximation of

2

0

x

3

dx with n = 10 intervals. You should ﬁnd that the approximation is an overestimate.

(8.5) How many equal subintervals of [0, 1] are required to approximate

1

0

cos x dx with error

smaller than 1 10

−6

by the composite trapezoidal rule? (Use Theorem 8.8.)

(8.6) How many equal subintervals would be required to approximate

1

0

4

1 +x

2

dx.

to within 0.0001 by the composite trapezoidal rule? (Hint: Use the fact that [f

tt

(x)[ ≤ 8 on

[0, 1] for f(x) = 4/(1 +x

2

))

(8.7) How many equal subintervals of [2, 3] are required to approximate

3

2

e

x

dx with error smaller

than 1 10

−3

by the composite trapezoidal rule?

(8.8) Simpson’s Rule for quadrature is given as

b

a

f(x) dx ≈

∆x

3

[f(x

0

) + 4f(x

1

) + 2f(x

2

) + 4f(x

3

) +. . . + 2f(x

n−2

) + 4f(x

n−1

) +f(x

n

)] ,

where ∆x = (b −a)/n, and n is assumed to be even. Show that Simpson’s Rule for n = 2 is

actually given by Romberg’s Algorithm as R(1, 1). As such we expect Simpson’s Rule to be

a O

h

4

**approximation to the integral.
**

(8.9) Find a quadrature rule of the form

1

0

f(x) dx ≈ Af(0) +Bf(1/2) +Cf(1)

that is exact for polynomials of highest possible degree. What is the highest degree polynomial

for which this rule is exact?

114 CHAPTER 8. INTEGRALS AND QUADRATURE

(8.10) Determine a “quadrature” rule of the form

1

−1

f(x) dx ≈ Af(0) +Bf

t

(−1) +Cf

t

(1)

that is exact for polynomials of highest possible degree. What is the highest degree polynomial

for which this rule is exact? (Since this rule uses derivatives of f, it does not exactly ﬁt our

deﬁnition of a quadrature rule, but it may be applicable in some situations.)

(8.11) Determine a “quadrature” rule of the form

1

0

f(x) dx ≈ Af(0) +Bf

t

(0) +Cf(1)

that is exact for polynomials of highest possible degree. What is the highest degree polynomial

for which this rule is exact?

(8.12) Consider the so-called order n Chebyshev Quadrature rule:

1

−1

f(x) dx ≈ c

n

n

¸

i=0

f(x

i

)

Find the weighting c

n

and nodes x

i

for the case n = 2 and the case n = 3. For what order

polynomials are these rules exact?

(8.13) Find the Gaussian Quadrature rule with 2 nodes for the interval [1, 5], i.e., ﬁnd a rule

5

1

f(x) dx ≈ Af(x

0

) +Bf(x

1

)

Before you solve the problem, consider the following questions: do you expect the nodes to

be the endpoints 1 and 5? do you expect the nodes to be arranged symmetrically around the

midpoint of the interval?

(8.14) Find the Gaussian Quadrature rule with 3 nodes for the interval [−1, 1], i.e., ﬁnd a rule

1

−1

f(x) dx ≈ Af(x

0

) +Bf(x

1

) +Cf(x

2

)

To ﬁnd the nodes x

0

, x

1

, x

2

you will have to ﬁnd the zeroes of a cubic equation, which could be

diﬃcult. However, you may use the simplifying assumption that the nodes are symmetrically

placed in the interval [−1, 1].

(8.15) Write code to approximate the integral of a f on [a, b] by the composite trapezoidal rule on

n equal subintervals. Your m-ﬁle should have header line like:

function iappx = trapezoidal(f,a,b,n)

You may wish to use the code:

x = a .+ (b-a) .* (0:n) ./ n;

If f is deﬁned to work on vectors element-wise, you can probably speed up your computation

by using

bigsum = 0.5 * ( f(x(1)) + f(x(n+1)) ) + sum( f(x(2:(n))) );

(8.16) Write code to implement the Gaussian Quadrature rule for n = 2 to integrate f on the

interval [a, b]. Your m-ﬁle should have header line like:

function iappx = gauss2(f,a,b)

(8.17) Write code to implement composite Gaussian Quadrature based on code from the previous

problem. Something like the following probably works:

8.4. GAUSSIAN QUADRATURE 115

function iappx = gaussComp(f,a,b,n)

% code to approximate integral of f over n equal subintervals of [a,b]

x = a .+ (b-a) .* (0:n) ./ n;

iappx = 0;

for i=1:n

iappx += gauss2(f,x(i),x(i+1));

end

Use your code to approximate the error function:

erf(z) =

2

√

π

z

0

e

−t

2

dt.

Compare your results with the octave/Matlab builtin function erf. (Try help erf in octave,

or see http://mathworld.wolfram.com/Erf.html)

The error function is used in probability. In particular, the probability that a normal random

variable is within z standard deviations from its mean is

erf(z/

√

2)

Thus erf(1/

√

2) ≈ 0.683, and erf(2/

√

2) ≈ 0.955. These numbers should look familiar to you.

116 CHAPTER 8. INTEGRALS AND QUADRATURE

Chapter 9

Least Squares

9.1 Least Squares

Least squares is a general class of methods for ﬁtting observed data to a theoretical model function.

In the general setting we are given a set of data

x x

0

x

1

. . . x

n

y y

0

y

1

. . . y

n

and some class of functions, T. The goal then is to ﬁnd the “best” f ∈ T to ﬁt the data to y = f(x).

Usually the class of functions T will be determined by some small number of parameters; the number

of parameters will be smaller (usually much smaller) than the number of data points. The theory

here will be concerned with deﬁning “best,” and examining methods for ﬁnding the “best” function

to ﬁt the data.

9.1.1 The Deﬁnition of Ordinary Least Squares

First we consider the data to be two vectors of length n + 1. That is we let

x = [x

0

x

1

. . . x

n

]

¯

, and y = [y

0

y

1

. . . y

n

]

¯

.

The error, or residual, of a given function with respect to this data is the vector r = y − f(x).

That is

r = [r

0

r

1

. . . r

n

]

¯

, where r

i

= y

i

−f(x

i

).

Our goal is to ﬁnd f ∈ T such that r is reasonably small. We measure the size of a vector

by the use of norms, which were explored in Subsection 1.4.1. The most useful norms are the

p

norms. For a given p with 0 < p < ∞, the

p

norm of r is deﬁned as

|r|

p

=

n

¸

i=0

r

p

i

1/p

For the purposes of approximation, the easiest norm to use is the

2

norm:

Deﬁnition 9.1.1 ((Ordinary) Least Squares Best Approximant). The least-squares best

approximant to a set of data, x, y from a class of functions, T, is the function f

∗

∈ T that

minimizes the

2

norm of the error. That is, if f

∗

is the least squares best approximant, then

|y −f

∗

(x)|

2

= min

f∈T

|y −f(x)|

2

117

118 CHAPTER 9. LEAST SQUARES

We will generally assume uniqueness of the minimum. This method is sometimes called the ordinary

least squares method. It assumes there is no error in the measurement of the data x, and usually

admits a relatively straightforward solution.

9.1.2 Linear Least Squares

We illustrate this deﬁnition using the class of linear functions as an example, as this case is reason-

ably simple. We are assuming

T = ¦f(x) = ax +b [ a, b ∈ R¦ .

We can now think of our job as drawing the “best” line through the data.

By Deﬁnition 9.1.1, we want to ﬁnd the function f(x) = ax +b that minimizes

n

¸

i=0

[y

i

−f(x

i

)]

2

1/2

.

This is a minimization problem over two variables, x and y. As you may recall from calculus class,

it suﬃces to minimize the sum rather than its square root. That is, it suﬃces to minimize

n

¸

i=0

[ax

i

+b −y

i

]

2

.

We minimize this function with calculus. We set

0 =

∂φ

a

=

n

¸

k=0

2x

k

(ax

k

+b −y

k

)

0 =

∂φ

b

=

n

¸

k=0

2 (ax

k

+b −y

k

)

These are called the normal equations. Believe it or not these are two equations in two unknowns.

They can be reduced to

¸

x

2

k

a +

¸

x

k

b =

¸

x

k

y

k

¸

x

k

a + (n + 1)b =

¸

y

k

The solution is found by na¨ıve Gaussian Elimination, and is ugly. Let

d

11

=

¸

x

2

k

d

12

= d

21

=

¸

x

k

d

22

= n + 1

e

1

=

¸

x

k

y

k

e

2

=

¸

y

k

We want to solve

d

11

a +d

12

b = e

1

d

21

a +d

22

b = e

2

9.1. LEAST SQUARES 119

Gaussian Elimination produces

a =

d

22

e

1

−d

12

e

2

d

22

d

11

−d

12

d

21

b =

d

11

e

2

−d

21

e

1

d

22

d

11

−d

12

d

21

The answer is not so enlightening as the means of ﬁnding the solution.

We should, for a moment, consider whether this is indeed the solution. Our calculations have

only shown an extrema at this choice of (a, b); could it not be a maxima?

9.1.3 Least Squares from Basis Functions

In many, but not all cases, the class of functions, T, is the span of a small set of functions. This

case is simpler to explore and we consider it here. In this case T can be viewed as a vector space

over the real numbers. That is, for f, g ∈ T, and α, β ∈ R, then αf +βg ∈ T, where the function

αf is that function such that (αf)(x) = αf(x).

Now let ¦g

j

(x)¦

m

j=0

be a set of m+ 1 linearly independent functions, i.e.,

c

0

g

0

(x) +c

1

g

1

(x) +. . . +c

m

g

m

(x) = 0 ∀x ⇒ c

0

= c

1

= . . . = c

m

= 0

Then we say that T is spanned by the functions ¦g

j

(x)¦

m

j=0

if

T =

f(x) =

¸

j

c

j

g

j

(x) [ c

j

∈ R, j = 0, 1, . . . , m

.

In this case the functions g

j

are basis functions for T. Note the basis functions need not be unique:

a given class of functions will usually have more than one choice of basis functions.

Example 9.1. The class T = ¦f(x) = ax +b [ a, b ∈ R¦ is spanned by the two functions g

0

(x) = 1,

and g

1

(x) = x. However, it is also spanned by the two functions ˜ g

0

(x) = 2x+1, and ˜ g

1

(x) = x−1.

To ﬁnd the least squares best approximant of T for a given set of data, we minimize the square

of the

2

norm of the error; that is we minimize the function

φ(c

0

, c

1

, . . . , c

m

) =

n

¸

k=0

¸

¸

j

c

j

g

j

(x

k

)

¸

−y

k

¸

¸

2

(9.1)

Again we set partials to zero and solve

0 =

∂φ

c

i

=

n

¸

k=0

2

¸

¸

j

c

j

g

j

(x

k

)

¸

−y

k

¸

¸

g

i

(x

k

)

This can be rearranged to get

m

¸

j=0

¸

¸

k

g

j

(x

k

)g

i

(x

k

)

¸

c

j

=

n

¸

k=0

y

k

g

i

(x

k

)

120 CHAPTER 9. LEAST SQUARES

If we now let

d

ij

=

n

¸

k=0

g

j

(x

k

)g

i

(x

k

), e

i

=

n

¸

k=0

y

k

g

i

(x

k

),

Then we have reduced the problem to the linear system (again, called the normal equations):

d

00

d

01

d

02

d

0m

d

10

d

11

d

12

d

1m

d

20

d

21

d

22

d

2m

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

d

m0

d

m1

d

m2

d

mm

¸

¸

¸

¸

¸

¸

¸

c

0

c

1

c

2

.

.

.

c

m

¸

¸

¸

¸

¸

¸

¸

=

e

0

e

1

e

2

.

.

.

e

m

¸

¸

¸

¸

¸

¸

¸

(9.2)

The choice of the basis functions can aﬀect how easy it is to solve this system. We explore this

in Section 9.2. Note that we are talking about the basis ¦g

j

¦

m

j=0

, and not exactly about the class

of functions T.

For example, consider what would happen if the system of normal equations were diagonal. In

this case, solving the system would be rather trivial.

Example Problem 9.2. Consider the case where m = 0, and g

0

(x) = ln x. Find the least squares

approximation of the data

x 0.50 0.75 1.0 1.50 2.0 2.25 2.75 3.0

y −1.187098 −0.452472 −0.068077 0.713938 1.165234 1.436975 1.725919 1.841422

Solution: Essentially we are trying to ﬁnd the c such that c ln x best approximates the data. The

system of equation 9.2 reduces to the 1-D equation:

Σ

k

ln

2

x

k

c = Σ

k

y

k

lnx

k

For our data, this reduces to:

4.0960c = 6.9844

so we ﬁnd c = 1.7052. The data and the least squares interpolant are shown in Figure 9.1. ¬

Example 9.3. Consider the awfully chosen basis functions:

g

0

(x) =

2

−1

x

2

−

2

x + 1

g

1

(x) = x

3

+

2

−1

x

2

+x

+ 1

where is small, around machine precision.

Suppose the data are given at the nodes x

0

= 0, x

1

= 1, x

2

= −1. We want to set up the normal

equations, so we compute some of the d

ij

. First we have to evaluate the basis functions at the nodes

x

i

. But this example was rigged to give:

g

0

(x

0

) = 1, g

0

(x

1

) = 0, g

0

(x

2

) =

g

1

(x

0

) = 1, g

1

(x

1

) = , g

1

(x

2

) = 0

After much work we ﬁnd we want to solve

¸

1 +

2

1

1 1 +

2

¸

c

0

c

1

=

¸

y

0

+y

2

y

0

+y

1

**9.2. ORTHONORMAL BASES 121
**

-2.5

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2

0.5 1 1.5 2 2.5 3

Figure 9.1: The data of Example Problem 9.2 and the least squares interpolant are shown.

However, the computer would only ﬁnd this if it had inﬁnite precision. Since it does not, and since

is rather small, the computer thinks

2

= 0, and so tries to solve the system

¸

1 1

1 1

¸

c

0

c

1

=

¸

y

0

+y

2

y

0

+y

1

When y

1

= y

2

, this has no solution. Bummer.

This kind of thing is common in the method of least squares: the coeﬃcients of the normal

equations include terms like

g

i

(x

k

)g

j

(x

k

).

When the g

i

are small at the nodes x

k

, these coeﬃcients can get really small, since we are squaring.

Now we draw a rough sketch of the basis functions. We ﬁnd they do a pretty poor job of

discriminating around all the nodes.

9.2 Orthonormal Bases

In the previous section we saw that poor choice of basis vectors can lead to numerical problems.

Roughly speaking, if g

i

(x

k

) is small for some i’s and k’s, then some d

ij

can have a loss of precision

when two small quantities are multiplied together and rounded to zero.

Poor choice of basis vectors can also lead to numerical problems in solution of the normal

equations, which will be done by Gaussian Elimination.

Consider the case where T is the class of polynomials of degree no greater than m. For simplicity

we will assume that all x

i

are in the interval [0, 1]. The most obvious choice of basis functions is

g

j

(x) = x

j

. This certainly gives a basis for T, but actually a rather poor one. To see why, look

at the graph of the basis functions in Figure 9.3. The basis functions look too much alike on the

given interval.

A better basis for this problem is the set of Chebyshev Polynomials of the ﬁrst kind, i.e.,

g

j

(x) = T

j

(x), where

T

0

(x) = 1, T

1

(x) = x, T

i+1

(x) = 2xT

i

(x) −T

i−1

(x).

122 CHAPTER 9. LEAST SQUARES

-1.5

-1

-0.5

0

0.5

1

1.5

-1 -0.5 0 0.5 1

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

g

0

(x)

g

1

(x)

Figure 9.2: The basis functions g

0

(x) =

2

−1

x

2

−

2

x +1, and g

1

(x) = x

3

+

2

−1

x

2

+x

+1

are shown for = 0.05. Note that around the three nodes 0, 1, −1, these two functions take nearly

identical values. This can lead to a system of normal equations with no solution.

0

0.2

0.4

0.6

0.8

1

0 0.2 0.4 0.6 0.8 1

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

x

i

x

i

+

1

Figure 9.3: The polynomials x

i

for i = 0, 1, . . . , 6 are shown on [0, 1]. These polynomials make a

bad basis because they look so much alike, essentially.

These polynomials are illustrated in Figure 9.4.

9.2.1 Alternatives to Normal Equations

It turns out that the Normal Equations method isn’t really so great. We consider other methods.

First, we deﬁne A as the n m matrix deﬁned by the entries:

a

ij

= g

j

(x

i

), i = 0, 1, . . . , n, j = 0, 1, . . . , m.

9.2. ORTHONORMAL BASES 123

-1

-0.5

0

0.5

1

0 0.2 0.4 0.6 0.8 1

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

x

i

x

i

+

1

Figure 9.4: The Chebyshev polynomials T

j

(x) for j = 0, 1, . . . , 6 are shown on [0, 1]. These polyno-

mials make a better basis for least squares because they are orthogonal under some inner product.

Basically, they do not look like each other.

That is

A =

g

0

(x

0

) g

1

(x

0

) g

2

(x

0

) g

m

(x

0

)

g

0

(x

1

) g

1

(x

1

) g

2

(x

1

) g

m

(x

1

)

g

0

(x

2

) g

1

(x

2

) g

2

(x

2

) g

m

(x

2

)

g

0

(x

3

) g

1

(x

3

) g

2

(x

3

) g

m

(x

3

)

g

0

(x

4

) g

1

(x

4

) g

2

(x

4

) g

m

(x

4

)

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

g

0

(x

n

) g

1

(x

n

) g

2

(x

n

) g

m

(x

n

)

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

We write it in this way since we are thinking of the case where n m, so A is “tall.”

After some inspection, we ﬁnd that the Normal Equations can be written as:

A

¯

Ac = A

¯

y. (9.3)

Now let the vector c be identiﬁed, in the natural way, with a function in T. That is c is

identiﬁed with f(x) =

¸

m

j=0

c

j

g

j

(x). You should now convince yourself that

Ac = f(x).

And thus the residual, or error, of this function is r = y −Ac.

In our least squares theory we attempted to ﬁnd that c that minimized

|y −Ac|

2

2

= (y −Ac)

¯

(y −Ac)

We can see this as minimizing the Euclidian distance from y to Ac. For this reason, we will have

that the residual is orthogonal to the column space of A, that is we want

A

¯

r = A

¯

(y −Ac) = 0.

124 CHAPTER 9. LEAST SQUARES

This is just the normal equations. We could rewrite this, however, in the following form: ﬁnd c, r

such that

¸

I A

A

¯

0

¸

r

c

=

¸

y

0

**This is now a system of n +m variables and unknowns, which can be solved by specialized means.
**

This is known as the augmented form. We brieﬂy mention that na¨ıve Gaussian Elimination is not

appropriate to solve the augmented form, as it turns out to be equivalent to using the normal

equations method.

9.2.2 Ordinary Least Squares in octave/Matlab

The ordinary least squares best approximant is so fundamental that it is hard-wired into oc-

tave/Matlab’s system solve operator. The general equation we wish to solve is

Ac = y.

This system is overdetermined: there are more rows than columns in A, i.e., more equations than

unknown variables. However, in octave/Matlab, this is solved just like the case where A is square:

octave:1> c = A \ y;

Thus, unless speciﬁcally told otherwise, you should not implement the ordinary least squares solu-

tion method in octave/Matlab. Under the hood, octave/Matlab is not using the normal equations

method, and does not suﬀer the increased condition number of the normal equations method.

9.3 Orthogonal Least Squares

The method described in Section 9.1, sometimes referred to as “ordinary least squares,” assumes

that measurement error is found entirely in the dependent variable, and that there is no error in

the independent variables.

For example, consider the case of two variables, x and y, which are thought to be related by an

equation of the form y = mx +b. A number of measurements are made, giving the two sequences

¦x

i

¦

n

i=1

and ¦y

i

¦

n

i=1

. Ordinary least squares assumes, that

y

i

= mx

i

+b +

i

,

where

i

, the error of the i

th

measurement, is a random variable. It is usually assumed that

E[

i

] = 0, i.e., that the measurements are “unbiased.” Under the further assumption that the

errors are independent and have the same variance, the ordinary least squares solution is a very

good one.

1

However, what if it were the case that

y

i

= m(x

i

+ξ

i

) +b +

i

,

i.e., that there is actually error in the measurement of the x

i

? In this case, the orthogonal least

squares method is appropriate.

1

This means that the ordinary least squares solution gives an unbiased estimator of m and b, and, moreover, gives

the estimators with the lowest variance among all linear, a priori estimators. For more details on this, locate the

Gauss-Markov Theorem in a good statistics textbook.

9.3. ORTHOGONAL LEAST SQUARES 125

The diﬀerence between the two methods is illustrated in Figure 9.5. In Figure 9.5(a), the

ordinary least squares method is shown; it minimizes the sum of the squared lengths of vertical

lines from observations to a line, reﬂecting the assumption of no error in x

i

. The orthogonal least

squares method will minimize the sum of the squared distances from observations to a line, as

shown in Figure 9.5(b).

1

2

3

4

5

6

7

0 1 2 3 4 5 6

1

2

3

4

5

6

7

0 1 2 3 4 5 6

(a) Ordinary Least Squares

1

2

3

4

5

6

7

0 1 2 3 4 5 6

1

2

3

4

5

6

7

0 1 2 3 4 5 6

(b) Orthogonal Least Squares

Figure 9.5: The ordinary least squares method, as shown in (a), minimizes the sum of the squared

lengths of the vertical lines from the observed points to the regression line. The orthogonal least

squares, shown in (b), minimizes the sum of the squared distances from the points to the line. The

oﬀsets from points to the regression line in (b) may not look orthogonal due to improper aspect

ratio of the ﬁgure.

We construct the solution geometrically. Let

¸

x

(i)

¸

m

i=1

be the set of observations, expressed as

vectors in R

n

. The problem is to ﬁnd the vector n and number d such that the hyperplane n

¯

x = d

is the plane that minimizes the sum of the squared distances from the points to the plane. We can

solve this problem using vector calculus.

The function

1

|n|

2

2

m

¸

i=1

n

¯

x

(i)

−d

2

2

.

is the one to be minimized with respect to n and d. It gives the sum of the squared distances from

the points to the plane described by n and d. To simplify its computation, we will minimize it

subject to the constraint that |n|

2

2

= 1. Thus our problem is to ﬁnd n and d that solve

min

n

n=1

m

¸

i=1

n

¯

x

(i)

−d

2

2

.

We can express this as min f(n, d) subject to g(n, d) = 1. The solution of this problem uses the

Lagrange multipliers technique.

Let L(n, d, λ) = f(n, d) − λg(n, d). The Lagrange multipliers theory tells us that a necessary

126 CHAPTER 9. LEAST SQUARES

condition for n, d to be the solution is that there exists λ such that the following hold:

∂/

∂d

(n, d, λ) = 0

∇

n

L(n, d, λ) = 0

g (n, d) = 1

Let X be the m n matrix whose i

th

row is the vector x

(i)

¯

. We can rewrite the Lagrange

function as

L(n, d, λ) = (Xn−d1

m

)

¯

(Xn −d1

m

) −λn

¯

n

= n

¯

X

¯

Xn−2d1

m

¯

Xn +d

2

1

m

¯

1

m

−λn

¯

n

We solve the necessary condition on

∂/

∂d

.

0 =

∂L

∂d

(n, d, λ) = 2d1

m

¯

1

m

−21

m

¯

Xn ⇒ d = 1

m

¯

Xn/1

m

¯

1

m

This essentially tells us that we will zero the ﬁrst moment of the data around the line. Note that

this determination of d requires knowledge of n. However, since this is a necessary condition, we

can plug it into the gradient equation:

0 = ∇

n

L(n, d, λ) = 2X

¯

Xn −2d

1

m

¯

X

¯

−2λn = 2

¸

X

¯

Xn −

1

m

¯

Xn

1

m

¯

1

m

1

m

¯

X

¯

−λn

**The middle term is a scalar times a vector, so the multiplication can be commuted, this gives
**

0 =

¸

X

¯

Xn −

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

n −λn

=

¸

X

¯

X −

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

−λI

n

Thus n is an eigenvector of the matrix

M = X

¯

X −

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

The ﬁnal condition of the three Lagrange conditions is that g(n, d) = n

¯

n = 1. Thus if n is a

minimizer, then it is a unit eigenvector of M.

It is not clear which eigenvector is the right one, so we might have to check all the eigenvectors.

However, further work tells us which eigenvector it is. First we rewrite the function to be minimized,

when the optimal d is used:

ˆ

f(n) = f(n, 1

m

¯

Xn/1

m

¯

1

m

). We have

ˆ

f(n) = n

¯

X

¯

Xn −2

1

m

¯

Xn

1

m

¯

1

m

1

m

¯

Xn +

1

m

¯

Xn

1

m

¯

1

m

2

1

m

¯

1

m

= n

¯

X

¯

Xn −2

n

¯

X

¯

1

m

1

m

¯

Xn

1

m

¯

1

m

+

n

¯

X

¯

1

m

1

m

¯

Xn1

m

¯

1

m

1

m

¯

1

m

1

m

¯

1

m

= n

¯

X

¯

Xn −2

n

¯

X

¯

1

m

1

m

¯

Xn

1

m

¯

1

m

+

n

¯

X

¯

1

m

1

m

¯

Xn

1

m

¯

1

m

= n

¯

X

¯

Xn −

n

¯

X

¯

1

m

1

m

¯

Xn

1

m

¯

1

m

= n

¯

¸

X

¯

X −

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

n

= n

¯

Mn

9.3. ORTHOGONAL LEAST SQUARES 127

This sequence of equations only required that the d be the optimal d for the given n, and used the

fact that a scalar is it’s own transpose, thus 1

m

¯

Xn = n

¯

X

¯

1

m

.

Now if n is a unit eigenvector of M, with corresponding eigenvalue λ, then n

¯

Mn = λ. Note

that because f(n, d) is deﬁned as w

¯

w, for some vector w, then the matrix M must be positive

deﬁnite, i.e., λ must be positive. However, we want to minimize λ. Thus we take n to be the unit

eigenvector associated with the smallest eigenvalue.

Note that, by roundoﬀ, you may compute that M has some negative eigenvalues, though they

are small in magnitude. Thus one should select, as n, the unit eigenvector associated with the

smallest eigenvalue in absolute value.

Example Problem 9.4. Find the equation of the line which best approximates the 2D data

¦(x

i

, y

i

)¦

m

i=1

, by the orthogonal least squares method.

Solution: In this case the matrix X is

x

1

y

1

x

2

y

2

x

3

y

3

.

.

.

.

.

.

x

m

y

m

¸

¸

¸

¸

¸

¸

¸

Thus we have that

M = X

¯

X −

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

,

=

¸ ¸

x

2

i

¸

x

i

y

i

¸

x

i

y

i

¸

y

2

i

−

1

m

¸

(

¸

x

i

)

2

¸

x

i

¸

y

i

¸

x

i

¸

y

i

(

¸

y

i

)

2

,

=

¸ ¸

x

2

i

¸

x

i

y

i

¸

x

i

y

i

¸

y

2

i

−m

¸

¯ x

2

¯ x¯ y

¯ x¯ y ¯ y

2

,

=

¸ ¸

x

2

i

−m¯ x

2

¸

x

i

y

i

−m¯ x¯ y

¸

x

i

y

i

−m¯ x¯ y

¸

y

2

i

−m¯ y

2

=

¸

2α β

β 2γ

. (9.4)

where we use ¯ x, ¯ y, to mean, respectively, the mean of the x- and y-values. The characteristic

polynomial of the matrix, whose roots are the eigenvalues of the matrix is

p(λ) = det

¸

2α −λ β

β 2γ −λ

= 4αγ −β

2

−2(α +γ)λ +λ

2

.

The roots of this polynomial are given by the quadratic equation

λ

±

=

2(α +γ) ±

4 (α +γ)

2

−4 (4αγ −β

2

)

2

= (α +γ) ±

(α −γ)

2

+β

2

We want the smaller eigenvalue, λ

−

= (α +γ) −

(α −γ)

2

+β

2

. The associated eigenvector is in

the null space of the matrix

0 =

¸

2α −λ

−

β

β 2γ −λ

−

v =

¸

2α −λ

−

β

β 2γ −λ

−

¸

−k

1

=

¸

β −k (2α −λ

−

)

−kβ + 2γ −λ

−

**128 CHAPTER 9. LEAST SQUARES
**

This is solved by

k =

2γ −λ

−

β

=

(γ −α) +

(γ −α)

2

+β

2

β

=

¸

(y

2

i

−x

2

i

) −m

¯ y

2

− ¯ x

2

+

¸

(y

2

i

−x

2

i

) −m(¯ y

2

− ¯ x

2

)

2

+ 4 (

¸

x

i

y

i

−m¯ x¯ y)

2

2

¸

x

i

y

i

−m¯ x¯ y

. (9.5)

Thus the best plane through the data is of the form

−kx + 1y = d or y = kx +d

Note that the eigenvector, v, that we used is not a unit vector. However it is parallel to the unit

vector we want, and can still use the regular formula to compute the optimal d.

d = 1

m

¯

Xn/1

m

¯

1

m

=

1

m

1

m

¯

X

¸

−k

1

=

¯ x ¯ y

¸

−k

1

= ¯ y −k¯ x

Thus the optimal line through the data is

y = kx +d = k (x − ¯ x) + ¯ y or y − ¯ y = k (x − ¯ x) ,

with k deﬁned in equation 9.5.

¬

9.3.1 Computing the Orthogonal Least Squares Approximant

Just as the Normal Equations equation 9.3 deﬁne the solution to the ordinary least squares ap-

proximant, but are not normally used to solve the problem, so too is the above described means of

computing the orthogonal least squares not a good idea.

First we deﬁne

W = X −

1

m

1

m

¯

X

1

m

¯

1

m

.

Now note that

W

¯

W =

X −

1

m

1

m

¯

X

1

m

¯

1

m

¯

X −

1

m

1

m

¯

X

1

m

¯

1

m

= X

¯

X −2

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

+

1

m

1

m

¯

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

2

= X

¯

X −2

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

+

X

¯

1

m

(1

m

¯

1

m

)1

m

¯

X

1

m

¯

1

m

2

= X

¯

X −2

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

+

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

= X

¯

X −

X

¯

1

m

1

m

¯

X

1

m

¯

1

m

= M.

We now need some linear algebra magic:

Deﬁnition 9.3.1. A square matrix U is called unitary if its inverse is its transpose, i.e.,

U

¯

U = I = UU

¯

.

From the ﬁrst equation, we see that the columns of U form a collection of orthonormal vectors.

The second equation tells that the rows of U are also such a collection.

9.3. ORTHOGONAL LEAST SQUARES 129

Deﬁnition 9.3.2. Every mn matrix B can be decomposed as

B = UΣV

¯

,

where U and V are unitary matrices, U is m m, V is n n, and Σ is m n, and has nonzero

elements only on its diagonal. The values of the diagonal of Σ are the singular values of B. The

column vectors of V span the row space of B, and the column vectors of U contain the column space

of B.

The singular value decomposition generalizes the notion of eigenvalues and eigenvalues to the

case of nonsquare matrices. Let u

(i)

be the i

th

column vector of U, v

(i)

the i

th

column of V, and

let σ

i

be the i

th

element of the diagonal of Σ. Then if x =

¸

i

α

i

v

(i)

, we have

Bx = UΣV

¯

¸

i

α

i

v

(i)

= UΣ[α

1

α

2

. . . α

n

]

¯

= U

σ

1

α

1

0 . . . 0

0 σ

2

α

2

. . . 0

.

.

.

.

.

.

.

.

.

.

.

.

0 0 . . . σ

n

α

n

0 0 . . . 0

.

.

.

.

.

.

.

.

.

.

.

.

0 0 . . . 0

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

=

¸

i

σ

i

α

i

u

(i)

.

Thus v

(i)

and u

(i)

act as an “eigenvector pair” with “eigenvalue” σ

i

.

The singular value decomposition is computed by the octave/Matlab command [U,S,V] =

svd(B). The decomposition is computed such that the diagonal elements of S, the singular values,

are positive, and decreasing with increasing index.

Now we can use the singular value decomposition on W:

W = UΣV

¯

.

Thus

M = W

¯

W = VΣ

¯

U

¯

UΣV

¯

= VΣ

¯

IΣV

¯

= VS

2

V

¯

,

where S

2

is the n n diagonal matrix whose i

th

diagonal is σ

2

i

. Thus we see that the solution to

the orthogonal least squares problem, the eigenvector associated with the smallest eigenvalue of M,

is the column vector of V associated with the smallest, in absolute value, singular value of W. In

octave/Matlab, this is V(:,n).

This may not appear to be a computational savings, but if M is computed up front, and its

eigenvectors are computed, there is loss of precision in its smallest eigenvalues which might lead us

to choose the wrong normal direction (especially if there is more than one!). On the other hand,

M is a n n matrix, whereas W is m n. If storage is at a premium, and the method is being

reapplied with new observations, it may be preferrable to keep M, rather than keeping W. That is,

it may be necessary to trade conditioning for space.

9.3.2 Principal Component Analysis

The above analysis leads us to the topic of Principal Component Analysis. Suppose the m n

matrix X represents m noisy observations of some process, where each observation is a vector in

R

n

. Suppose the observations nearly lie in some k-dimensional subspace of R

n

, for k < n. How can

you ﬁnd an approximate value of k, and how do you ﬁnd the k-dimensional subspace?

130 CHAPTER 9. LEAST SQUARES

As in the previous subsection, let

W = X −

1

m

1

m

¯

X

1

m

¯

1

m

= X −1

m

¯

X, where

¯

X = 1

m

¯

X/1

m

¯

1

m

.

Now note that

¯

X is the mean of the m observations, as a row vector in R

n

. Under the assumption

that the noise is approximately the same for each observation, we should think that

¯

X is likely

to be in or very close to the k-dimensional subspace. Then each row of W should be like a vector

which is contained in the subspace. If we take some vector v and multiply Wv, we expect the

resultant vector to have small norm if v is not in the k-dimensional subspace, and to have a large

norm if it is in the subspace.

You should now convince yourself that this is related to the singular value decomposition of W.

Decomposing v =

¸

i

α

i

v

(i)

, we have Wv =

¸

i

σ

i

α

i

u

(i)

, and thus product vector has small norm if

the α

i

associated with large σ

i

are small, and large norm otherwise. That is the principal directions

of the “best” k-dimensional subspace associated with X are the k columns of V associated with the

largest singular values of W.

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

0 5 10 15 20 25 30 35 40

cum. sum sqrd. sing. vals.

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

0 5 10 15 20 25 30 35 40

cum. sum sqrd. sing. vals.

Figure 9.6: Noisy 5-dimensional data lurking in R

40

are treated to Principal Component Analysis.

This ﬁgure shows the normalized cumulative sum of squared singular values of W. There is a sharp

“elbow” at k = 5, which indicates the data is actually 5-dimensional.

If k is unknown a priori , a good value can be obtained by eyeing a graph of the cumulative

sum of squared singular values of W, and selecting the k that makes this appropriately large. This

is illustrated in Figure 9.6, with data generated by the following octave/Matlab code:

octave:1> X = rand(150,5);

octave:2> sawX = (X * randn(5,40)) + kron(ones(150,1),randn(1,40));

octave:3> sawX += 0.1 * randn(150,40);

octave:4> wun = ones(150,1);

9.3. ORTHOGONAL LEAST SQUARES 131

octave:5> W = sawX - (wun * wun’ * sawX) / (wun’ * wun);

octave:6> [U,S,V] = svd(W);

octave:7> eigs = diag(S’*S);

octave:8> cseig = cumsum(eigs) ./ sum(eigs);

octave:9> plot ((1:40)’,cseig,’xr-@;cum. sum sqrd. sing. vals.;’);

132 CHAPTER 9. LEAST SQUARES

Exercises

(9.1) How do you know that the choice of constants c

i

in our least squares analysis actually ﬁnd a

minimum of equation 9.1, and not, say, a maximum?

(9.2) Our “linear” least squares might be better called the “aﬃne” least squares. In this exercise

you will ﬁnd the best linear function which approximates a set of data. That is, ﬁnd the

function f(x) = cx which is the ordinary least squares best approximant to the given data

x x

0

x

1

. . . x

n

y y

0

y

1

. . . y

n

(9.3) Find the constant that best approximates, in the ordinary least squares sense, the given data

x, y. (Hint: you can use equation 9.2 or equation 9.3 using a single basis function g

0

(x) = 1.)

Do the x

i

values aﬀect your answer?

(9.4) Find the function f(x) = c which best approximates, in the ordinary least squares sense, the

data

x 1 −2 5

y 1 −2 4

(9.5) Find the function ax +b that best approximates the data

x 0 −1 2

y 0 1 −1

Use the ordinary least squares method.

(9.6) Find the function ax +b that best approximates the data of the previous problem using the

orthogonal least squares method.

(9.7) Find the function ax

2

+b that best approximates the data

x 0 1 2

y 0.3 0.1 0.5

(9.8) Prove that the least squares solution is the solution of the normal equations, equation 9.3,

and thus takes the form

c =

A

¯

A

−1

A

¯

y.

(9.9) For ordinary least squares regression to the line y = mx + b, express the approximate m

in terms of the α, β, and γ parameters from equation 9.4. Compare this to that found in

equation 9.5.

(9.10) Any symmetric positive deﬁnite matrix, G can be used to deﬁne a norm in the following

way:

|v|

G

=

df

√

v

¯

Gv

The weighted least squares method for G and data A and y, ﬁnds the ˆ c that solves

min

c

|Ac −y|

2

G

Prove that the normal equations form of the solution of this problem is

A

¯

GAˆ c = A

¯

Gy.

9.3. ORTHOGONAL LEAST SQUARES 133

(9.11) (Continuation) Let the symmetric positive deﬁnite matrix G have Cholesky Factorization

G = LL

¯

, where L is a lower triangular matrix. Show that the solution to the weighted least

squares method is the ˆ c that is the ordinary (unweighted) least squares best approximate

solution to the problem

L

¯

Ac = L

¯

y.

(9.12) The r

2

statistic is often used to describe the “goodness-of-ﬁt” of the ordinary least squares

approximation to data. It is deﬁned as

r

2

=

|Aˆ c|

2

2

|y|

2

2

,

where ˆ c is the approximant A

¯

A

−1

A

¯

y.

(a) Prove that we also have

r

2

= 1 −

|Aˆ c −y|

2

2

|y|

2

2

.

(b) Prove that the r

2

parameter is “scale-invariant,” that is, if we change the units of our

data, the parameter is unchanged (although the value of ˆ c may change.)

(c) Devise a similar statistic for the orthogonal least squares approximation which is scale-

invariant and rotation-invariant.

(9.13) As proved in Example Problem 9.4, the orthogonal least squares best approximate line for

data ¦(x

i

, y

i

)¦

m

i=1

goes through the point (¯ x, ¯ y). Does the same thing hold for the ordinary

least squares best approximate line?

(9.14) Find the constant c such that f(x) = ln (cx) best approximates, in the least squares sense,

the given data

x x

0

x

1

. . . x

n

y y

0

y

1

. . . y

n

(Hint: You cannot use basis functions and equation 9.2 to solve this. You must use the

Deﬁnition 9.1.1.) The geometric mean of the numbers a

1

, a

2

, . . . , a

n

is deﬁned as (

¸

a

i

)

1/n

.

How does your answer relate to the geometric mean?

(9.15) Write code to ﬁnd the function ae

x

+be

−x

that best interpolates, in the least squares sense,

a set of data ¦(x

i

, y

i

)¦

i=n

i=0

. Your m-ﬁle should have header line like:

function [a,b] = lsqrexp(xys)

where xys is the (n + 1) 2 matrix whose rows are the n + 1 tuples (x

i

, y

i

). Use the normal

equations method. This should reduce the problem to solving a 2 2 linear system; let

octave/Matlab solve that linear system for you. (Hint: To ﬁnd x such that Mx = b, use x =

M ` b.)

(a) What do you get when you try the following?

octave:1> xs = [-1 -0.5 0 0.5 1]’;

octave:2> ys = [1.194 0.430 0.103 0.322 1.034]’;

octave:3> xys = [xs ys];

octave:4> [a,b] = lsqrexp(xys)

(b) Try the following:

octave:5> xys = xys = [-0.00001 0.3;0 0.6;0.00001 0.7];

octave:6> [a,b] = lsqrexp(xys)

Does something unexpected happen? Why?

(9.16) Write code to ﬁnd the plane n

¯

x

(i)

= d that best interpolates, in the least squares sense, a

set of data

¸

x

(i)

¸

i=m

i=0

. Your m-ﬁle should have header line like:

134 CHAPTER 9. LEAST SQUARES

function [n,d] = orthlsq(X)

where X is the m n matrix whose rows are the m tuples (x

1

, x

2

, . . . , x

n

). Use the oc-

tave/Matlab eig function, which returns the eigenvalues and vectors of a matrix.

(a) Create artiﬁcially planar data by the following:

octave:1> m = 100;n = 5;epsi = 0.1;offs = 2;

octave:2> Xsub = rand(m,(n-1));

octave:3> T = rand(n-1,n);

octave:4> X = Xsub * T;

octave:5> X += offs .* ones(size(X));

octave:6> X += epsi .* randn(size(X));

Now X contains data which are approximately on a (n − 1)-dimensional hyperplane in

R

n

. The data, when centered, lay in the rowspace of T. Now test your code.

octave:7> [n,d] = orthlsq(X);

You should have that the vector n is orthogonal to the rows of T. Check this:

octave:8> disp(norm(T * n));

What do you get? Try again with epsi very small (1 10

−5

) or zero.

(b) Compare the orthogonal least squares technique to the ordinary least squares in a two

dimensional setting. Consider x, y data nearly on the line y = mx +b:

octave:1> obs = 100;xeps = 1.0;yeps = 1.0;m = 0.375;b = 1;

octave:2> Xtrue = randn(obs,1);Ytrue = m .* Xtrue .+ b;

octave:3> XSaw = Xtrue + xeps * randn(size(Xtrue));

octave:4> YSaw = Ytrue + yeps * randn(size(Ytrue));

octave:5> lsmb = [XSaw, ones(obs,1)] \ YSaw;

octave:6> lsm = lsmb(1); lsb = lsmb(2);

octave:7> [n,d] = orthlsq([XSaw, YSaw]);

octave:8> orthm = -n(1) / n(2);orthb = d / n(2);

Compare the estimated coeﬃcients from both solutions. Plot the two regression lines.

octave:9> hold off;

octave:10> plot(XSaw,YSaw,"*;observed data;");

octave:11> hold on;

octave:12> plot(XSaw,m*XSaw .+ b,"r-;true line;");

octave:13> plot(XSaw,lsm*XSaw .+ lsb,"g-;ordinary least squares;");

octave:14> plot(XSaw,orthm*XSaw .+ orthb,"b-;orthogonal least squares;");

octave:15> hold off;

Try this again with diﬀerent values of xeps and yeps, which control the sizes of the

errors in the x and y dimensions. Try with xeps = 0.1, yeps = 1.0, and with with

xeps = 1.0, yeps = 0.1. Under which situations does orthogonal least squares outperform

ordinary least squares? Do they give equally erroneous results in some situations? Can

you think of a way of “reweighting” channel data to make the orthogonal least squares

method more robust in cases of unequal error variance?

Chapter 10

Ordinary Diﬀerential Equations

Ordinary Diﬀerential Equations, or ODEs, are used in approximating some physical systems. Some

classical uses include simulation of the growth of populations and trajectory of a particle. They are

usually easier to solve or approximate than the more general Partial Diﬀerential Equations, PDEs,

which can contain partial derivatives.

Much of the background material of this chapter should be familiar to the student of calculus.

We will focus more on the approximation of solutions, than on analytical solutions. For more

background on ODEs, see any of the standard texts, e.g., [8].

10.1 Elementary Methods

A one-dimensional ODE is posed as follows: ﬁnd some function x(t) such that

dx(t)

dt

= f (t, x(t)) ,

x(a) = c.

(10.1)

In calculus classes, you probably studied the case where f (t, x(t)) is independent of its second

variable. For example the ODE given by

dx(t)

dt

= t

2

−t,

x(a) = c.

has solution x(t) =

1

3

t

3

−

1

2

t

2

+K, where K is chosen such that x(a) = c.

A more general case is when f(t, x) is separable, that is f(t, x) = g(t)h(x) for some functions

g, h. You may recall that the solution to such a separable ODE usually involved the following

equation:

dx

h(x)

=

g(t) dt

Finding an analytic solution can be considerably more diﬃcult in the general case, thus we turn

to approximation schemes.

135

136 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

10.1.1 Integration and ‘Stepping’

We attempt to solve the ODE by integrating both sides. That is

dx(t)

dt

= f (t, x(t)) , yields

t+h

t

dx =

t+h

t

f (r, x(r)) dr, thus

x(t +h) = x(t) +

t+h

t

f (r, x(r)) dr. (10.2)

If we can approximate the integral then we have a way of ‘stepping’ from t to t +h, i.e., if we have

a good approximate of x(t) we can approximate x(t + h). Note that this means that all the work

we have put into approximating integrals can be used to approximate the solution of ODEs.

Using stepping schemes we can approximate x(t

final

) given x(t

initial

) by taking a number of

steps. For simplicity we usually use the same step size, h, for each step, though nothing precludes

us from varying the step size.

If we apply the left-hand rectangle rule for approximating integrals to equation 10.2, we get

x(t +h) ≈ x(t) +hf(t, x(t)). (10.3)

This is called Euler’s Method. Note this is essentially the same as the “forward diﬀerence” approx-

imation we made to the derivative, equation 7.1.

Trapezoid rule gives

x(t +h) ≈ x(t) +

h

2

[f(t, x(t)) +f(t +h, x(t +h))] .

But we cannot evaluate this exactly, since x(t +h) appears on both sides of the equation. And it is

embedded on the right hand side. Bummer. But if we could approximate it, say by using Euler’s

Method, maybe the formula would work. This is the idea behind the Runge-Kutta Method (see

Section 10.2).

10.1.2 Taylor’s Series Methods

We see that our more accurate integral approximations will be useless since they require information

we do not know, i.e., evaluations of f(t, x) for yet unknown x values. Thus we fall back on

Taylor’s Theorem (Theorem 1.1). We can also view this as using integral approximations where all

information comes from the left-hand endpoint.

By Taylor’s theorem, if x has at least m+ 1 continuous derivatives on the interval in question,

we can write

x(t +h) = x(t) +hx

t

(t) +

1

2

h

2

x

tt

(t) +. . . +

1

m!

h

m

x

(m)

(t) +

1

(m+ 1)!

h

m+1

x

(m+1)

(τ),

where τ is between t and t + h. Since τ is essentially unknown, our best calculable approximation

to this expression is

x(t +h) ≈ x(t) +hx

t

(t) +

1

2

h

2

x

tt

(t) +. . . +

1

m!

h

m

x

(m)

(t).

This approximate solution to the ODE is called a Taylor’s series method of order m. We also say

that this approximation is a truncation of the Taylor’s series. The diﬀerence between the actual

10.1. ELEMENTARY METHODS 137

value of x(t +h), and this approximation is called the truncation error. The truncation error exists

independently from any error in computing the approximation, called roundoﬀ error. We discuss

this more in Subsection 10.1.5.

10.1.3 Euler’s Method

When m = 1 we recover Euler’s Method:

x(t +h) = x(t) +hx

t

(t) = x(t) +hf(t, x(t)).

Example 10.1. Consider the ODE

dx(t)

dt

= x,

x(0) = 1.

The actual solution is x(t) = e

t

. Euler’s Method will underestimate x(t) because the curvature of

the actual x(t) is positive, and thus the function is always above its linearization. In Figure 10.1,

we see that eventually the Euler’s Method approximation is very poor.

0

2

4

6

8

10

12

14

16

18

20

22

0 0.5 1 1.5 2 2.5 3

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

Euler approximation

Actual

Figure 10.1: Euler’s Method applied to approximate x

t

= x, x(0) = 1. Each step proceeds on

the linearization of the curve, and is thus an underestimate, as the actual solution, x(t) = e

t

has

positive curvature. Here step size h = 0.3 is used.

10.1.4 Higher Order Methods

Higher order methods are derived by taking more terms of the Taylor’s series expansion. Note

however, that they will require information about the higher derivatives of x(t), and thus may not

be appropriate for the case where f(t, x) is given as a “black box” function.

138 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

Example Problem 10.2. Derive the Taylor’s series method for m = 3 for the ODE

dx(t)

dt

= x +e

x

,

x(0) = 1.

Solution: By simple calculus:

x

t

(t) = x +e

x

x

tt

(t) = x

t

+e

x

x

t

x

ttt

(t) = x

tt

(1 +e

x

) +x

t

e

x

x

t

We can then write our step like a program:

x

t

(t) ←x(t) +e

x(t)

x

tt

(t) ←x

t

(t)

1 +e

x(t)

x

ttt

(t) ←x

tt

(t)

1 +e

x(t)

+

x

t

(t)

2

e

x(t)

x(t +h) ≈ x(t) +hx

t

(t) +

1

2

h

2

x

tt

(t) +

1

6

h

3

x

ttt

(t)

¬

10.1.5 Errors

There are two types of errors: truncation and roundoﬀ. Truncation error is the error of truncating

the Taylor’s series after the m

th

term. You can see that the truncation error is O

h

m+1

. Roundoﬀ

error occurs because of the limited precision of computer arithmetic.

While it is possible these two kinds of error could cancel each other, given our pessimistic

worldview, we usually assume they are additive. We also expect some tradeoﬀ between these two

errors as h varies. As h is made smaller, the truncation error presumably decreases, while the

roundoﬀ error increases. This results in an optimal h-value for a given method. See Figure 10.2.

Unfortunately, the optimal h-value will usually depend on the given ODE and the approximation

method. For an ODE with unknown solution, it is generally impossible to predict the optimal h. We

have already observed this kind of behaviour, when analyzing approximate derivatives–cf. Example

Problem 7.5.

Both of these kinds of error can accumulate: Since we step from x(t) to x(t + h), an error in

the value of x(t) can cause a greater error in the value of x(t +h). It turns out that for some ODEs

and some methods, this does not happen. This leads to the topic of stability.

10.1.6 Stability

Suppose you had an exact method of solving an ODE, but had the wrong data. That is, you were

trying to solve

dx(t)

dt

= f (t, x(t)) ,

x(a) = c,

but instead fed the wrong data into the computer, which then solved exactly the ODE

dx(t)

dt

= f (t, x(t)) ,

x(a) = c +.

10.1. ELEMENTARY METHODS 139

0.01

0.1

1

10

100

1000

10000

1e-07 1e-06 1e-05 0.0001 0.001 0.01

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

truncation

roundoﬀ

total error

Figure 10.2: The truncation, roundoﬀ, and total error for a ﬁctional ODE and approximation

method are shown. The total error is apparently minimized for an h value of approximately 0.0002.

Note that the truncation error appears to be O(h), thus the approximation could be Euler’s Method.

In reality, we expect the roundoﬀ error to be more “bumpy,” as seen in Figure 7.1.

This solution can diverge from the correct one because of the diﬀerent starting conditions. We

illustrate this with the usual example.

Example 10.3. Consider the ODE

dx(t)

dt

= x.

This has solution x(t) = x(0)e

t

. The curves for diﬀerent starting conditions diverge, as in Fig-

ure 10.3(a).

However, if we instead consider the ODE

dx(t)

dt

= −x,

which has solution x(t) = x(0)e

−t

, we see that diﬀerences in the initial conditions become immate-

rial, as in Figure 10.3(b).

Thus the latter ODE exhibits stability: roundoﬀ and truncation errors accrued at a given step

will become irrelevant as more steps are taken. The former ODE exhibits the opposite behavior–

accrued errors will be ampliﬁed.

140 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

0

2

4

6

8

10

12

0 0.5 1 1.5 2

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

= −0.5

= −0.25

= 0

= 0.25

= 0.5

(a) (1 + )e

t

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

0 0.5 1 1.5 2

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

= −0.5

= −0.25

= 0

= 0.25

= 0.5

(b) (1 + )e

−t

Figure 10.3: Exponential functions with diﬀerent starting conditions: in (a), the functions (1+)e

t

are shown, while in (b), (1+)e

−t

are shown. The latter exhibits stability, while the former exhibits

instability.

10.1. ELEMENTARY METHODS 141

It turns out there is a simple test for stability. If f

x

> δ for some positive δ, then the ODE

is instable; if f

x

< −δ for a positive δ, the equation is stable. Some ODEs fall through this test,

however.

We can prove this without too much pain. Deﬁne x(t, s) to be the solution to

dx(t)

dt

= f (t, x(t)) ,

x(a) = s,

for t ≥ a.

Then instability means that

lim

t→∞

∂

∂s

x(t, s)

= ∞.

Think about this in terms of the curves for our simple example x

t

= x.

If we take the derivative of the ODE we get

∂

∂t

x(t, s) = f(t, x(t, s)),

∂

∂s

∂

∂t

x(t, s) =

∂

∂s

f(t, x(t, s)), i.e.,

∂

∂s

∂

∂t

x(t, s) = f

t

(t, x(t))

∂t

∂s

+f

x

(t, x(t, s))

∂x(t, s)

∂s

.

By the independence of t, s the ﬁrst part of the RHS is zero, so

∂

∂s

∂

∂t

x(t, s) = f

x

(t, x(t, s))

∂x(t, s)

∂s

.

We use continuity of x to switch the orders of diﬀerentiation:

∂

∂t

∂

∂s

x(t, s) = f

x

(t, x(t, s))

∂

∂s

x(t, s).

Deﬁning u(t) =

∂

∂s

x(t, s), and q(t) = f

x

(t, x(t, s)), we have

∂

∂t

u(t) = q(t)u(t).

The solution is u(t) = ce

Q(t)

, where

Q(t) =

t

a

q(r) dr.

If q(r) = f

x

(r, x(r, s)) ≥ δ > 0, then limQ(t) = ∞, and so limu(t) = ∞. But note that u(t) =

∂

∂s

x(t, s), and thus we have instability.

Similarly if q(r) ≤ −δ < 0, then limQ(t) = −∞, and so limu(t) = 0, giving stability.

10.1.7 Backwards Euler’s Method

Euler’s Method is the most basic numerical technique for solving ODEs. However, it may suﬀer

from instability, which may make the method inappropriate or impractical. However, it can be

recast into a method which may have superior stability at the cost of limited applicability.

142 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

This method, the so-called Backwards Euler’s Method, is a stepping method: given a reasonable

approximation to x(t), it calculates an approximation to x(t + h). As usual, Taylor’s Theorem is

the starting point. Letting t

f

= t +h, Taylor’s Theorem states that

x(t

f

−h) = x(t

f

) + (−h)x

t

(t

f

) +

(−h)

2

2

x

tt

(t

f

) +. . . ,

for an analytic function. Assuming that x has two continuous derivatives on the interval in question,

the second order term is truncated to give

x(t) = x(t +h −h) = x(t

f

−h) ≈ x(t

f

) + (−h)x

t

(t

f

)

and so, x(t +h) ≈ x(t) +hx

t

(t +h)

The complication with applying this method is that x

t

(t+h) may not be computable if x(t+h) is

not known, thus cannot be used to calculate an approximation for x(t+h). Since this approximation

may contain x(t + h) on both sides, we call this method an implicit method. In contrast, Euler’s

Method, and the Runge-Kutta methods in the following section are explicit methods: they can be

used to directly compute an approximate step. We make this clear by examples.

Example 10.4. Consider the ODE

dx(t)

dt

= cos x,

x(0) = 2π.

In this case, if we wish to approximate x(0 +h) using Backwards Euler’s Method, we have to ﬁnd

x(h) such that x(h) = x(0) + cos x(h). This is equivalent to ﬁnding a root of the equation

g(y) = 2π + cos y −y = 0

The function g(y) is nonincreasing (g

t

(y) is nonpositive), and has a zero between 6 and 8, as seen

in Figure 10.4. The techniques of Chapter 4 are needed to ﬁnd the zero of this function.

-6

-4

-2

0

2

4

6

8

0 2 4 6 8 10 12

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

g(y)

Figure 10.4: The nonincreasing function g(y) = 2π + cos y −y is shown.

10.2. RUNGE-KUTTA METHODS 143

Example 10.5. Consider the ODE from Example 10.1:

dx(t)

dt

= x,

x(0) = 1.

The actual solution is x(t) = e

t

. Euler’s Method underestimates x(t), as shown in Figure 10.1.

Using Backwards Euler’s Method, gives the approximation:

x(t +h) = x(t) +hx(t +h),

x(t +h) =

x(t)

1 −h

.

Using Backwards Euler’s Method gives an overestimate, as shown in Figure 10.5. This is because

each step proceeds on the tangent line to a curve ke

t

to a point on that curve. Generally Backwards

Euler’s Method is preferred over vanilla Euler’s Method because it gives equivalent stability for

larger stepsize h. This eﬀect is not evident in this case.

0

5

10

15

20

25

30

35

40

0 0.5 1 1.5 2 2.5 3

P

S

f

r

a

g

r

e

p

l

a

c

e

m

e

n

t

s

Backwards Euler approximation

Actual

Figure 10.5: Backwards Euler’s Method applied to approximate x

t

= x, x(0) = 1. The approxi-

mation is an overestimate, as each step is to a point on a curve ke

t

, through the tangent at that

point. Compare this ﬁgure to Figure 10.1, which shows the same problem approximated by Euler’s

Method, with the same stepsize, h = 0.3.

10.2 Runge-Kutta Methods

Recall the ODE problem: ﬁnd some x(t) such that

dx(t)

dt

= f (t, x(t)) ,

x(a) = c,

144 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

where f, a, c are given.

Recall that the Taylor’s series method has problems: either you are using the ﬁrst order method

(Euler’s Method), which suﬀers inaccuracy, or you are using a higher order method which requires

evaluations of higher order derivatives of x(t), i.e., x

tt

(t), x

ttt

(t), etc. This makes these methods less

useful for the general setting of f being a blackbox function. The Runge-Kutta Methods (don’t

ask me how it’s pronounced) seek to resolve this.

10.2.1 Taylor’s Series Redux

We fall back on Taylor’s series, in this case the 2-dimensional version:

f(x +h, y +k) =

∞

¸

i=0

1

i!

h

∂

∂x

+k

∂

∂y

i

f(x, y).

The thing in the middle is an operator on f(x, y). The partial derivative operators are interpreted

exactly as if they were algebraic terms, that is:

h

∂

∂x

+k

∂

∂y

0

f(x, y) = f(x, y),

h

∂

∂x

+k

∂

∂y

1

f(x, y) = h

∂f(x, y)

∂x

+k

∂f(x, y)

∂y

,

h

∂

∂x

+k

∂

∂y

2

f(x, y) = h

2

∂

2

f(x, y)

∂x

2

+ 2hk

∂

2

f(x, y)

∂x∂y

+k

2

∂

2

f(x, y)

∂y

2

,

.

.

.

There is a truncated version of Taylors series:

f(x +h, y +k) =

n

¸

i=0

1

i!

h

∂

∂x

+k

∂

∂y

i

f(x, y) +

1

(n + 1)!

h

∂

∂x

+k

∂

∂y

n+1

f(¯ x, ¯ y).

where (¯ x, ¯ y) is a point on the line segment with endpoints (x, y) and (x +h, y +k).

For practice, we will write this for n = 1:

f(x +h, y +k) = f(x, y) +hf

x

(x, y) +kf

y

(x, y) +

1

2

h

2

f

xx

(¯ x, ¯ y) + 2hkf

xy

(¯ x, ¯ y) +k

2

f

yy

(¯ x, ¯ y)

**10.2.2 Deriving the Runge-Kutta Methods
**

We now introduce the Runge-Kutta Method for stepping from x(t) to x(t + h). We suppose that

α, β, w

1

, w

2

are ﬁxed constants. We then compute:

K

1

←hf(t, x)

K

2

←hf(t +αh, x +βK

1

).

Then we approximate:

x(t +h) ←x(t) +w

1

K

1

+w

2

K

2

.

We now examine the “proper” choices of the constants. Note that w

1

= 1, w

2

= 0 corresponds

to Euler’s Method, and does not require computation of K

2

. We will pick another choice.

10.2. RUNGE-KUTTA METHODS 145

Also notice that the deﬁnition of K

2

should be related to Taylor’s theorem in two dimensions.

Let’s look at it:

K

2

/h = f(t +αh, x +βK

1

)

= f(t +αh, x +βhf(t, x))

= f +αhf

t

+βhff

x

+

1

2

α

2

h

2

f

tt

(

¯

t, ¯ x) +αβfh

2

f

tx

(

¯

t, ¯ x) +β

2

h

2

f

2

f

x

x(

¯

t, ¯ x)

.

Now reconsider our step:

x(t +h) = x(t) +w

1

K

1

+w

2

K

2

= x(t) +w

1

hf +w

2

hf +w

2

αh

2

f

t

+w

2

βh

2

ff

x

+O

h

3

.

= x(t) + (w

1

+w

2

) hx

t

(t) +w

2

h

2

(αf

t

+βff

x

) +O

h

3

.

= x(t) + (w

1

+w

2

) hx

t

(t) +w

2

h

2

(αf

t

+βff

x

) +O

h

3

.

If we happen to choose our constants such that

w

1

+w

2

= 1, αw

2

=

1

2

= βw

2

,

then we get

x(t +h) = x(t) +hx

t

(t) +

1

2

h

2

(f

t

+ff

x

) +O

h

3

= x(t) +hx

t

(t) +

1

2

h

2

x

tt

(t) +O

h

3

,

i.e., our choice of the constants makes the approximate x(t +h) good up to a O

h

3

term, because

we end up with the Taylor’s series expansion up to that term. cool.

The usual choice of constants is α = β = 1, w

1

= w

2

=

1

2

. This gives the second order Runge-

Kutta Method :

x(t +h) ←x(t) +

h

2

f(t, x) +

h

2

f(t +h, x +hf(t, x)).

This can be written (and evaluated) as

K

1

←hf(t, x)

K

2

←hf(t +h, x +K

1

)

x(t +h) ←x(t) +

1

2

(K

1

+K

2

) .

(10.4)

Another choice is α = β = 2/3, w

1

= 1/4, w

2

= 3/4. This gives

x(t +h) ←x(t) +

h

4

f(t, x) +

3h

4

f

t +

2h

3

, x +

2h

3

f(t, x)

.

The Runge-Kutta Method of order two has error term O

h

3

**. Sometimes this is not enough
**

and higher-order Runge-Kutta Methods are used. The next Runge-Kutta Method is the order four

method:

K

1

←hf(t, x)

K

2

←hf(t +h/2, x +K

1

/2)

K

3

←hf(t +h/2, x +K

2

/2)

K

4

←hf(t +h, x +K

3

)

x(t +h) ←x(t) +

1

6

(K

1

+ 2K

2

+ 2K

3

+K

4

) .

(10.5)

146 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

This method has order O

h

5

**. (See http://mathworld.wolfram.com/Runge-KuttaMethod.html)
**

The Runge-Kutta Method can be extrapolated to even higher orders. However, the number

of function evaluations grows faster than the accuracy of the method. Thus the methods of order

higher than four are normally not used.

We already saw that w

1

= 1, w

2

= 0 corresponds to Euler’s Method. We consider now the case

w

1

= 0, w

2

= 1. The method becomes

x(t +h) ←x(t) +hf

t +

h

2

, x +

h

2

f(t, x)

.

This is called the modiﬁed Euler’s Method . Note this gives a diﬀerent value than if Euler’s

Method was applied twice with step size h/2.

10.2.3 Examples

Example 10.6. Consider the ODE:

x

t

= (tx)

3

−

x

t

2

x(1) = 1

Use h = 0.1 to compute x(1.1) using both Taylor’s Series Methods and Runge-Kutta methods

of order 2.

10.3 Systems of ODEs

Recall the regular ODE problem: ﬁnd some x(t) such that

dx(t)

dt

= f (t, x(t)) ,

x(a) = c,

where f, a, c are given.

Sometimes the physical systems we are considering are more complex. For example, we might

be interested in the system of ODEs:

dx(t)

dt

= f (t, x(t), y(t)) ,

dy(t)

dt

= g (t, x(t), y(t)) ,

x(a) = c,

y(a) = d.

Example 10.7. Consider the following system of ODEs:

dx(t)

dt

= t

2

−x

dy(t)

dt

= y

2

+y −t,

x(0) = 1,

y(0) = 0.

You should immediately notice that this is not a system at all, but rather a collection of two ODEs:

dx(t)

dt

= t

2

−x

x(0) = 1,

10.3. SYSTEMS OF ODES 147

and

dy(t)

dt

= y

2

+y −t,

y(0) = 0.

These two ODEs can be solved separately. We call such a system uncoupled. In an uncoupled

system the function f(t, x, y) is independent of y, and g(t, x, y) is independent of x. A system

which is not uncoupled, is, of course, coupled. We will not consider uncoupled systems.

10.3.1 Larger Systems

There is no need to stop at two functions. We may imagine we have to solve the following problem:

ﬁnd x

1

(t), x

2

(t), . . . , x

n

(t) such that

dx

1

(t)

dt

= f

1

(t, x

1

(t), x

2

(t), . . . , x

n

(t)) ,

dx

2

(t)

dt

= f

2

(t, x

1

(t), x

2

(t), . . . , x

n

(t)) ,

.

.

.

dxn(t)

dt

= f

n

(t, x

1

(t), x

2

(t), . . . , x

n

(t)) ,

x

1

(a) = c

1

, x

2

(a) = c

2

, . . . , x

n

(a) = c

n

.

The idea is to not be afraid of the notation, write everything as vectors, then do exactly the

same thing as for the one dimensional case! That’s right, there is nothing new but notation:

Let

X =

x

1

x

2

. . .

x

n

¸

¸

¸

¸

, X

=

x

t

1

x

t

2

. . .

x

t

n

¸

¸

¸

¸

, F =

f

1

f

2

. . .

f

n

¸

¸

¸

¸

, C =

c

1

c

2

. . .

c

n

¸

¸

¸

¸

.

Then we want to ﬁnd X such that

X

(t) = F (t, X(t))

X (a) = C.

(10.6)

Compare this to equation 10.1.

10.3.2 Recasting Single ODE Methods

We will consider stepping methods for solving higher order ODEs. That is, we know X(t), and

want to ﬁnd X(t + h). Most of the methods we looked at for solving one dimensional ODEs can

be rewritten to solve higher dimensional problems.

For example, Euler’s Method, equation 10.3 can be written as

X(t +h) ←X(t) +hF (t, X(t)) .

As in 1D, this method is derived from approximating X by its linearization.

In fact, our general strategy of using Taylor’s Theorem also carries through without change.

That is we can use the k

th

order method to step as follows:

X(t +h) ←X(t) +hX

(t) +

h

2

2

X

(t) +. . . +

h

k

k!

X

(k)

(t).

148 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

Additionally we can write the Runge-Kutta Methods as follows:

Order two:

K

1

←hF (t, X)

K

2

←hF (t +h, X +K

1

)

X(t +h) ←X(t) +

1

2

(K

1

+K

2

) .

Order four:

K

1

←hF (t, X)

K

2

←hF

t +

1

2

h, X +

1

2

K

1

K

3

←hF

t +

1

2

h, X +

1

2

K

2

K

4

←hF (t +h, X +K

3

)

X(t +h) ←x(t) +

1

6

(K

1

+ 2K

2

+ 2K

3

+K

4

) .

Example Problem 10.8. Consider the system of ODEs:

x

t

1

(t) = x

2

−x

2

3

x

t

2

(t) = t +x

1

+x

3

x

t

3

(t) = x

2

−x

2

1

x

1

(0) = 1,

x

2

(0) = 0,

x

3

(0) = 1.

Approximate X(0.1) by taking a single step of size 0.1, for Euler’s Method, and the Runge-Kutta

Method of order 2.

Solution: We write

F(t, X(t)) =

x

2

(t) −x

2

3

(t)

t +x

1

(t) +x

3

(t)

x

2

(t) −x

2

1

(t)

¸

¸

X(0) =

1

0

1

¸

¸

Thus we have

F(0, X(0)) =

−1

2

−1

¸

¸

Euler’s Method then makes the approximation

X(0.1) ←X(0) + 0.1F(0, X(0)) =

1

0

1

¸

¸

+

−0.1

0.2

−0.1

¸

¸

=

0.9

0.2

0.9

¸

¸

The Runge-Kutta Method computes:

K

1

←0.1F(0, X(0)) =

−0.1

0.2

−0.1

¸

¸

and K

2

←0.1F(0.1, X(0) +K

1

) =

−0.061

0.19

−0.061

¸

¸

10.3. SYSTEMS OF ODES 149

Then

X(0.1) ←X(0) +

1

2

(K

1

+K

2

) =

1

0

1

¸

¸

+

−0.0805

0.195

−0.0805

¸

¸

=

0.9195

0.195

0.9195

¸

¸

¬

10.3.3 It’s Only Systems

The fact we can simply solve systems of ODEs using old methods is good news. It allows us to

solve higher order ODEs. For example, consider the following problem: given f, a, c

0

, c

1

, . . . , c

n

,

ﬁnd x(t) such that

x

(n)

(t) = f

t, x(t), x

t

(t), . . . , x

(n−1)

(t)

,

x(a) = c

0

, x

t

(a) = c

1

, x

tt

(a) = c

2

, . . . , x

(n−1)

(a) = c

n−1

.

We can put this in terms of a system by letting

x

0

= x, x

1

= x

t

, x

2

= x

tt

, . . . , x

n−1

= x

(n−1)

.

Then the ODE plus these n −1 equations can be written as

x

t

n−1

(t) = f (t, x

0

(t), x

1

(t), x

2

(t), . . . , x

n−1

(t))

x

t

0

(t) = x

1

(t)

x

t

1

(t) = x

2

(t)

.

.

.

x

t

n−2

(t) = x

n−1

(t)

x

0

(a) = c

0

, x

1

(a) = c

1

, x

2

(a) = c

2

, . . . , x

n−1

(a) = c

n−1

.

This is just a system of ODEs that we can solve like any other.

Note that this trick also works on systems of higher order ODEs. That is, we can transform

any system of higher order ODEs into a (larger) system of ﬁrst order ODEs.

Example Problem 10.9. Rewrite the following system as a system of ﬁrst order ODEs:

x

tt

(t) = (t/y(t)) +x

t

(t) −1

y

t

(t) =

1

(x

(t)+y(t))

x(0) = 1, x

t

(0) = 0, y(0) = −1

Solution: We let x

0

= x, x

1

= x

t

, x

2

= y, then we can rewrite as

x

t

1

(t) = (t/x

2

(t)) +x

1

(t) −1

x

t

0

(t) = x

1

(t)

x

t

2

(t) =

1

(x

1

(t)+x

2

(t))

x

0

(0) = 1, x

1

(0) = 0, x

2

(0) = −1

¬

150 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

10.3.4 It’s Only Autonomous Systems

In fact, we can use a similar trick to get rid of the time-dependence of an ODE. Consider the ﬁrst

order system

x

t

1

= f

1

(t, x

1

, x

2

, . . . , x

n

) ,

x

t

2

= f

2

(t, x

1

, x

2

, . . . , x

n

) ,

x

t

3

= f

3

(t, x

1

, x

2

, . . . , x

n

) ,

.

.

.

x

t

n

= f

n

(t, x

1

, x

2

, . . . , x

n

) ,

x

1

(a) = c

1

, x

2

(a) = c

2

, . . . , x

n

(a) = c

n

.

We can get rid of the time dependence and thus make the system autonomous by making t

another variable function to be found. We do this by letting x

0

= t, then adding the equations

x

t

0

= 1, and x

0

(a) = a, to get the system:

x

t

0

= 1,

x

t

1

= f

1

(x

0

, x

1

, x

2

, . . . , x

n

) ,

x

t

2

= f

2

(x

0

, x

1

, x

2

, . . . , x

n

) ,

x

t

3

= f

3

(x

0

, x

1

, x

2

, . . . , x

n

) ,

.

.

.

x

t

n

= f

n

(x

0

, x

1

, x

2

, . . . , x

n

) ,

x

0

(a) = a, x

1

(a) = c

1

, x

2

(a) = c

2

, . . . , x

n

(a) = c

n

.

An autonomous system can be written in the more elegant form:

X

= F (X)

X (a) = C.

Moreover, we can consider the phase curve of an autonomous system.

One can consider X to be the position of a particle which moves through R

n

over time. For

an autonomous system of ODEs, the movement of the particle is dependent only on its current

position and not on time.

1

A phase curve is a ﬂow line in the vector ﬁeld F. You can think of

the vector ﬁeld F as being the velocity, at a given point, of a river, the ﬂow of which is time

independent. Under this analogy, the phase curve is the path of a vessel placed in the river. In our

deterministic world, phase curves never cross. This is because at the point of crossing, there would

have to be two diﬀerent values of the tangent of the curve, i.e., the vector ﬁeld would have to have

two diﬀerent values at that point.

The following example illustrates the idea of phase curves for autonomous ODE.

Example 10.10. Consider the autonomous system of ODEs, without an initial value:

x

t

1

(t) = −2(x

2

−2.4)

x

t

2

(t) = 3(x

1

−1.2)

We can rewrite this ODE as

X

t

(t) = F (X(t)) .

1

Note that if you have converted a system of n equations with a time dependence to an autonomous system, then

the autonomous system should be considered a particle moving through R

n+1

. In this case time becomes one of the

dimensions, and thus we speak of position, instead of time.

10.3. SYSTEMS OF ODES 151

This is an autonomous ODE. The associated vector ﬁeld can be expressed as

F (X) =

¸

0 −2

3 0

X +

¸

4.8

−3.6

.

This vector ﬁeld is plotted in Figure 10.6.

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

-0.5 0 0.5 1 1.5 2 2.5 3 3.5

Figure 10.6: The vector ﬁeld F (X) is shown in R

2

. The tips of the vectors are shown as circles.

(Due to budget restrictions, arrowheads were not available for this ﬁgure.)

You should verify that this ODE is solved by

X (t) = r

¸ √

2 cos(

√

6t +t

0

)

√

3 sin(

√

6t +t

0

)

+

¸

1.2

2.4

,

for any r ≥ 0, and t

0

∈ (0, 2π] . Given an initial value, the parameters r and t

0

are uniquely

determined. Thus the trajectory of X over time is that of an ellipse in the plane.

2

Thus the

family of such ellipses, taking all r ≥ 0, form the phase curves of this ODE. We would expect the

approximation of an ODE to never cross a phase curve. This is because the phase curve represents

the

Euler’s Method and the second order Runge-Kutta Method were used to approximate the ODE

with initial value

X (0) =

¸

1.5

1.5

.

2

In the case r = 0, the ellipse is the “trivial” ellipse which consists of a point.

152 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

-0.5 0 0.5 1 1.5 2 2.5 3 3.5

(a) Euler’s Method

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

-0.5 0 0.5 1 1.5 2 2.5 3 3.5

(b) Runge-Kutta Method

Figure 10.7: The simulated phase curves of the system of Example 10.10 are shown for (a) Euler’s

Method and (b) the Runge-Kutta Method of order 2. The Runge-Kutta Method used larger step

size, but was more accurate. The actual solution to the ODE is an ellipse, thus the “spiralling”

observed for Euler’s Method is spurious.

10.3. SYSTEMS OF ODES 153

Euler’s Method was used for step size h = 0.005 for 3000 steps. The Runge-Kutta Method was

employed with step size h = 0.015 for 3000 steps. The approximations are shown in Figure 10.7.

Given that the actual solution of this initial value problem is an ellipse, we see that Euler’s

Method performed rather poorly, spiralling out from the ellipse. This must be the case for any step

size, since Euler’s Method steps in the direction tangent to the actual solution; thus every step of

Euler’s Method puts the approximation on an ellipse of larger radius. Smaller stepsize minimizes

this eﬀect, but at greater computational cost.

The Runge-Kutta Method performs much better, and for larger step size. At the given resolu-

tion, no spiralling is observable. Thus the Runge-Kutta Method outperforms Euler’s Method, and

at lesser computational cost.

3

3

Because the Runge-Kutta Method of order two requires two evaluations of F, whereas Euler’s Method requires

only one, per step, it is expected that they would be ‘evenly matched’ when Runge-Kutta Method uses a step size

twice that of Euler’s Method.

154 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

Exercises

(10.1) Given the ODE:

x

t

(t) = t

2

−x

2

x(1) = 1

Approximate x(1.1) by using one step of Euler’s Method. Approximate x(1.1) using one

step of the second order Runge-Kutta Method.

(10.2) Given the ODE:

x

t

1

(t) = x

1

x

2

+t

x

t

2

(t) = 2x

2

−x

2

1

x

1

(1) = 0

x

2

(1) = 3

Approximate X(1.1) by using one step of Euler’s Method. Approximate X(1.1) using one

step of the second order Runge-Kutta Method.

(10.3) Consider the separable ODE

x

t

(t) = x(t)g(t),

for some function g. Use backward’s Euler (or, alternatively, the right endpoint rule for

approximating integrals) to derive the approximation scheme

x(t +h) ←

x(t)

1 −hg(t +h)

.

What could go wrong with using such a scheme?

(10.4) Consider the ODE

x

t

(t) = x(t) +t

2

.

Using Taylor’s Theorem, derive a higher order approximation scheme to ﬁnd x(t +h) based

on x(t), t, and h.

(10.5) Which of the following ODEs can you show are stable? Which are unstable? Which seem

ambiguous?

(a) x

t

(t) = −x − arctan x (b) x

t

(t) = 2x + tan x (c) x

t

(t) = −4x − e

x

(d) x

t

(t) = x + x

3

(e) x

t

(t) = t + cos x

(10.6) Rewrite the following higher order ODE as a system of ﬁrst order ODEs:

x

tt

(t) = x(t) −sin x

t

(t),

x(0) = 0,

x

t

(0) = π.

(10.7) Rewrite the system of ODEs as a system of ﬁrst order ODEs

x

tt

(t) = y(t) +t −x(t),

y

t

(t) = x

t

(t) +x(t) −4,

x

t

(0) = 1,

x(0) = 2,

y(0) = 0.

(10.8) Rewrite the following higher order system of ODEs as a system of ﬁrst order ODEs:

x

ttt

(t) = y

tt

(t) −x

t

(t),

y

ttt

(t) = x

tt

(t) +y

t

(t),

x(0) = x

tt

(0) = y

t

(0) = −1,

x

t

(0) = y(0) = y

tt

(0) = 1.

10.3. SYSTEMS OF ODES 155

(10.9) Implement Euler’s Method for approximating the solution to

dx(t)

dt

= f (t, x(t)) ,

x(a) = c.

Your m-ﬁle should have header line like:

function xfin = euler(f,a,c,h,steps)

where xfin should be the approximate solution to the ODE at time a + steps h.

(a) Run your code with f(t, x) = −x, using a = 0 = c, and using h steps = 1.0. In this

case the actual solution is

xfin = ce

−1

.

This ODE is stable, so your approximation should be good (cf. Example 10.3). Exper-

iment with diﬀerent values of h.

(b) Run your code with f(t, x) = x, using a = 0 = c, and using h steps = 1.0. In this

case the actual solution is

xfin = ce.

Your actual solution may be a rather poor approximation. Prepare a plot of error

versus h for varying values of h. (cf. Figure 7.1 and Figure 10.2)

(c) Run your code with f(t, x) = 1/ (1 −x) , using a = 0, c = 0.1, and using hsteps = 2.0.

Plot your approximations for varying values of steps. For example, try steps values of

35, 36, and 90, 91. Also try large values of steps, like 100, 500, 1000. Can you guess what

the actual solution is supposed to look like? Can you explain the poor performance of

Euler’s Method for this ODE?

(10.10) Implement the Runge-Kutta Method of order two for approximating the solution to

dx(t)

dt

= f (t, x(t)) ,

x(a) = c.

Your m-ﬁle should have header line like:

function xfin = rkm(f,a,c,h,steps)

where xfin should be the approximate solution to the ODE at time a + steps h.

Test your code with the ODEs from the previous problem. Does the Runge-Kutta Method

perform any better than Euler’s Method for the last ODE?

156 CHAPTER 10. ORDINARY DIFFERENTIAL EQUATIONS

Appendix A

Old Exams

A.1 First Midterm, Fall 2003

P1 (7 pnts) Clearly state Taylor’s Theorem for f(x + h). Include all hypotheses, and state the

conditions on the variable that appears in the error term.

P2 (7 pnts) Write out the Lagrange Polynomial

0

(x) for nodes x

0

, x

1

, . . . , x

n

. That is, write the

polynomial that has value 1 at x

0

and has value 0 at x

1

, x

2

, . . . , x

n

.

P3 (7 pnts) Write the Lagrange form of the polynomial of lowest degree that interpolates the

following values:

x

k

−1 1

y

k

11 17

P4 (14 pnts) Use the method of Bisection for ﬁnding the zero of the function f(x) = x

3

− 3x

2

+

5x −

5

2

. Let a

0

= 0, and b

0

= 2. What are a

2

, b

2

?

P5 (21 pnts) • Write out the iteration step of Newton’s Method for ﬁnding a zero of the func-

tion f(x). Your iteration should look like

x

k+1

=??

• Write the Newton’s Method iteration for ﬁnding

√

5.

• Letting x

0

= 1, ﬁnd the x

1

and x

2

for your iteration. Note that

√

5 ≈ 2.236.

P6 (7 pnts) Write out the iteration step of the Secant Method for ﬁnding a zero of the function

f(x). Your iteration should look like

x

k+1

=??

P7 (21 pnts) Consider the following approximation:

f

t

(x) ≈

f(x +h) −5f(x) + 4f(x +

h

2

)

3h

• Derive this approximation using Taylor’s Theorem.

• Assuming that f(x) has bounded derivatives, give the accuracy of the above approxima-

tion. Your answer should be something like O

h

?

.

• Let f(x) = x

2

. Approximate f

t

(0) with this approximation, using h =

1

3

.

P8 (21 pnts) Consider the data:

k 0 1 2

x

k

3 1 −1

f(x

k

) 5 15 9

157

158 APPENDIX A. OLD EXAMS

• Construct the divided diﬀerences table for the data.

• Construct the Newton form of the polynomial p(x) of lowest degree that interpolates

f(x) at these nodes.

• Suppose that these data were generated by the function f(x) = x

3

− 5x

2

+ 2x + 17.

Find a numerical upper bound on the error [p(x) −f(x)[ over the interval [−1, 3]. Your

answer should be a number.

A.2 Second Midterm, Fall 2003

P1 (6 pnts) Write the Trapezoid rule approximation for

b

a

f(x) dx, using the nodes ¦x

i

¦

n

i=0

.

P2 (6 pnts) Suppose Gaussian Elimination with scaled partial pivoting is applied to the matrix

A =

0.0001 −0.1 −0.01 0.001

43 91 −43 1

−12 26 −1 0

−7

1

2

−10 π

¸

¸

¸

¸

.

Which row contains the ﬁrst pivot? You must show your work.

P3 (14 pnts) Let φ(n) be some quadrature rule that divides an interval into 2

n

equal subintervals.

Suppose

b

a

f(x) dx = φ(n) +a

5

h

5

n

+a

10

h

10

n

+a

15

h

15

n

+. . . ,

where h

n

=

b−a

2

n

. Using evaluations of φ(), devise a “Romberg-style” quadrature rule that is

a O

h

10

n

**approximation to the integral.
**

P4 (14 pnts) Compute the LU factorization of the matrix

A =

1 0 −1

0 2 0

2 2 −1

¸

¸

using na¨ıve Gaussian Elimination. Show all your work. Your ﬁnal answer should be two

matrices, L and U. Verify your answer, i.e., verify that A = LU.

P5 (14 pnts) Run one iteration of either Jacobi or Gauss Seidel on the system:

1 3 4

−2 2 1

−1 3 −2

¸

¸

x =

−3

−3

1

¸

¸

Start with x

(0)

= [1 1 1]

¯

. Clearly indicate your answer x

(1)

. Show your work. You must

indicate which of the two methods you are using.

P6 (21 pnts) Derive the two-node Chebyshev Quadrature rule:

1

−1

f(x) dx ≈ c [f(x

0

) +f(x

1

)] .

Make this rule exact for all polynomials of degree ≤ 2.

P7 (28 pnts) Consider the quadrature rule:

1

0

f(x) dx ≈ z

0

f(0) +z

1

f(1) +z

2

f

t

(0) +z

3

f

t

(1).

A.3. FINAL EXAM, FALL 2003 159

• Write four linear equations involving z

i

to make this rule exact for polynomials of the

highest possible degree.

• Solve your system for z using na¨ıve Gaussian Elimination.

A.3 Final Exam, Fall 2003

P1 (4 pnts) Clearly state Taylor’s Theorem for f(x + h). Include all hypotheses, and state the

conditions on the variable that appears in the error term.

P2 (4 pnts) State the conditions that characterize S(x) as a natural cubic spline on the interval

[a, b]. Let the knots be a = t

0

< t

1

< t

2

< . . . < t

n

= b.

P3 (4 pnts) Let x

0

= 3, x

1

= −5, x

2

= 0. Write out the Lagrange Polynomial

0

(x) for these

nodes; that is, write the polynomial that has value 1 at x

0

and has value 0 at x

1

, x

2

.

P4 (4 pnts) Consider the ODE:

x

t

(t) = f(t, x(t))

x(a) = c

Write out the Euler Method to step from x(t) to x(t +h).

P5 (7 pnts) Compute the LU factorization of the matrix

A =

−1 1 0

1 1 −1

−2 0 2

¸

¸

using na¨ıve Gaussian Elimination. Show all your work. Your ﬁnal answer should be two

matrices, L and U. Verify your answer, i.e., verify that A = LU.

P6 (9 pnts) Let α be given. Determine a quadrature rule of the form

α

−α

f(x) dx ≈ Af(0) +Bf

tt

(−α) +Cf

tt

(α)

that is exact for polynomials of highest possible degree. What is the highest degree polynomial

for which this rule is exact?

P7 (9 pnts) Suppose that φ(n) is some computational function that approximates a desired quan-

tity, L. Furthermore suppose that

φ(n) = L +a

1

n

−

1

2

+a

2

n

−

2

2

+a

3

n

−

3

2

+. . .

Combine two evaluations of φ() in the manner of Richardson to get a O

n

−1

approximation

to L.

P8 (9 pnts) Find the least-squares best approximate of the form y = ln (cx) to the data

x

0

x

1

. . . x

n

y

0

y

1

. . . y

n

Caution: this should not be done with basis vectors.

P9 (9 pnts) Let

T = ¦f(x) = c

0

x +c

1

log x +c

2

cos x[ c

0

, c

1

, c

2

∈ R¦ .

Set up (but do not attempt to solve) the normal equations to ﬁnd the least-squares best f ∈ T

to approximate the data:

x

0

x

1

. . . x

n

y

0

y

1

. . . y

n

160 APPENDIX A. OLD EXAMS

The normal equations should involve the vector c = [c

0

c

1

c

2

]

¯

, which uniquely determines a

function in T.

P10 (9 pnts) Consider the following approximation:

f

tt

(x) ≈

3f(x −h) −4f(x) +f(x + 3h)

6h

2

• Derive this approximation using Taylor’s Theorem.

• Assuming that f(x) has bounded derivatives, give the accuracy of the above approxima-

tion. Your answer should be something like O

h

?

.

P11 (11 pnts) Consider the ODE:

x

t

(t) = x(t)g(t)

x(0) = 1

• Use the Fundamental Theorem of Calculus to write a step update of the form:

x(t +h) = x(t) +

t+h

t

??

• Approximate the integral using the Trapezoid Rule to get an explicit step update of the

form

x(t +h) ←Q(t, x(t), h)

• Suppose that g(t) ≥ m > 0 for all t. Do you see any problem with this stepping method

if h > 2/m?

Hint: the actual solution to the ODE is

x(t) = e

R

t

0

g(r) dr

.

P12 (9 pnts) Consider the ODE:

x

t

(t) = e

x(t)

+ sin (x(t))

x(0) = 0

Write out the Taylor’s series method of order three to approximate x(t +h) given x(t). It is

permissible to write the update as a small program like:

x

t

(t) ← Q

0

(x(t))

x

tt

(t) ← Q

1

(x(t), x

t

(t))

.

.

.

x(t +h) ← R(x(t), x

t

(t), x

tt

(t), . . .)

rather than write the update as a monstrous equation of the form

x(t +h) ←M(x(t)).

P13 (15 pnts) Consider the data:

k 0 1 2

x

k

−0.5 0 0.5

f(x

k

) 5 15 9

• Construct the divided diﬀerences table for the data.

A.4. FIRST MIDTERM, FALL 2004 161

• Construct the Newton form of the polynomial p(x) of lowest degree that interpolates

f(x) at these nodes.

• Suppose that these data were generated by the function f(x) = 40x

3

−32x

2

−6x + 15.

Find a numerical upper bound on the error [p(x) −f(x)[ over the interval [−0.5, 0.5].

Your answer should be a number.

P14 (15 pnts) • Write out the iteration step of Newton’s Method for ﬁnding a zero of the

function f(x). Your iteration should look like

x

k+1

=??

• Write the Newton’s Method iteration for ﬁnding

3

25/4.

• Letting x

0

=

5

2

, ﬁnd the x

1

and x

2

for your iteration. Note that

3

25/4 ≈ 1.842.

P15 (15 pnts) • Let x be some given number, and let f() be a given, “black box” function.

Using Taylor’s Theorem, derive a O(h) approximation to the derivative f

t

(x). Call your

approximation φ(h); the approximation should be deﬁned in terms of f() evaluated at

some values, and should probably involve x and h.

• Let f(x) = x

2

+ 1. Approximate f

t

(0) using your φ(h), for h =

1

2

.

• For the same f(x) and h, get a O

h

2

approximation to f

t

(0) using the method of

Richardson’s Extrapolation; your answer should probably include a table like this:

D(0, 0)

D(1, 0) D(1, 1)

A.4 First Midterm, Fall 2004

[Deﬁnitions] Answer no more than two of the following.

P1 (12 pnts) Clearly state Taylor’s Theorem for f(x + h). Include all hypotheses, and state the

conditions on the variable that appears in the error term.

P2 (12 pnts) Write the general form of the iterated solution to the problem Ax = b. Let Q be

your “splitting matrix,” and use the factor ω. Your solution should look something like:

??x

(k)

=??x

(k−1)

+?? or x

(k)

=??x

(k−1)

+??

For one of the following variants, describe what Q is, in relation to A : Richardson’s, Jacobi,

Gauss-Seidel.

P3 (12 pnts) Write the iteration for Newton’s Method or the Secant Method for ﬁnding a root to

the equation f(x) = 0. Your solution should look something like:

x

k+1

=?? +

??

??

[Problems] Answer no more than four of the following.

P1 (14 pnts) Perform bisection on the function graphed below. Let the ﬁrst interval be [0, 256].

Give the second, third, fourth, and ﬁfth intervals.

P2 (14 pnts) Give a O

h

4

**approximation to sin (h +π/2) . Find a reasonable C such that the
**

truncation error is no greater than Ch

4

.

P3 (14 pnts) Use Newton’s Method to ﬁnd a good approximation to

3

√

24. Use x

0

= 3. That is,

iteratively deﬁne a sequence with x

0

= 3, such that x

k

→

3

√

24.

P4 (14 pnts) One of the roots of x

2

− bx + c = 0 as found by the quadratic formula is subject

to subtractive cancellation when [b[ [c[ . Which root is it? Rewrite the expression for that

root to eliminate subtractive cancellation.

162 APPENDIX A. OLD EXAMS

0 32 64 96 128 160 192 224 256

-64

-32

0

32

64

P5 (14 pnts) Find the LU decomposition of the following matrix by Gaussian Elimination with

na¨ıve pivoting.

3 2 4

−6 1 −6

12 −12 10

¸

¸

P6 (14 pnts) Consider the linear equation:

6 1 1

2 4 0

1 2 6

¸

¸

x =

5

−6

3

¸

¸

Letting x

(0)

= [1 1 1]

¯

, ﬁnd x

(1)

using either the Gauss-Seidel or Jacobi iterative schemes.

Use weighting ω = 1. You must indicate which scheme you are using. Show all your work.

[Questions] Answer only one of the following.

P1 (20 pnts) Suppose that the eigenvalues of A are in [α, β] with 0 < α < β. Find the ω that

minimizes

I −ωA

2

2

. What is the minimal value of

I −ωA

2

2

for this optimal ω? For full

credit you need to make some argument why this ω minimizes this norm.

P2 (20 pnts) Let f(x) = 0 have a unique root r. Recall that the form of the error for Newton’s

Method is

e

k+1

=

−f

tt

(ξ

k

)

2f

t

(x

k

)

e

2

k

,

where e

k

= r − x

k

. Suppose that f(x) has the properties that f

t

(x) ≥ m > 0 for all x, and

[f

tt

(x)[ ≤ M for all x. Find δ > 0 such that [e

k

[ < δ insures that x

n

→r. Justify your answer.

P3 (20 pnts) Suppose that f(r) = 0 = f

t

(r) = f

tt

(r), and f

tt

(x) is continuous. Letting e

k

= x

k

−r,

show that for Newton’s Method,

e

k+1

≈

1

2

e

k

,

when [e

k

[ is suﬃciently small. (Hint: Use Taylor’s Theorem twice.) Is this faster or slower

convergence than for Newton’s Method with a simple root?

A.5 Second Midterm, Fall 2004

[Deﬁnitions] Answer no more than two of the following three.

P1 (10 pnts) For a set of distinct nodes x

0

, x

1

, . . . , x

13

, what is the Lagrange Polynomial

5

(x)?

You may write your answer as a product. What degree is this polynomial?

A.5. SECOND MIDTERM, FALL 2004 163

P2 (10 pnts) Complete this statement of the polynomial interpolation error theorem: Let p be the

polynomial of degree at most n interpolating function f at the n+1 distinct nodes x

0

, x

1

, . . . , x

n

on [a, b]. Let f

(n+1)

be continuous. Then for each x ∈ [a, b] there is some ξ ∈ [a, b] such that

f(x) −p(x) =

?

?

n

¸

i=0

(?) .

P3 (10 pnts) State the conditions which deﬁne the function S(x) as a natural cubic spline on the

interval [a, b].

[Problems] Answer no more than ﬁve of the following six.

P1 (16 pnts) How large must n be to interpolate the function e

x

to within 0.001 on the interval

[0, 2] with the polynomial interpolant at n equally spaced nodes?

P2 (16 pnts) Let φ(h) be some computable approximation to the quantity L such that

φ(h) = L +a

5

h

5

+a

10

h

10

+a

15

h

15

+. . .

Combine evaluations of φ() to devise a O

h

10

approximation to L.

P3 (16 pnts) Derive the constants A and B which make the quadrature rule

1

−1

f(x) dx ≈ Af

−

√

15

5

+Bf(0) +Af

√

15

5

**exact for polynomials of degree ≤ 2. Use this quadrature rule to approximate
**

π =

1

−1

2

1 +x

2

dx

P4 (16 pnts) Find the polynomial of degree ≤ 3 interpolating the data

x −1 0 1 2

y −2 8 0 4

(Hint: using Lagrange Polynomials will probably take too long.)

P5 (16 pnts) Find constants α, β such that the following is a quadratic spline on [0, 4].

Q(x) =

x

2

−3x + 4 : 0 ≤ x < 1

α(x −1)

2

+β(x −1) + 2 : 1 ≤ x < 3

x

2

+x −4 : 3 ≤ x ≤ 4

P6 (16 pnts) Consider the following approximation:

f

t

(x) ≈

f(x +h) −5f(x) + 4f(x +

h

2

)

3h

• Derive this approximation via Taylor’s Theorem.

• Assuming that f(x) has bounded derivatives, give the accuracy of the above approxima-

tion. Your answer should be something like O

h

?

.

• Let f(x) = x

2

. Approximate f

t

(0) with this approximation, using h =

1

3

.

164 APPENDIX A. OLD EXAMS

A.6 Final Exam, Fall 2004

[Deﬁnitions] Answer all of the following.

P1 (10 pnts) Clearly state Taylor’s Theorem for f(x + h). Include all hypotheses, and state the

conditions on the variable that appears in the error term.

P2 (10 pnts) Write the iteration for Newton’s Method or the Secant Method for ﬁnding a root to

the equation f(x) = 0. Your solution should look something like:

x

k+1

=?? +

??

??

P3 (10 pnts) Write the general form of the iterated solution to the problem Ax = b. Let Q be

your “splitting matrix,” and use the factor ω. Your solution should look something like:

??x

(k)

=??x

(k−1)

+?? or x

(k)

=??x

(k−1)

+??

For one of the following variants, describe what Q is, in relation to A : Richardson’s, Jacobi,

Gauss-Seidel.

P4 (10 pnts) Deﬁne what it means for the function f(x) ∈ T to be the least squares best approx-

imant to the data

x

0

x

1

. . . x

n

y

0

y

1

. . . y

n

[Problems] Answer all of the following.

P1 (10 pnts) Rewrite this system of higher order ODEs as a system of ﬁrst order ODEs:

x

tt

(t) = x

t

(t) [x(t) +ty(t)]

y

tt

(t) = y

t

(t) [y(t) −tx(t)]

x

t

(0) = 1

x(0) = 4

y

t

(0) = −3

y(0) = −2

P2 (10 pnts) Consider the ODE:

x

t

(t) = t (x + 1)

2

x(2) = 1/2

Use Euler’s Method to ﬁnd an approximate value of x(2.1) using a single step.

P3 (10 pnts) Let φ(h) be some computable approximation to the quantity L such that

φ(h) = L +a

4

h

4

+a

8

h

8

+a

12

h

12

+. . .

Combine evaluations of φ() to devise a O

h

8

approximation to L.

P4 (15 pnts) Consider the approximation

f

t

(x) ≈

9f(x +h) −8f(x) −f(x −3h)

12h

(a) Derive this approximation using Taylor’s Theorem.

(b) Assuming that f(x) has bounded derivatives, give the accuracy of the above approxima-

tion. Your answer should be something like O

h

?

.

A.6. FINAL EXAM, FALL 2004 165

P5 (15 pnts) Find constants, α, β, γ such that the following is a natural cubic spline on [1, 3].

Q(x) =

α(x −1)

3

+β (x −1)

2

+ 12 (x −1) + 1 : 1 ≤ x < 2

γx

3

+ 18x

2

−30x + 19 : 2 ≤ x < 3

P6 (15 pnts) Devise a subroutine that, given an input number z, calculates an approximate to

3

√

z

via Newton’s Method. Write your subroutine in pseudo code, Matlab, or C/C++. Include

reasonable termination conditions so your subroutine will terminate if it ﬁnds a good approx-

imate solution. Your subroutine should use only the basic arithmetic operations of addition,

subtraction, multiplication, division; in particular your subroutine should not have access to

a cubed root or logarithm operator.

P7 (15 pnts) Consider the ODE:

x

t

(t) = cos (x(t)) + sin (x(t))

x(0) = 1

Use Taylor’s theorem to devise a O

h

3

**approximant to x(t +h) which is a function of x, t,
**

and h only. You may write your answer as a program:

x

t

(t) ←Q

0

(x(t))

x

tt

(t) ←Q

1

(x(t), x

t

(t))

.

.

.

˜ x ←R(x(t), x

t

(t), x

tt

(t), . . .)

such that x(t +h) = ˜ x +O

h

3

.

[Questions] Answer all of the following.

P1 (20 pnts) Consider the “quadrature” rule:

1

0

f(x) dx ≈ A

0

f(0) +A

1

f(1) +A

2

f

t

(1) +A

3

f

tt

(1)

(a) Write four linear equations involving A

i

to make this rule exact for polynomials of the

highest possible degree.

(b) Find the constants A

i

using Gaussian Elimination with na¨ıve pivoting.

P2 (20 pnts) Consider the data:

k 0 1 2

x

k

0 0.25 0.5

f(x

k

) 1.5 1 0.5

(a) Construct the divided diﬀerences table for the data.

(b) Construct the Newton form of the polynomial p(x) of lowest degree that interpolates

f(x) at these nodes.

(c) What degree is your polynomial? Is this strange?

(d) Suppose that these data were generated by the function

f(x) = 1 +

cos 2πx

2

.

Find an upper bound on the error [p(x) −f(x)[ over the interval [0, 0.5]. Your answer

should be a number.

166 APPENDIX A. OLD EXAMS

P3 (20 pnts) Let

T =

¸

f(x) = c

0

√

x +c

1

(x) +c

2

e

x

[ c

0

, c

1

, c

2

∈ R

¸

,

where (x) is some black box function. We are concerned with ﬁnding the least-squares best

f ∈ T to approximate the data

x

0

x

1

. . . x

n

y

0

y

1

. . . y

n

(a) Set up (but do not attempt to solve) the normal equations to ﬁnd the the vector c =

[c

0

c

1

c

2

]

¯

, which determines the least squares approximant in T.

(b) Now suppose that the function (x) happens to be the Lagrange Polynomial associated

with x

7

, among the values x

0

, x

1

, . . . , x

n

. That is, (x

j

) = δ

j7

. Prove that f(x

7

) = y

7

,

where f is the least squares best approximant to the data.

P4 (10 pnts) State some substantive question which you thought might appear on this exam, but

did not. Answer this question (correctly).

Appendix B

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Bibliography

[1] Guillaume Bal. Lecture notes, course on numerical analysis, 2002. URL

http://www.columbia.edu/~gb2030/COURSES/E6302/NumAnal.ps.

[2] Samuel Daniel Conte and Carl de Boor. Elementary Numerical Analysis; An Algorithmic Ap-

proach. McGraw-Hill, New York, third edition, 1980. ISBN 0070124477.

[3] James F. Epperson. An Introduction to Numerical Methods and Analysis. Wiley, 2001. ISBN

0-471-31647-4.

[4] Richard Hamming. Numerical Methods for Scientists and Engineers. Dover, New York, 1987.

ISBN 0486652416.

[5] Eugene Isaacson and Herbert Bishop Keller. Analysis of Numerical Methods. Dover, New York,

1966. ISBN 0486680290.

[6] David Kincaid and Ward Cheney. Numerical analysis. Brooks/Cole Publishing Co., Paciﬁc

Grove, CA, second edition, 1996. ISBN 0-534-33892-5. Mathematics of scientiﬁc computing.

[7] David Kincaid and Ward Cheney. Numerical Mathematics and Computing. Brooks/Cole Pub-

lishing Co., Paciﬁc Grove, CA, fourth edition, 1999. ISBN 0-534-35184-0.

[8] James Stewart. Calculus, Early Transcendentals. Brooks/Cole-Thomson Learning, Belmont,

CA, ﬁfth edition, 2003. ISBN 0-534-39330-6.

171

Index

Backwards Euler’s Method, 141

big-O, 3

bisection method, 50

centered diﬀerence, 91

Chebyshev Polynomials, 69, 122

Chebyshev Quadrature, 114

composite quadrature rule, 100

Dirichlet function, 99

divided diﬀerences, 67

eigenvalue, 8

eigenvector, 8

elementary row operations, 25

error

roundoﬀ, 89, 138

truncation, 89, 138

Euler’s Method, 136, 137

Gaussian Elimination, Na¨ıve, 25

Gaussian Quadrature, 107

Heaviside function, 98

Hilbert Matrix, 48

inner product, 6

Intermediate Value Theorem, 49

knot, 79

Lagrange Polynomials, 63

least squares, 119

deﬁnition, 117

linear, 119

LU Factorization, 33

method of undetermined coeﬃcients, 108

multiplier, 28

natural cubic spline, 83

Newton’s Method, 52

norm, 7

subordinate, 9

normal equations, 118

ODE

errors, 138

higher order methods, 137

stability, 138

stepping, 136

partition, 79

phase curve, 150

Richardson Extrapolation, 92, 104

Riemann Integrable, 98

Riemann integral, 97

Romberg Algorithm, 104, 105

Runge Function, 69

Runge-Kutta Method, 143

secant method, 58

splines, 79

basis splines, 84

linear, 79

quadratic, 81

subtractive cancellation, 4

Taylor’s Series Method, 136

Taylor’s Theorem, 1, 3

trapezoidal rule, 100

error, 102

recursive, 106

vector space, 5

172

2

Preface

These notes were originally prepared during Fall quarter 2003 for UCSD Math 174, Numerical Methods. In writing these notes, it was not my intention to add to the glut of Numerical Analysis texts; they were designed to complement the course text, Numerical Mathematics and Computing, Fourth edition, by Cheney and Kincaid [7]. As such, these notes follow the conventions of that text fairly closely. If you are at all serious about pursuing study of Numerical Analysis, you should consider acquiring that text, or any one of a number of other ﬁne texts by e.g., Epperson, Hamming, etc. [3, 4, 5].

3.1 5.1 1.4 1.1 9.1

3.2

8.4

5.2

3.4

4.2

7.1

10.1

9.2

9.3

3.3

4.3

7.2

8.2

10.2

8.3

10.3

Figure 1: The chapter dependency of this text, though some dependencies are weak. Special thanks go to the students of Math 174, 2003–2004, who suﬀered through early versions of these notes, which were riddled with (more) errors.

Revision History

0.0 Transcription of course notes for Math 174, Fall 2003. 0.1 As used in Math 174, Fall 2004. 0.11 Added material on functional analysis and Orthogonal Least Squares.

Todo

• • • • More homework questions and example problems. Chapter on optimization. Chapters on basic ﬁnite diﬀerence and ﬁnite element methods? Section on root ﬁnding for functions of more than one variable.

i

ii .

. . . . . . . .4. . 1. . . . . . . . . 1. . . . . . . . . 3. . . . . . .1. . . . . . .2 An Example . . . . . . . . 3 Solving Linear Systems 3. . . . .3 Programming and Control . . . . . . . . . . . . . . . . . . . . . 2. . .2 Useful Commands . . . i 1 1 4 5 5 6 7 8 8 10 13 13 17 19 20 21 24 25 25 25 27 28 29 30 31 32 33 34 36 37 37 37 37 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 Plotting . . . . . . . . . . . . . . . 3. . . . . . .3. . . . . 3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3.1 An Operation Count for Gaussian Elimination iii . . . . . . . . . . . . .4 Iterative Solutions . . . . . . . . . . . . . . 3. .1 Getting Started . . Exercises . . . . . . . . . . . .3 LU Factorization . . . . . . . . . . . .4 Computing Inverses . . . . . . . . . . . . . . . . . 3. . . . . . . 1. . . . . . . . . . . . . . . . 3. . . . . . . . . . . . . .1 Taylor’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . .3. . . . . . . . . . . . . . 3. . . . . . . . .4 Eigenvalues . . . . . . . . . . . . . . .3 Norms . . . . . . . . . . . . . . . . . . . 3. . . 3. . . . . . . . . . . . . Inner Products. . . 1. . . . .1 An Example . . . . . . . . . . . . . . . . . .3. . . . . . . . . . . 3. . . . . . . . . . . Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 Vector Spaces. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4. . . . . . . . 2. . . . . . . . . . . . . . . . . . . . .1 Scaled Partial Pivoting . . . . . . 2. . . . . . . . . . . . . . . . . .Contents Preface 1 Introduction 1. . . . . . . . . . . . .3. . .3 Another Example and A Real Algorithm . . . . . . . . . . . . . . . . .2. . . . . . . .3 Some Theory . . . . . . . . . . . . . . . . . . . . .2 Using LU Factorizations . . . . . . . . . 1. . . . . . . . . 2. . . . . . . . . . . . .1 Matrix Norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2. . . . . . . . . . . . . . . 2 A “Crash” Course in octave/Matlab 2. . . . . . . . . . . . . . . 1. . Norms 1.1. . . . . . . . . . . .3. . . . . . . .1 Logical Forks and Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3. . . . 3. . . . ıve 3. .2 Pivoting Strategies for Gaussian Elimination . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 Elementary Row Operations . . . . . . . . . . . . . . .3 Algorithm Problems . . .2 Loss of Signiﬁcance . . . . . . . . . .2. . . . . . . . . . . . . . . .2 Algorithm Terminology . . .1 Gaussian Elimination with Na¨ Pivoting . .3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Inner Products . . . . . . . . . . . . . . . . . . . . . . . . . 3. . . .1 Vector Space .

3 Newton’s Nested Form . . . . . . . . . . . . . . . . . . .3 B Splines . . . . . . . . . .2 Newton’s Method . . . . . . . . . . . . . .2. .4. . . . . . . . . . . . . . 3. CONTENTS . . . . . . . . . 6. . . . . 6. . . . . . . 3. . 4. . . .7 Error Analysis . . .2 Newton’s Method . . . . . . . . . . . . .2 Errors in Polynomial Interpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4. . . . . . . 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 Computing Second Degree Splines 6. . . . . .3 Impossible Iteration . . . . . . .1 Polynomial Interpolation . . . . . . . . 4. . . . . . . . . . . . . . . . . . . . . . . . . . . 4. . . . . . . . 3. 5. . . . . . . . . . . . . . . . . . .5 Jacobi Iteration . . . . . . . .3. . . . . . . . . . . . . . . . . . .1 Why Natural Cubic Splines? . . . .2. . . . . . . . . . . . . . . . . . . . . . . . . 5. . . . . . . . . . . . . . . . . . . . Exercises . . . . . . . . . .2 Convergence . . . . . . . . . . . . . . .2. . . . . . . . . . . . .4 Using Newton’s 4. . . . . . . . . . . . . . . . . .1. . . . . . . . . . . . . . . . . . . . . . . . .1. . . . . . . . . . . . . . . . . . . . . . . . . .4. . 39 40 40 41 42 42 44 46 49 49 49 50 50 51 53 53 54 55 57 58 60 63 63 63 64 66 67 69 69 73 75 79 79 80 81 82 82 83 84 84 87 .2. . . . . . . . . . . . . . . . . . . . . .4. . . . . . . . . . . . . . . . 4 Finding Roots 4. . .3 Convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6. . . . . . . . . . . . . . . . . . . . . . . . . . . . .3. . . . . .4. . . . . . . . . . . .1 First and Second Degree Splines . . . . . . . . . . .1. . . .iv 3. . . . . .1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Nodes . . . . . . .3 Secant Method .2 Problems .1 Problems . . . . .2. . . . 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . 4. . . .4. . . . . . . . . . . . . . . . . . . . . . . .1 Lagranges Method . . . . . . . . . . . 4. . . . . . .2 Dividing by Multiplying 3. . . . .2 (Natural) Cubic Splines . . . . . . . . . . . . . . . 5 Interpolation 5. . . . . . . . . . . . . . . Method . . . . . . . . . . . . . . . . . . . . . .2 Convergence . . . . . . . . . . . . . . . . . . . 6. . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Computing Cubic Splines . . . . Exercises . . . .1. . . . . . . . . . . . . . . . . . . . 4. . . . . . . . . . . 6. . . . . . . . . . . . . . . . . .1 Interpolation Error Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 Divided Diﬀerences . . . . . . . . . .1 Modiﬁcations . . . . .8 A Free Lunch? . . . . . . . 5. 4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . . . . . . . . . . . . . . . . . 6. . . . . . . . . . . . . . . . . .2.2. . 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3. . . . . . . . . . . . . . 3. . . . . . . . . . . . . . Exercises . . . . . . . . . . . . . .2 Interpolation Error for Equally Spaced Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2. . .1 First Degree Spline Accuracy . . . . . . . . . . . . . . . . . . .4 Richardson Iteration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . 6 Spline Interpolation 6. . . . . . .1 Implementation 4.1. . . . . . . . . .2 Second Degree Splines . . . . . . . . . . . . . . . . . . . . . .1 Bisection . . . . . . . . . . . . . . . . . . . . . . . .1. . . . . . . . .4. . . . . . . .4. . . . . . . . . . 5. . . . . . . . . . . . . . . . . .6 Gauss Seidel Iteration . . . . . . . . . . .

. . . . . . . .1. . . . . . . . . . . . . . . . . . . . . . .1. . . . . . .1 Alternatives to Normal Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 Gaussian Quadrature . 10. . . . .4. . . . . .4 Determining Gaussian Nodes .7 Backwards Euler’s Method . . . . .3 Gaussian Nodes . . . . . . . . . . . .CONTENTS 7 Approximating Derivatives 7. . . . . . . . . . . . .2. . . . . . . . . . . . . . .1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2. . . . .2. . . . . . . .4. 8 Integrals and Quadrature 8. . . . . . . . . . . . . . .3. . . . . . . . . . . . . . . 10. . . . . .1. . . . . . . . . . . . . . . . . . . . 8. . . . . . . . . 8. . . . . . . . Exercises . . . . . . . . . . . 10. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . . . . 10. . . . . . . . 8. . . . . . . .2 Using Richardson Extrapolation . . . . . . . . . . . . . . . . . . . . . . . . . 9 Least Squares 9. . . .3 Romberg Algorithm . . . . . . . . 9. . . . . . 8. . . . . . . . . . . . . . . . . .1 Determining Weights (Lagrange Polynomial Method) . . . . .1. . . . . . . . .1. . .2 Approximating the Integral . . . . . . . . . . . . . . . . .6 Stability . . . . . . . . . . . . . . . . . . . . . . .1 Recursive Trapezoidal Rule . . . . .1 Computing the Orthogonal Least Squares Approximant 9. . . . . . . . . . . . . . . .1 Upper and Lower Sums . . . . . . . . . . . . . .1. . . . . .2 Linear Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8. . . . . v 89 89 91 91 92 93 95 97 97 97 99 99 100 101 103 104 106 107 107 108 109 110 112 113 117 117 117 118 119 121 122 124 124 128 129 132 135 135 136 136 137 137 138 138 141 . . . . . . . . . . . . . . . . . . . . . . . . . .2. .1 Least Squares .4 Higher Order Methods . . . . . . . . . . . . . . . .2. . . . . . . . .1 Abstracting Richardson’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Orthonormal Bases . . . . . . . . . 9. .2 Principal Component Analysis . . . . . 9. . . . . . . .1. . . . . . . . . . . . . . . . . . .1. . . . . . .3. . . . . 8. . . . . . . . . . . . . . . .5 Reinventing the Wheel . . . . . . . . . . . . . . .1. . . . . . . . . . . . . . .4. . . . . . . . . . . . . . Exercises . . . . 8. . . . . . . . . . . . . . . . . . . . .2 Richardson Extrapolation . . . . . . . . . . . 7. . . . . . . . . . . . . .1 Finite Diﬀerences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3.1 Approximating the Second Derivative 7. . . .2. . . . . . . . . . . . . . . . . . .4. . . . . . . . . . .3 Least Squares from Basis Functions . . .3 Orthogonal Least Squares . 10. . . . 8. . . . . . . .1 The Deﬁnite Integral . . . 8. . . . . . . . Exercises . . . . . 8. . . . . . . . 10.1 The Deﬁnition of Ordinary Least Squares . . . . . . . . . . . . . . . . . . . . .2 Ordinary Least Squares in octave/Matlab . . . . . . . 7. . . . . . . . . . . . . . . 9. . . . . . . . .2 Using the Error Bound . . . . . . . . . . . . . . . . . . . 10 Ordinary Diﬀerential Equations 10. . . . . .1. . . . .3 Simple and Composite Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 Euler’s Method . . .2 Trapezoidal Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Taylor’s Series Methods . . . . . 8. . . . . . 7. . . . . 9. . . . . 9. . . . . . . . . . . . . . . . . . . . . 10. . . . . . . . . . . . . . . . . . .1 Integration and ‘Stepping’ . . . . . .1. . . . . . . . . . . . . . . . . 9. . . . . . . . . . . . . . . . . .1 How Good is the Composite Trapezoidal Rule? . . . . . . . . . . .1. . . . . . . . . . . . . . . 8. . . . . . . . . . . . . 8. . . . .2 Determining Weights (Method of Undetermined Coeﬃcients) 8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 Elementary Methods . . . . . . . . . . . . . .4. . . .5 Errors . . . 9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

. . .3. . . . . . . . . . . 10. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fall 2003 . COPYING IN QUANTITY . . . . . 158 . . . . . . . . . . . 159 . . . . . . . . . . . . . . . . . . . . . . . . 3. . . . . . . 10. . . APPLICABILITY AND DEFINITIONS . . . . . . . 10. . . . . . . . . . . . . . . . First Midterm. COMBINING DOCUMENTS . . . . . . ADDENDUM: How to use this License for your documents Bibliography . . . . . . . . . . . . . . . 167 167 168 168 168 169 169 169 170 170 170 170 171 B GNU Free Documentation License 1. . . 10. . FUTURE REVISIONS OF THIS LICENSE . . 10. . . . . . . . . . . . . . . . . . . . . . . . .4 It’s Only Autonomous Systems . . 2. . . . . . . . . . . . . . . . AGGREGATION WITH INDEPENDENT WORKS . . . . . 7. . . . . . . . . . . . . . . . . . . . . . . . . . . Fall 2003 . . . . . . . . . . . . . . . . . .2. .3. . 5. . . . . . . . . . .2. . . . . . . . . . . .1 Larger Systems . . . . . . . . . . . . . . . . . .3 A. . . . . . . . . . . . . . . . . . . . . . . .3 It’s Only Systems . . Second Midterm. . . . . . . . . . . . . . . . . . . . . . . . 9. . . . . . Exercises . . . 162 . . . . .2. . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Deriving the Runge-Kutta Methods 10. . . . . . . . MODIFICATIONS . . . . . .2 Runge-Kutta Methods . . . . . . . . . . . Second Midterm. . . . . . . . . . . . . . 143 144 144 146 146 147 147 149 150 154 157 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Recasting Single ODE Methods . . . . . .3. . . . Fall 2004 . . . . . . . . . . . . . . . . . .5 A. . . 8. . . . . . . . . . . . . . . 10. .6 Exams First Midterm. . . . . . . . . . . . . . . . . . . . . . . . . . Fall 2003 Final Exam. . . . . . . . . . . . . . .2 A. . . . . . . . . . . . . . . . . . . . . . . . . . . . .3. . 10. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CONTENTS . . Fall 2004 . . . . . . . . . . . . .4 A. . . . . . . . . . . . . . . . . . . . . 4. . . . . . . . . . . . . . . . . 10. . . . . . . . . . . 157 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 Systems of ODEs . . . . . . . . . . . . . . . . Fall 2004 Final Exam. . . . . . . . . . . COLLECTIONS OF DOCUMENTS . . . . . . . . . . . . . . .3 Examples . . . . . . . . . . . . . . . . . 161 . . . . . . . . . . . . . . . . . . . .1 A. . 164 . . . . . . . . . . . . . . . . . . . . . . TERMINATION . . . . . . . . TRANSLATION . . . . . . . . . . . . . . . . . . A Old A. . . . . .vi 10. . . . . . . . VERBATIM COPYING . . . . . . . . . . . . . . . . . . . . . 6. . . . . . . . . . . . . . . . .1 Taylor’s Series Redux . .

f (x). . also known as the error term. c. this is a MacLaurin series. 2! 3! x5 + − . and f k (x) is the k th derivative of f at x. 1.2) (1..” meaning that convergence is not guaranteed in general.1) (1.. The main usage is to approximate a function by the ﬁrst few terms of its Taylor’s series expansion. k! (n + 1)! where ξ is some number between x and c. . 2. We will use this theorem again and again in this class. .3) Theorem 1. then for any x and c in this interval n f (x) = k=0 f (k) (c) (x − c)k f (n+1) (ξ) (x − c)n+1 + . the theorem then tells us the approximation is “as good” as the ﬁnal term...1 Taylor’s Theorem Recall from calculus the Taylor’s series for a function. The constants ai are related to the function f and its derivatives evaluated at c. . is written as f (x) ∼ a0 + a1 (x − c) + a2 (x − c)2 + . Here the symbol ∼ is used to denote a “formal series. 4! ex = 1 + x + x3 3! x2 cos (x) = 1 − 2! sin (x) = x − (1. That is.1 (Taylor’s Theorem).. For example we have the following Taylor’s series (with c = 0): x2 x3 + + .. expanded about some number. . 5! x4 + − . . we can make the following manipulation: 1 . . If f (x) has derivatives of order 0. When c = 0. b]. n+1 on the closed interval [a.Chapter 1 Introduction 1.

INTRODUCTION n f (x) = n f (x) − f (x) − f (k) (c) k=0 n f (k) (x − c) k! k = = k=0 f (n+1) (ξ) f (k) (c) (x − c)k f (n+1) (ξ) (x − c)n+1 + k! (n + 1)! (x − c)n+1 (n + 1)! k=0 (c) (x − c)k k! f (n+1) (ξ) |x − c|n+1 . (n + 1)! Example Problem 1. f (3) (x) = 6. = x− 6 24 x3 6 sin(ξ) x4 x4 ≤ . We ﬁnd that f (x) = sin x = sin(0) + − cos(0) x3 sin(ξ) x4 cos(0) x − sin(0) x2 + + + 1! 2! 3! 4! x3 sin(ξ) x4 + . Solution: Solving for f (k) is fairly easy for this function. b]. Solution: Taylor’s Theorem for n = 1 states: Given a function. c are in [a. . Example Problem 1.2 CHAPTER 1. f (1) (x) = 3x2 − 42x. As a one-liner. the MVT says that at some time during a trip. using n = 3. Example Problem 1. f (2) (x) = 6x − 42. Apply Taylor’s Theorem for the case n = 1. This is the Mean Value Theorem. expanded about c = 0.4. Apply Taylor’s Theorem to expand f (x) = x 3 − 21x2 + 17 around c = 1. = f (k) (x) = 0.2. Solution: Simple calculus gives us f (0) (x) = x3 − 21x2 + 17. 24 24 so sin x − x − because |sin(ξ)| ≤ 1. We will then use our knowledge about f (n+1) (ξ) on the interval [a. f (x) with a continuous derivative on [a.3. b]. b] to ﬁnd some constant M such that n f (x) − k=0 f (k) (c) (x − c)k k! = f (n+1) (ξ) |x − c|n+1 ≤ M |x − c|n+1 . c when x. your velocity is the same as your average velocity for the trip. Find an approximation for f (x) = sin x. (n + 1)! On the left hand side is the diﬀerence between f (x) and its approximation by Taylor’s series. then f (x) = f (c) + f (ξ)(x − c) for some ξ between x.

012 . This leads to a discussion on the matter of Orders of Convergence.e. 2 6 3 Note there is no error term. and x for c in the more general version. smaller than some h ∗ in absolute value. We generally apply this form of the theorem with h → 0. b]. we have ln (1 + h) = h − h2 1 + 3 h3 . n+ 1 on the closed interval [a. We say that a function f (h) is in the class O hk (pronounced “big-Oh of hk ”) if there is some constant C such that |f (h)| ≤ C |h|k for all h “suﬃciently small. in fact.. as long as h is relatively small (say smaller than 1 the term 3ξ 3 can be bounded by a constant. Evaluating these at c = 1 gives f (x) = −3 + −39(x − 1) + −36 (x − 1)2 6 (x − 1)3 + . .01) ≈ 0. Roughly speaking.01 − .6.1. since the higher order derivatives are identically zero. and thus ln (1 + h) = h − Thus we say that h − h2 2 h2 + O h3 . meaning some function which is a member of this class. −1/x2 h2 2/ξ 3 h3 (1/x) h + + 1 2 6 Using the fact that ξ is between 1 and 1 + h. Alternative Form). k! (n + 1)! k=0 where ξ is some number between x and x + h.” i. We sometimes also write O hk . Consider the Taylor expansion of ln x: ln (x + h) = ln x + Letting x = 1. If f (x) has derivatives of order 0. through use of the “Big-O” function we can write an expression without “sweating the small stuﬀ.” This can give us an intuitive understanding of how an approximation works. 2 3ξ 1 2 ). 1. 2 ln(1 + 0. For example 0.5 (Taylor’s Theorem. . then for any x in this interval and any h such that x + h is in this interval. 2 is a O h3 approximation to ln(1 + h). in this case substituting x + h for x. n f (k) (x) (h)k f (n+1) (ξ) (h)n+1 f (x + h) = + . the function f (x).009950331 ≈ 0. The following deﬁnition will suﬃce for this class Deﬁnition 1.1. without losing too many of the details. There is an alternative form of Taylor’s Theorem.00995 = 0.7. By carrying out simple algebra. . TAYLOR’S THEOREM with the last holding for k > 3. For a function f ∈ O hk we sometimes write f = O hk . you will ﬁnd that the above expansion is. This gives Theorem 1. . Example 1.

1234 by a system that keeps only 16 signiﬁcant digits. The number of signiﬁcant digits in r is usually determined by the user’s input. but does not eliminate. x− = −b. and k is an integer in a certain range. the result would be .2 × 10−6 . Consider the stability of x + 1 − 1 when x is near 0.17281995 × 10−6 2. √ Example Problem 1. To ﬁx this. we rationalize the expression √ √ √ x+1+1 x+1−1 x x+1−1 = x + 1 − 1√ =√ =√ .1. When x = 1.8. as the following examples illustrate. the precision of the ﬁrst measurement is lost in the uncertainty of the second. Operations on numbers stored in this way follow a “lowest common denominator” type of rule. . 1). This will be made clearer by the examples below.177241 from 0. a loss of signiﬁcance can be incurred if two nearly equal quantities are subtracted from one another. This loss is called subtractive cancellation. and three signiﬁcant digits have been lost. Solution: The usual quadratic formula is √ −b ± b2 − 4c x± = 2 Supposing that b c > 0.2345678 × 10 −5 . there is no loss of precision. Then x + 1 ≈ 1. If your computer (or calculator) can only keep 8 signiﬁcant digits. Thus if I were to direct my computer to subtract 0. Thus 6 signiﬁcant digits have been lost from the original. where r is a rational number of a given number of digits in [0. When 1 is subtracted.177589. Errors can also occur when quantities of radically diﬀerent magnitudes are summed.6789 × 10−20 might be rounded to 0. and can often be avoided by rewriting the expression.4 CHAPTER 1. giving two roots x+ = 0.171717 and 0.2 Loss of Signiﬁcance Generally speaking. x+1+1 x+1+1 x+1+1 This expression has no subtractions.e. The usual strategies for rewriting subtractive expressions are completing the square.2345678 × 10−5 ≈ 6. this expression evaluates approximately as 1. and so is not subject to subtractive cancelling. Rewrite the expression to rid it of subtractive cancellation.. precision cannot be gained but can be lost. the result is 6. i.51.000006173. Example Problem 1. This minimizes. Write stable code to ﬁnd the roots of the equation x 2 + bx + c = 0.1234 + 5. This may lead to unexpected results. that is x = ±r×10 k .0000062 on a machine with 8 digits.9. This is as it should be. factoring. The latter root is nearly correct.0000062. problems like those of the previous example problem.348 × 10 −3 .2345678 × 10−5 . while the former has no correct digits. Note that nearly all modern computers and calculators store intermediate results of calculations in higher precision formats. √ Solution: Suppose that x = 1. INTRODUCTION 1. However. For example 0. or using the Taylor expansions. Thus for example if you add the two quantities 0. the expression in the square root might be rounded to b 2 . a computer stores a number x as a mantissa and exponent. then the result should only have two signiﬁcant digits. this will be rounded to 1.

1 The binary operator allows transparent algebraic manipulation of vectors. has some currency. For each u ∈ V.. which is nearly correct. v ∈ V. V.e. Addition is commutative: u + v = v + u for each u..”) 4. If x is very close to zero. and if x − is computed. Inner Products. 3.. C. the sum u + v is a vector in V. where 0 is the zero of R. (i.3 Vector Spaces. the complex ﬁeld. Rewrite ex − cos x to be stable when x is near 0. this algebraic ﬁeld will always be the real ﬁeld.. For any u.3. 1u = u. − 1 − + − + . (i. and a scalar multiply over the real ﬁeld R. 5. where +R is addition in R. deﬁned over V..) For the purposes of this text. which we cannot calculate exactly anyway. the approximate should be good. x+ can easily be computed with little additional work. Note that we propose calculating x + x2 + x3 /6 as an approximation of ex − cos x. +. the space is “closed under scalar multiplication. and so is not subject to subtractive cancelling. For any u ∈ V.e.. Solution: Look at the Taylor’s Series expansion for these functions: ex − cos x = x2 x3 x4 x5 x2 x4 x6 + + + + . this expression gives root x + = −c/b. v ∈ V.10. 1 . There is a zero vector 0 ∈ V such that for any u ∈ V. though in the real world. NORMS To correct this problem. Since we assume x is nearly zero. multiply the numerator and denominator of x + by −b − x+ = Now if b pair: 2c √ −b − b2 − 4c 5 √ b2 − 4c to get c > 0. with a binary addition operator. Deﬁnition 1. A collection of vectors. forms a vector space if 1. This leads to the x− = −b − √ b2 − 4c .11. we may need to take all three terms. For each u. and each scalar α ∈ R the scalar product αu is a vector in V. R. INNER PRODUCTS.e.1 Vector Space A vector space is a collection of objects together with a binary operator which is deﬁned over an algebraic ﬁeld. or even more terms of the expansion. (i.. 2! 3! 4! 5! 2! 4! 6! x3 + O x5 = x + x2 + 3! 1+x+ This expression has no subtractions. and scalars α. v ∈ V.1. 6. 0u = 0. β ∈ R. scalar multiplication distributes in both ways. if x is far from zero we should use some other technique. 1. Norms We explore some of the basics of functional analysis which may be useful in this text. the space is “closed under addition. both (α + R β)u = αu + βu and α (u + v) = αu + αv hold. 2 x+ = 2c √ −b − b2 − 4c Note that the two roots are nearly reciprocals. 1.”) 2. If x is not so close to zero. Example Problem 1. we may only have to take the ﬁrst one or two terms. VECTOR SPACES.3. where 1 is the multiplicative identity of R.

v) + β (u. . v). . . That is. This space is denoted as R m×n . The most familiar example of a vector space is R n . un ] + [v1 . Similarly for αu. That is u ∈ R n is of the form [u1 . u2 . . u2 + v2 . . Then H forms a vector space under the “pointwise” deﬁned addition and scalar multiplication over R. . The inner product should have the following properties: Deﬁnition 1.12. which is the collection of n-tuples of real numbers. un + vn ] . v ∈ H. . . for u. . deﬁned over R. The only diﬀerence between proving H 0 is a vector space and the proof required for the previous example is in showing that H 0 is indeed closed under addition and scalar multiplication. Let Pn be the collection of all ‘formal’ polynomials of degree less than or equal to n with coeﬃcients from R. . . Example 1. u) = (u. a real or a complex number).16. V. w) . A binary function for which this holds is sometimes called a bilinear form. α [u1 . w) (u.17.. . bounded set. INTRODUCTION Example 1. αv + βw) = α (u. Addition and scalar multiplication over R are deﬁned pairwise: [u1 . then [u + v] (x) = u(x) + v(x) = 0 + 0. . αu2 . And for u ∈ H. n. . It is positive: (v. 2 instead of 0. . This is simple because if x ∈ ∂X. Example 1. . This would not have worked if the functions of H 0 were required to take some other value on ∂X. Let X ⊆ Rk be an closed. . 2. a binary function. . . Then Pn forms a vector space over R. Let X ⊆ Rk be a closed. αun ] Note that some authors distinguish between points in n-dimensional space and vectors in ndimensional space.15. α ∈ R. and 1.13. . Another way of viewing this space is it is the space of linear functions which carry vectors of R n to vectors of Rm . . un ] . . . Then H forms a vector space under the “pointwise” deﬁned addition and scalar multiplication over R. v) ≥ 0.g.3. (. We will use Rn to refer to both of them. The collection of all real-valued m × n matrices forms a vector space over the reals with the usual scalar multiplication and matrix addition. u2 . and . 2. Example 1. w) = α (u. with equality holding if and only if v is the zero vector of V.14. αu is the function in [αu] (x) = α (u(x)). u + v is the function in H deﬁned by [u + v] (x) = u(x) + v(x) for all x ∈ X. say. v2 . It is symmetric: (v. like. . u2 .6 CHAPTER 1. . and let H be the collection of all functions from X to R. which takes two vectors of V to R is an inner product if 1. and let H0 be the collection of all functions from X to R that take the value zero on ∂X. bounded set. .2 Inner Products An inner product is a way of “multiplying” two vectors from a vector space together to get a scalar from the same ﬁeld the space is deﬁned over (e. It is linear in both its arguments: (αu + βv. w) + β (v. as in this text there is no need to distinguish them symbolically. where ui ∈ R for i = 1. . 3. Example 1. . un ] = [αu1 . For a vector space. vn ] = [u1 + v1 . ). and thus u + v has the property that it takes value 0 on ∂X.

1.3. VECTOR SPACES, INNER PRODUCTS, NORMS

7

Example 1.18. The most familiar example of an inner product is the L 2 (pronounced “L two”) inner product on the vector space Rn . If u = [u1 , u2 , . . . , un ] , and v = [v1 , v2 , . . . , vn ] , then letting (u, v)2 = ui vi

i

gives an inner product. This inner product is the usual vector calculus dot product and is sometimes written as u · v or u v. Example 1.19. Let H be the vector space of functions from X to R from Example 1.13. Then for u, v ∈ H, letting (u, v)H = u(x)v(x) dx,

X

gives an inner product. This inner product is like the “limit case” of the L 2 inner product on Rn as n goes to inﬁnity.

1.3.3

Norms

A norm is a way of measuring the “length” of a vector: Deﬁnition 1.20. A function · from a vector space, V, to R + is called a norm if 1. It obeys the triangle inequality: x + y ≤ x + y . 2. It scales positively: αx = |α| x , for scalar α. 3. It is positive: x ≥ 0, with equality only holding when x is the zero vector. The easiest way of constructing a norm is on top of an inner product. If (, ) is an inner product on vector space V, then letting u = (u, u) gives a norm on V. This is how we construct our most common norms: Example 1.21. For vector x ∈ Rn , its L2 norm is deﬁned

n

1 2

x

2

=

i=1

x2 i

= x x

1 2

.

This is constructed on top of the L2 inner product. Example 1.22. The Lp norm on Rn generalizes the L2 norm, and is deﬁned, for p > 0, as

n 1/p

x

p

=

i=1

|xi |

p

.

**Example 1.23. The L∞ norm on Rn is deﬁned as x
**

∞

= max |xi | .

i

The L∞ norm is somehow the “limit” of the Lp norm as p → ∞.

8

CHAPTER 1. INTRODUCTION

1.4

Eigenvalues

It is assumed the reader has some familiarity with linear algebra. We review the topic of eigenvalues. Deﬁnition 1.24. A nonzero vector x is an eigenvector of a given matrix A, with corresponding eigenvalue λ if Ax = λx Subtracting the right hand side from the left and gathering terms gives (A − λI) x = 0. Since x is assumed to be nonzero, the matrix A − λI must be singular. A matrix is singular if and only if its determinant is zero. These steps are reversible, thus we claim λ is an eigenvalue if and only if det (A − λI) = 0. The left hand side can be expanded to a polynomial in λ, of degree n where A is an n×n matrix. This gives the so-called characteristic equation. Sometimes eigenvectors,-values are called characteristic vectors,-values. Example Problem 1.25. Find the eigenvalues of 1 1 4 −2 Solution: The eigenvalues are roots of 0 = det 1−λ 1 4 −2 − λ = (1 − λ) (−2 − λ) − 4 = λ2 + λ − 6.

This equation has roots λ1 = −3, λ2 = 2. Example Problem 1.26. Find the eigenvalues of A 2 . Solution: Let λ be an eigenvalue of A, with corresponding eigenvector x. Then A2 x = A (Ax) = A (λx) = λAx = λ2 x.

The eigenvalues of a matrix tell us, roughly, how the linear transform scales a given matrix; the eigenvectors tell us which directions are “purely scaled.” This will make more sense when we talk about norms of vectors and matrices.

1.4.1

Matrix Norms

Given a norm · on the vector space, R n , we can deﬁne the matrix norm “subordinate” to it, as follows: Deﬁnition 1.27. Given a norm · on R n , we deﬁne the subordinate matrix norm on R n×n by A = max

x=0

Ax . x

1.4. EIGENVALUES

9

We will use the subordinate two-norm for matrices. From the deﬁnition of the subordinate norm as a max, we conclude that if x is a nonzero vector then Ax 2 ≤ x 2 Ax 2 ≤ A A

2 2

thus, x 2.

**Example 1.28. Strange but true: If Λ is the set of eigenvalues of A, then A Example Problem 1.29. Prove that AB
**

2 2

= max |λ| .

λ∈Λ

≤ A

2

B 2.

Solution: AB

2

=df max

x=0

A 2 Bx ABx 2 ≤ max x=0 x 2 x 2

2

= A

2

B 2.

and g ∈ O (hm ) . (1. (1. (1. Prove that λ −1 is an eigenvalue for A−1 .22) If x 2 = 0. 0 0 0 · · · 1/n (1. . . Prove that if λ is an eigenvalue of A. Can you show that f ∈ O hk−1 ? √ √ (1. . that if λ is an eigenvalue of A then λ k is an eigenvalue of Ak for integer k > 1. .27) Suppose there is some µ > 0 such that.4) Prove that f (h) = −3h5 is in O h5 . . Give the eigenvalues of B = 3A 3 − 4A2 + I.6) Prove that f (h) = h3 is not in O h4 (Hint: Proof by contradiction. (Hint: Take h∗ < 1. (1. Use a O x5 approximate. . 10. Show that f + g ∈ O (hm ) . .26. How does this approximation compare to the O h3 approximate from Example 1. The base case was done in Example Problem 1. for the same eigenvalue.17) Prove. .19) Suppose A is an invertible matrix with eigenvalue λ.25) Show that A 2 = 0 implies that A is the matrix of all zeros. (1. . in absolute value.9) Find a O h4 approximation to ln(1+h).18) Let B = k αi Ai . (1.2) Suppose f ∈ O hk . by induction. what is x 2 ? (1. (1. where λmin is the smallest. .12) Rewrite x + 1 − x to get rid of subtractive cancellation when x is very large. Show that B is singular. (1..8) Find a O h3 approximation to sin h. what does this say about vector x? (1.1. .) (1.15) Calculate cos(π/2 + 0. in R n . (1.16) Prove that if x is an eigenvector of A then αx is also an eigenvector of A.10 Exercises CHAPTER 1. with m < k. . then x is on a sphere centered at the origin of radius r. p(λ) is an eigenvalue of p(A). Compare the approximate value to the actual when h = 0. where A0 = I. (1.7 for h = 0. Show that f g ∈ O hk+m . Use a O x6 approximate.11) Rewrite √x + 1 − 1 to get rid of subtractive cancellation when x ≈ 0.21) Show that if x 2 = r.10) Suppose that f ∈ O hk . INTRODUCTION (1. Av 2 ≥ µ v 2. unless you remember that O hk is a better approximation than O (hm ) when m < k. (1. 100.24) What is the norm of 1 0 0 ··· 0 0 1/2 0 · · · 0 0 ? A = 0 0 1/3 · · · .) Note this may appear counterintuitive.7) Prove that sin(h) is in O (h). (1. (1. (1. . for a given A.26) Show that A−1 2 equals (1/|λmin |) .3) Suppose f ∈ O hk . Thus for polynomial p(x). (1. then k αi λi is i=0 i=0 an eigenvalue of B.14) Use a Taylor’s expansion to rid the expression 1 − cos 2 x of subtractive cancellation for x small. (1. . Show that f ∈ O (hm ) for any m with 0 < m < k. (1. eigenvalue of A. (1.1) Suppose f ∈ O hk . and g ∈ O (hm ) .5) Prove that f (h) = h2 + 5h17 is in O h2 .13) Use a Taylor’s expansion to rid the expression 1 − cos x of subtractive cancellation for x small.23) Letting x = [3 4 12] . √ (1.1? (1.20) Suppose that the eigenvalues of A are 1. Here α is a nonzero real number. (1.001) to within 8 decimal places by using the Taylor’s expansion.

. (1. but is diﬃcult to prove.) (b) Show that A is nonsingular.29) If A 2 ≥ µ > 0 does it follow that A is nonsingular? (1. The inequality in the other direction holds when the norm is · 2 .28) If A is singular. EIGENVALUES 11 for all vectors v. (Should be very simple.4. is it necessarily the case that A 2 = 0? (1.28.1. then A ≥ max |λ| . λ∈Λ where · is any subordinate matrix norm. (a) Show that µ ≤ A 2 . (Recall: A is singular if there is some x = 0 such that Ax = 0.) (c) Show that A−1 2 ≤ (1/µ) . prove that if Λ is the set of eigenvalues of A.30) Towards proving the equality in Example Problem 1.

INTRODUCTION .12 CHAPTER 1.

Please contribute if you find this software useful. 2003 John W.1 Getting Started Matlab is a software package that allows you to program the mathematics of an algorithm without getting too bogged down in the details of data structures. Mathworks continues to tinker with Matlab to make it noncompatible with octave. pointers. See http://www.che.html • http://www. For details.org. octave:1> 1 Gnu Public License.edu/~msgocken/intro/intro. visit http://www.org/copyleft/gpl.html • http://web.ew. For more information.math. available under the GPL 1 . In a lame attempt to retain market share. which is why I recommend the free Matlab clone. 1999. many of them are certainly better than this one. this has the side eﬀect of obsoletizing old Matlab code. then. not even for MERCHANTIBILITY or FITNESS FOR A PARTICULAR PURPOSE.html Report bugs to <bug-octave@bevo.cyclismo.html. 13 . and reinventing the wheel.usna.Chapter 2 A “Crash” Course in octave/Matlab 2. You can ﬁnd a number of octave/Matlab tutorials for free on the web.edu/~mecheng/DESIGN/CAD/MATLAB/usna. You should get something like: GNU Octave. 2002. is an introduction to octave. Start up octave. freely downloadable from http://www. it also costs quite a bit of money.octave. 2000. Eaton.gnu.html Matlab has some demo programs covering a number of topics– from the most basic functionality to the more arcane toolboxes. A brief web search reveals the following excellent tutorials: • http://www. It also includes graphing capabilities.44 (i686-pc-linux-gnu).wisc. In Matlab. What follows is a lame demo for octave. 1997. There is ABSOLUTELY NO WARRANTY.mtu. octave. version 2. 2001. Copyright (C) 1996. This is free software. and there are numerous packages available for all kinds of functions. Matlab users will have to make some changes. simply type demo. What follows. Unfortunately.org/tutorial/matlab/vector.org/help-wanted. except where explicitly noted otherwise.octave. 1998.edu>. I will try to focus on the intersection of the two systems. see the source code for copying conditions. type ‘warranty’. enabling relatively high-level programming.1.

the last index of a vector is denoted by the special symbol end. and not from 0. I am leaving the semicolon oﬀ. octave:6> For illustration purposes. as is more common in modern programming languages. as in what follows. You can also give a range of indices. octave:6> a(1) = 77 a = 2 3 77 octave:7> a(end) = -400 a = 77 2 -400 . Thus the previous becomes octave:5> d = 5*c . This is either a feature or an annoyance. when the variable is a matrix. use parentheses. The basic octavian data structure is a matrix. you only need give a single index.14 CHAPTER 2. as shown below. WARNING: vectors and matrices in octave/Matlab are indexed starting from 1. a scalar is a 1 × 1 matrix. It can be prevented by appending a semicolon at the end of a command. You are warned! Moreover. you need give both indices.2 * b d = -5 2 9 You should notice that octave “echoes” the lvalues it creates.2 * b.3] b = 5 4 3 octave:4> c = a’ c = 1 2 3 octave:5> d = 5*c . A “CRASH” COURSE IN OCTAVE/MATLAB You now have a command line. To access an entry or entries of a matrix. Some simple matrix constructions are as follows: octave:2> a = [1 2 3] a = 1 2 3 octave:3> b = [5.4. a vector is an n × 1 matrix. In the case where the variable is a vector.

624716 0.166880 0.769423 0.027866 0.067067 333.706307 4.1:2) = [1 2.027866 3. if v is a vector. diag(M) returns the diagonal of matrix M as a vector. First we look at matrix manipulation: octave:12> j = M * b j = 13 31 999 octave:13> N = rand(3.769423 octave:15> P = L * M P = 0.2.166880 2.3) N = 0.067067 0.624716 0.1.911833 0.938714 octave:14> L = M + N L = 1.087402 0.3 4] M = 1 2 0 3 4 0 0 0 333 The command diag(v) returns a matrix with v as the diagonal.087402 0. as we will examine later.706307 0.938714 . The form c:d gives returns a row vector of the integers between a and d. GETTING STARTED 15 octave:8> a(2:3) = [22 333] a = 77 22 333 octave:9> M = diag(a) M = 77 0 0 0 22 0 0 0 333 octave:10> M(2.1) = 14 M = 77 0 0 14 22 0 0 0 333 octave:11> M(1:2.911833 0.

c + e.16 7.9014e+00 CHAPTER 2.1120e+05 octave:16> P = L .j = Li. the latter is element by element multiplication. (or something like it if e does not divide d − c) as follows: octave:20> z = 1:5 z = 1 2 3 4 5 .e.b err = 0 0 0 0.9105e+01 2.0000e+00 0. For a zero mean normal distribution with unit variance. and c. .∗ M)i. (L . use randn(m. In line 17 we asked octave to solve the linear system Mx = b.n) gives an m × n matrix with each element “uniformly distributed” on [0.0000e+00 octave:17> x = M \ b x = -6. .1119e+01 1. . The command rand(m.2333e+01 1.7580e+01 3. . .1120e+05 Note the diﬀerence between L * M and L . the former is matrix multiplication.0445e+01 2. which give. d.1669e+00 4.2201e+00 1. respectively.0000e+00 0. d.n).2505e+00 1.j . c.0000000 5. 1]. either using the form c:d or the form c:e:d. .0090090 octave:18> err = M * x . by setting x = M\b = M−1 b.0557e+00 1. . A “CRASH” COURSE IN OCTAVE/MATLAB 2. i. Note that you can construct matrices directly as you did vectors: octave:19> B = [1 3 4 5.5000000 0.8499e+01 0.5911e+01 4. c + 1.2 -2 2 -2] B = 3 4 5 1 2 -2 2 -2 You can also create row vectors as a sequence.* M..* M P = 1.j Mi. .0000e+00 1.

m] k = 3 2 5 8 4 2 7 9 2. This behavior is common in octave: many functions which we normally think of as applicable to scalars can be applied to matrices. . • ceil(X) returns the smallest integer not less than X. USEFUL COMMANDS octave:21> z = 5:(-1):1 z = 5 4 3 2 1 octave:22> z = 5:(-2):1 z = 5 3 1 octave:23> z = 2:3:11 z = 2 5 8 11 octave:24> z = 2:3:10 z = 2 5 8 17 Matrices and vectors can be constructed “blockwise. • abs(X) returns |X| . arctangent.2. • sin(X). • floor(X) returns the largest integer not greater than X. it computes the ﬂoor element-wise. returns the sine.y] m = 2 5 8 2 7 9 octave:4> k = [(3:4)’. tan(X). • exp(X) returns eX . sqrt(X). Thus octave:2> y=[2 7 9] y = 2 7 9 octave:3> m = [z. atan(X).” Blocks in the same row are separated by a comma. cosine.2 Useful Commands Here’s a none too complete listing of useful commands in octave: • help is the most useful command. square root of X. If X is a vector or matrix. computed elementwise.2. elementwise. computed element-wise. tangent. cos(X). with the result computed elementwise. those in the same column by a semicolon. elementwise.

18

**CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB • norm(X) returns the norm of X; if X is a vector, this is the L 2 norm:
**

1/2

X

2

=

i

X2 i

,

• • • • •

• •

if X is a matrix, it is the matrix norm subordinate to the L 2 norm. You can compute other norms with norm(X,p) where p is a number, to get the L p norm, or with p one of Inf, -Inf, etc. zeros(m,n) returns an m × n matrix of all zeros. eye(m) returns the m × m identity matrix. [m,n] = size(A) returns the number of rows, columns of A. Similarly the functions rows(A) and columns(A) return the number of rows and columns, respectively. length(v) returns the length of vector v, or the larger dimension if v is a matrix. find(M) returns the indices of the nonzero elements of N. This may not seem helpful at ﬁrst, but it can be very useful for selecting subsets of data because the indices can be used for selection. Thus, for example, in this code octave:1> v = round(20*randn(400,3)); octave:2> selectv = v(find(v(:,2) == 7),:) we have selected the rows of v where the element in the second column equals 7. Now you see why leading computer scientists refer to octave/Matlab as “semantically suspect.” It is a very useful language nonetheless, and you should try to learn its quirks rather than resist them. diag(v) returns the diagonal matrix with vector v as diagonal. diag(M) returns as a vector, the diagonal of matrix v. Thus diag(diag(v)) is v for vector v, but diag(diag(M)) is the diagonal part of matrix M. toeplitz(v) returns the Toeplitz matrix associated with vector v. That is v(1) v(2) v(3) ··· v(n) v(2) v(1) v(2) · · · v(n − 1) v(3) v(2) v(1) · · · v(n − 2) toeplitz(v) = . . . . .. . . . . . . . . . v(n) v(n − 1) v(n − 2) · · · v(1) In the more general form, toeplitz(c,r) can be used to return a assymmetric Toeplitz matrix. A matrix which is banded on the cross diagonals is evidently called a “Hankel” matrix: u(1) u(2) u(3) · · · u(n) u(2) u(3) u(4) · · · v(2) hankel(u, v) = u(3) u(4) u(5) · · · v(3) . . . . . . . . . . . . u(n) v(2) v(3) · · · v(n)

• eig(M) returns the eigenvalues of M. [V, LAMBDA] = eig(M) returns the eigenvectors, and eigenvalues of M. • kron(M,N) returns the Kronecker product of the two matrices. This is a blcok construction which returns a matrix where each block is an element of M as a scalar multiplied by the whole matrix N. • flipud(N) ﬂips the vector or matrix N so that its ﬁrst row is last and vice versa. Similarly fliplr(N) ﬂips left/right.

2.3. PROGRAMMING AND CONTROL

19

2.3

Programming and Control

If you are going to do any serious programming in octave, you should keep your commands in a ﬁle. octave loads commands from ‘.m’ ﬁles. 2 If you have the following in a ﬁle called myfunc.m: function [y1,y2] = myfunc(x1,x2) % comments start with a ‘%’ % this function is useless, except as an example of functions. % input: % x1 a number % x2 another number % output: % y1 some output % y2 some output y1 = cos(x1) .* sin(x2); y2 = norm(y1); then you can call this function from octave, as follows: octave:1> myfunc(2,3) ans = -0.058727 octave:2> [a,b] = myfunc(2,3) a = -0.058727 b = 0.058727 octave:3> [a,b] = myfunc([1 2 3 4],[1 2 3 4]) a = 0.45465 b = 0.78366 Note this silly function will throw an error if x1 and x2 are not of the same size. It is recommended that you write your functions so that they can take scalar and vector input where appropriate. For example, the octave builtin sine function can take a scalar and output a scalar, or take a vector and output a vector which is, elementwise, the sine of the input. It is not too diﬃcult to write functions this way, it often only requires judicious use of .* multiplies instead of * multiplies. For example, if the ﬁle myfunc.m were changed to read y1 = cos(x1) * sin(x2); it could easily crash if x1 and x2 were vectors of the same size because matrix multiplication is not deﬁned for an n × 1 matrix times another n × 1 matrix. An .m ﬁle does not have to contain a function, it can merely contain some octave commands. For example, putting the following into runner.m: x1 = rand(4,3); x2 = rand(size(x1)); [a,b] = myfunc(x1,x2)

2

-0.37840

-0.13971

0.49468

The ‘m’ stands for ‘octave.’

20

CHAPTER 2. A “CRASH” COURSE IN OCTAVE/MATLAB

octave allows you to call this script without arguments: octave:4> runner a = 0.245936 0.246414 0.542728 0.257607 b = 1.3135 octave has to know where your .m ﬁle is. It will look in the directory from which it was called. You can set this to something else with cd or chdir. You can also use the octave builtin function feval to evaluate a function by name. For example, the following is a diﬀerent way of calling myfunc.m: octave:5> [a,b] = feval("myfunc",2,3) a = -0.058727 b = 0.058727 In this form feval seems like a way of using more keystrokes to get the same result. However, you can pass a variable function name as well: octave:6> fname = "myfunc" fname = myfunc octave:7> [a,b] = feval(fname,2,3) a = -0.058727 b = 0.058727 This allows you to eﬀectively pass functions to other functions. 0.478054 0.186454 0.419457 0.378558 0.535323 0.206279 0.083917 0.768188

2.3.1

Logical Forks and Control

octave has the regular assortment of ‘if-then-else’ and ‘for’ and ‘while’ loops. These take the following form: if expr1 statements elseif expr2 statements elsif expr3 statements ... else statements end for var=vector statements end while expr

semilogy. octave ships its plotting commands to Gnuplot. ==. but the commands for Matlab are not too diﬀerent. The test expressions may use the logical conditionals: >.* ((1:n) . Use the help command to get the speciﬁc syntax for each command. end %an ‘irregular’ for loop for i=[1 2 3 5 8 13 21 34] fsm = fsm + i./ n). etc. It stands for the last index of a vector of matrix..4 Plotting Plotting is one area in which there are some noticeable diﬀerences between octave and Matlab. endfor to end a for loop. as well as the exit point for for loops. Y = sin(X).4. end %a ‘regular’ for loop for i=1:10 sm = sm + i. We present some examples: n = 100. switches. %just plot Y plot(Y). >=. end while (sin(x) > 0) x = x * pi. and contour and mesh for 3D plots. Here are some examples: %compute the sign of x if x > 0 s = 1. PLOTTING statements end 21 Note that the word end is one of the most overloaded in octave/Matlab. Do not use the assignment operator = as a conditional. as this can lead to disastrous results. end 2.2. The main plot command is plot. elseif x == 0 s = 0. X = pi . else s = -1. <=. To simplify debugging. as in C.loglog for 2D plots with log axes. The commands and examples given herein are for octave. ~=. . etc. <. You may also use semilogx. if statements. it is also permissible to use endif to end an if statement.

1 0 0 10 20 30 40 50 60 70 80 90 100 1 line 1 0. but with the ‘right’ X axis labels plot(X.9 0.W).1. %plot W. you should note the diﬀerence between plotting a vector.3 0.2 0. but with the ‘right’ X axis labels plot(Y.8 0.4 0.5 1 line 1 (a) Y = sin(X) (b) Y versus X 1 line 1 0.Y).1 0 0 0.7 0.22 CHAPTER 2. .7 0. Some magic commands are required to plot to a ﬁle.9 0.7 0.8 0.1: Four plots from octave.2 0.9 0.1(d).9 0. In particular.7 0.6 0.8 0.5 0.6 0.5 0.3 0.5 0. as in Figure 2. I recommend the following magic formula.5 1 1.6 0.4 0.4 0.6 0.9 1 √ (c) W = Y (d) W versus Y Figure 2.5 2 2.1 0 0 10 20 30 40 50 60 70 80 90 100 0. which replots the ﬁgure to a ﬁle: %call the plot commands before this line gset term postscript color.1 0 0 0.1(c) versus plotting the same vector but with the appropriate abscissa values.3 0.2 0.4 0.7 0. The output from these commands is seen in Figure 2.8 0.8 0.5 0.2 0. as in Figure 2.5 3 3.2 0.5 0.3 0. A “CRASH” COURSE IN OCTAVE/MATLAB %plot Y. W = sqrt(Y).6 0.1 0. plot(W).3 0.4 0. 1 line 1 0. For octave.

’filename.’-deps’. PLOTTING gset output "filename. gset term x11. In Matlab.ps".4. replot.eps’).2. 23 . gset output "/dev/null". the commands are something like this: %call the plot commands before this line print(gcf.

/ 40. Pick n to be reasonably large. y = sin(x). . c) = 1 × 1015 . . Your m-ﬁle should have header line like: function [x1.x2] = naivequad(b. for real b.c) Test your code for (b. Either use a ‘for’ loop. i.c) Test your code for (b. Do you get a spurious root? (2. . x = a + (b-a) . b = 5.9) to ﬁnd the roots of x 2 + bx + c = 0.24 Exercises CHAPTER 2.* (0:40) .2) Implement the na¨ quadratic formula to ﬁnd the roots of x 2 + bx + c = 0.1) What do the following pieces of octave/Matlab code accomplish? (a) x = (0:40) . or choose some convergence criterion (i. . terminate if |xi+1 − xi | < 1 × 10−10 ).y).4) Write octave/Matlab code to ﬁnd a ﬁxed point for the cosine. Do you get a spurious root? (2. Your ıve code should return √ −b ± b2 − 4c .e. or write the function to recursively call itself. (b) a = 2.* (0:40) . Example Problem 1. 1. some x such that x = cos(x). then let xi+1 = cos(xi ) for i = 0./ 40.e. plot(x. n. (2.. c) = 1 × 1015 .5) Write code to implement the factorial function for integers: function [nfact] = factorial(n) where n factorial is equal to 1 · 2 · 3 · · · (n − 1) · n. A “CRASH” COURSE IN OCTAVE/MATLAB (2. c. Do this as follows: pick some initial value x 0 . (c) x = a + (b-a) .3) Implement a robust quadratic formula (cf.. ./ 40. Does your code always converge? (2. 1 . 1 .x2] = robustquad(b. 2 Your m-ﬁle should have header line like: function [x1.

Chapter 3

**Solving Linear Systems
**

A number of problems in numerical analysis can be reduced to, or approximated by, a system of linear equations.

3.1

Gaussian Elimination with Na¨ Pivoting ıve

Our goal is the automatic solution of systems of linear equations: a11 x1 a21 x1 a31 x1 . . . + a12 x2 + a22 x2 + a32 x2 . . . + a13 x3 + a23 x3 + a33 x3 . . . + ··· + ··· + ··· .. . + a1n xn + a2n xn + a3n xn . . . = b1 = b2 = b3 . . .

an1 x1 + an2 x2 + an3 x3 + · · ·

+ ann xn = bn

In these equations, the aij and bi are given real numbers. We also write this as Ax = b, where A is a matrix, whose element in the i th row and j th column is aij , and b is a column vector, whose ith entry is bi . This gives the easier way of writing this equation: a11 a21 a31 . . . a12 a22 a32 . . . a13 a23 a33 . . . ··· ··· ··· .. . a1n a2n a3n . . . ann x1 x2 x3 . . . xn b1 b2 b3 . . . bn

an1 an2 an3 · · ·

=

(3.1)

3.1.1

Elementary Row Operations

You may remember that one way to solve linear equations is by applying elementary row operations to a given equation of the system. For example, if we are trying to solve the given system of equations, they should have the same solution as the following system: 25

26

CHAPTER 3. SOLVING LINEAR SYSTEMS

where κ is some given number which is not zero. It suﬃces to solve this system of linear equations, as it has the same solution(s) as our original system. Multiplying a row of the system by a nonzero constant is one of the elementary row operations. The second elementary row operation is to replace a row by the sum of that row and a constant times another. Thus, for example, the following system of equations has the same solution as the original system: a11 a21 a31 . . . a12 a22 a32 . . . a13 a23 a33 . . . ··· ··· ··· .. . a1n a2n a3n . . . a(i−1)n ain + βajn . . . ann x1 x2 x3 . . . b1 b2 b3 . . .

κai1 κai2 κai3 · · · . . . .. . . . . . . . an1 an2 an3 · · ·

a11 a21 a31 . . .

a12 a22 a32 . . .

a13 a23 a33 . . .

··· ··· ··· .. .

a1n a2n a3n . . . κain . . . ann

x1 x2 x3 . . . xi . . . xn

=

b1 b2 b3 . . . κbi . . . bn

The idea of Gaussian Elimination is to use the elementary row operations to put a system into upper triangular form then use back substitution. We’ll give an example here:

We have here switched the second and third rows. The purpose of this e.r.o. is mainly to make things look nice. Note that none of the e.r.o.’s change the structure of the solution vector x. For this reason, it is customary to drop the solution vector entirely and to write the matrix A and the vector b together in augmented form: a11 a12 a13 · · · a1n b1 a21 a22 a23 · · · a2n b2 a31 a32 a33 · · · a3n b3 . . . . .. . . . . . . . . . an1 an2 an3 · · · ann bn

We have replaced the ith row by the ith row plus β times the j th row. The third elementary row operation is to switch rows: b1 x1 a11 a12 a13 · · · a1n a31 a32 a33 · · · a3n x2 b3 a21 a22 a23 · · · a2n x3 b2 = . . . . . . .. . . . . . . . . . . . . . an1 an2 an3 · · · ann xn bn

a(i−1)1 a(i−1)2 a(i−1)3 ··· ai1 + βaj1 ai2 + βaj2 ai3 + βaj3 · · · . . . .. . . . . . . . an1 an2 an3 ···

x(i−1) xi . . . xn

= b(i−1) bi + βbj . . . bn

3.1. GAUSSIAN ELIMINATION WITH NA¨ IVE PIVOTING Example Problem 3.1. Solve the set of linear equations: −3x1 − 4x2 + 4x3 = −7 2x1 + 1x2 + 1x3 = 7 x1 + x 2 − x 3 = 2

27

The matrix is now in upper triangular form: there are no nonzero entries below the diagonal. This corresponds to the set of equations: x1 + x 2 − x 3 = 2 −x2 + x3 = −1 2x3 = 4

We now add −1 times the second row to the third row to get: 1 1 −1 2 0 −1 1 −1 0 0 2 4

We add 3 times the ﬁrst row to the second, and −2 times the ﬁrst row to the third to get: 1 1 −1 2 0 −1 1 −1 0 −1 3 3

Solution: We start by rewriting in the augmented form: 1 −1 2 1 −3 −4 4 −7 2 1 1 7

We now solve this by back substitution. Because the matrix is in upper triangular form, we can solve x3 by looking only at the last equation; namely x 3 = 2. However, once x3 is known, the second equation involves only one unknown, x 2 , and can be solved only by x2 = 3. Then the ﬁrst equation has only one unknown, and is solved by x 1 = 1. All sorts of funny things can happen when you attempt Gaussian Elimination: it may turn out that your system has no solution, or has a single solution (as above), or an inﬁnite number of solutions. We should expect that an algorithm for automatic solution of systems of equations should detect these problems.

3.1.2

Algorithm Terminology

The method outlined above is ﬁne for solving small systems. We should like to devise an algorithm for doing the same thing which can be applied to large systems of equations. The algorithm will take the system (in augmented form): a11 a12 a13 · · · a1n b1 a21 a22 a23 · · · a2n b2 a31 a32 a33 · · · a3n b3 . . . . .. . . . . . . . . . an1 an2 an3 · · · ann bn

. . By pivoting on the second row.r. . . Solve the system of equations given by the augmented form: −0. . . . The quantity a11 is the multiplier for the ith row. 1 ≤ j ≤ n) ai1 a11 Eﬀectively we are carrying out the e. . the algorithm could be written recursively. . .. .6452 Note that the exact solution of this system is x 1 = 10.0590 0. the algorithm then generates the system: a11 a12 a13 · · · a1n b1 0 a a2n b2 22 a23 · · · 0 0 a33 · · · a3n b3 . Bad things can happen if akk is merely small instead of zero. . Hereafter the algorithm will not alter the ﬁrst row or ﬁrst column of the system. 1 ≤ j ≤ n) 3. The algorithm then pivots on the pivot element to get the system: a11 a12 a13 · · · a1n b1 0 a a2n b2 22 a23 · · · 0 a a3n b3 32 a33 · · · .830508. SOLVING LINEAR SYSTEMS The algorithm then selects the ﬁrst row as the pivot equation or pivot row. .28 CHAPTER 3. 0 an2 an3 · · · a1j b1 ann bn Where aij = aij − bi = bi − ai1 a11 ai1 a11 (2 ≤ i ≤ n. and the ﬁrst element of the ﬁrst row. however.o. . .3 Algorithm Problems The pivoting strategy we examined in this section is called ‘na¨ because a real algorithm is a bit ıve’ more complicated.0590 which will be rounded to −1. a11 is the pivot element. The algorithm we have outlined is far too rigid–it always chooses to pivot on the k th row during the k th step. .831 by the algorithm..3528 0. This would be bad if the pivot element were zero.1080 ≈ −1. na¨ ıvely.. . in this case all aik the multipliers akk are not deﬁned.1080 −0. x2 = 1. .. pivots on the ﬁrst equation.. Thus. .2372 −0. 0 0 an3 · · · ann bn In this case aij bi = aij − = bi − ai2 a22 ai2 a22 a2j b2 (3 ≤ i ≤ n.4348 0. . . . .2. that the algorithm uses only 4 signiﬁcant ﬁgures for its calculations.1. Suppose. Consider the following example: Example 3. of replacing the i th row by the ith row minus times ai1 the ﬁrst row. The algorithm. . . −0. . . The multiplier for the second row is 0.

3528 − 0.6452 − (−1.2 Pivoting Strategies for Gaussian Elimination Gaussian Elimination can fail when performed in the wrong order.6) /−0. We have lost three ﬁgures with this subtraction.0008. This puts the system in the form −0.059 = (−0.3528 − 0. We also saw that a pivot small in magnitude can cause failure.831)(0. but not the second.6460 = −0. 29 where the arithmetic is rounded to four signiﬁcant ﬁgures each time. it gets the value x2 = −0. Then it solves x1 = 0.3795) /−0. the second vector entry becomes: 0.3. This is nearly correct for x2 . which is no good.2372 −0.4348 − (−1.41.6.3528) = 0. −0.3528 0 −0. then 1 is enormous compared to both 1 and 2. The algorithm now ﬁnds x1 = (−0.0008 = 1. and again there is subtractive cancelling.059 = (−0.2. If the algorithm selects a zero pivot.7323) /−0.6452 − 0. x2 satisﬁes the ﬁrst equation. There is some serious subtractive cancellation going on here.0005.2372 · 1.4348 + 0.0008 When the algorithm attempts back substitution. The errors get worse from here. With poor rounding. 3. intermediate steps are rounded to four signiﬁcant ﬁgures. This is also a bit oﬀ. again. Note that this choice of x1 . Similarly. but is an awful approximation for x1 .4343 = −0.059 = 12. Now suppose the algorithm changed the order of the equations. where each step has rounding to four signiﬁcant ﬁgures. the multipliers are undeﬁned.831)(−0.0005 This is a bit oﬀ from the actual value of 1. the algorithm solves x2 as 1. As here: x1 + x2 = 1 x1 + x 2 = 2 The na¨ algorithm solves this as ıve 2− 1 =1− 1− 1− 1 1 − x2 1 x1 = = 1− x2 = If is very small. where.2372) = −0. PIVOTING STRATEGIES FOR GAUSSIAN ELIMINATION The second entry in the matrix is replaced by −0.0005 −0.0590 0. then solved: x1 + x 2 = 2 x1 + x2 = 1 .

2. .1 Scaled Partial Pivoting The na¨ G.E. . The problem is not the small entry per se: Suppose we use an e. . . 3. then row 2 .: ıve 1 1 x1 + x2 = x1 + x 2 = 2 This is still solved as x2 = x1 = and rounding is still a problem. works well.E. . producing a bunch of zeros in the second column. . The algorithm pivots on row 2 .2 | si is maximized. n. . Then the ﬁrst pivot. . . 1≤j≤n The scales are only computed once. until ﬁnally pivoting on row n−1 .1 | si is maximized. SOLVING LINEAR SYSTEMS 1−2 1− x1 = 2 − x 2 There’s no problem with rounding here. to scale the ﬁrst equation. As shown above. . algorithm uses the rows 1. The algorithm pivots on row 1 . ıve this can cause errors. Note that the algorithm should not rearrange the matrix–this takes too much work. In the k th step k is chosen to be the i not among 1 . producing a bunch of zeros in the ﬁrst column. The strategy of scaled partial i=1 pivoting is to compute this permutation so that G. row-wise: si = max |aij | .k | si .o. we want to pivot on an element which is not small compared to other elements in its row. then use na¨ G. k−1 such that |ai. The second pivot. n-1 in order as pivot equations.30 The algorithm solves this as x2 = CHAPTER 3. 2 . . 2. is chosen to be the i such that |ai. is chosen to be the i such that |ai. Better is to pivot ﬁrst on row 1 . 2.E. . So our algorithm ﬁrst determines “smallness” by calculating a scale. 2 . etc. for some permutation { i }n of the integers 1. 2− 1 1− 1 1 − x2 . but without choosing 2 = 1 .r. 1 . In light of our example.

When we do back substitution.3. and pivot: 0 −2 2 4 8 0 2 −2 1 −3 2 1 1 3 7 0 2 1 8 10 We pick are: 2.. PIVOTING STRATEGIES FOR GAUSSIAN ELIMINATION 31 is maximized. search only those indices in the tail of this vector: i. . we work in this order reversed on the rows. .E. These values are: 2 4 2 6 . These values The matrix is in permuted upper triangular form.2. Then 4 = 1.. s2 = 7. x1 . i. . We get x4 = 1. We could proceed. In this case we pick the second row. 4. If we did proceed we would have 3 = 4. and perform a swap. We’ll look at a homework question. It’s hard to come up with an ugly fractions. . producing a bunch of zeros in the k th column. 3 7 15 0 7 11 1 3 7 4 17 31 We present an example of using scaled partial example where the numbers do not come out as 2 −1 4 4 2 1 6 5 The scales are as follows: s1 = 7. The slick way to implement this is to ﬁrst set i = i for i = 1. only among j for k ≤ j ≤ n.2 An Example pivoting with G. 7 7 17 We have a tie. and should be the index which maximizes |a i2 | /si . 1. . Our row permutation is 3. . It should not be 3. The algorithm pivots on row k . . so x3 = 1 (13 − 7 ∗ 1) = 2 3 1 x2 = (−3 − 1 ∗ 1 + 2 ∗ 2) = 0 2 1 x1 = (7 − 3 ∗ 1 − 1 ∗ 2 − 1 ∗ 0) = 1 2 2 2 2 . 2 = 2. s4 = 17. x2 .e. 2. j . ﬁnd the j such that j should be the ﬁrst pivot and switch the values of 1 . swap them. We pick 1 . 2.e. n. 3. . and no changes would occur.e.2. It should be the index which maximizes |a i1 | /si . Then rearrange this vector in a kind of “bubble sort”: when you ﬁnd the index that should be 1 .. then x3 . Then at the k th step. but would get a zero multiplier. We pivot: 0 0 0 5 5 0 2 −2 1 −3 2 1 1 3 7 0 0 3 7 13 . . i. solving x 4 . s3 = 3. 7 7 3 17 We pick 1 = 3.

It turns out we can run G. SOLVING LINEAR SYSTEMS 3. 3 0 3 2 2 2 4 1 5 7 1 4 2 4 2 3 5 Our scale choices are 8 . We choose 3 2 = 4. 1 3 Now suppose we had to solve the linear system for b = −1 8 2 1 . 9 1 2 2 4 = . 2 1 2 2 4 = . M1 = 1 . We illustrate with an example: 1 1 2 4 1 2 4 2 1 2 = . 3 .32 CHAPTER 3. and so swap 27 10 1 5 2. picking oﬀ the boxed numbers (your computer doesn’t really have boxed variables). In the places where there 4 3 would be zeros in the real matrix. We will illustrate them here boxed: 1 3 15 1 4 2 4 2 2 4 2 1 2 1 = . we sweep through the ﬁrst column of M 3 . 4: M2 = Our scale choices are 27 1 40 . 4 1 3 2 1 The scale vector is s = 4 4 3 3 . 1 1 Our scale choices are 4 . and so swap 27 10 1 5 M3 = 3 5 2 0 5 2 1 5 9 7 4 2 17 . 2 . 6 .E. 0 . 3 1 3. 2 . so. and scaling b .3 Another Example and A Real Algorithm Ax = b Sometimes we want to solve for a number of diﬀerent vectors b. 4 . 2 . which can then be used multiple times on diﬀerent vectors b. M0 = 3 2 1 2 3 . We scale b by the multipliers in order: 1 = 2. 1 4 4 1 2 1 4 3 5 2 0 5 2 1 3 2 7 4 2 . We choose 1 = 2. and swap 1 .2. we will put the multipliers. 4: We choose 1 4 4 1 2 1 4 3 = 1. on the matrix A alone and come up with all the multipliers.

. . . . . LU FACTORIZATION appropriately: This continues: −1 −3 8 8 2 ⇒ −2 1 −1 12 −5 −3 8 8 −2 ⇒ −2 −1 −1 33 This proceeds as We then perform a permuted backwards substitution on the augmented system 0 0 27 1 − 12 10 5 5 4 2 1 2 8 17 0 0 0 −2 9 3 1 −1 0 5 7 2 4 2 x4 = −6 −2 9 = 3 17 17 10 12 1 −6 x3 = − − = . actually factors A into lower and upper triangular parts.E. .. . ..3 LU Factorization Ax = b. . x2 = 5 2 17 4 −6 1 − x3 − 2x2 = . . . to solve the system where A is a matrix: We want to show that G. . a13 a23 a33 . . that is A = LU. ..3. . . . U= 0 . 0 0 0 · · · unn n1 n2 n3 · · · 1 We call this a LU Factorization of A. where 1 0 0 ··· 0 u11 u12 u13 · · · u1n 21 1 0 u22 u23 · · · u2n 0 ··· 0 0 u33 · · · u3n . . We examined G. a12 a22 a32 . . . ··· ··· ··· . . L = 31 32 1 · · · 0 . ann an1 an2 an3 · · · . . .E. . . . . . . . . 8−2 x1 = 4 17 − 12 5 ⇒ 82 − 3 −1 Fill in your own values here.. . . A= a11 a21 a31 . 27 5 5 17 1 −6 7 2 −1 − − x3 = . . . . 3. . . . .3. a1n a2n a3n . . .

it is like we are solving the system M1 Ax = M1 b.E. 1. We can view this pivot as a multiplication by M 2 .r. . Thus after the ﬁrst pivot. We pivot to get 2 1 1 3 7 0 2 −2 1 −3 0 2 1 8 10 0 −2 −1 4 8 1 −2 M1 = −3 −1 0 1 0 0 0 0 1 0 0 0 0 1 Careful inspection shows that we’ve merely multiplied A and b by a lower triangular matrix M 1 : The entries in the ﬁrst column are the negative e. multipliers for each row. −1.1 An Example We consider solution of the following augmented form: 2 1 4 4 6 5 2 −1 The na¨ G. 3. We pivot on the second row to get: 2 0 0 0 1 1 3 7 2 −2 1 −3 0 3 7 13 0 −3 5 5 0 0 0 1 The multipliers are 1. reduces this to ıve 2 0 0 0 1 1 3 7 2 −2 1 −3 0 3 7 13 0 0 12 18 1 3 7 0 7 11 4 17 31 0 7 15 (3. Since this is the na¨ ıve ıve version. we ﬁrst pivot on the ﬁrst row. with 1 0 0 0 1 0 M2 = 0 −1 1 0 1 0 We are now solving M2 M1 Ax = M2 M1 b. SOLVING LINEAR SYSTEMS 3..o. and see how it is a LU Factorization.3. Our multipliers are 2.2) We are going to run the na¨ G.34 CHAPTER 3.E.

that is. A = M1 −1 M2 −1 M3 −1 U.3.3. LU FACTORIZATION We pivot on the third row. 2 0 U= 0 0 Then we have if we let 1 1 3 2 −2 1 0 3 7 0 0 12 M3 M2 M1 A = U. = 6 5 4 17 2 −1 0 7 of ones on the diagonal and multipliers 1 1 3 2 −2 1 0 3 7 0 0 12 . Now we check to see if we made any mistakes: 2 1 0 0 0 0 2 1 0 0 LU = 3 1 1 0 0 0 1 −1 −1 1 2 1 1 3 4 4 0 7 = A. We write them here: 1 0 0 0 1 0 0 0 1 0 0 0 2 1 0 0 0 0 0 1 0 0 0 1 L= 0 0 3 0 1 0 0 1 0 1 1 0 0 0 −1 1 0 −1 0 1 1 0 0 1 1 0 0 0 2 1 0 0 = 3 1 1 0 1 −1 −1 1 This is really crazy: the matrix L looks to be composed under the diagonal. and has ones on the diagonal. A = (M3 M2 M1 )−1 U. But we have an upper triangular form. It turns out that the inverse of each Mi matrix has a nice form (See Exercise (3.6)). Thus we get 2 1 1 3 7 0 2 −2 1 −3 0 0 3 7 13 0 0 0 12 18 1 0 M3 = 0 0 0 1 0 0 0 0 1 1 0 0 0 1 35 We have multiplied by M3 : We are now solving M3 M2 M1 Ax = M3 M2 M1 b. We are hoping that L is indeed lower triangular. with a multiplier of −1. A = LU.

we ﬁrst solve Lz = b.E. we can solve for z with a forward substitution.36 CHAPTER 3. then solve Ux = z. Since L is lower triangular.2 Using LU Factorizations We see that the G. We now examine how we can use the LU factorization to solve the equation Ax = b.3. Similarly. algorithm can be used to actually calculate the LU factorization. We drag out the previous example (which we never got around to solving): 2 1 1 3 7 4 4 0 7 11 6 5 4 17 31 2 −1 0 7 15 We had found the LU factorization of A as So we solve 1 0 0 2 1 0 A= 3 1 1 1 −1 −1 1 0 0 2 1 0 3 1 1 1 −1 −1 0 2 1 1 3 0 0 2 −2 1 3 7 0 0 0 0 0 1 0 12 7 0 11 0 z = 31 0 15 1 We get Now we solve 7 −3 z= 13 18 2 0 0 0 7 1 1 3 2 −2 1 x = −3 13 0 3 7 18 0 0 12 z= 37 24 −17 12 5 6 3 2 We get the ugly solution . Since we have A = LU. We will look at this in more detail in another example. SOLVING LINEAR SYSTEMS 3. we can solve for x with a back substitution. since U is upper triangular.

then run n solves using forward and backward substitutions.1 An Operation Count for Gaussian Elimination We consider the number of ﬂoating point operations (“ﬂops”) required to solve the system Ax = b. where L is the lower triangular part of the output matrix. First we look at how many ﬂoating point operations are required to reduce a11 a12 a13 · · · a1n b1 a21 a22 a23 · · · a2n b2 a31 a32 a33 · · · a3n b3 . and U is the upper triangular part. . once. and na¨ Gaussian Elimination does not encounter a zero ıve pivot.4. Obviously we are only going to run G. This theorem is proved in Cheney & Kincaid [7]. . If A is an n × n matrix. . Then back substitution is used to solve for x. 3.3.4. This theorem relies on us using the fancy version of G. . . L is the lower triangular part but with ones put on the diagonal. If correctly implemented. Gaussian Elimnation ﬁrst uses row operations to transform the problem into an equivalent problem of the form Ux = b . Thus we can ﬁnd the inverse of A by running n linear solves.3 Some Theory We aren’t doing much proving here. Recall we are trying to solve We examine the computational cost of Gaussian Elimination to motivate the search for an alternative algorithm. where U is upper triangular.E.. . The following theorem has an ugly proof in the Cheney & Kincaid [7]. 3. then the j th column of the inverse A−1 solves the equation Ax = ej . . which saves the multipliers in the spots where there should be zeros. but with a one in the j th position..3. . then the algorithm generates a LU factorization of A.3. .4 Iterative Solutions Ax = b. then. .3. ITERATIVE SOLUTIONS 37 3. Since AA−1 = I. Theorem 3. . This appears to me to be a case of something which can be better illustrated with an example or two and some informal investigation.E. to put the matrix in LU form. 3. . where ej is the column matrix of all zeros.4 Computing Inverses We consider ﬁnding the inverse of A. . an1 an2 an3 · · · ann bn . The proof is an unillustrating index-chase–read it at your own risk.

. 0 ··· 0 ··· 0 ··· a1. Similarly. . CHAPTER 3. . b1 . j=1 Recalling that n j=1 1 j = (n)(n + 1)(2n + 1). which is an (n − 1) by (n − 1) system. . . SOLVING LINEAR SYSTEMS ··· ··· ··· . an−2. a1n a2n a3n . . . a13 a23 a33 . In total this is 2n 2 − n − 1 ﬂoating point operations to do a single pivot on the n by n system.n xn ] . . . and requires 3 ﬂops. Thus in total back substitution requires Bn total ﬂoating point operations with n Bn = j=1 2j − 1 = n(n − 1) − n = n(n − 2) ≈ n2 . b1 b2 b3 an2 an3 · · · ann bn First a multiplier is computed for each row. we use In total ﬂoating point operations. . 6 2 n and j=1 1 j = (n)(n + 1). a1n .n−2 an−2. . This requires 2(n − 1)2 − (n − 1) − 1 operations. . Then this has to be done on the next subsystem. .. .n−1 an−1. 0 a12 a22 a32 .n bn−2 0 an−1.n−1 . Then this has to be done recursively on the lower right subsystem.n−2 .. . . requiring 2(n − 2)2 − (n − 2) − 1 operations. . a1. 6 3 Now consider the costs of back substitution. Then to solve for x n−1 we compute xn−1 = 1 an−1.n bn−1 0 0 ann bn for xn requires only a single division. solving for x n−2 requires 5 ﬂops.n−1 [bn−1 − an−1. To solve a11 · · · . and so on. Then in each row the algorithm performs n multiplies and n adds. .n−1 an−2. with n n n In = 2 j=1 j − 2 j=1 j− 1. In total. . 2 We ﬁnd that 1 2 In = (4n − 1)n(n + 1) − n ≈ n3 .38 to a11 0 0 . . This gives a total of (n − 1) + (n − 1)n multiplies (counting in the computing of the multiplier in each of the (n − 1) rows) and (n − 1)n adds. then. .

We now translate this scalar result into the vector case. . Note that this update relies on vector additions and possibly by premultiplication of a vector by A or Q. + r k ωb = ωb + r 1 + r + r 2 + .3) for some matrix Q.4.4. The algorithm proceeds as follows: ﬁrst ﬁx some initial estimate of the solution. for scalars A. and r = 1 − ωA. we would like the complexity of our computations to scale with the sparsity of A. and some scaling factor ω. First let x (0) = ωb. You should now convince yourself that because r n → 0. then let x(k) = ωb + rx(k−1) . if A is sparse (has few nonzero elements per row). this may take too then about n long to be practical. In the case where these two matrices are sparse. . . x (0) . This gives the approximate solution to our one dimensional problem as x ≈ 1 + r + r 2 + r 3 + . We solve this by x= 1 1 1 1 b= ωb = ωb = ωb. .e. This can be done so long as A = 0. . when A is n × n. Then calculate successive approximations to the actual solution by updates of the form x(k) = ωb + (I − ωA) x(k−1) . the terms r n converge to zero as n → ∞. Now use the geometric expansion: 1 = 1 + r + r2 + r3 + . . that under any choice of initial iterate convergence is guaranteed. one in which successive iterates are deﬁned implicitly. First we consider the simplest case. Thus we look for an alternative algorithm.. A good choice might be ωb. 1−r Because of the assumption |r| < 1. When n is large. b. ITERATIVE SOLUTIONS 39 3. that the choice of the initial iterate x (0) was immaterial. + r k−1 ωb This suggests an iterative approach to solving Ax = b. Suppose we are to solve the equation Ax = b. (3. + r k ωb = ωb + r + r 2 + r 3 + . 2 operations to solve the system. i. .2 Dividing by Multiplying 2 We saw that Gaussian Elimination requires around 3 n3 operations just to ﬁnd the LU factorization. but this is not necessary. A ωA 1 − (1 − ωA) 1−r where ω = 0 is some real number chosen to “weight” the problem appropriately. It turns out that we can consider a slightly more general form of the algorithm. Additionally. . . That is we consider iterates of the form Qx(k+1) = (Q − ωA) x(k) + ωb.3. n = 1. which would have been a problem anyway. The iterates x(k) will converge to the solution of Ax = b if |r| < 1. Now suppose that ω is chosen such that |r| < 1. such an update can be relatively cheap.

40 CHAPTER 3. (Q − A) = −2 −3 −1 −2 −5 . but there are two considerations we should keep in mind: 1. Letting ω = 1. A = 2 4 0 .” at the other is the Richardsons. x(k) converges to some vector x∗ . SOLVING LINEAR SYSTEMS Now suppose that as k → ∞. Example Problem 3. we should pick Q such that the equation Qx(k+1) = z is easy to solve exactly.4 Richardson Iteration At the other end of the spectrum is the Richardson Iteration. However.3 Impossible Iteration I made up the term “impossible iteration. We have some freedom in choosing Q. This seems to be the best choice for satisfying the ﬁrst goal. Choice of Q aﬀects ease of computing the update. we want Q to be similar to A. 0 0 1 −5 −1 −1 0 . ωAx∗ = ωb. 1 2 6 6 Solution: We let 1 0 0 Q = 0 1 0 . which is a ﬁxed point of the iteration. which chooses Q to be the identity matrix. This method should clearly converge in one step. Solving the system Qx(k+1) = z is trivial: we just have x(k+1) = z. 2. These two goals conﬂict with each other. our method becomes Ax(k+1) = (A − A) x(k) + b = b. Ax∗ = b. Use Richardson Iteration with ω = 1 on the system 12 6 1 1 b = 0 . we are considering iterative methods because we cannot easily solve this linear equation in the ﬁrst place. That is. the second goal is totally ignored.4. At one end of the spectrum is the so-called “impossible iteration. Indeed.” But consider the method which takes Q to be A.4. 3. Choice of Q aﬀects convergence and speed of convergence of the method. given z = (Q − A) x(k) + b. Then Qx∗ = (Q − ωA) x∗ + ωb. 3. Qx∗ = Qx∗ − ωAx∗ + ωb. In particular.4.

say x(0) = [2 2 2] . Example Problem 3. Note the real solution is x = [2 − 1 1] . Thus. The Richardson Iteration does not appear to converge for this example. deﬁned as b − Ax (k) . Continuing. we see that the operation can be described by n 1 (k+1) (k) xj = bj − aji xi .4. ajj i=1. 3.99998 0. Use Jacobi Iteration. By considering the update elementwise. −1 0 .i=j .4. with ω = 1.6. −1 −2 0 Q−1 = 0 0 4 3 1 6 0 0 1 4 − 2 10 . unfortunately. and x(2) = [42 34 78] . This is more similar to A than the identity matrix. In fact. We get x(1) = [−2 − 10 − 10] .3. and ﬁnally x(12) = [2 − 0. We get x(1) = 0 −1 −1 (Q − A) = −2 0 0 . we ﬁnd that x(5) ≈ [1. say x(0) = [2 2 2] . to solve the system 6 1 1 12 A = 2 4 0 . x(0) = [2 2 2] . We can rethink the Richardson Iteration as x(k+1) = (I − ωA) x(k) + ωb = x(k) + ω b − Ax(k) . with less than k nonzero entries per row. but nearly as simple to invert.981] . 1 6 Thus an update takes less than 2n2 operations. 3 9 Note the real solution is x = [2 − 1 1] .99998] . ITERATIVE SOLUTIONS 41 We start with an arbitrary x(0) . Example Problem 3. the update should take less than 2nk operations. 1 We start with the same x(0) as previously. x(2) = [2 − 4/9 7/9] .019 0.5. 0 0 6 13 6 We start with an arbitrary x(0) . There is an alternative way to describe the Jacobi Iteration for ω = 1. Thus at each step we are adding some scaled version of the residual. if A is sparse. Then x(2) = 0 0 . 2 0 .5 Jacobi Iteration The Jacobi Iteration chooses Q to be the matrix consisting of the diagonal of A. 1 2 6 6 Solution: We let 6 0 0 Q = 0 4 0 . Apply Richardson Iteration with ω = 1/6 Solution: Our iteration becomes 0 −1/6 −1/6 x(k+1) = −1/3 1/3 0 x(k) + −1/6 −1/3 0 on the previous system. to the iterate. the choice of ω has some aﬀect on convergence. We get x(1) = [4/3 0 0] .987 − 1. b = 0 .

n. . . This iterative method is known as “red-black Gauss Seidel. .4. We get x(1) = Already this is fairly close to the actual solution x = [2 − 1 1] . xj ← ajj i=1. say x(0) = [2 2 2] . but involves more work for inverting. Here the Q is more like A than for Jacobi Iteration. An alteration of the Gauss Seidel Iteration is to make successive “sweeps” of this redeﬁnition. In this case solving the system Qx(k+1) = z is performed by forward substitution. Again this takes less than 2n2 operations. 1 2 6 35 18 12 b = 0 . .7. there is an easier way to describe the Gauss Seidel Iteration. n − 1. Then x(2) = 1 . element by element. SOLVING LINEAR SYSTEMS 3. in the sum on the right there are some “old” values of xi and some “new” values. Just as with Jacobi Iteration. the new values are those x i for which i < j. . Deﬁne the error vector: e(k) = x(k) − x. . 2. Example Problem 3. . including the diagonal. one for j = 1. 1 2 6 Solution: We let 6 0 0 Q = 2 4 0 . 0 0 0 4 3 2 −31 We start with an arbitrary x(0) . we set n 1 bj − aji xi . . then running it with Q the upper triangular part. .6 Gauss Seidel Iteration The Gauss Seidel Iteration chooses Q to be lower triangular part of A. 2. − 35 36 . . . . 1.42 CHAPTER 3. 2. However.” 3.4. This amounts to running Gauss Seidel once with Q the lower triangular part of A.i=j This looks exactly like the Jacobi update.4. Thus for j = 1. Or less than 2nk if A is suﬃciently sparse.7 Error Analysis Suppose that x is the solution to equation 3. In this case we will keep a single vector x and overwrite it. 6 0 −1 −1 (Q − A) = 0 0 0 . the next for j = n. . Use Gauss Seidel Iteration to again solve for 6 1 1 A = 2 4 0 . n.

There are a number of diﬀerent related results that show when various methods will work for certain choices of ω.” In fact.Q. x(k) → x) if I − ωQ−1 A This gives the theorem: Theorem 3. where the result relied on ω being chosen such that |1 − ωA| < 1.4.. We leave these to the exercises.3. (See Example Problem 1. = I − ωQ−1 A 2 43 x(k+1) = Q−1 Qx(k) − ωQ−1 Ax(k) + ωQ−1 Ax. with corresponding eigenvalue λ. . This relation may allow us to pick the optimal ω for given A.29. e(k+1) = I − ωQ−1 A e(k) . <1 Another way of saying this is “the spectral radius of I − ωQ −1 A is less than 1. To do this we recall matrix and vector norms from Subsection 1.8. An iterative solution scheme converges for any starting x (0) if and only if all eigenvalues of I − ωQ−1 A are less than 1 in absolute value. i. Reusing this relation we ﬁnd that e(k) = I − ωQ−1 A e(k−1) . It can also show us that sometimes no choice of ω will give convergence of the method.4. x(k+1) − x = x(k) − x − ωQ−1 A x(k) − x .) Thus our iteration converges (e(k) goes to the zero vector.e. the speed of convergence is decided by the spectral radius of the matrix–convergence is faster for smaller values. e(k+1) = e(k) − ωQ−1 Ae(k) . ITERATIVE SOLUTIONS Now notice that x(k+1) = Q−1 (Q − ωA) x(k) + Q−1 ωb.1. e(k−2) . You should now think about how eigenvalues generalize the absolute value of a scalar. Recall our introduction to iterative methods in the scalar case. i. Let y be an eigenvector for Q−1 A. x(k+1) = x(k) − ωQ−1 A x(k) − x .e. Then I − ωQ−1 A y = y − ωQ−1 Ay = y − ωλy = (1 − ωλ) y.. if and only if I − ωQ−1 A 2 2 < 1. and how this relates to the norm of matrices. = I − ωQ−1 A k We want to ensure that e (k+1) is “smaller” than e(k) . e(k) 2 = I − ωQ−1 A k e(0) 2 ≤ I − ωQ−1 A k 2 e(0) 2 . e(0) .

With some work it can be shown that all three of these values will be less than one in absolute value if and only if 3 0<ω< ≈ 0. Thus the eigenvalues of I − ωA are approximately 1 − 7. again. and 4.5. with x the actual solution to the linear system. Using octave or Matlab you will ﬁnd that the eigenvalues of A are approximately 7.7321 (See also Exercise (3.4. via some oracle.388 7. with ω = 1/6. of a sequence of weightings.4. which we use in each iterative update. 2. In the altered algorithm we presuppose the existence. Find conditions on ω which guarantee convergence of Richardson’s Iteration for ﬁnding approximate iterative solutions to the system Ax = b. . 3.” that is if f (x) is a polynomial and λ is an eigenvalue of a matrix A. 6 1 2 6 Solution: By Theorem 3. where 12 6 1 1 b = 0 .2679ω.9. 4. ω i . 1 − 4ω.8. SOLVING LINEAR SYSTEMS Example Problem 3. ω = 1 apparently did not lead to convergence. Thus our algorithm becomes: 1. e(k) = x(k) − x.) Compare this to the results of Example Problem 3. Given iterate x(k−1) . with Q the identity matrix.7321ω. Expanding e (k−1) similarly gives e(k) = (I − ωk A) (Iωk−1 A) e(k−2) k = i=1 I − ωi A e(0) .2679. it can be shown that e(k) = (I − ωk A) e(k−1) where.10).8. In this case the polynomial we consider is f (x) = x0 −ωx1 .7321. deﬁne x(k) = (I − ωk A) x(k−1) + ωk b. Select some initial iterate x(0) . convergence was observed.8 leads to an interesting possible variant of the iterative scheme. we have convergence if and only if I − ωA 2 <1 We now use the fact that “eigenvalues commute with polynomials. A = 2 4 0 .44 CHAPTER 3. Following the analysis for Theorem 3. where for this system. then f (λ) is an eigenvalue of the matrix f (A). while for Example Problem 3. For simplicity we will only consider an alteration of Richardson’s Iteration.8 A Free Lunch? The analysis leading to Theorem 3. 1 − 4.

then convergence to the exact solution could be guaranteed after only m iterations. However. to be zero. then k i=1 1 − ω i λj is an eigenvalue of B. regardless of the choice of e (0) it to somehow ensure that the matrix k B= i=1 I − ωi A has all zero eigenvalues. . This suggests how we are to pick the weightings: let them be the inverses of the eigenvalues of A. if A has a small number of distinct eigenvalues. This eigenvalue is zero if one of the ω i for 1 ≤ i ≤ k is 1/λj . As you may have guessed from the title of this subsection. We again make use of the fact that eigenvalues “commute” with polynomials to claim that if λj is an eigenvalue of A. or all its eigenvalues. some.3. in some limited situations this algorithm might be practical if the eigenvalues of A are known a priori. this is not exactly a practical algorithm. or. for a given arbitrary matrix A. The problem is that it is not simple to ﬁnd. ITERATIVE SOLUTIONS 45 Remember that we want e(k) to be small in magnitude.4. better yet. say m eigenvalues. This problem is of suﬃcient complexity to outweigh any savings to be gotten from our “free lunch” algorithm. In fact. one. regardless of the size of the matrix. One way to guarantee that e(k) is zero.

6) Prove that the inverse of the matrix 1 a2 a3 . . set up a linear 2 × 2 system of equations to ﬁnd the t. .2) Perform back substitution to solve the equation 1 0 0 0 3 2 0 0 5 4 2 0 3 3 x = 1 2 −1 −1 1 2 ıve (3. 0 0 ··· 0 0 0 .6 −0.0590 0. .3) Perform Na¨ Gaussian Elimination to prove Cramer’s rule for the 2D case.48 1 1. That is. how would you detect whether they are parallel? How is this related to the form of the solution to a system of two linear equations? (See Exercise (3. If you were going to write a program to detect the intersection of two lines.088 2 −0.744 2.2372 −0.088 −0. SOLVING LINEAR SYSTEMS (3. Your code should ﬁnd the x such that Ax = b. usingna¨ Gaussian Elimination ıve −3 6 0 8 24 16 3 −1 −2 (a) 9 −1 −4 (b) 1 12 11 (c) 1 −2 0 −4 5 −8 4 13 19 −6 10 13 (3. .5) Given two lines parametrized by f (t) = at + b.. .6452 (3.744 2. .b) where A is a 2 × 2 matrix.4) Implement Cramer’s rule to solve a pair of linear equations in 2 variables.1080 −0. s at the point of intersection of the two lines.3)) Test your code on the following (augmented) systems: 1 1 3 −2 1. and g(s) = cs + d. . . .24 −3. (See Exercise (3. and b and x are 2 × 1 vectors. .46 Exercises CHAPTER 3.3528 (d) 0. Your m-ﬁle should have header line like: function x = cramer2(A. prove that the solution to a b x f = c d y g is given by det y= det a f c g a b c d det and x= det f g b d a b c d (3.1) Find the LU decomposition of the followingmatrices. . 1 . an 0 0 ··· 1 0 ··· 0 1 ··· .4348 0.48 (a) (b) (c) 4 −3 −1 −0.3)) (3.24 −3.

1 (Hint: Multiply them together. Consider Richardson’s Iteration x(k+1) = (I − ωA) x(k) + ωb. (b) Prove that max {|λ| : 1 − ωβ ≤ λ ≤ 1 − ωα} is minimized when we choose ω such that 1 − ωβ = − (1 − ωα) .. |α + β| . 0 0 ··· 0 0 0 . y (k) converges to the (normalized) eigenvector associated with the largest eigenvalue of A. . ITERATIVE SOLUTIONS is the matrix 47 1 −a2 −a3 . with 0 < α ≤ β.5 2 3 4 −3 5 10 100 1 0. which row of the following matrix will be the ﬁrst pivot row? 10 17 −10 0. . .4.8) Let A be a symmetric positive deﬁnite n × n matrix with n distinct eigenvalues. −an 0 0 ··· 1 0 ··· 0 1 ··· .9) Consider the equation 1 3 5 −5 −2 2 4 x = −6 4 −3 −4 10 Letting x(0) = [1 1 0] . (3. 1 − ωα].3 0.1 0. ﬁnd the iterate x(1) by one step of Richardson’s Method. (Hint: It may help to look at the graph of something versus ω.) (c) Show that this relationship is satisﬁed by ω = 2/ (α + β). Recall that e(k+1) = (I − ωA) e(k) . . (a) Show that the eigenvalues of I − ωA are in the interval [1 − ωβ.3 −4 0. And by one step of Jacobi Iteration. Letting y (0) = b/ b 2 .9 −3 3 −3 0.1 0. (3. .) (3. . and α + β = 0.1 0 (3. And by Gauss Seidel. β]. Ay (k) 2 (a) What is y (k) 2 ? (b) Show that y (k) = Ak b/ Ak b 2 .3.01 −1 0. . (d) For this choice of ω show that the spectral radius of I − ωA is |α − β| . consider the iteration y (k+1) = Ay (k) . (c) Show that as k → ∞. . .10) Let A be a symmetric n × n matrix with eigenvalues in the interval [α. . .7) Under the strategy of scaled partial pivoting.

p(x) of degree k with p(0) = 1. . (c) Argue that r (k+1) = min p(A)r (0) . SOLVING LINEAR SYSTEMS (e) Show that when 0 < α. 1020]? Why? (3. .k) Your code should return x(k) based on the iteration x(j+1) = x(j) − ω Ax(j) − b . (a) Show that if x ∈ x(0) + Dk . (b) Prove that. .12) Let A be a nonsingular n × n matrix. Consider the following iterative method: Let x (k+1) be the x that solves x∈x(0) +Dk min b − Ax 2 . Ar (0) . Let w take the place of ω. this quantity is always smaller than 1. b for which you know the actual solution to the problem.x0. . . Test your code for A. Try diﬀerent values of ω. . Your m-ﬁle should have header line like: function xk = richardsons(A. 20] or A2 with eigenvalues in [1010. . .11) Implement Richardson’s Iteration to solve the system Ax = b. Let r (k) = b − Ax(k) .. (Hint: Start with A and the solution x and generate b.) . and let x0 be the initial iterate x (0) .w. 0 0 0 ··· −2 These can be generated by the octave command A = toeplitz([-2 1 0 0 0 0 0 0]). . . . including ω = 1. . (3. . .48 CHAPTER 3. Use this polynomial to show that r (n) 2 ≤ 0. . (f) Prove that if A is positive deﬁnite. and let Pk be the set of polynomials. . 2 p∈Pk 2 (d) Prove that this iteration converges in at most n steps.) Test your code on the following matrices: • Let A be the Hilbert Matrix . (g) For which matrix do you expect faster convergence of Richardson’s Iteration: A 1 with eigenvalues in [10. then there is an ω such that Richardson’s Iteration with this ω will converge for any choice of x (0) . We wish to solve Ax = b. or whatever (smallish) integer. Let x (0) be some starting vector. (Hint: Argue for the existence of a polynomial in Pn that vanishes at all the eigenvalues of A. This is generated by the octave command A = hilb(10). including ω = −1/2. • Let A be a Toeplitz matrix of the form: −2 1 0 ··· 0 1 −2 1 · · · 0 1 −2 · · · 0 A= 0 . Ak r (0) . such that b − Ax = p(A)r (0) . Try diﬀerent values of ω. conversely.b. . let Dk be span r (0) . for any p ∈ P k there is some x ∈ x(0) + Dk . then b − Ax = p(A)r (0) for some p ∈ Pk .

if 0 ∈ [a. 2.2. b such that f (a). from calculus class. f (b) there is no c ∈ [a. The function f (x) = x is not continuous at 0.. The user might give f. If. The simplest method is that of bisection. the IVT tells us that if f (x) is continuous and we know a. In particular.e. and might have a root in the interval [a. b]. There are a number of easily conceivable problems: 1. 4. Thus if 0 ∈ [a. f (c) have diﬀerent signs. f (a).1 (Intermediate Value Theorem). If f (x) is continuous on [a. If this does not hold then one and only one of the two following options holds: 1. f (b). The IVT is best illustrated graphically. Note that continuity is really a requirement here–a single point of discontinuity could ruin your whole day. then there is some root in [a. depending on which of these two options hold. A decent estimate of the root is c = a+b . We 2 should perform a “sanity check” on the input to make sure f (a). taking c = a+b . f (b) have diﬀerent signs. 49 . c] or [c. In this case the function f might be legitimately continuous. 2 We can check whether f (c) = 0. respectively. i. a. b] it happens to be the case that for every y between f (a). f (a). 1 Example 4. it is impossible for a computer to test whether a given black box function is continuous. f (b) have diﬀerent sign. b] such that f (c) = y. b]. b such that f (a). In particular. the algorithm would be at an impasse. We now choose to recursively apply bisection to either [a. Thus malicious or incompetent users could cause a na¨ ıvely implemented bisection algorithm to fail. The following theorem.1 Modiﬁcations Unfortunately. as the following example illustrates. insures the success of the method Theorem 4. b] . some c such that f (c) = 0. b] then for any y such that y is between f (a) and f (b) there is a c ∈ [a.1. we cannot apply the IVT. b]. f (c).Chapter 4 Finding Roots 4. b] such that f (c) = y.1 Bisection We are now concerned with the problem of ﬁnding a zero for the function f (x). f (b) have the same sign. f (c) all have the same sign. f (b) have diﬀerent signs.

0. A well implemented version of bisection should check the length of its input interval.) is called that |b − a| is half the length of the interval in the previous call. b0 ]. The pseudocode bisection algorithm is given as Algorithm 1. that |f (a)| .. b]. where c is some root of f . 3. compared to machine precision. zero. guesses x2 . x0 . Recall that we think of computers as storing numbers in the form ±r × 10 k . the algorithm run bisection will return c such that |c − c | ≤ |b−a| 2n . x3 . . and that f (a)f (b) might be too small to be representable in the computer. Another common error occurs in the testing of the signs of f (a). We are claiming that bn − a n = = bn−1 − an−1 2 b0 − a 0 2n Theorem 4.3 (Bisection Method Theorem). Note that one of a1 . The user might give f such that f has no root c that is representable in the computer’s memory. b. b1 will be c0 . a. or positive. respectively. due to rounding. That is. The user might give f. be the same as one of the endpoints. one iteration of the algorithm produces a number x 1 . FINDING ROOTS 2. this might lead to an inﬁnite search on smaller and smaller intervals about some discontinuity of f . In this case. given a ﬁnite number of bits to represent a number. resulting in an inﬁnite recursion. 1 depending on whether x is negative. 4. we know that f (x + h) ≈ f (x) + f (x)h. Recalling Taylor’s Theorem. A wiser choice is if (sign(f(a)) * sign(f(b)) > 0) then . . If f (x) is a continuous function on [a.50 CHAPTER 4.. the behaviour of the algorithm may be like that of the previous case..2 Convergence We can see that each time recursive bisection (f. a. |f (b)| might be very small.2 Newton’s Method Newton’s method is an iterative method for root ﬁnding. It may legitimately be the case that none of them is a root to f . moreover has no root in the interval [a. For a poorly implemented algorithm. where the function sign (x) returns −1. Formally call the ﬁrst interval [a 0 . and unpredictable behaviour would ensue. f (b). A slick programmer might try to implement this test in the pseudocode: if (f(a)f(b) > 0) then . b such that f is not continuous on [a. In fact. . xn follow identically. . b]. and the other will be either a0 or b0 . in which case the midpoint of the interval will. the algorithm might descend to intervals as small as machine precision. . Note however. Newton’s method uses “linearization” to ﬁnd an approximate root. 4. only a ﬁnite number of such numbers can be represented. and the ﬁrst midpoint c0 . and give up if the length is too small. Let the second interval be [a1 . b1 ]. this calculation would be rounded to zero.1. etc. b] such that f (a)f (b) < 0. then after n steps.. starting from some guess at the root. . which is supposed to be closer to a root. . .

4. f (xk ) (4. Moreover. NEWTON’S METHOD Algorithm 1: Algorithm for ﬁnding root by bisection. This may preclude Newton’s method from being used when f (x) is a black box.1.2. along with the linearization of f (x) at xk . c ← a+c . Input: a function. f a ← f c. δ.2. two endpoints. takes some guess x k and returns xk+1 deﬁned by xk+1 = xk − f (xk ) . 2 (19) return c 51 This approximation is better when f (·) is “well-behaved” between x and x + h. (3) if f af b > 0 (4) throw an error. test if f (a0 )f (b0 ) < 0. the derivative of the function must be known. run bisection(f. f (x) An iteration of Newton’s method. (5) else if f af b = 0 (6) if f a = 0 (7) return a (8) else (9) return b (10) Let c ← a+b 2 (11) while b − a > 2δ (12) Let f c ← f (c).1) An iteration of Newton’s method is shown in Figure 4.. This was also the case with bisection. the success of Newton’s method is dependent on the initial guess x0 . This is easily solved as h= −f (x) .1 Implementation Use of Newton’s method requires that the function f (x) be diﬀerentiable. then. ) (1) Let f a ← sign (f (a)) . c ← c+b . a. Moreover. our algorithm cannot explicitly check for continuity of f (x). and a y-tolerance Output: a c such that |f (c)| is smaller than the y-tolerance. f b ← f c. (13) if |f c| < (14) return c (15) if sign (f a) sign (f c) < 0 (16) Let b ← c.e. 4. As is the case for the bisection method. . b. but for bisection there was an easy test of the initial interval–i. a x-tolerance. Newton’s method attempts to ﬁnd some h such that 0 = f (x + h) = f (x) + f (x)h. (2) Let f b ← sign (f (b)) . 2 (17) else (18) Let a ← c.

e. tol) (1) Let x ← x0. f . It is clear that xk+1 is a root of the linearization.Sfrag replacements 52 CHAPTER 4.. i.” (9) return x. giving up. and a tolerance Output: a point for which the function has small value. Note that if it were the case that f (xk ) = 0 then h would be ill deﬁned. (11) Let n ← n + 1. It happens to be the case that |f (xk+1 )| is smaller than |f (xk )| . its derivative. Algorithm 2: Algorithm for ﬁnding root by Newton’s Method. xk+1 is a better guess than xk . an iteration limit. Our algorithm will test for goodness of the estimate by looking at |f (x k )| . (7) if |f px| < tol (8) Warn “f (x) is small.1: One iteration of Newton’s method is shown for a quadratic function f (x). run newton(f. (10) Let x ← x − f x/f px. . FINDING ROOTS f (xk−1 ) f (xk ) xk−1 xk Figure 4. (4) if |f x| < tol (5) return x. The algorithm will also test for near-zero derivative. x0. an initial guess. Input: a function. (2) while n ≤ N (3) Let f x ← f (x). N. The linearization of f (x) at xk is shown. (6) Let f px ← f (x). n ← 0.

Consider Newton’s method applied to the function f (x) = sin (x) for the initial estimate x0 = 0. Now note that xk+1 = xk − xj k j−1 jxk = 1− 1 j xk .2. However. it were the case that C = 1. If x > e1 .000001.6.2. for example.3 Convergence When Newton’s Method converges. We illustrate them here. if e0 were 0. we know f (x) > 0. where r is the root that the xk are converging to. Of course. That is.5. Thus taking xk+1 = xk − f (xk ) > xk . Consider Newton’s method applied to the function f (x) = ln x . 4. You should verify that there are an inﬁnite number of such x 0 .2. NEWTON’S METHOD 53 4. Note that f (x) is continuous on R+ . f (xk ) The estimates will “run away” from the root x = 1. Example 4. there is no well-deﬁned xk+1 . we ﬁnd that x k is converging to the root. f (x0 ) cos(x0 ) Thus Newton’s method “cycles” between the two values x 0 . f (x1 ) cos(−x0 ) cos(x0 ) f (x0 ) sin(x0 ) = x0 − = x0 − tan x0 = x0 − 2x0 = −x0 .2 Problems As mentioned above. where x0 has the odious property 2x0 = tan x0 . However.4. and the initial estimate x 0 .4. Newton’s method may ﬁnd some iterate x k for which f (xk ) = 0. that |ek+1 | ≤ C |ek |2 . for x > 1. Consider Newton’s method applied to the function f (x) = x j with j > 1. If. Example 4. which is a larger number (and thus worse decrease) when j is larger. convergence is dependent on f (x). it actually displays quadratic convergence. it is converging at a rate slower than we expect from Newton’s method: at each step we have a constant decrease of 1 − (1/j) . −x0 . Example 4. then 1 − ln x < 0. Note that f (x) = 0 has the single root x = 0. in which case. The following theorem formalizes our claim: . That is. Our initial guess is not too far from this root. Consider the identity of x1 : x1 = x 0 − Now consider x2 : x2 = x 1 − f (x1 ) sin(−x0 ) sin(x0 ) = −x0 − − x0 + = −x0 + tan x0 = −x0 + 2x0 = x0 . A number of conceivable problems might come up. and so f (x) < 0. if e k = xk −r. then we would double the accuracy of our root estimate with each iterate. and with initial estimate x0 = 0. consider the derivative: f (x) = 1 x x − ln x 1 − ln x = 2 x x2 Since the equation has the single root x = 0. we would expect e1 to be on the order of 0. However. with initial estimate x x0 = 3.001. It has a single root at x = 1.

One way of solving this problem is to have your subroutine use Newton’s Method to solve some equation equivalent to g(z) − x = 0. see Cheney & Kincaid for the proof [7]. then Newton’s method converges to the unique root of f (x) = 0 for any choice of x 0 ∈ [a. and the deﬁnition of Newton’s method to show that ek+1 = −f (ξk )e2 k . Suppose you had a computer which could perform addition. Note that it is assumed the subroutine cannot evaluate g(z) directly. The theorem never guarantees that some x k will fall into the “attractor” region of a root r of the function. 4. students make the mistake of using Newton’s Method to try to solve a linear equation. The key to the proof is using Taylor’s theorem. f (x) = 0 on [a. so this equation needs to be modiﬁed to satisfy the computer’s constraints. Newton’s method will converge quadratically to r.2. If f (x) has two continuous derivatives. The theorem that follows gives suﬃcient conditions for convergence to a particular root.54 CHAPTER 4. then xk+1 is in the region. 3.5 and Example 4.4 Using Newton’s Method Newton’s Method can be used to program more complex functions using only simple functions. The proof requires that r be a simple root. and is omitted. In particular the region is chosen to be so small that if x k is in the region. subtraction. where z is the input to the subroutine. then there is some D such that if |x 0 − r| < D.7 (Newton’s Method Convergence). 3. When this does not hold we may get only linear convergence. The proof is based on arguments from real analysis. that is that f (r) = 0. as in Example 4. 2. as in Example 4. multiplication. 4.6. Take note of the following. Both |f (a)| ≤ (b − a) |f (a)| and |f (b)| ≤ (b − a) |f (b)| hold. and 1. The proof then proceeds by showing that there is some region about r such that (a) in this region |f (x)| is not too large and |f (x)| is not too small. b] . and (b) if xk is in the region. though: 1. Theorem 4. b]. Quite often when dealing with problems of this type. This should be an indication that a mistake was made. division. and it was your task to write a subroutine to compute some complex function g(·). If f (x) has two continuous derivatives on [a. FINDING ROOTS Theorem 4. b]. b]. .8 (Newton’s Method Convergence II [2]). 2. f (a)f (b) < 0. since Newton’s Method can solve a linear equation in a single step: Example 4. The iteration is given as axk + b .4.9. 2f (xk ) where ξk is between xk and r = xk + ek . and storing and retrieving numbers. Consider Newton’s method applied to the function f (x) = ax + b. then the factor 2 ek will outweigh the factor |f (ξk )| /2 |f (xk )| . xk+1 ← xk − a This can be rewritten simply as xk+1 ← −b/a. and r is a simple root of f (x). f (x) does not change sign on [a. You can roughly think of this region as an “attractor” region for the root.

e. n ← 0. 4. Example Problem 4. this will not work. (2) Let x ← sign (z) . The ﬁnal subroutine is given in Algorithm 4. this equation is linear in x.3 Secant Method The secant method for root ﬁnding is roughly based on Newton’s method. However. 2 2xk z − x2 k . Since the subroutine can only use subtraction and multiplication. Devise a subroutine using only simple operations which computes the square root of an input number z. the slope of the tangent . multiplication and division. Example Problem 4. Solution: We are tempted to use the linear function f (x) = (1/z) − x. The Newton step becomes xk+1 ← xk − after some simpliﬁcation this becomes xk+1 ← xk z + . The Newton step is xk+1 ← xk − z − (1/xk ) 2 = xk − zxk + xk = xk (2 − zxk ) . Instead apply Newton’s Method to f (x) = z − (1/x) . SECANT METHOD 55 The following example problems should illustrate this process of “bootstrapping” via Newton’s Method. it is not assumed that the derivative of the function is known.4. however. x k .10. −2xk Note this relies only on addition. But this is a linear equation for which Newton’s Method would reduce to x k+1 ← (1/z) . Instead let f (x) = z − x2 . then √ x = z.11. Input: a number Output: its multiplicative inverse invs(z) (1) if z = 0 throw an error. can ﬁnd (1/z) .3. (5) Let n ← n + 1. √ Solution: The temptation is to ﬁnd a zero for f (x) = z − x. i. Devise a subroutine using only subtraction and multiplication that can ﬁnd the multiplicative inverse of an input number z. You can easily see that if x is a positive root of f (x) = 0. 1/x2 k Note this step uses only multiplication and subtraction. The subroutine is given in Algorithm 3.. More speciﬁcally. Algorithm 3: Algorithm for ﬁnding a multiplicative inverse using simple operations. (3) while n ≤ 50 (4) Let x ← x (2 − zx) . rather the derivative is approximated by the value of the function at some of the iterates.

56 CHAPTER 4. (5) Let n ← n + 1. f (xk−1 )) and (xk . f (xk )) . i. xk+1 is a better guess than xk . which is f (xk ) − f (xk−1 ) xk − xk−1 Thus the iterate xk+1 is the root of this secant line. which is f (xk ) is approximated by the slope of the secant line passing through (xk−1 . f (xk )) is shown. It happens to be the case that |f (xk+1 )| is smaller than |f (xk )| . xk − xk−1 . The secant line through (xk−1 .. n ← 0. PSfrag replacements f (xk+1 ) f (xk−1 ) f (xk ) xk xk+1 xk−1 Figure 4.2: One iteration of the Secant method is shown for some quadratic function f (x). That is. f (xk )) . Input: a number Output: its square root sqrt(z) (1) if z < 0 throw an error. it is a root to the equation f (xk ) − f (xk−1 ) (x − xk ) = y − f (xk ). (3) while n ≤ 50 (4) Let x ← (x + z/x) /2. f (xk−1 )) and (xk . (2) Let x ← 1. line at (xk .e. FINDING ROOTS Algorithm 4: Algorithm for ﬁnding a square root using simple operations.

the iterates diverge towards inﬁnity. f (xk ) − f (xk−1 ) xk − xk−1 f (xk ).0000000008072 0.3. We illustrate a few possible problems: Example 4. and the initial estimates x 0 .5 0.2. looking for a nonexistant root.43849426498855 × 10 −15 4. We give the iterates here: k 0 1 2 3 4 5 6 7 8 9 10 xk 2 0.4. x1 = 1 . with x0 = 2.177482458876898 0.22880033820638 × 10 −09 −7. Example 4. We .868254072087394 0. The secant method can suﬀer from some of the same problems that Newton’s method does.13. SECANT METHOD Since the root has a y value of 0.12.953491494113659 1. along with the secant line.52969840528617 × 10 −06 3.666666666666667 1. Consider the secant method for the function f (x) = ln x . An iteration of the secant method is shown in Figure 4. Note also that the secant method requires two initial guesses.00706900811804 0.0013544492875992 −9. we have 57 f (xk ) − f (xk−1 ) (xk+1 − xk ) = −f (xk ). x As with Newton’s method. with x0 = 3.999661272951803 0. x1 . xk+1 = xk − f (xk ) − f (xk−1 ) (4.0284762692197613 −0.125 −0. Consider the secant method used on x 3 + x2 − x − 1. but can be used on a black box function. 2 Note that this function is continuous and has roots ±1.1 Problems As with Newton’s method.459842466254495 −0.999999999999998 f (xk ) 9 −1. convergence is dependent on f (x).999997617569723 1.3.925925925925926 2.44186046511628 0. x1 .2) You will note this is the recurrence of Newton’s method. as we will see. x1 = 4.63467367653163 −0. but with the slope f (xk ) substituted by the slope of the secant line. xk − xk−1 xk − xk−1 xk+1 − xk = − f (xk ). x 0 .

8466075548 73636.366204096222703 0. xp ← x0. (12) Let n ← n + 1. with initial estimates x0 = −1.346573590279973 0.000621298692241343 0.543986613847 366. tol) (1) Let x ← x1.0160949419231219 0. (11) Let f h ← f (x).7196085218 43924. Because the secant method involves two iterates. x1.14.69020766155 9203. f h ← f (x1).010135406045582 0.000152191807070607 1 1 Example 4. run secant(f. We assume that r is a root of f (x).103911011441661 0.6548475770851 33.3380435135758 117.58 give some iterates here: k 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 xk 3 4 21. (2) while n ≤ N (3) if |f h| < tol (4) return x. (6) if |f px| < tol (7) Warn “secant slope is too small.54125113444 1878.00401318169994875 0.142011128224341 0.000991714984152597 0.0254089165873003 0.000388975250950428 0.9111765137635 67. (10) Let x ← x − f h/f px. f p ← f (x0).60222260594 15533. N. Consider Newton’s method applied to the function f (x) = 1+x2 − 17 .” (8) return x.0625163004418104 0. an iteration limit. You can easily verify that f (x0 ) = f (x1 ).673898472 CHAPTER 4. and let en = r − xn .889164762149 637.060241341843 1096. And thus x 2 is not deﬁned. and a tolerance Output: a point for which the function has small value. we assume that we will ﬁnd some . x0.000243375589137882 0.34688714646 3201.0025208146648422 0. f p ← f h. 4.00158175793894727 0.1606791089 26149.94672271613 5437.820919458675 210. giving up.00638363233543847 0. n ← 0. and thus the secant line is horizontal. FINDING ROOTS f (xk ) 0.2 Convergence We consider convergence analysis as in Newton’s method. initial guesses. Input: a function. Algorithm 5: Algorithm for ﬁnding root by secant method.3. (9) Let xp ← x. (5) Let f px ← (f h − f p)/(x − xp).0404780904944712 0. x1 = 1.

this is the case. ek . we arrive at the imprecise equation: ek+1 ≈ − f (r) ek ek−1 = Cek ek−1 . with α = 2. Recall that this held true for Newton’s method. α 1 1 1 1 Since this equation is to hold for all e k . 1 . we must have α =1+ √ This is solved by α = 1 1 + 5 ≈ 1. SECANT METHOD 59 relation between ek+1 and the previous two errors. This is somewhere between the convergence rates for bisection and Newton’s method. A |ek |α = |ek+1 | = C |ek | |ek−1 | = CA− α |ek |1+ α . the proof relies on ﬁnding some “attractor” region and using continuity. Omitting all the nasty details (see Cheney & Kincaid [7]).62.4. so Then we have |ek−1 | = A− α |ek | α . Indeed. ek−1 . .3. We now postulate that the error terms for the secant method follow some power law of the following type: |ek+1 | ∼ A |ek |α . 2f (r) Again. Thus we say that the secant method enjoys superlinear 2 convergence. We try to ﬁnd the α for the secant method. Note that |ek | = A |ek−1 |α .

In this case you will have to set f to the name of an m-ﬁle (without the “. (c) Falls into a cycle for some choice of x 0 . Find x2 . you should have the subroutine return the current iterate if zx is suﬃciently close to 1. b. with an initial estimate of x 0 = 3. given z. call it I 1 ? What is I2 ? I6 ? (4. b0 = 1. Is this a reasonable way to write a subroutine that. fp. b2 ? √ (4. 1 1 xk+1 = xk + 2 xk converge to? (4. (b) Finds a root for every choice of x 0 .9) How will Newton’s Method perform for ﬁnding the root to f (x) = |x| = 0? (4.x) when f is a string with the name of some function evaluates that function at x. . (4. This works for builtin functions and m-ﬁles. Your m-ﬁle should have header line like: function c = run_bisection(f. with a 0 = 0. via Newton’s Method.11) Implement the bisection method in octave/Matlab. b0 = 1. N. (4. . (4. with a 0 = 0.11) Your answer should be correct to 5 decimal places.0001).7) Use Newton’s Method to devise a sequence x 0 . 0.12) Implement Newton’s Method. 2]. (c) Run your code on the function f (x) = x − cos x.60 Exercises CHAPTER 4. (b) Run your code on the function f (x) = x 2 − 5x + 3. (4. tol) where f is the name of the function. say within the interval (0. Your m-ﬁle should have header line like: function c = invs(z) where z is the number to be inverted.10) Implement the inverse ﬁnder described in Example Problem 4. √ (4. such that xk → ln 10. What are a1 . (cf. .3) Consider bisection for ﬁnding the root to cos x = 0.2) Approximate 10 by using two steps of Newton’s method. tol) where f is the name of the function. FINDING ROOTS (4. Example Problem 4. x0. You may wish to use the builtin function sign.4) What does the sequence deﬁned by x0 = 1. x1 . In this case you can set f = "cos". computes ln z? (Hint: such a subroutine would require computation of exk . a. What is the next interval considered. Let the initial interval I 0 be [0. Can you ﬁnd some z for which the algorithm performs poorly? (4.8) Give an example (graphical or analytic) of a function. b0 = 1. (a) Run your code on the function f (x) = cos x. with a0 = 0. Start with x0 = 2. b0 = 2. Run your code to ﬁnd zeroes of the following functions: (a) f (x) = tan x − x. b1 ? What are a2 . Recall that feval(f. Is this possible for rational xk without using a logarithm? Is it practical?) (4. the cubed root of some input number z. .6) Use Newton’s Method to approximate 3 9. and fp is its derivative.10. Your m-ﬁle should have header line like: function x = run_newton(f. f (x) for which Newton’s Method: (a) Does not ﬁnd a root for some choices of x 0 . (d) Converges slowly to the zero of f (x).1) Consider the bisection method applied to ﬁnd the zero of the function f (x) = x 2 − 5x + 3. As an extra termination condition.9999.m”) which will evaluate the given f (x). with a0 = 0.5) Devise a subroutine using only simple operations that ﬁnds.

x0. (c) f (x) = x7 − 7x6 + 21x5 − 35x4 + 35x3 − 21x2 + 7x − 1.13) Implement the secant method Your m-ﬁle should have header line like: function x = run_secant(f. N.3. for small. (Note: This function also has no zeroes.4. Run your code to ﬁnd zeroes of the following functions: (a) f (x) = tan x − x.) (c) f (x) = 2 + sin x. (4.) . x1. (d) f (x) = (x − 1)7 . (Note: This function has no zeroes. (b) f (x) = x2 + 1. SECANT METHOD 61 (b) f (x) = x2 − (2 + )x + 1 + . tol) where f is the name of the function.

62 CHAPTER 4. FINDING ROOTS .

which we want to approximate with a polynomial p(x).” Sometimes. The xi values are called “nodes. y n We consider the problem of ﬁnding a polynomial that interpolates a given set of values: where the xi are all distinct. xi − x j (5.1. then p n also has this property. xn f (x) f (x0 ) f (x1 ) . . . .. Deﬁnition 5.1) 63 . x n y 0 y1 . we will consider a variant of this problem: we have some black box function. there is an n-degree polynomial that interpolates it. . for any such set of data. . We present a constructive proof of this fact by use of Lagrange Polynomials.. . A polynomial p(x) is said to interpolate these data if p(x i ) = yi for i = 0. . n. 5.1 Polynomial Interpolation x y x 0 x1 . .1 (Lagrange Polynomials). . the Lagrange polynomials are the n + 1 polynomials i deﬁned by i (xj ) = δij = 0 if i = j 1 if i = j Then we deﬁne the interpolating polynomial as n pn (x) = i=0 yi i (x). f (xn ) for some choice of distinct nodes xi . We do this by ﬁnding the polynomial interpolant to the data x x0 x1 . f (x).Chapter 5 Interpolation 5. . For a given set of n + 1 nodes x i . If each Lagrange Polynomial is of degree at most n. 1. The Lagrange Polynomials can be characterized as follows: n i (x) = j=0.1 Lagranges Method As you might have guessed. j=i x − xj .

both interpolating the data. call them p(x).3.2 (Interpolant Existence and Uniqueness). Let r(x) = p(x) − q(x). x1 . Construct the polynomial interpolating the data x y 1 1 3 2 3 −10 2 by using Lagrange Polynomials. This gives the theorem Theorem 5. Thus we create polynomials pk (x) such that pk (xi ) = yi for 0 ≤ i ≤ k. . q(x) are equal everywhere. Proof. xn . Example Problem 5. . and leads to a diﬀerent algorithm for constructing the interpolant. . we simply let p0 (x) = y0 .e. and the interpolating polynomial calculated using Lagrange Polynomials. Let {x i }n be distinct nodes. in “Lagrange Form” is 2 1 1 p2 (x) = −3(x − )(x − 3) − 8(x − 1)(x − 3) + (x − 1)(x − ) 2 5 2 5. 0 ≡ r(x) = p(x) − q(x). Note that r(x) can have degree no greater than n. . then a new point was given (xn+1 . ..e. . each of degree no greater than n. Each Lagrange Polynomial would have to be updated. there is exactly one polynomial. This method is also constructive. That is. One way to view this construction is to imagine how one would update the Lagrangian form of an interpolant. p(x) of degree no greater than i=0 n such that p(xi ) = yi for i = 0. yet it has roots at x0 . .2 Newton’s Method There is another way to prove existence. i. This could take a lot of calculation (especially if n is large). they are the same polynomial.. INTERPOLATION By evaluating this product for each x j . So the alternative method constructs the polynomials iteratively. The Lagrange Polynomial construction gives existence of such a polynomial p(x) of degree no greater than n. {yi }n . we see that this is indeed a characterization of the Lagrange Polynomials. The only polynomial of degree ≤ n that has n + 1 distinct roots is the zero polynomial. Thus p(x). Solution: We construct the Lagrange Polynomials: 0 (x) = (x − 1 )(x − 3) 1 2 = −(x − )(x − 3) 2 (1 − 1 )(1 − 3) 2 4 (x − 1)(x − 3) = (x − 1)(x − 3) 1 (x) = 1 1 5 ( 2 − 1)( 2 − 3) = (x − 1)(x − 1 ) 1 1 2 1 = 5 (x − 1)(x − 2 ) (3 − 1)(3 − 2 ) 2 (x) Then the interpolating polynomial. yn+1 ). and thus has degree no greater than n. Moreover. Then i=0 for any values at the nodes. i. suppose some data were given. and an interpolant for the augmented set of data is to be found. . Suppose there were two such polynomials. n. . 1. q(x). each polynomial is clearly the product of n monomials.64 CHAPTER 5.1. This is simple for k = 0.

This construction is known as Newton’s Algorithm. 2 the constant polynomial with value y 0 .5 2 2. 1 . so pk+1 (x) will interpolate the data at x0 . POLYNOMIAL INTERPOLATION 2 l0(x) l1(x) l2(x) 1. and thus c = 26. and the resultant form is Newton’s form of the interpolant Example Problem 5. To get the value of the constant we calculate c such that yk+1 = pk+1 (xk+1 ) = pk (xk+1 ) + c(xk+1 − x0 )(xk+1 − x1 ) · · · (xk+1 − xk ). . The following construction works: pk+1 (x) = pk (x) + c(x − x0 )(x − x1 ) · · · (x − xk ).1. .5.5 65 1 0. .5 0 -0. graphically. xk . Verify.1: The 3 Lagrange polynomials for the example are shown. Then 2 1 p2 (x) = 3 + 26(x − 1) + c(x − 1)(x − ) 2 . Then assume we have a proper pk (x) and want to construct pk+1 (x). 3.5 Figure 5. . Solution: We construct the polynomial iteratively: p0 (x) = 3 p1 (x) = 3 + c(x − 1) 1 We want −10 = p1 ( 1 ) = 3 + c(− 2 ). for some constant c. that these polynomials have the property i (xj ) = δij for the nodes 1. Construct the polynomial interpolating the data x y 1 1 3 2 3 −10 2 by using Newton’s Algorithm.5 3 3.5 1 1.4. Note that the second term will be zero for any x i for 0 ≤ i ≤ k.5 -1 0 0. x1 .

5 1 1. Continuing in this way we see that we can write n pn (x) = k=0 where an empty product has value 1 by convention.2: The interpolating polynomial for the example is shown. Then. (5. it must be the same polynomial as the Lagrange interpolant.5 2 2.66 15 CHAPTER 5.1. This can be rewritten in a funny form. we may wonder “Which should we use?” Newton’s Algorithm seems more ﬂexible–it can deal with adding new data.2.2) . The two methods give the same interpolant. We want 2 = p2 (3) = 3 + 26(2) + c(2)( 5 ). The previous iterate pk (x) was constructed similarly. 5. There also happens to be a way of storing Newton’s form of the interpolant that makes the polynomial simple to evaluate (in the sense of number of calculations required).5 3 3. that the degree of pn (x) is no greater than n. . by Theorem 5. where a monomial is factored out of each successive summand: pn (x) = c0 + (x − x0 )[c1 + (x − x1 )[c2 + (x − x2 ) [.3 Newton’s Nested Form Recall the iterative construction of Newton’s Form: pk+1 (x) = pk (x) + ck (x − x0 )(x − x1 ) · · · (x − xk ). by induction. . 5 2 Does Newton’s Algorithm give a diﬀerent polynomial? It is easy to show. INTERPOLATION p(x) 10 5 0 -5 -10 -15 -20 -25 -30 -35 0 0. Then we get 1 −53 (x − 1)(x − ). so we can write: pk+1 (x) = [pk−1 (x) + ck−1 (x − x0 )(x − x1 ) · · · (x − xk−1 )] + ck (x − x0 )(x − x1 ) · · · (x − xk ).]]] ck 0≤j<k (x − xj ) .5 4 Figure 5. and thus c = 2 p2 (x) = 3 + 26(x − 1) + −53 5 .

(5. 5. .. We assume. . xi1 . xj+k ] − f [xj . a k th order divided diﬀerence is a function of k + 1 (not necessarily distinct) nodes. . . for the remainder of this section. . xik ] The divided diﬀerences are deﬁned recursively as follows: • The 0th order divided diﬀerences are simply deﬁned: f [xi ] = f (xi ). . x=0 written as f [xi0 . xi1 . those of the form f [x j . xj+1 . . . xj+k−1 ] xj+k − xj . that we are considering interpolating a function. By “better” we mean requiring few multiplications and additions. . . . xi2 . In this case the higher order diﬀerences can more simply be written as f [xj . vn = c0 + (t − x0 )vn−1 This requires only n multiplications and 2n additions. . xi1 . this provides a better way of calculating pn (t) at arbitrary t. xk ] . . . . xj+2 . we will only consider divided diﬀerences with successive nodes. . . xj+k ] = f [xj+1 . . Compare this with the number required for using the Lagrange form: at least n 2 additions and multiplications. xj+1 . .e. .1. For a given collection of nodes {x i }n and values i=0 {f (xi )}n . . we have values of f (x i ) at the nodes xi . . i. . . . . POLYNOMIAL INTERPOLATION 67 Supposing for an instant that the constants c k were known. . . . . . . This nested calculation is performed iteratively: v0 = c n v1 = cn−1 + (t − xn−1 )v0 v2 = cn−2 + (t − xn−2 )v1 . xik ] = f [xi1 . . .5. xj+k ]. . . xik−1 x ik − x i0 We care about divided diﬀerences because coeﬃcients for the Newton nested form are divided diﬀerences: ck = f [x0 . xj+1 .1.3) Because we are only interested in the Newton method coeﬃcients. Deﬁnition 5.5 (Divided Diﬀerences). x1 .4 Divided Diﬀerences It turns out that the coeﬃcients ck for Newton’s nested form can be calculated relatively easily by using divided diﬀerences. . xik ] − f xi0 . • Higher order divided diﬀerences are the ratio of diﬀerences: f [xi0 . . that is.

x1 . . x3 ] f[ ] 3 −10 2 f[ . . ] 26 24 5 3 Then we calculate f [x0 . ] f [x0 . .68 CHAPTER 5. 3−1 5 f[ . ] f [x0 . Find the divided diﬀerences for the following data x f (x) Solution: We start by writing in the data: x 1 1 2 1 1 3 2 3 −10 2 f[ . from left to right: x x0 x1 x2 x3 f[ ] f [x0 ] f [x1 ] f [x1 . the ﬁrst column just echoes the data: f [x i ] = f (xi ). . x2 ] = 2 − −10 = 24/5. x1 ] = Adding these to the table. x2 ] = So we complete the table: x 1 1 2 24/5 − 26 −53 = . x3 ] f [x1 . x2 ] f [x3 ] Note that by deﬁnition. ] f[ . x2 . x2 . ] 3 Then we calculate: f [x0 . we have −10 − 3 = 26. ] 26 f[ ] 3 −10 2 3 1 24 5 −53 5 That’s supposed to be a joke. x1 . where you compute the following table columnwise. ] f[ .6. We drag out our example one last time: Example Problem 5. x1 . ] f[ . x2 ] f [x0 . . 3 − (1/2) f[ ] 3 −10 2 f[ . x2 ] f [x2 ] f [x2 . ] f[ . x1 ] f[ . (1/2) − 1 x 1 1 2 and f [x1 . INTERPOLATION The graphical way to calculate these things is a “pyramid scheme” 1 . . .

8 (Interpolation Error Theorem). Then n→∞ x∈[−5. how should we pick the nodes? 2. as found in Example Problem 5. 5. . This behaviour is shown in Figure 5. (known as the Runge Function). . If our closed interval is [−1. 1].5. on [−5. 5. . Let p be the polynomial of degree at most n interpolating function f at the n+1 distinct nodes x 0 . b] there is some ξ ∈ [a. . Literally interpreted. ERRORS IN POLYNOMIAL INTERPOLATION 69 You should verify that along the top line of this pyramid you can read oﬀ the coeﬃcients for Newton’s form. If we want to interpolate some function f (x) at n + 1 nodes over some closed interval. Then for each x ∈ [a.3. a good polynomial interpolant of the Runge function of Example 5. xn on [a. It turns out that a much better choice is related to the Chebyshev Polynomials (“of the ﬁrst kind”). then we want to deﬁne our nodes as xi = cos 2i + 1 2n + 2 π .2. By using the Chebyshev nodes.5. see Figure 5. b]. as the following example illustrates. these Chebyshev Nodes are the projections of points uniformly spaced on a semi circle.2 Errors in Polynomial Interpolation We now consider two questions: 1.4.4. b] such that 1 f (n+1) (ξ) f (x) − p(x) = (n + 1)! n i=0 (x − xi ) .7 can be found. You should be thinking that the term on the right hand side resembles the error term in Taylor’s Theorem. Let f (x) = 1 + x2 −1 . Let f (n+1) be continuous.7 (Runge Function). as shown in Figure 5. including the endpoints. 5]. . x1 .5] lim max |pn (x) − f (x)| = ∞. The fact that they are “good” for interpolation follows from the following theorem: Theorem 5. and let p n (x) interpolate f on n equally spaced nodes. Example 5. 0 ≤ i ≤ n.1 Interpolation Error Theorem We did not just invent the Chebyshev nodes. How accurate can we make a polynomial interpolant over a closed interval? You may be surprised to ﬁnd that the answer to the ﬁrst question is not that we should make the xi equally spaced over the closed interval.2.

3: The Runge function is poorly interpolated at n equally spaced nodes.70 CHAPTER 5. as n gets large. the interpolations appear to improve with larger n. this gets worse as n gets larger. .2 -0.4 -6 -4 -2 0 2 4 6 (a) 3. but bad at the edges.8 0.2 0 -0. INTERPOLATION 1 runge 3 nodes 7 nodes 10 nodes 0.6 0. As shown in (c). as in (a). In (b) it becomes apparent that the interpolant is good in center of the interval. At ﬁrst.10 equally spaced nodes 8 runge 15 nodes 7 100000 runge 50 nodes 0 6 -100000 5 -200000 4 -300000 3 -400000 2 -500000 1 0 -600000 -1 -6 -4 -2 0 2 4 6 -700000 -6 -4 -2 0 2 4 6 (b) 15 equally spaced nodes (c) 50 equally spaced nodes Figure 5.7.4 0.

1 -0.3.4 -6 -4 -2 0 2 4 6 0 -6 -4 -2 0 2 4 6 0.2 -0.5.9 0. Apply Rolle’s Theorem to φ(t) to ﬁnd that φ (t) has n + 1 .2 0. Some other facts: f.4 0.4 0. So assume x is not a node. w have n + 1 continuous derivatives.2. Proof. Compare these ﬁgures to those of Figure 5. Make the following deﬁnitions n w(t) = i=0 (t − xi ) . p.10 Chebyshev nodes (b) 17 Chebyshev nodes Figure 5. ERRORS IN POLYNOMIAL INTERPOLATION topleft Sfrag replacements 71 −1 1 Figure 5. by assumption and deﬁnition.7 0.5: The Chebyshev nodes yield good polynomial interpolants of the Runge function. w(x) is nonzero. c= Since x is not a node.5 0. Now note that φ(x i ) is zero for each node xi . and that by deﬁnition of c. That is φ(t) has n + 2 roots.4: The Chebyshev nodes are the projections of nodes equally spaced on a semi circle. in this case both the LHS and RHS are zero.2 0. First consider when x is one of the nodes x i . the interpolant is indistinguishable from the Runge function by eye.6 0. thus φ has this many continuous derivatives. w(x) φ(t) = f (t) − p(t) − cw(t).3 0. For more than about 25 nodes.7. that φ(x) = 0 for our x. f (x) − p(x) .8 0 (a) 3.8 0.6 0. bottomright 1 runge 3 nodes 7 nodes 10 nodes 1 runge 17 nodes 0.

72 CHAPTER 5. and once the nodes and f are ﬁxed. In this case. call it ξ. That is 0 = φ(n+1) (ξ) = f (n+1) (ξ) − p(n+1) (ξ) − cw(n+1) (ξ). β] . Thus the error in a polynomial interpolation is given as 1 f (x) − p(x) = f (n+1) (ξ) (n + 1)! n i=0 0 = f (n+1) (ξ) − c(n + 1)! (x − xi ) . the rescaling of the nodes changes the bound on (t − xi ) so the overall error bound becomes (β − α)n+1 |f (x) − p(x)| ≤ 2n+1 max f (n+1) (ξ) . And w(t) is a polynomial of degree n + 1 in t. 1] have the remarkable property that n i=0 (t − xi ) ≤ 2−n for any t ∈ [−1. 2 (n + 1)! ξ∈[α. Moreover.β] for x ∈ [α.1] The Chebyshev nodes can be rescaled and shifted for use on the general interval [α.8. (n + 1)! which is what was to be proven. In this way we see that φ (n+1) (t) has a root. Then apply Rolle’s Theorem again to ﬁnd φ (t) has n roots. thus the only way we can make the error |f (x) − p(x)| small is by judicious choice of the nodes xi . But p(t) is a polynomial of degree ≤ n. 1] . INTERPOLATION roots. it can be shown that for any choice of nodes x i that n t∈[−1. . 2 (n + 1)! ξ∈[−1. so its n + 1th derivative is easily seen to be (n + 1)! Thus c(n + 1)! = f (n+1) (ξ) f (x) − p(x) 1 = f (n+1) (ξ) w(x) (n + 1)! 1 f (x) − p(x) = f (n+1) (ξ)w(x). β]. 2 0 ≤ i ≤ n. The Chebyshev nodes on [−1. the error for polynomial interpolants deﬁned on Chebyshev nodes can be bounded as 1 |f (x) − p(x)| ≤ n max f (n+1) (ξ) . We have no control over the function f (x) or its derivatives.1] max i=0 (t − xi ) ≥ 2−n . p is determined. In this case they take the form xi = β−α cos 2 2i + 1 2n + 2 π + α+β . Thus the Chebyshev nodes are considered the best for polynomial interpolation. Merging this result with Theorem 5. so p (n+1) is identically zero.

f (x) = − sin(x) − cos(x) 5. n. .b] max i=0 |x − xi | . equally spaced nodes are frequently used for interpolation. . since they are easy to calculate 2 . i = 0. 4 Never underestimate the power of laziness. . Now we claim that |x − xi | ≤ (j − i + 1) h for i < j. 4 where by simple calculus. (b − a) i. Thus it suﬃces to take n large enough such that π n+1 2 ≤ 10−8 22n+1 (n + 1)! By trial and error we see that n = 10 suﬃces. We can assume x is not one of the nodes. and the problems with the Runge Function.2. . .2 Interpolation Error for Equally Spaced Nodes Despite the proven superiority of Chebyshev Nodes. otherwise the product in question is zero. Then n i=0 |x − xi | ≤ h2 (j + 1)!hj 4 (n − j)!hn−j−1 . We now consider bounding n x∈[a.5. . ERRORS IN POLYNOMIAL INTERPOLATION 73 Example Problem 5. As a crude approximation we can assert that f (k) (x) ≤ |cos x| + |sin x| ≤ 2. xj+1 We can show that xi = a + hi = a + |x − xj | |x − xj+1 | ≤ h2 . Then x is between some x j . How many Chebyshev nodes are required to interpolate the function f (x) = sin(x) + cos(x) to within 10−8 on the interval [0. and so we get an overall bound n i=0 2 |x − xi | ≤ hn+1 n! . and |x − xi | ≤ (i − j) h for j + 1 < i. . n Start by picking an x.2. π]? Solution: We ﬁrst ﬁnd the derivatives of f f (x) = cos(x) − sin(x) f (x) = − cos(x) + sin(x) .9. 1. It can be shown that (j + 1)!(n − j)! ≤ n!.

How many equally spaced nodes are required to interpolate the function f (x) = sin(x) + cos(x) to within 10−8 on the interval [0.b] where h = (b − a)/n. Example Problem 5. The reason this result does not seem to apply to Runge’s Function is that f (n) for Runge’s Function becomes unbounded as n → ∞. Thus we want to make n suﬃciently large such that hn+1 2 ≤ 10−8 .74 The interpolation theorem then gives us |f (x) − p(x)| ≤ CHAPTER 5. INTERPOLATION hn+1 max f (n+1) (ξ) . . 4 (n + 1) ξ∈[a. we make the crude approximation f (k) (x) ≤ |cos x| + |sin x| ≤ 2. 4(n + 1) where h = (π − 0)/n.10. π]? Solution: As in Example Problem 5. That is we want to ﬁnd n large enough such that π n+1 ≤ 10−8 . 2nn+1 (n + 1) By simply trying small numbers.9. we can see this is satisﬁed if n = 12.

] f[ .4) Complete the divided diﬀerences table: x −1 1 5 −1 1 5 3 3 −2 f[ ] f[ . ] 3 3 −2 75 Find the Newton form of the polynomial interpolant.2) Find the Lagrange Polynomials for the nodes {−1. ] f[ . ERRORS IN POLYNOMIAL INTERPOLATION Exercises (5. . (5. .2. 5}. ] −3 13 21 1 (5.5) Find the polynomial of degree no greater than 3 that interpolates x y −1 1 5 −3 3 3 −2 4 (Hint: reuse the Newton form of the polynomial from the previous question. . ] f[ .1) Find the Lagrange Polynomials for the nodes {−1. ] 6 3 2 3 1 0 3/2 2 3 2 37/8 8 . 1. (5.8) Complete the divided diﬀerences table: x −1 0 1 2 f[ ] f[ . ] f[ . .3) Find the polynomial of degree no greater than 2 that interpolates x y (5.5. . . (5.) (5. ] f[ . 1}.7) Find the polynomial of degree no greater than 3 that interpolates x y (5. .6) Find the nested form of the polynomial interpolant of the data x y x 1 3 4 6 1 3 4 6 −3 13 21 1 by completing the following divided diﬀerences table: f[ ] f[ .

12) Write code to calculate the Newton form coeﬃcients.coefs.xs) where coefs is a vector of the Newton coeﬃcients. octave:6> newtonCoef(xs. Your m-ﬁle should have header line like: function coefs = newtonCoef(xs. octave:3> newtonCoef(xs.10) Let p(x) interpolate the function x −2 at n equally spaced nodes on the interval [0.33333 -0. . and fxs the vector of n + 1 values.xs) ans = 34 octave:4> calcNewton (-3. for the nodes xi and values f (xi ).*xs + xs . INTERPOLATION (Something a little odd should have happened in the last column. octave:8> fxs = xs.xs) ans = 10 (a) What do you get when you try the following? octave:5> xs = [3 1 4 5 9 2 6 8 7 0]. octave:5> fxs = [3 1 4 1 5 9 2 6]. Your m-ﬁle should have header line like: function y = calcNewton(t.11) How many Chebyshev nodes are required to interpolate the function x to within 10−6 on the interval [1.00040 (a) What do you get when you try the following? octave:4> xs = [1 4 5 9 14 23 37 60]. Test your code on the following input: octave:1> xs = [1 -1 2 -2 3 -3 4 -4]. octave:9> newtonCoef(xs.13) Write code to calculate a polynomial interpolant from its Newton form coeﬃcients and the node values.9) Let p(x) interpolate the function cos(x) at n equally spaced nodes on the interval [0.76 CHAPTER 5.ys) (b) Try the following: octave:7> xs = [1 3 4 2 8 -2 0 14 23 15]. octave:3> calcNewton (5.fxs) where xs is the vector of n + 1 nodes. by divided diﬀerences.coefs.coefs.5≤x≤1 as a function of n. Of what degree is the polynomial interpolant? (5. Bound the error max p(x) − x−2 0.08333 0.) Find the Newton form of the polynomial interpolant. Check your code against the following values: octave:1> xs = [1 3 4]. octave:2> coefs = [6 5 1]. 1].fxs) ans = 1.5. 2]. Bound the error max |p(x) − cos(x)| 0≤x≤2 as a function of n.fxs) (5. 2]? (5. xs is a vector of the nodes x i .+ 4. octave:2> fxs = [1 1 2 3 5 8 13 21].00417 -0. and y is the value of the interpolating polynomial at t.05000 0.00020 -0. How small is the error when n = 10? 1 (5.00000 -0.00000 0. How small is the error when n = 10? How small would the error be if Chebyshev nodes were used instead? How about when n = 10? (5.

coefs.xs) (b) Try the following octave:8> xs = [3 1 4 5 9 2 6 8 7 0].xs) 77 .coefs. ERRORS IN POLYNOMIAL INTERPOLATION octave:6> coefs = [1 -1 2 -2 3 -3 4 -4 5 -5].5. octave:10> calcNewton(1. octave:9> coefs = [1 -1 2 -2 3 -3 4 -4 5 -5]. octave:7> calcNewton(0.5.2.

INTERPOLATION .78 CHAPTER 5.

ti+1 ]. but x − ti−1 ≤ 0. . A spline of degree 1. then x − ti > 0. For a spline with this data. the linear polynomial on each subinterval is deﬁned as yi+1 − yi Si (x) = yi + (x − ti ) .1 5.1 First and Second Degree Splines Splines make use of partitions. Example 6.5 2. b]. also known as a linear spline. The linear spline for the following data t y is shown in Figure 6. ti+1 − ti .1 0. 3. Thus if we wish to evaluate S(x). Deﬁnition 6.0 1.75 1. we search for the largest i such that x − t i > 0.3.5 0. S is a linear polynomial. A spline is a function consisting of simple functions glued together. . b]. S is continuous on [a. i=0 A linear spline is deﬁned entirely by its value at the knots. 6. b] if 1. That is. A partition of the interval [a. given t y t 0 t1 . then evaluate Si (x).0 0.4 0. ti+1 ] . y n Note that if x ∈ [ti . t n y 0 y1 . 79 0.Chapter 6 Spline Interpolation Splines are used to approximate complex functions and shapes. which are a way of cutting an interval into a number of subintervals.0 3 there is only one linear spline with these values at the knots and linear on each given subinterval. .1 (Partition).1. is a function which is linear on each subinterval deﬁned by a partition: Deﬁnition 6. In this way a spline is diﬀerent from a polynomial interpolation. splines are normally piecewise polynomial. 2. A function S is a spline of degree 1 on [a. There is a partition {ti }n of [a. .2 (Linear Splines).3 4. b] is an ordered sequence {t i }n such i=0 that a = t0 < t1 < · · · < tn−1 < tn = b The numbers ti are known as knots. which consists of a single well deﬁned function that approximates a given shape. b] such that on each [ti . The domain of S is [a.0 2.

f (tn ) A function and its linear spline interpolant are shown in Figure 6. ti+1 ]. |f (t) − p(t)| ≤ max {|f (t) − f (ti )| .4 0. 8 Over a given partition. |f (t) − f (ti+1 )|} ..1 Suppose p(t) is the linear polynomial interpolating f (t) at the endpoints of the subinterval [ti . respectively 1 Although we could directly claim Theorem 5. if the spline is being used to interpolate the function f. . if f (t) exists and is bounded by M2 on [ti . . . then |f (t) − p(t)| ≤ M2 (ti+1 − ti )2 . say. then |f (t) − p(t)| ≤ M1 (ti+1 − ti ) . then this is equivalent to interpolating the data t t0 t1 . then for t ∈ [ti . splines are used to interpolate tabulated data as well as functions.8 1 Figure 6.1 First Degree Spline Accuracy As with polynomial functions. To ﬁnd the error bound.. ti+1 ]. we will consider the error on a single interval of the partition. ti+1 ] . The spline interpolant in that ﬁgure is fairly close to the function over some of the interval in question. SPLINE INTERPOLATION 5 4 3 2 1 0 0 0. and is linear between each knot.1. In the latter case. 2 Similarly. 6.8. these become. it is a bit of overkill. if f (t) exists and is bounded by M1 on [ti . and use a little calculus.2 0.1: A linear spline. That is.80 6 CHAPTER 6. but it also deviates greatly from the function at other points of the interval. tn y f (t0 ) f (t1 ) . We are interested in ﬁnding bounds on the possible error between a function and its spline interpolant. In particular. |f (t) − p(t)| is no larger than the “maximum variation” of f (t) on this interval. ti+1 ].6 0. The spline is piecewise linear.2.

or splines of degree 2. The following is a quadratic splne: −x x ≤ 0. b).2 Second Degree Splines Piecewise quadratic splines. Q is continuous on [a. the function and its interpolant are very close.4 0.1. Q(x) = −x2 + 7x − 8 2 ≤ x. 2 0≤i<n M2 |f (t) − p(t)| ≤ max (ti+1 − ti )2 . 0.75. b] such that on [ti . Unlike linear splines.7.6. Qi (x) = ai x2 + bi x + ci .1.4. 1. Q is continuous on (a. There is a partition {ti }i=0 of [a. Example 5. 0. are deﬁned similarly: Deﬁnition 6. 0. 2. 0.9. b] if 1. FIRST AND SECOND DEGREE SPLINES 6 Sfrag replacements 81 function spline interpolant 5.2 0.1) If equally spaced nodes are used. b].5 3 2. 6.4 (Quadratic Splines).1 + sin (1/(0. for the knots 0. b]. cf. We consider why that is. 0.5)) is shown. ti+1 ]. . these bounds guarantee that spline interpolants become better as the number of nodes is increased. quadratic splines are not deﬁned entirely by their values at the knots. The domain of Q is [a.08t + 0.2: The function f (t) = 4.5 5 4.6. |f (t) − p(t)| ≤ M1 max (ti+1 − ti ) . The spline Q(x) is deﬁned by its piecewise polynomials.0 For some values of t. This contrasts with polynomial interpolants.6 0. n 4. x2 − x 0 ≤ x ≤ 2.1.5.5 4 3. 3. A function Q is a quadratic spline on [a.5 2 0 0. Q is a polynomial of degree at most 2.8 1 Figure 6. which may get worse as the number of nodes is increased. along with the linear spline interpolant. Example 6. while they vary greatly in the middle of the interval. 8 0≤i<n (6.

or some other condition. . S. The given data t t 0 t1 . . There is a partition {ti }n of [a. 6. we see that we can deﬁne Qi (x) = Use this at ti+1 : yi+1 = Qi (ti+1 ) = zi+1 − zi (ti+1 − ti )2 + zi (ti+1 − ti ) + yi . For each of the n subintervals. . z i+1 from zi : zi+1 = 2 6. y n give two equations regarding Qi (x). Qi (ti+1 ) = zi+1 . . The condition on continuity of Q gives a single equation for each of the n − 1 internal nodes. 2.1. and suppose that the additional condition to deﬁne the quadratic spline is given by specifying z0 . This totals 3n − 1 equations. Qi (ti ) = zi . S . for example. i=0 You would also expect that a spline of degree k has k − 1 “degrees of freedom. 2 (ti+1 − ti ) zi+1 − zi (ti+1 − ti ) + zi (ti+1 − ti ) .2 (Natural) Cubic Splines If you recall the deﬁnition of the linear and quadratic splines. 2 yi+1 − yi − zi . yi+1 − yi = 2 zi+1 + zi yi+1 − yi = (ti+1 − ti ) . . .82 Thus there are 3n parameters to deﬁne Q(x). . or Q (a) = 0. t n y 0 y1 . . b). . S (k−1) are continuous on (a. SPLINE INTERPOLATION t 0 t1 .3 Computing Second Degree Splines t y t 0 t1 . Thus some additional user-chosen condition is required to determine the quadratic spline. This system is underdetermined.6 (Splines of Degree k). b] such that on [ti . Let zi = Qi (ti ). y n . the spline of degree k is deﬁned by n(k + 1) parameters. We want to be able to compute the form of Q i (x). Q (a) = 0. Because Qi (ti ) = yi .” as we show here. . the data t y CHAPTER 6. t n y 0 y1 . but 3n unknowns. . t n y y 0 y1 . namely that Qi (ti ) must equal yi and Qi (ti+1 ) must equal yi+1 . This is 2n equations. . The domain of S is [a. probably you can guess the deﬁnition of the spline of degree k: Deﬁnition 6. ti+1 − ti zi+1 − zi (x − ti )2 + zi (x − ti ) + yi . . . S is a polynomial of degree ≤ k. from the data alone. . ti+1 ]. b]. One might choose. S . b] if 1. . y n Suppose the data are given. 3. If the partition has n + 1 knots. 2 (ti+1 − ti ) Thus we can determine. A function S is a spline of degree k on [a.

7. < tn = b. Corollary 6. These are the degrees of freedom. with the last equality holding because g(x) is zero at the knots. Derivatives are linear.1 Why Natural Cubic Splines? It turns out that natural cubic splines are a good choice in the sense that they are the “interpolant of minimal H 2 seminorm. The natural cubic spline is best twice-continuously diﬀerentiable interpolant for a twice-continuously diﬀerentiable function. 6. This yields cubic splines. Suppose f has two continuous derivatives. ti+1 ]. a because S (a) = S (b) = 0. and let S be the natural cubic spline interpolating f (x) at some given nodes {ti }n . . meaning that f (x) = S (x) + g (x).” The corollary following this theorem states this in more easily understandable terms: Theorem 6. Thus. Integrating by parts we get b b b b S (x)g (x) dx = S g a a − a S g dx = − S g dx. . . . we can (and must) add k − 1 constraints to uniquely deﬁne the spline. Thus we have k − 1 more unknowns than equations. barring some singularity. The usual choice is to make S (t0 ) = S (tn ) = 0. Then notice that S is a polynomial of degree ≤ 3 on each interval. This is a total of n(k + 1) − (k − 1) equations. Often k is chosen as 3. . (NATURAL) CUBIC SPLINES 83 provide 2n equations. Then g(x) is zero on the (n + 1) knots t i .2. Then b S (x) a 2 b dx ≤ f (x) a 2 dx Proof. Apply the theorem to get b S (x) a 2 b dx ≤ R (x) a 2 dx . . Thus b n−1 b n−1 ti+1 S g dx = a i=0 a ci g dx = i=0 ci g ti = 0. under the measure given by the theorem. Proof. S .6. The continuity of S .8. thus S (x) is a piecewise constant function. Then S(x) interpolates R(x) at these nodes. taking value c i on each interval [ti . We let g(x) = f (x) − S(x). Let R(x) be some twice-continuously diﬀerentiable function i=0 which also interpolates f (x) at these nodes. S (k−1) at the n − 1 internal knots gives (k − 1)(n − 1) equations. This yields the natural cubic spline. We must add 2 extra constraints to deﬁne the spline.2. We show that the last integral is zero. Let f be twice-continuously diﬀerentiable. Then a b f (x) 2 b dx = a S (x) 2 b dx + a g (x) 2 b dx + a 2S (x)g (x) dx. and S is the natural cubic spline interpolating f at knots a = t0 < t1 < .

The method is rather tedious. . And this is for the case of only three nodes. with limk→−∞ tk = −∞ and limk→∞ tk = ∞. . We would like a method easier than setting up the 4n equations and unknowns.9. 2] − 2 x + 3x Finding the constants for the previous example was fairly tedious. Now take the second derivative of S: S (x) = Continuity at the middle node gives b = f. . 2] 6ax + 2b 6ex + 2f x ∈ [−1.3. Solving this by “divide and conquer” gives S(x) = x3 + 3x2 − 2x − 1 x ∈ [−1. 0] ex3 + f x2 + gx + h x ∈ [0.3 B Splines The B splines form a basis for spline functions.1. 0] 3ex2 + 2f x + g x ∈ [0. . 6. whence the name.2 Computing Cubic Splines First we present an example of computing the natural cubic spline by hand: Example Problem 6. < t 2 < t1 < t0 < t1 < t2 < . The natural cubic spline condition gives −6a + 2b = 0 and 12e + 2f = 0. so we leave it to the exercises. 0] x ∈ [0. 2] −a + b − c − 1 = 3 We interpolate to ﬁnd that d = h = −1 and 8e + 4f + 2g − 1 = 3 We take the derivative of S: S (x) = 3ax2 + 2bx + c x ∈ [−1.2. SPLINE INTERPOLATION 6. The B splines of degree 0 are deﬁned as single “blocks”: 0 Bi (x) = 1 ti ≤ x < ti+1 0 otherwise . We presuppose the existence of an inﬁnite number of knots: . 2] Continuity at the middle node gives c = g. .84 CHAPTER 6. Construct the natural cubic spline for the following data: t y −1 0 2 3 −1 3 Solution: The natural cubic spline is deﬁned by eight parameters: S(x) = ax3 + bx2 + cx + d x ∈ [−1. 0] 1 3 2 − 2x − 1 x ∈ [0. something akin to the description in Subsection 6.

. . That is. These B splines are sometimes called hat functions. . The hat functions play a similar role because 1 Bi (tj ) = δ(i+1)j = 1 (i + 1) = j 0 (i + 1) = j Then if we want to interpolate the following data with splines of degree 1: t y We can immediately set S(x) = i=0 t 0 t1 . Some B splines are shown in Figure 6.3.3. ti+2 ). . Imagine wearing a hat shaped like this! Whatever. Harken back to polynomial interpolation and the Lagrange Functions. The nice thing about the hat functions is they allow us to use analogy. We focus on the case k = 1. are nonzero only on one subinterval [ti . • Nonzero only on (ti . t n y 0 y1 . We justify the description of B splines as basis splines: If S is a spline of degree 0 on the given knots and is continuous from the right then S(x) = i 0 S(xi )Bi (x). • Continuous. . y n n 1 yi Bi−1 (x). 1 The B splines quickly become unwieldy. ti+1 ). sum to 1 everywhere.6. the basis splines work in the same way that Lagrange Polynomials worked for polynomial interpolation. The B spline B i (x) is • Piecewise linear. • 1 at ti+1 . The B splines of degree k are deﬁned recursively: k Bi (x) = x − ti ti+k − ti k−1 Bi (x) + ti+k+1 − x ti+k+1 − ti+1 k−1 Bi+1 (x). B SPLINES 85 The zero degree B splines are continuous from the right.

5 1.5 -0.5 -1 0 1 2 3 4 5 6 (c) Degree 2 B spline.5 PSfrag replacements 0 0 -0. in (b). in (c). with 2 Degree 1 B splines Figure 6.86 CHAPTER 6. two of the degree 1 B splines and a degree 2 B spline are shown.5 0 -0. t3 = 4 are shown. .3: Some B splines for the knots t 0 = 1.5 1 1 0. t2 = 3.5. t1 = 2.5 2.5. SPLINE INTERPOLATION 3 3 2.5 -1 0 1 2 -1 3 4 5 6 0 1 2 3 4 5 6 (a) Degree 0 B spline (b) Degree 1 B spline 3 1 B0 (x) 1 B1 (x) 2 (x) B0 2.5 2 1. The two hat functions “merge” together to give the quadratic B spline. In (a).5 0. one of the degree 0 B splines.5 1 0.5 2 2 1. a degree 1 B spline.

assume that Q (0) = −Q (4). β2 .1) Is the following function a linear spline on [0. β. β1 . 4]? Why or why not? S(x) = 3x + 2 −2x + 4 :0≤x<1 :1≤x≤4 87 (6. 2]? Why or why not? S(x) = x+3 3 :0≤x<1 :1≤x≤2 (6.3) Is the following function a linear spline on [0. 4]? Why or why not? S(x) = x2 + 3 5x − 6 :0≤x<3 :3≤x≤4 (6.5) Is the following function a quadratic spline on [0.7) Find constants.6. 5].3. 4]? Why or why not? Q(x) = x2 + 3 5x − 6 :0≤x<3 :3≤x≤4 (6. 2]? Why or why not? Q(x) = x2 + 3x + 2 2x2 + x + 3 :0≤x<1 :1≤x≤2 (6.6) Is the following function a quadratic spline on [0.4) Find constants. . B SPLINES Exercises (6. Assume your solution takes the form α1 (x − 1)2 + β1 (x − 1) − 2 : 0 ≤ x < 1 Q(x) = α2 (x − 1)2 + β2 (x − 1) − 2 : 1 ≤ x ≤ 4 Find the constants α1 . γ such that the following is a quadratic spline on [0. α.8) Find the quadratic spline that interpolates the following data: t y 0 1 4 1 −2 1 To resolve the single degree of freedom. 4x − 2 :0≤x<1 S(x) = αx + β :1≤x<3 −2x + 10 : 3 ≤ x ≤ 5 (6. α. α2 . β such that the following is a linear spline on [0.2) Is the following function a linear spline on [0. 3 1 x2 + 2x + 2 : 0 ≤ x < 1 2 Q(x) = αx2 + βx + γ : 1 ≤ x < 3 2 3x − 7x + 12 : 3 ≤ x ≤ 5 (6. 5].

SPLINE INTERPOLATION (6.9) Find the natural cubic spline that interpolates the data x y 0 1 3 4 2 7 It may help to assume your answer has the form S(x) = Ax3 + Bx2 + Cx + 4 D(x − 1)3 + E(x − 1)2 + F (x − 1) + 2 :0≤x<1 :1≤x≤3 .88 CHAPTER 6.

1) f (ξ)h2 . However. h 2 Remember that ξ is between x and x + h. as h gets smaller. Not surprisingly. even if you worked in inﬁnite precision. Generally the roundoﬀ error will increase as h decreases.Chapter 7 Approximating Derivatives 7. If there is a ﬁnite bound on f (z) on the interval in question then the dropped term is bounded by a constant times h. we have dropped the last term. By now. you should know that any calculation starts with Taylor’s Theorem: f (x + h) = f (x) + f (x)h + f (x) 2 f (ξ1 ) 3 h + h 2 3! f (x) 2 f (ξ2 ) 3 h − h f (x − h) = f (x) − f (x)h + 2 3! 1 This approximation for f (x) should remind you of the deﬁnition of f (x) as a limit. The truncation error for this approximation is O (h). Thus there is a nonzero h for which the sum of these two errors is minimized. we start with Taylor’s theorem: f (x + h) = f (x) + f (x)h + Rearranging we get f (x + h) − f (x) f (ξ)h − . 2 The error that we incur when we approximate f (x) by calculating [f (x + h) − f (x)] /h is called truncation error. See Example Problem 7. we cannot evaluate f (ξ). so we approximate the derivative by dropping the last term.1 due to subtractive cancellation. precision will be lost in equation 7. but its exact value is not known. 89 . f (x) = f (x) = f (x + h) − f (x) + O (h) h (7. The truncation error can be made small by making h small. The error in calculation for small h is called roundoﬀ error.5 for an example of this. we calculate [f (x + h) − f (x)] /h as an approximation 1 to f (x). That is. That is.1 Finite Diﬀerences Suppose we have some blackbox function f (x) and we wish to calculate f (x) at some given x. In so doing. If we wish to calculate f (x). It has nothing to do with the kind of error that you get when you do calculations with a computer with limited precision. you would still have truncation error. We may want a more precise approximation.

. (x) + . . 2 If f (x) is continuous. 3! −2h2 3! f (x) + . .2. then there is some ξ between ξ 1 . .. . assuming f (x) is an analytic function.e. ξ2 such that f (ξ) = is the MVT at work. . . .90 By subtracting these two lines. The following examples illustrate: Example Problem 7. . . . 4! f . . involving the use of Taylor’s Theorem. we get f (x) = f (x + h) − f (x − h) + O h2 2h (This (7. 3! f (ξ1 ) + f (ξ2 ) 3 h 3! f (x + h) − f (x − h) f (ξ1 ) + f (ξ2 ) h2 − 2h 2 6 f (ξ1 )+f (ξ2 ) . 2! 3! 2 3 f (x) + 2hf (x) + 4h f (x) + 8h f (x) + . . then subtract to get some factor of f (x): f (x + 2h) = f (x) + 2hf (x) + f (x + h) = f (x) + hf (x) + f (x + 2h) − f (x + h) = hf (x) + 4h2 2! f (x) + 8h3 3! f (x) + h2 2! f (x) + h3 3! f (x) + 16h4 (4) (x) + 4! f h4 (4) (x) + .2) In some situations it may be necessary to use evaluations of a function at “odd” places to approximate a derivative. 2 3 4f (x) + 4hf (x) + 4h f (x) + 4h f (x) + . Use evaluations of f at x + h and x + 2h to approximate f (x). . APPROXIMATING DERIVATIVES f (x + h) − f (x − h) = 2f (x)h + Thus 2f (x)h = f (x + h) − f (x − h) − f (x) = f (ξ1 ) + f (ξ2 ) 3 h . (f (x + 2h) − f (x + h)) /h = f (x) + Example Problem 7.) Assuming some uniform bound on f (·). . . 2h for f with suﬃcient number of derivatives Solution: In this case we do not have to ﬁnd the approximation scheme. 2! f (x) + 3! f (x) + 4! f Thus (f (x + 2h) − f (x + h)) /h = f (x) + O (h) 4f (x + h) − f (x + 2h) − 3f (x) = f (x) + O h2 . i. . Show that 7h3 15h4 (4) 3h2 (x) + . 2! f (x) + 3! f (x) + 4! f 2 3 7h 15h 3h (4) (x) + . These are usually straightforward to derive. . .. We only have to expand the appropriate terms with Taylor’s Theorem. As before: f (x + h) = f (x) + hf (x) + 4f (x + h) = f (x + 2h) = h3 h2 2! f (x) + 3! f (x) + .1. Solution: First use Taylor’s Theorem to expand f (x + h) and f (x + 2h). one with inﬁntely many derivatives.. 2! 3! −4h3 3! f (4f (x + h) − f (x + 2h) − 3f (x)) /2h = f (x) + 4f (x + h) − f (x + 2h) − 3f (x) = 2hf (x) 4f (x + h) − f (x + 2h) = 3f (x) + 2hf (x) + 0f (x) + 3 + −4h f (x) + . we get CHAPTER 7. it is given to us.

Can we do better? Let’s deﬁne φ(h) = 1 [f (x + h) − f (x − h)] .2 Richardson Extrapolation The centered diﬀerence approximation gives a truncation error of O h2 . This derivation also gives us the centered diﬀerence approximation to the second derivative: f (x) = f (x + h) − 2f (x) + f (x − h) + O h2 .. . . 2 3! 4! f (x) 2 f (x) 3 f (4) (x) 4 f (x − h) = f (x) − f (x)h + h − h + h − .) . The constants ai are a function of f (i+1) (x) only. 4! 6! f (4) (x) 2 f (6) (x) 4 h +2 h + .. 2 3! 4! f (6) (x) 6 f (4) (x) 4 h +2 h + . .1.1 Approximating the Second Derivative Suppose we want to approximate the second derivative of some blackbox function f (x). . which is better than O (h) .7.. h2 (7.3) 7. RICHARDSON EXTRAPOLATION 91 7. We have to be a little tricky. . 3 4 16 64 f (i+1) (x) (i+1)! .. 4 16 64 256 But we can combine this with φ(h) to get better accuracy. but we can get the O h2 terms to cancel by taking the right multiples of these two approximations: 3 15 63 φ(h) − 4φ(h/2) = −3f (x) + 4h4 + a6 h6 + a8 h8 + . k=1 f (x + h) = f (x) + f (x)h + Now add the two series to get f (x + h) + f (x − h) = 2f (x) + h2 f (x) + 2 Then let ψ(h) = f (x + h) − 2f (x) + f (x − h) h2 = f (x) + 2 = f (x) + ∞ Thus we can use Richardson Extrapolation on ψ(h) to get higher order approximations. 4! 6! b2k h2k . . . Again.... 2h Had we expanded the Taylor’s Series for f (x + h).. 4 16 64 1 4 5 21 4φ(h/2) − φ(h) 6 = f (x) − 4h − a6 h − a8 h8 + . (In fact. .2. start with Taylor’s Theorem: f (x) 2 f (x) 3 f (4) (x) 4 h + h + h + . f (x − h) to more terms we would have seen that φ(h) = f (x) + a2 h2 + a4 h4 + a6 h6 + a8 h8 + .. they should take the value of What happens if we now calculate φ(h/2)? 1 1 1 1 φ(h/2) = f (x) + a2 h2 + a4 h4 + a6 h6 + a8 h8 + .

m − 1) . n) By deﬁnition we know how to calculate the ﬁrst column of this table. Let D(n. 1) D(n. 1) D(2. As in divided diﬀerences. every other entry in the table depends on two other entries. . m − 1) − D(n − 1. . The following theorem gives this result: Theorem 7. We claim that D(n. . 2) · · · D(n. and the other to the left and up one space. some approximation: ∞ φ(h) = L + k=1 a2k h2k . n) = L + O h2(n+1) . D(n.m h 2n 2k (0 ≤ m ≤ n) . . We will also use this technique later to get better quadrature rules–that is. m) = 4m D(n. . . n) is a O h2(n+1) approximation to L. and can be repeatedly applied. 0) D(2. . . This technique of getting better approximations is known as the Richardson Extrapolation. ways of approximating the deﬁnite integral of a function. 0) D(1. through theory. n) = L+O h2(n+1) . but tedious. We skip the proof. There are constants a k. m) = L + k=m+1 ak. 0) D(n. n) for some n.92 CHAPTER 7. we use a pyramid table: D(0.. 0) = φ Now deﬁne D(n. induction. First we examine the recurrence for D(n.3 (Richardson Extrapolation). We will be interested in calculating D(n. 2) .m such that ∞ D(n. 4m − 1 (7. m). 7. one directly to the left. APPROXIMATING DERIVATIVES This approximation has a truncation error of O h4 .2. . . and have found. The proof is by an easy. Thus to calculate D(n. . that is D(n. n) we have to compute this whole lower triangular array. We want to show that D(n.1 Abstracting Richardson’s Method We now discuss Richardson’s Method in a more abstract framework.4) h 2n . 0) D(1. 1) D(2. Suppose you want to calculate some quantity L.

√ 1 Attempt to ﬁnd f ( 2). Example Problem 7. 2h √ 2 until subtractive cancelling takes over.7.2. that φ(0.1 1.2.9 0 log 0.1. notice that for this simple example. then making h small gives a good approximation to f The following table illustrates this: .333333333331274 0.333334876543723 0.5. We now try to ﬁnd D(2.333333333333313 Note that we have some motivation to use Richardson’s method in this case: If we let φ(h) = √ √ 1 f ( 2 + h) − f ( 2 − h) . RICHARDSON EXTRAPOLATION 93 7. Solution: The real answer is f (1) = 1/1 = 1.975 ≈ 1. We now try to ﬁnd D(2.01. 2). but our computer doesn’t know that.4.025 log 0.05 1 ≈ 0. Deﬁne 1+h log 1−h 1 [f (1 + h) − f (1 − h)] = . which is supposed to be a O h6 approximation to 1 : 3 n\m 0 1 2 0 1 2 0. Recall that f (x) = 1+x2 .33333371913582 0. Example Problem 7.333339506181068 0. φ(h) = 2h 2h Let’s use h = 0. we have.999999686 ≈ 1.00001) ≈ 0.1 0.000834586 0.2 Using Richardson Extrapolation We now try out the technique on an example or two. Approximate the derivative of f (x) = log x at x = 1.2 ≈ 1.000208411 0.333333333333186 0.95 ≈ 1. already. Consider the ugly function: f (x) = arctan(x). 2). which is supposed to be a O h6 approximation to f (1) = 1: n\m 0 1 2 1. However. 3 Solution: Let’s use h = 0.999994954 2 ≈ 0.999999999. so the value that we are seeking is 1 .05 log 0.000000002 This shows that the Richardson method is pretty good.003353477 1.

33333333334106813 0.01 1 .01 0. PSfrag replacements total error 0.33306690738754691 0 The data are illustrated in Figure 7.94 CHAPTER 7.33306690738754696 0.0 0. The optimal h value is around 1 × 10 −5 .01 gives much better results than this optimal h. we get 13 decimal places from D(2.33306690738754696 0. and a roundoﬀ term which increases.33333336091345694 0.33333950618106845 0.001 0.0001 0. Note that Richardson’s D(2.333333360913457 0. 2) approximation with h = 0.33395069677431943 0.1. 2).39269908169872408 0.0001 1e-06 1e-08 1e-10 1e-12 1e-16 1e-14 1e-12 1e-10 1e-08 1e-06 0.33333333395058062 0. Notice that φ(h) gives at most 10 decimal places of accuracy.33333332760676626 0.33333339506169679 0. The total error is the sum of a truncation term which decreases as h decreases. Note however. then begins to deteriorate.0001 1 × 10−5 1 × 10−6 1 × 10−7 1 × 10−8 1 × 10−9 1 × 10−10 1 × 10−11 1 × 10−12 1 × 10−13 1 × 10−14 1 × 10−15 1 × 10−16 φ(h) 0.1: The total error for the centered diﬀerence approximation to f ( 2) is shown versus h.1 0. 1 √ Figure 7. APPROXIMATING DERIVATIVES h 1.33333333315788138 0.01 0.33339997429493451 0.333333360913457 0.33333333332441484 0.

. .2) Let f (x) be an analytic function. Suppose you have some great computational approximation to the quantity Q such that ψ(h) = Q + a3 h3 + a6 h6 + a9 h9 . Assuming that φ(h) = Q + a2 h2 + a4 h4 + a6 h6 .. (7.9) using Taylor’s Theorem. Can you ﬁnd some combination of ψ(h).25 ? ? (See equation 7. . using h = 4 . . ψ(h/2) which is a O h6 approximation to Q? Complete the following Richardson’s Extrapolation Table. RICHARDSON EXTRAPOLATION Exercises (7. Assuming that φ(h) = Q + a 2 h2 + a4 h4 + a6 h6 . assuming the ﬁrst column consists of values D(n.4) (7.7. φ(λh) which is a O h4 approximation to Q. . Find some linear combination of φ(h) and φ(−h) which is a O h2 approximation to Q. ﬁnd some combination of φ(h). ﬁnd some combination of φ(h). what should you do with λ? Is this practical? Note that the method of Richardson Extrapolation that we considered used the value λ = 1/2.5 ? 2 1. To make the constant associated with the h4 term small in magnitude.8) (7. Let λ be some number in (0. where f (x) = x4 .7) (7.5) (7. Let ψ(h) be the centered diﬀerence approximation to the ﬁrst derivative: ψ(h) = 2 f (x + h) − f (x − h) 2h 4 6 (a) Show that ψ(h) = f (x) + h f (x) + h f (5) (x) + h f (7) (x) + .2. Assuming that φ(h) = Q + a2 h2 + a4 h4 + a6 h6 . φ(h/3) which is a O h4 approximation to Q. i. one which is inﬁnitely diﬀerentiable. Your answer should be something like O h? . say φ(h). and can approximate it with some formula.e..) (b) Use this formula to approximate f (0). h2 (7. give the accuracy of the above approximation. Approximate f (0) with this approximation. .) . (a) What order approximation is this? (Assume f (x) has bounded derivatives of arbitrary order. 0) for n = 0. . 1.3) Derive the approximation f (x) ≈ 4f (x + 3h) + 5f (x) − 9f (x − 2h) 30h (7. (a) Assuming that f (x) has bounded derivatives. . . 2: n\m 0 1 2 0 2 1 1. . and such that φ(h) = Q + a 1 h + a2 h2 + a3 h3 + a4 h4 + .1) Derive the approximation f (x) ≈ 4f (x + h) − 3f (x) − f (x − 2h) 6h 95 using Taylor’s Theorem.4 if you’ve forgotten the deﬁnitions. . φ(h/4) which is a O h4 approximation to Q.6) (7.. 1 (b) Let f (x) = x3 . 1). .. which depends on parameter h.1 Suppose you want to know quantity Q. ﬁnd some combination of φ(h). 3! 5! 7! (b) Show that 8 (ψ(h) − ψ(h/2)) = f (x) + O h2 . and h = 0.

10) Write code to complete a Richardson’s Method table. octave:8> richardsons(col0) .125 0. D(n. given the ﬁrst column. octave:6> richardsons(col0) (b) What do you get when you try the following? octave:7> col0 = [0.25 0. Your m-ﬁle should have header line like: function Dnn = richardsons(col0) where Dnn is the value at the lower left corner of the table.5 1. . 0). n) while col0 is the column of n + 1 values D(i.5 0.9999 0.99 0.03125].0625 0.5 1.5 0. octave:2> richardsons(col0) ans = 0.5 0. .5 0. Test your code on the following input: octave:1> col0 = [1 0.5 1. 1. for i = 0. .5].999 0.9 0. APPROXIMATING DERIVATIVES (7.99999].96 CHAPTER 7.019042 (a) What do you get when you try the following? octave:5> col0 = [1. n. .

Nevertheless. you learned the Fundamental Theorem of Calculus.Chapter 8 Integrals and Quadrature 8. P ) = i=0 97 . you may ﬁnd yourself in a situation where you have to evaluate an integral for just such an integrand. What you might not have been told in Calculus is there are some functions for which a closed form antiderivative does not exist or at least is not known to humankind. An approximation will have to do. ordered collection of nodes x i : a = x0 < x1 < x2 < · · · < xn = b. and F (x) is an antiderivative of f (x). A partition of an interval [a. P. 8.1 The Deﬁnite Integral b Often enough the numerical analyst is presented with the challenge of ﬁnding the deﬁnite integral of some function: f (x) dx. then b a f (x) dx = F (b) − F (a). which claims that if f (x) is continuous. Given such a partition. deﬁne the upper and lower bounds on each subinterval [x j . xj+1 ] as follows: mi = inf {f (x) | xi ≤ x ≤ xi+1 } Mi = sup {f (x) | xi ≤ x ≤ xi+1 } Then for this function f and partition P. deﬁne the upper and lower sums: n−1 L(f.1 Upper and Lower Sums We will review the deﬁnition of the Riemann integral of a function. a In your golden years of Calculus. P ) = i=0 n−1 mi (xi+1 − xi ) Mi (xi+1 − xi ) U (f. b] is a ﬁnite.1.

. P ) ≤ U (f. and the upper sums an overestimate of the integral. and (b) upper sums of a function on a given interval are shown.2. (ii) If we switch to a “better” partition (i. Note that the lower sums are an underestimate. Deﬁnition 8.1. we deﬁne the integral b f (x) dx = inf U (f. P ) = inf U (f. A function f is Riemann Integrable over interval [a. a P You may recall the following Theorem 8. but not necessary. . Consider the Heaviside function: f (x) = 0 x<0 1 0≤x This function is not continuous on any interval containing 0. we expect that L(f. bottomright bottomright (a) The Lower Sum (b) The Upper Sum Figure 8. b]. Notice a few things about the upper. in case f (x) is integrable.1: The (a) lower. P ). b] if sup L(f. a ﬁner one). Moreover. ·) increases and U (f. The notion of integrability familiar from Calculus class (that is Riemann Integrability) is deﬁned in terms of the upper and lower sums. Every continuous function on a closed bounded interval of the real line is Riemann Integrable (on that interval). Continuity is suﬃcient. P ). as in Figure 8.e. P ). but is Riemann Integrable on every closed bounded interval. P P where the supremum and inﬁmum are over all partitions of the interval [a. lower sums: (i) L(f. Example 8. ·) decreases. These approximations to the integral are the sums of areas of rectangles.98 CHAPTER 8. INTEGRALS AND QUADRATURE We can interpret the upper and lower sums graphically as the sums of areas of rectangles deﬁned by the function f and the partition P .1.3.

the inﬁmum of f (x) on each interval occurs at the leftmost endpoint. P )) = [f (xn ) − f (x0 )] = . we have L(f. P )) . if some information is known about the function. P ). P ) − L(f.1. that is x ≤ y implies f (x) ≤ f (y). P ) − L(f. for i = 0. 1. P ). P P so this function is not Riemann Integrable. Consider the Dirichlet function: f (x) = 0 x rational 1 x irrational 99 For any partition P of any interval [a. b]. or for a black box function. we have n−1 L(f. P ) = k=0 n−1 |b − a| mi |xk+1 − xk | = n Mi |xk+1 − xk | = |b − a| n n−1 f (xk ) k=0 n−1 U (f. . P )) . using this method on some function f (x) which is monotone increasing. THE DEFINITE INTEGRAL Example 8. The method cuts the interval [a. b] by means of a number of evaluations of f at points in this interval.4. P ) = 0. it is usually not feasible to ﬁnd the suprema and inﬁma of f (x) on the subintervals. while the supremum occurs at the right hand endpoint. 2 Because the value of the integral is between L(f. 2 Note that in general. P ) = 0 = 1 = inf U (f. 2 2 n 2n 8. so sup L(f.1. xi+1 ].8. The error of a simple quadrature rule usually depends on the function .3 Simple and Composite Rules For the remainder of this chapter we will study “simple” quadrature rules. However.1. P.e. this approximation has error at most 1 (U (f. P ) = 1. f (x) over an interval [a. . i. rules which approximate the integral of a function. In this case. while U (f. The integral is then approximated by the mean of the lower and upper sums: b a f (x) dx ≈ 1 (L(f..2 Approximating the Integral b The deﬁnition of the integral gives a simple method of approximating an integral a f (x) dx. P ) + U (f. n. Thus for this partition. Consider for example. P ) = k=0 f (xk+1 ) = k=0 |b − a| n n f (xk ) k=1 Then the error of the approximation is 1 1 |b − a| |b − a| [f (b) − f (a)] (U (f. P ) and U (f. b] into a partition of n equal subintervals x i = a+ b−a . 8.5. n The algorithm then has to somehow ﬁnd the supremum and inﬁmum of f (x) on each interval [xi . . and thus the lower and upper sums cannot be calculated. . it becomes easier: Example 8.

2: The trapezoidal rule for approximating the integral of a function over [a. By old school math. Thus. we can ﬁnd this signed area easily. we usually cast it into a “composite” rule. a for some unpleasant or black box function f (x).2 Trapezoidal Rule b Suppose we are trying to approximate the integral f (x) dx. for example if the interval in question is [α. This gives the (simple) trapezoidal rule: b a f (x) dx ≈ (b − a) f (a) + f (b) . f (a)) . . and with one side the segment from a to b. To use a simple rule on a larger interval. b] is shown. INTEGRALS AND QUADRATURE f. xi+1 ]. apply the simple rule to each subinterval. . f (b)) . 8. and the partition is α = x 0 < x1 < x2 < . and sum the results. which we will study next becomes the composite trapezoidal rule. β] = i=0 simple rule applied to [xi . uright a b lleft Figure 8. β]. The means of extending a simple rule to a composite rule is straightforward: Partition the given interval into subintervals. < xn = β. Thus the trapezoidal rule. b] to some power which is determined by the rule. The trapezoidal rule approximates the integral PSfrag replacements b f (x) dx a by the (signed) area of the trapezoid through the points (a. we have n−1 composite rule on [α. That is we usually think of a simple rule as being applied to a small interval. See Figure 8.100 CHAPTER 8. and the width of the interval [a. (b.2. 2 .

. β] be partitioned by α = x0 < x1 < x2 < x3 < .107149. Solution: We have h = 2−0 = 1. xi+1 ] . < xn = β. Example Problem 8. one which you saw in your calculus class. xi+1 ] by the integral of pi (x) over the same interval. then the composite trapezoidal rule is β n−1 xi+1 xi f (x) dx = α i=0 1 f (x) dx ≈ 2 n−1 i=0 (xi+1 − xi ) [f (xi ) + f (xi+1 )] .5. Now recall our theorem on polynomial interpolation error. Approximate the integral 2 0 1 dx 1 + x2 by the composite trapezoidal rule with a partition of equally spaced points.6. you saw this in the less comprehensible form: b a f (x) dx ≈ h f (a) + f (b) + 2 n−1 f (xi ) . TRAPEZOIDAL RULE 101 The composite trapezoidal rule can be written in a simpliﬁed form. Ti = xi pi (x) dx = (xi+1 − xi ) pi (xi ) + pi (xi+1 ) h = (f (xi ) + f (xi+1 )) . x i+1 − xi = h. and our approximation is correct to two decimal places. Then the composite 2 2 5 trapezoidal rule gives the value 1 11 1 1 1+1+ = . i=0 (8. (2)! . if the interval in question is partitioned into equal width subintervals. and f (x0 ) = 1. 2 2 That’s right: the composite trapezoidal rule approximates the integral of f (x) over [x i . and we have b a f (x) dx ≈ h 2 n−1 [f (xi ) + f (xi+1 )] . (8. where h = (β − α)/n. That is if you let [α. . for n = 2. i=1 Note that the composite trapezoidal rule for equal subintervals is the same as the approximation we found for increasing functions in Example 8. For x ∈ [x i . 8.2.2. [f (x0 ) + f (x1 ) + f (x1 ) + f (x2 )] = 2 2 5 10 The actual value is arctan 2 ≈ 1. f (x2 ) = 1 . Let xi+1 xi+1 Ii = xi f (x) dx.1) Since each subinterval has equal width. xi+1 .1 How Good is the Composite Trapezoidal Rule? We consider the composite trapezoidal rule for partitions of equal subintervals. f (x1 ) = 1 . Let p i (x) be the polynomial of degree ≤ 1 that interpolates f (x) at x i .8. with xi = α + ih.2) In your calculus class. we have f (x) − pi (x) = 1 (2) f (ξx ) (x − xi ) (x − xi+1 ) .

and let I = a f (x) dx. β]. xi+1 ]. xi+1 ]. We use this theorem on our integral.e. [xi . 6 This gives Ii − T i = − for some ξi ∈ [xi .7 (Mean Value Theorem for Integrals). To make things simpler. Recall that ξx depends on x. h. Thus if.102 CHAPTER 8. Suppose f is continuous. the trapezoidal rule gives an overestimate of the integral I. which lies between the least and greatest values of f on the inteval [a. for some ξi ∈ [xi . but the sign as well. Then there is some ξ ∈ [a. xi+1 ]. 12 h3 .8 (Error of the Composite Trapezoidal Rule). b].. f (x) is concave up and thus f is positive. We now sum over all subintervals to ﬁnd the total error of the composite trapezoidal rule n−1 E= i=0 Ii − T i = − h3 12 n−1 i=0 f (ξi ) = − (b − a) h2 12 1 n n−1 f (ξi ) . So E=− This gives us the theorem: (b − a) h2 f (ξ) 12 Theorem 8. 12 Note that this theorem tells us not only the magnitude of the error. and thus by the IVT. b]. and wave our hands to get continuity of f (ξ(x)). Recall the following theorem: Theorem 8. i. n i=0 f (ξi ). Note that (x − x i ) (x − xi+1 ) is nonpositive on the interval of question. Let T be the value of the trapezoidal rule applied to f (x) on this interval with a partition of uniform b spacing.3. i=0 n−1 1 On the far right we have an average value. Then we have 1 Ii − Ti = f (ξ) 2 xi+1 xi (x − xi ) (x − xi+1 ) dx. Let f (x) be continuous on [a. We assume continuity of f (x). g is Riemann Integrable and does not change sign on [α. there is some ξ which takes this value. Now integrate: xi+1 Ii − T i = xi f (x) − pi (x) dx = 1 2 xi+1 xi f (ξ(x)) (x − xi ) (x − xi+1 ) dx. for example. Then there is some ζ ∈ [α. INTEGRALS AND QUADRATURE for some ξx ∈ [xi . then I − T will be negative. We will now attack the integral on the right hand side. b] such that I −T =− (b − a) h2 f (ξ). call it ξ(x). we ﬁnd that xi+1 xi (x − xi ) (x − xi+1 ) dx = − h3 f (ξi ). β] such that β β f (x)g(x) dx = f (ζ) α α g(x) dx. See Figure 8. xi+1 ] . . By boring calculus and algebra.

Thus f (ξ) is continuous and bounded by 2 on [0. If we use n equal subintervals then Theorem 8. has positive second derivative.10. 2]. i. thus f (x) = − (1+x)2 .2 Using the Error Bound 1 Example Problem 8. 1]. Example Problem 8..2. 3n2 . 6n2 and so n ≥ 1 × 105 suﬃces. How many intervals are required to approximate the integral 2 0 x3 − 1 dx to within 1 × Solution: We have f (x) = x3 − 1. How many intervals are required to approximate the integral ln 2 = I = 0 1 dx 1+x to within 1 × 10−10 ? 1 2 1 Solution: We have f (x) = 1+x .8. we need only take 1 ≤ 1 × 10−10 . thus f (x) = 3x2 . in absolute value. And f (x) = (1+x)3 .9. the trapezoidal rule will 6 be an overestimate.3: The trapezoidal rule is an overestimate for a function which is concave up.2. TRAPEZOIDAL RULE uright Sfrag replacements 103 xi xi+1 lleft Figure 8.e. Because f (x) is positive on this interval. − f (ξ) = − 12 n 12n2 To make this smaller than 1 × 10−10 .8 tells us the error will be 1−0 1−0 2 f (ξ) . 8. If we use n equal subintervals then by Theorem 8.8 the error will be − 2−0 12 2−0 n 2 10−6 ? f (ξ) = − 2f (ξ) . Thus f (ξ) is continuous and bounded by 12 on [0. and f (x) = 6x.

the error is quartered. .3 Romberg Algorithm Theorem 8. . This should look just like something 2n from Chapter 7. a. that the error of the composite trapezoidal rule approximation is O h2 . 24 ≤ 1 × 10−6 . in absolute value. b]. Then deﬁne 2n 1b−a φ(n) = 2 2n 2n −1 f (xi ) + f (xi+1 ) i=0 2n −1 b − a f (a) f (b) + + = n 2 2 2 f i=1 a+i b−a 2n . n n n n where hn = b−a . INTEGRALS AND QUADRATURE To make this smaller than 1 × 10−6 . . We do this by constructing a triangular array of approximations. . approximately. b are given. n 64 21 a8 h8 + . n 64 This approximation has a truncation error of O h4 . . we let R(n. we would have proved the relation: b φ(n) = a f (x) dx + a2 h2 + a4 h4 + a6 h6 + a8 h8 + . . suppose that f. . the forms are exactly the same. Towards this end. n+1 n+1 n+1 n+1 1 1 1 1 a8 h8 + . . What happens if we now calculate φ(n + 1)? We have b φ(n + 1) = a b f (x) dx + a2 h2 + a4 h4 + a6 h6 + a8 h8 + .8 tells us. As mentioned above. Sometimes we want to do better than this. We’ll use the same trick that we did from Richardson extrapolation. The intervals used to calculate φ(n + 1) are half the size of those for φ(n). this means the error is one quarter.104 CHAPTER 8. It turns out that if we had proved the error theorem diﬀerently. . For a given n. . it suﬃces to take √ and so n ≥ 8 × 103 suﬃces. That is h = b−a . 0) = φ(n). f (x) dx + a2 h2 + a4 h4 + a6 h6 + n n n n 4 16 64 256 = a b−a 1 This happens because hn+1 = 2n+1 = 2 b−a = h2n . each entry depending on two others. Because f (x) is positive on this interval. . Towards this end. . If we halve h. As with Richardon’s method for approximating 2n derivatives. we now combine the right multiples of these: φ(n) − 4φ(n + 1) = 4φ(n) − φ(n + 1) = 3 −3 3 f (x) dx + 4h4 + 4 n a b 1 f (x) dx − 4h4 − 4 n a b 15 a6 h6 + n 16 5 a6 h6 − n 16 63 a8 h8 + . we are going to use the trapezoidal rule on a partition of 2n equal subintervals of [a. we can use this to get better and better approximations to the integral. 3n2 8. . the trapezoidal rule will be an overestimate. . In fact. n Like in Richardson’s method. The constants ai are a function of f (i) (x) only.

0) R(k + 1. . 0). R(1. 0) . 0) = [f (0) + f (1) + f (1) + f (2)] = . for Romberg’s algorithm. where the original h is independently set before starting the triangular array. 0) R(2. n) Even though this is exactly the same as Richardon’s method. the second is the trapezoidal rule on two subintervals. for m > 0 R(n.3) The familiar pyramid table then is: R(0. . 0) = 4−1 44 10 − 3 12 10 = 32 = 1.. R(n. .. h 0 is determined by a and b. and need not be smaller than 1. h 0 = b − a. . 0) R(n. R(n. 2) . 2) · · · R(k + 2. n) . These are fairly simple. 30 At this point we are tempted to use Richardson’s analysis. 4m − 1 105 (8. R(k + 1. ROMBERG ALGORITHM then deﬁne. Solution: The ﬁrst column is calculated by the trapezoidal rule.11. 1) R(k + 2. R(k + n. 1) . . Then calculating the following array: R(k. 1) . 0) − R(0. .3. 1) = 4R(1. 2) · · · R(2. . . This would claim that R(n. 0) and R(1. . ﬁnd R(1. 0) = 6 2−01 [f (0) + f (2)] = . So we ﬁrst calculate R(0. 1) R(2. 2) . . it has another name: this is called the Romberg Algorithm. Approximating the integral 2 0 1 dx 1 + x2 by Romberg’s Algorithm. . . R(k + n. 0) . O h0 This is a bit diﬀerent from Richardson’s method. the ﬁrst is the trapezoidal rule on a single subinterval. m − 1) . 2 2 10 Then. 1). 0) R(k + 2.0¯ 6. 1) R(k + n. Then R(0. 1) R(n. using Romberg’s Algorithm we have R(1. . . m − 1) − R(n − 1. 1 2 5 11 2−01 R(1.8. say 2k smaller than 1. However. n) is a 2(n+1) approximation to the integral. . We can easily deal with this problem by picking some k such that b−a is small enough. Successive columns are found by combining members of previous columns. 0) R(k + n. . 0) R(1. Example Problem 8. m) = 4m R(n.

. That is. rather lower entries in a single column are calculated instead. 1) R(k + n + 1. the user calculates the array: R(k. 0) R(k + 2. 1) R(k + 2. Subtractive cancelling or unbounded higher derivatives of f (x) can make successive approximations less accurate. ﬁrst notice from the above example that R(0. R(k + n. 2 2 2 2 It would be best to calculate R(1. n) makes a ﬁne approximation to the integral as l → ∞. f (a) + f (b) 1 + = hn 2 2 1 = R(n. 0) given R(n. . . and recall that 2n R(n. n) R(k + n + 1. . 0) . INTEGRALS AND QUADRATURE Quite often Romberg’s Algorithm is used to compute columns of this array. 8. . For this reason. i=1 2n −1 i=1 2n −1 i=1 f (a + ihn+1 ) . 0) R(k + n. .106 CHAPTER 8. . 1) R(k + n + 3. Then R(k + n + l. entries in ever rightward columns are usually not calculated. n) R(k + n + 3. . like 2 or 3. 0) without recalculating f (a) and f (b). Usually n is small. R(k + n. 2n+1 Then calculating R(n + 1. Let hn = b−a . . 0) = φ(n) = hn Thus f (a) + f (b) R(n + 1. 2) · · · R(k + n + 2. 0) requires only 2 n − 1 additional evaluations of f (x). n) R(k + n + 2. 0) = φ(n + 1) = hn+1 + 2 = 1 f (a) + f (b) hn + 2 2 2n+1 −1 i=1 f (a) + f (b) + 2 2n −1 f (a + ihn ) . instead of the + 1 usually required. . 2) ··· R(k + n + 1. 2) · · · R(k + n + 3. 0) R(k + n + 1. . 0) R(k + 1. R(k + 2. It turns out this is possible. . . . . 0) = ) + f( ) + f (b) . 1) . 0). . 0) R(k + n + 3. 1 2 a+b b−a1 a+b f (a) + f ( R(1. 0) R(k + n + 2.. 2n −1 i=1 f (a + (2i − 1)hn+1 ) . 0) = b−a1 [f (a) + f (b)] . f (a + (2i − 1)hn+1 ) + f 2n −1 1 a + (2i) hn 2 . 1) R(k + n. 2) · · · . R(k + 1. 2) . 0) + hn+1 2 f (a + ihn ) + i=1 f (a + (2i − 1)hn+1 ) .3. . .1 Recursive Trapezoidal Rule It turns out there is an eﬃcient way of calculating R(n + 1. n) . . 1) R(k + n + 2.

1 (x) = (1 − 0)(1 − 2) (x − 0)(x − 1) 1 = (x)(x − 1).8. Thus our rigged approximation is the one that gives b a b n b f (x) dx ≈ p(x) dx = a b i=0 f (xi ) a i (x) dx. We will examine how these rules are created. 1. . Normally one ﬁnds the nodes and weights i=0 in a table somewhere. the polynomial of degree ≤ n which interpolates f (x) on these nodes. we expect a quadrature rule with more nodes to be more accurate in some sense–the tradeoﬀ is in the number of evaluations of f (·). 8. Construct a quadrature rule on the interval [0. (8. 2 (x) = (2 − 0)(2 − 1) 2 0 (x) = Then the weights are 4 A0 = 0 4 0 (x) dx = A1 = 0 4 A2 = 0 8 1 (x − 1)(x − 2) dx = . If f (x) is a polynomial of degree ≤ n then f (x) = p(x).1 Determining Weights (Lagrange Polynomial Method) n Suppose that the nodes {xi }i=0 are given.12. 4] using nodes 0. An easy way to ﬁnd “good” weights {A i }n for these i=0 nodes is to rig them so the quadrature rule gives the integral of p(x).4.e. b a f (x) dx ≈ A0 f (x0 ) + A1 f (x1 ) + .4. i. Solution: The nodes are given. and the quadrature rule is exact. . 1 (x − 1)(x − 2) = (x − 1)(x − 2). If we let Ai = a i (x) dx.. and integrating them. An f (xn ). 2 (x) dx = 2 3 0 4 . Example Problem 8. 3 0 2 4 16 −(x)(x − 2) dx = − . 1 (x) dx = 3 0 4 1 20 (x)(x − 1) dx = . we determine the weights by constructing the Lagrange Polynomials. and weights {Ai }n . Recall n p(x) = i=0 f (xi ) i (x). where i (x) is the ith Lagrange polynomial. then we have a quadrature rule. GAUSSIAN QUADRATURE 107 8.4) n for some collection of nodes {xi }i=0 . (0 − 1)(0 − 2) 2 (x − 0)(x − 2) = −(x)(x − 2).4 Gaussian Quadrature The word quadrature refers to a method of approximating the integral of a function as the linear combination of the function at certain points. 2.

1. . The method of undetermined coeﬃcients is a good alternative for ﬁnding the weights by hand. The equations are derived by letting the quadrature rule be exact for f (x) = x j for j = 0. setting b a n xj dx = i=0 Ai (xi )j . and for small n. By calculus we have 4 4 1 76 64 x2 + 1 dx = x3 + x = +4= . 2. Construct a quadrature rule on the interval [0.12.4.108 Thus our quadrature rule is 4 0 CHAPTER 8. 3 3 3 3 8. That is. 1. solving the linear system may not be too burdensome. Example Problem 8. as illustrated by the next example: . the method of undetermined coeﬃcients is useful in more general settings. .” Since we will not consider n to be very large. n. let f (x) = x 2 +1. 3 3 Notice the diﬀerence compared to the Lagrange Polynomial Method: undetermined coeﬃcients requires solution of a linear system. . 4] using nodes 0. we reconsider Example Problem 8. Moreover. For example.2 Determining Weights (Method of Undetermined Coeﬃcients) Using the Lagrange Polynomial Method to ﬁnd the weights A i is ﬁne for a computer. 3 3 3 0 0 The approximation is 4 0 x2 + 1 dx ≈ 16 20 76 8 [0 + 1] − [1 + 1] + [4 + 1] = . A0 = 8 . The idea behind the method is to ﬁnd n+1 equations involving the n+1 weights. A1 = − 16 . the system: 4 1 1 1 2 8 1 4 64/3 We get the same weights as in Example Problem 8. 3 3 3 We expect this rule to be exact for a quadratic function f (x). . while the former method calculates the weights “directly. on an exam). Solution: The method of undetermined coeﬃcients gives the equations: 4 1 dx = 4 = A0 + A1 + A2 0 4 x dx = 8 = A1 + 2A2 0 4 0 x2 dx = 64/3 = A1 + 4A2 . To illustrate this. but can be tedious (and error-prone) if done by hand (say. INTEGRALS AND QUADRATURE 16 20 8 f (x) dx ≈ f (0) − f (1) + f (2).13.12: A 2 = We perform Na¨ Gaussian Elimination on ıve 1 0 0 20 3 .

r(x) are of degree ≤ n. or those of higher degree. a Thus a b b b b f (x) dx = a p(x)q(x) dx + a r(x)dx = a r(x)dx.3 Gaussian Nodes It would seem this is the best we can do: using n + 1 nodes we can devise a quadrature rule that is exact for polynomials of degree ≤ n by choosing the weights correctly. we can do far better. We should check: 1 0 x3 dx = 1/4 = 1/2 = 1 − 3/2 + 1 = A 1 + B 3 + C 6. We get these equations by plugging in successive polynomials. Gauss discovered that the right nodes to choose are the n + 1 roots of the (nontrivial) polynomial. you could say that q(x) is orthogonal to the polynomials xk in the resultant inner product space. but that’s just fancy talk. B = −1/2. and thus the rule is not exact for cubic polynomials. That is. but it might be better.8. x. This rule should be exact for polynomials of degree no greater than 2. C = 1/6. 8.14. Let f (x) be a polynomial of degree ≤ 2n + 1. Both p(x). x 2 and assuming the coeﬃcients give equality: 1 1 dx = 1 = A 1 + B 0 + C 0 = A 0 1 x dx = 1/2 = A 1 + B 1 + C 0 = A + B 0 1 0 x2 dx = 1/3 = A 1 + B 2 + C 2 = A + 2B + 2C This is solved by A = 1.) Suppose that we have such a q(x)–we will not prove existence or uniqueness.4. . we plug in f (x) = 1. Determine a “quadrature” rule of the form 1 0 109 f (x) dx ≈ Af (1) + Bf (1) + Cf (1) that is exact for polynomials of highest possible degree.4. q(x). We write f (x) = p(x)q(x) + r(x). (If you view the integral as an inner product. of degree n + 1 which has the property b a xk q(x) dx = 0 (0 ≤ k ≤ n) . Because of how we picked q(x) we have b p(x)q(x) dx = 0. GAUSSIAN QUADRATURE Example Problem 8. It turns out that by choosing the nodes in the right way. What is the highest degree polynomial for which this rule is exact? Solution: Since there are three unknown coeﬃcients to be determined. we look for three equations.

Notice. Let Ai be the coeﬃcients for these nodes chosen by integrating the Lagrange Polynomials. however. Theorem 8. Then n n n Ai f (xi ) = i=0 i=0 Ai [p(xi )q(xi ) + r(xi )] = i=0 Ai r(xi ). c0 + c1 x + c2 x2 dx = c0 x + c1 x2 + c2 x3 dx = 0 Evaluating these integrals gives the following system of linear equations: 8 2c0 + 2c1 + c2 = 0. That is.” that is. 2]. then so does q (x) = αq(x). The last equality holds because the x i are the roots of q(x). that if q(x) satisﬁes the orthogonality conditions. Thus this rule is exact for f (x). The example is illustrative Example Problem 8. q(x). Thus we let q(x) = c 0 + c1 x + c2 x2 . of degree n + 1 which has the property b a xk q(x) dx = 0 (0 ≤ k ≤ n) . 8.16.4 Determining Gaussian Nodes We can determine the Gaussian nodes in the same way we determine coeﬃcients. Let x i be the n + 1 roots of a (nontrivial) polynomial. The orthogonality condition becomes 2 2 1q(x) dx = 0 2 0 0 xq(x) dx = 0 2 0 that is. Because of how the A i are chosen we then have n n b b Ai f (xi ) = i=0 i=0 Ai r(xi ) = a r(x) dx = a f (x) dx. there are two equations.110 CHAPTER 8.4. With great foresight. Find the two Gaussian nodes for a quadrature rule on the interval [0. Then the quadrature rule for this choice of nodes and coeﬃcients is exact for polynomials of degree ≤ 2n + 1. but three unknowns. x under the inner product of integration over [0. This reduces the equations to 2c0 + 2c1 = −8. 2]. 3 This system is “underdetermined. for any real ˆ number α. which is “orthogonal” to 1. 3 .15 (Gaussian Quadrature Theorem). we can pick the scaling of q(x) as we wish. 8 2c0 + c1 = −12. Gauss has) made quadrature twice as good. INTEGRALS AND QUADRATURE Now suppose that the Ai are chosen by Lagrange Polynomials so the quadrature rule on the nodes xi is exact for polynomials of degree ≤ n. We have (or rather. 3 8 2c0 + c1 + 4c2 = 0. we “guess” that we want c 2 = 3. Solution: We will ﬁnd the function q(x) of degree 2.

A1 such that √ √ 2 3 3 f (x) dx ≈ A0 f (1 − ) + A1 f (1 + ) 3 3 0 is exact for polynomial f (x) of degree ≤ 1. 6 3 111 These nodes are a bit ugly. c1 = −6.8. . A1 such that 2 0 2 0 1 dx = A0 + A1 √ √ 3 3 x dx = A0 (1 − ) + A1 (1 + ) 3 3 This gives the equations 2 = A 0 + A1 √ √ 3 3 2 = A0 (1 − ) + A1 (1 + ) 3 3 This is solved by A0 = A1 = 1. It suﬃces to make this approximation exact for the “building blocks” of such polynomials. That is. we want to construct A 0 . c2 = 3. Remember. Then our nodes are the roots of q(x) = 2 − 6x + 3x 2 . that is. for the functions 1 and x. Rather than construct the Lagrange Polynomials. it suﬃces to ﬁnd A0 . Thus our quadrature rule is 2 0 √ √ 3 3 ) + f (1 + ).17. Chapter 3) yields the answer c 0 = 2. Verify the results of the previous example problem for f (x) = x 3 . 0 The quadrature rule gives √ 3 3 f (1 − ) + f (1 + )= 3 3 √ √ 3 √ 3 3 3 1− + 1+ 3 3 √ √ √ √ 3 3 3 3 3 3 3 3 + 1+3 = 1−3 +3 − +3 + 3 9 27 3 9 27 √ √ √ √ = 2 − 3 − 3/9 + 2 + 3 + 3/9 = 4 Thus the quadrature rule is exact for f (x). Solution: We have 2 f (x) dx = (1/4) x4 2 0 = 4. That is the roots √ √ 6 ± 36 − 24 3 =1± . we will use the method of undetermined coeﬃcients. Example Problem 8. GAUSSIAN QUADRATURE Simple Gaussian Elimination (cf.4. f (x) dx ≈ f (1 − 3 3 We expect this rule to be exact for cubic polynomials.

1.16 by using the technique of Example Problem 8. Thus −1 f (x) dx ≈ n Ai f (xi ).16. This is the same rule that was derived (with much more work) in Example Problem 8.18. Derive the quadrature rules of Example Problem 8. it doesn’t make sense in practice to recompute these things all the time. Thus g(t) = b−a f 2 b+a b−a t+ 2 2 = f (t + 1). The standard Gaussian Quadrature rule approximates this as 1 −1 g(t) dt ≈ g(− 1/3) + g( 1/3) = f (1 − 1/3) + f (1 + 1/3).com/Legendre-GaussQuadrature.1.html n 0 1 xi x0 = 0 x0 = − 1/3 x1 = 1/3 x0 = − 3/5 x1 = 0 x2 = 3/5 Ai A0 = 2 A0 = 1 A1 = 1 A0 = 5/9 A1 = 8/9 A1 = 5/9 1 2 Table 8.wolfram. g(t) is a polynomial of the same degree. 1]. any good textbook will list a few. i=0 with this relation holding exactly for all polynomials of degree no greater than 2n + 1. To integrate f (x) over [0. x= 2 2 2 Then b 1 b+a b−a b−a f (x) dx = t+ dt. Quadrature rules are normally given for the interval [−1. .5 Reinventing the Wheel While it is good to know the theory. so dx = dt. 1] on g(t) to evaluate the integral of f (x) over [a. Given a quadrature rule which is good on the interval [−1. b = 2. 2].1: Gaussian Quadrature rules for the interval [−1. b]. Solution: We have a = 0. g(t) = 2 2 2 if f (x) is a polynomial. we integrate g(t) over [−1.112 CHAPTER 8.19. 1]. The simplest ones are given in Table 8. See also http://mathworld. There are books full of quadrature rules. as the following example problem illustrates: Example Problem 8. 1]. On ﬁrst consideration. it would seem you need a diﬀerent rule for each interval [a. Thus we can use the quadrature rule for [−1. derive a version of the rule to apply to the interval [a.18 and the quadrature rules of Table 8. Solution: Consider the substitution: b+a b−a b−a t+ . This is not the case.4. b]. b]. INTEGRALS AND QUADRATURE 8. 1]. f 2 2 2 a −1 Letting b−a b+a b−a f t+ . Example Problem 8.

1 . 1] for f (x) = 4/(1 + x2 )) 3 (8. 1 + x2 to within 0.2) Use the composite trapezoidal rule. 3} . 1 . to approximate 3 0 113 x2 dx (= 9) Use the partition {xi }2 = {0. + 2f (xn−2 ) + 4f (xn−1 ) + f (xn )] . Why is your approximation an overestimate? (Check: i=0 4 2 I think the answer is 0. by hand to approximate 1 0 4 dx.7) (8. 1] are required to approximate 0 cos x dx with error smaller than 1 × 10−6 by the composite trapezoidal rule? (Use Theorem 8. You should ﬁnd that the approximation is an overestimate.8. 1 (8.6) How many equal subintervals would be required to approximate 1 0 4 dx. Why is your approximation an overestimate? i=0 (8.8 to bound the error of the composite trapezoidal rule approximation of 2 3 0 x dx with n = 10 intervals. What is the highest degree polynomial for which this rule is exact? . by hand. 1). by hand.1) Use the composite trapezoidal rule. 1 .4) Use Theorem 8. 3 where ∆x = (b − a)/n.3) Use the composite trapezoidal rule.8.693) x+1 Use the partition {xi }3 = 0. GAUSSIAN QUADRATURE Exercises (8.9) Find a quadrature rule of the form 1 0 f (x) dx ≈ Af (0) + Bf (1/2) + Cf (1) that is exact for polynomials of highest possible degree. to approximate 1 0 1 dx (= ln 2 ≈ 0.7) How many equal subintervals of [2. As such we expect Simpson’s Rule to be a O h4 approximation to the integral. (8. .0001 by the composite trapezoidal rule? (Hint: Use the fact that |f (x)| ≤ 8 on [0. How good is your answer? (8. and n is assumed to be even. 3] are required to approximate 2 ex dx with error smaller than 1 × 10−3 by the composite trapezoidal rule? (8.8) Simpson’s Rule for quadrature is given as b a f (x) dx ≈ ∆x [f (x0 ) + 4f (x1 ) + 2f (x2 ) + 4f (x3 ) + . Show that Simpson’s Rule for n = 2 is actually given by Romberg’s Algorithm as R(1.4. . 1.5) How many equal subintervals of [0.) (8. 1 + x2 Use n = 4 subintervals.

consider the following questions: do you expect the nodes to be the endpoints 1 and 5? do you expect the nodes to be arranged symmetrically around the midpoint of the interval? (8. 5]. 1].a. (8.. Your m-ﬁle should have header line like: function iappx = gauss2(f.b. which could be diﬃcult. 1]. b] by the composite trapezoidal rule on n equal subintervals. If f is deﬁned to work on vectors element-wise. (8. ﬁnd a rule 1 −1 f (x) dx ≈ Af (x0 ) + Bf (x1 ) + Cf (x2 ) To ﬁnd the nodes x0 .e. x1 ./ n.n) You may wish to use the code: x = a . you can probably speed up your computation by using bigsum = 0. i. it does not exactly ﬁt our deﬁnition of a quadrature rule.* (0:n) . x2 you will have to ﬁnd the zeroes of a cubic equation. INTEGRALS AND QUADRATURE (8. Your m-ﬁle should have header line like: function iappx = trapezoidal(f.a. b]. but it may be applicable in some situations.11) Determine a “quadrature” rule of the form 1 0 f (x) dx ≈ Af (0) + Bf (0) + Cf (1) that is exact for polynomials of highest possible degree. i.17) Write code to implement composite Gaussian Quadrature based on code from the previous problem. For what order polynomials are these rules exact? (8. However.16) Write code to implement the Gaussian Quadrature rule for n = 2 to integrate f on the interval [a.13) Find the Gaussian Quadrature rule with 2 nodes for the interval [1.114 CHAPTER 8.10) Determine a “quadrature” rule of the form 1 −1 f (x) dx ≈ Af (0) + Bf (−1) + Cf (1) that is exact for polynomials of highest possible degree. ﬁnd a rule 5 1 f (x) dx ≈ Af (x0 ) + Bf (x1 ) Before you solve the problem.e. Something like the following probably works: .14) Find the Gaussian Quadrature rule with 3 nodes for the interval [−1.. What is the highest degree polynomial for which this rule is exact? (8.+ (b-a) . What is the highest degree polynomial for which this rule is exact? (Since this rule uses derivatives of f.12) Consider the so-called order n Chebyshev Quadrature rule: 1 −1 n f (x) dx ≈ cn f (xi ) i=0 Find the weighting cn and nodes xi for the case n = 2 and the case n = 3.b) (8.15) Write code to approximate the integral of a f on [a.5 * ( f(x(1)) + f(x(n+1)) ) + sum( f(x(2:(n))) ). you may use the simplifying assumption that the nodes are symmetrically placed in the interval [−1.) (8.

b] x = a .* (0:n) ./ n.683.b. iappx = 0. or see http://mathworld. and erf(2/ 2) ≈ 0. for i=1:n iappx += gauss2(f.x(i+1)).com/Erf.n) % code to approximate integral of f over n equal subintervals of [a. GAUSSIAN QUADRATURE function iappx = gaussComp(f.+ (b-a) .x(i). These numbers should look familiar to you.wolfram. .955.4.a.html) The error function is used in probability. end Use your code to approximate the error function: 2 erf(z) = √ π z 0 115 e−t dt. (Try help erf in octave. 2 Compare your results with the octave/Matlab builtin function erf. the probability that a normal random variable is within z standard deviations from its mean is √ erf(z/ 2) √ √ Thus erf(1/ 2) ≈ 0.8. In particular.

116 CHAPTER 8. INTEGRALS AND QUADRATURE .

1. That is r = [r0 r1 . or residual. For a given p with 0 < p < ∞. . . . if f ∗ is the least squares best approximant. y from a class of functions. the p norm of r is deﬁned as n 1/p p ri i=0 2 r p = For the purposes of approximation. The least-squares best approximant to a set of data. .1. In the general setting we are given a set of data x y x 0 x1 . Usually the class of functions F will be determined by some small number of parameters. is the function f ∗ ∈ F that minimizes the 2 norm of the error. The goal then is to ﬁnd the “best” f ∈ F to ﬁt the data to y = f (x). That is we let x = [x0 x1 .Chapter 9 Least Squares 9.1 The Deﬁnition of Ordinary Least Squares First we consider the data to be two vectors of length n + 1.1. F. The error. x n y 0 y1 .1 Least Squares Least squares is a general class of methods for ﬁtting observed data to a theoretical model function. . We measure the size of a vector by the use of norms. and y = [y0 y1 . F. then y − f ∗ (x) 2 = min y − f (x) f ∈F 2 117 . . 9. the easiest norm to use is the norm: Deﬁnition 9. yn ] . x. of a given function with respect to this data is the vector r = y − f (x). The theory here will be concerned with deﬁning “best.1 ((Ordinary) Least Squares Best Approximant). That is. . xn ] .” and examining methods for ﬁnding the “best” function to ﬁt the data. which were explored in Subsection 1. Our goal is to ﬁnd f ∈ F such that r is reasonably small. . rn ] . The most useful norms are the p norms. . . the number of parameters will be smaller (usually much smaller) than the number of data points.4. y n and some class of functions. where ri = yi − f (xi ).

By Deﬁnition 9. We are assuming F = {f (x) = ax + b | a. It assumes there is no error in the measurement of the data x. We set 0= 0= ∂φ a ∂φ b n = k=0 n 2xk (axk + b − yk ) 2 (axk + b − yk ) = k=0 These are called the normal equations. we want to ﬁnd the function f (x) = ax + b that minimizes n i=0 1/2 [yi − f (xi )] 2 . and usually admits a relatively straightforward solution. We minimize this function with calculus. 9. Believe it or not these are two equations in two unknowns. and is ugly. b ∈ R } . That is. LEAST SQUARES We will generally assume uniqueness of the minimum.1.118 CHAPTER 9. x and y. it suﬃces to minimize n i=0 [axi + b − yi ]2 . This method is sometimes called the ordinary least squares method.2 Linear Least Squares We illustrate this deﬁnition using the class of linear functions as an example. As you may recall from calculus class. This is a minimization problem over two variables.1. They can be reduced to x2 a + k xk b = xk yk yk xk a + (n + 1)b = The solution is found by na¨ Gaussian Elimination. Let ıve d11 = d12 = d21 = e1 = e2 = We want to solve d11 a + d12 b = e1 d21 a + d22 b = e2 x2 k xk xk yk yk d22 = n + 1 .1. it suﬃces to minimize the sum rather than its square root. as this case is reasonably simple. We can now think of our job as drawing the “best” line through the data.

1. where the function αf is that function such that (αf )(x) = αf (x). j=0 c0 g0 (x) + c1 g1 (x) + . then αf + βg ∈ F. However. cm ) = k=0 j This can be rearranged to get Again we set partials to zero and solve n ∂φ 2 = 0= ci k=0 m cj gj (xk ) − yk 2 (9. that is we minimize the function n φ (c0 . i. ˜ ˜ To ﬁnd the least squares best approximant of F for a given set of data. Example 9. but not all cases. = c m = 0 Then we say that F is spanned by the functions {g j (x)}m if j=0 F= f (x) = j cj gj (x) | cj ∈ R. g ∈ F. for a moment. . c1 . consider whether this is indeed the solution. In this case F can be viewed as a vector space over the real numbers. . . Note the basis functions need not be unique: a given class of functions will usually have more than one choice of basis functions. is the span of a small set of functions. This case is simpler to explore and we consider it here. and g1 (x) = x. Our calculations have only shown an extrema at this choice of (a. . 1. and α. LEAST SQUARES Gaussian Elimination produces a = b = d22 e1 − d12 e2 d22 d11 − d12 d21 d11 e2 − d21 e1 d22 d11 − d12 d21 119 The answer is not so enlightening as the means of ﬁnding the solution. j = 0.1.1) j cj gj (xk ) − yk gi (xk ) n gj (xk )gi (xk ) cj = j=0 k k=0 yk gi (xk ) .e.9.. . for f. could it not be a maxima? 9. b ∈ R } is spanned by the two functions g 0 (x) = 1. . . . F. + cm gm (x) = 0 ∀x ⇒ c 0 = c1 = . The class F = {f (x) = ax + b | a. m . Now let {gj (x)}m be a set of m + 1 linearly independent functions. and g1 (x) = x − 1. the class of functions. β ∈ R. We should. That is. . b). . it is also spanned by the two functions g 0 (x) = 2x + 1. we minimize the square of the 2 norm of the error. .1.3 Least Squares from Basis Functions In many. . In this case the functions gj are basis functions for F.

this reduces to: 4. and g 0 (x) = ln x. . For example. . Note that we are talking about the basis {g j }m . ei = k=0 yk gi (xk ).75 3. Consider the case where m = 0.713938 1. First we have to evaluate the basis functions at the nodes xi . so we compute some of the d ij .0 2.436975 1. We explore this in Section 9. The data and the least squares interpolant are shown in Figure 9. . . . dm0 dm1 dm2 · · · to the linear system d02 · · · d0m d12 · · · d1m d22 · · · d2m . consider what would happen if the system of normal equations were diagonal.120 If we now let dij = k=0 CHAPTER 9.50 0. g1 (x1 ) = .0 −1. .25 2.165234 1. and not exactly about the class j=0 of functions F.0960c = 6. g0 (x1 ) = 0.7052. x2 = −1. dmm (again. .75 1.0 1. x1 = 1.2) . Suppose the data are given at the nodes x 0 = 0.452472 −0.2 reduces to the 1-D equation: Σk ln2 xk c = Σk yk ln xk For our data. Example 9. called the normal equations): e0 c0 c1 e1 c2 = e2 (9. . .2.068077 0. . .50 2. The choice of the basis functions can aﬀect how easy it is to solve this system. Then we have reduced the problem d00 d01 d10 d11 d20 d21 . Consider the awfully chosen basis functions: g0 (x) = 2 − 1 x2 − x + 1 2 2 −1 x2 + x + 1 g1 (x) = x3 + where is small. We want to set up the normal equations. LEAST SQUARES n n gj (xk )gi (xk ). Find the least squares approximation of the data x y 0. .187098 −0. around machine precision.1. But this example was rigged to give: g0 (x0 ) = 1.841422 Solution: Essentially we are trying to ﬁnd the c such that c ln x best approximates the data. . solving the system would be rather trivial. In this case.9844 so we ﬁnd c = 1. g1 (x2 ) = 0 After much work we ﬁnd we want to solve 1+ 1 2 1 1+ 2 c0 c1 = y0 + y 2 y0 + y 1 . .. The system of equation 9. em cm Example Problem 9.725919 1.3. . g0 (x2 ) = g1 (x0 ) = 1. . .2.

This certainly gives a basis for F. To see why. Consider the case where F is the class of polynomials of degree no greater than m. gj (x) = Tj (x). 1]. but actually a rather poor one.5 -2 -2. A better basis for this problem is the set of Chebyshev Polynomials of the ﬁrst kind. For simplicity we will assume that all xi are in the interval [0.5 -1 -1. look at the graph of the basis functions in Figure 9. Roughly speaking. Bummer. this has no solution.2 and the least squares interpolant are shown.5 1 0. The most obvious choice of basis functions is gj (x) = xj . which will be done by Gaussian Elimination. When the gi are small at the nodes xk . if gi (xk ) is small for some i’s and k’s. then some d ij can have a loss of precision when two small quantities are multiplied together and rounded to zero. However.3. Ti+1 (x) = 2xTi (x) − Ti−1 (x).5 0 -0. ORTHONORMAL BASES 2 121 1. This kind of thing is common in the method of least squares: the coeﬃcients of the normal equations include terms like gi (xk )gj (xk ).1: The data of Example Problem 9.e. the computer would only ﬁnd this if it had inﬁnite precision.5 1 1. the computer thinks 2 = 0. T1 (x) = x. 9. We ﬁnd they do a pretty poor job of discriminating around all the nodes.2. .9.. The basis functions look too much alike on the given interval.5 2 2. and since is rather small. these coeﬃcients can get really small. Poor choice of basis vectors can also lead to numerical problems in solution of the normal equations. where T0 (x) = 1.5 0. Now we draw a rough sketch of the basis functions.5 3 Figure 9. and so tries to solve the system 1 1 1 1 c0 c1 = y0 + y 2 y0 + y 1 When y1 = y2 . since we are squaring. Since it does not.2 Orthonormal Bases In the previous section we saw that poor choice of basis vectors can lead to numerical problems. i.

. 1. and g1 (x) = x3 + 2 − 1 x2 + x + 1 are shown for = 0.05. These polynomials are illustrated in Figure 9. 1. i = 0. .5 1 0. .5 0 -0. . j = 0. We consider other methods.5 0 0. First. n.4.Sfrag replacements 122 1.5 CHAPTER 9. PSfrag replacements xi xi+1 -1. .2 0.4 0.4 0. we deﬁne A as the n × m matrix deﬁned by the entries: aij = gj (xi ).3: The polynomials xi for i = 0.1 Alternatives to Normal Equations It turns out that the Normal Equations method isn’t really so great. m. .8 1 9. .5 1 0. LEAST SQUARES g0 (x) g1 (x) 1 0.6 0. 1. These polynomials make a bad basis because they look so much alike. . Note that around the three nodes 0. . 6 are shown on [0.5 -1 Figure 9. Figure 9.2 0 0 -1 -0.8 0. .2: The basis functions g0 (x) = 2 − 1 x2 − 2 x + 1. . −1. .2. these two functions take nearly identical values. . 1.6 0. 1]. This can lead to a system of normal equations with no solution. essentially.

. . . 1]. that is we want A r = A (y − A c) = 0. That is c is m identiﬁed with f (x) = j=0 cj gj (x). Basically. 1.5 -1 0 123 0. . .9. . Sfrag replacements xi xi+1 1 0. . . (9.. so A is “tall.5 0 -0. And thus the residual. . gm (x0 ) gm (x1 ) gm (x2 ) gm (x3 ) gm (x4 ) . g2 (x0 ) g2 (x1 ) g2 (x2 ) g2 (x3 ) g2 (x4 ) .8 1 g0 (xn ) g1 (xn ) g2 (xn ) · · · = (y − A c) (y − A c) .4 0. You should now convince yourself that Ac = f (x). . .2. they do not look like each other. with a function in F. ORTHONORMAL BASES Figure 9. These polynomials make a better basis for least squares because they are orthogonal under some inner product. ··· ··· ··· ··· ··· . gm (xn ) We write it in this way since we are thinking of the case where n m. we ﬁnd that the Normal Equations can be written as: A A c = A y. or error. . in the natural way. .4: The Chebyshev polynomials T j (x) for j = 0.6 0. of this function is r = y − Ac. For this reason.” After some inspection. 6 are shown on [0. That is A= g0 (x0 ) g0 (x1 ) g0 (x2 ) g0 (x3 ) g0 (x4 ) . we will have that the residual is orthogonal to the column space of A. g1 (x0 ) g1 (x1 ) g1 (x2 ) g1 (x3 ) g1 (x4 ) . In our least squares theory we attempted to ﬁnd that c that minimized y − Ac 2 2 We can see this as minimizing the Euclidian distance from y to A c.2 0.3) Now let the vector c be identiﬁed.

The general equation we wish to solve is Ac = y.e. and does not suﬀer the increased condition number of the normal equations method. Under the hood. However. in the following form: ﬁnd c. however. is a random variable. LEAST SQUARES This is just the normal equations. consider the case of two variables. and that there is no error in the independent variables.2 Ordinary Least Squares in octave/Matlab The ordinary least squares best approximant is so fundamental that it is hard-wired into octave/Matlab’s system solve operator.2. We could rewrite this. that the measurements are “unbiased. and. For example. the ordinary least squares solution is a very good one. the error of the ith measurement. i.1 However. locate the Gauss-Markov Theorem in a good statistics textbook. that i=1 i=1 yi = mxi + b + i . unless speciﬁcally told otherwise. that there is actually error in the measurement of the x i ? In this case. Thus. r such that y r I A = 0 c A 0 This is now a system of n + m variables and unknowns.. which can be solved by specialized means. For more details on this.1. A number of measurements are made. gives the estimators with the lowest variance among all linear. We brieﬂy mention that na¨ Gaussian Elimination is not ıve appropriate to solve the augmented form. .e. i. more equations than unknown variables. 1 This means that the ordinary least squares solution gives an unbiased estimator of m and b. i.124 CHAPTER 9.. which are thought to be related by an equation of the form y = mx + b. It is usually assumed that E [ i ] = 0. This system is overdetermined: there are more rows than columns in A. where i . this is solved just like the case where A is square: octave:1> c = A \ y. This is known as the augmented form. moreover. x and y. 9.e. what if it were the case that yi = m (xi + ξi ) + b + i .” assumes that measurement error is found entirely in the dependent variable. a priori estimators. sometimes referred to as “ordinary least squares.3 Orthogonal Least Squares The method described in Section 9. giving the two sequences {xi }n and {yi }n . Ordinary least squares assumes. 9.” Under the further assumption that the errors are independent and have the same variance. the orthogonal least squares method is appropriate. you should not implement the ordinary least squares solution method in octave/Matlab. octave/Matlab is not using the normal equations method.. in octave/Matlab. as it turns out to be equivalent to using the normal equations method.

Let L (n. as shown in (a). d) = 1. reﬂecting the assumption of no error in x i . shown in (b). expressed as vectors in Rn . 2 n 2 i=1 2 is the one to be minimized with respect to n and d. Let x(i) i=1 be the set of observations. The function m 2 1 n x(i) − d . d.5: The ordinary least squares method. minimizes the sum of the squared lengths of the vertical lines from the observed points to the regression line.5(b). The oﬀsets from points to the regression line in (b) may not look orthogonal due to improper aspect ratio of the ﬁgure.9. Thus our problem is to ﬁnd n and d that solve 2 m m min n n=1 i=1 n x(i) − d 2 2 . It gives the sum of the squared distances from the points to the plane described by n and d.5.5(a). as shown in Figure 9. We can express this as min f (n. 7 7 6 6 5 5 4 4 3 3 2 2 1 0 1 2 3 4 5 6 1 0 1 2 3 4 5 6 (a) Ordinary Least Squares (b) Orthogonal Least Squares Figure 9. We construct the solution geometrically. we will minimize it subject to the constraint that n 2 = 1. d) − λg(n.3. The solution of this problem uses the Lagrange multipliers technique. minimizes the sum of the squared distances from the points to the line. the ordinary least squares method is shown. To simplify its computation. We can solve this problem using vector calculus. d). The orthogonal least squares. d) subject to g(n. λ) = f (n. The Lagrange multipliers theory tells us that a necessary . In Figure 9. ORTHOGONAL LEAST SQUARES 125 The diﬀerence between the two methods is illustrated in Figure 9. The orthogonal least squares method will minimize the sum of the squared distances from observations to a line. The problem is to ﬁnd the vector n and number d such that the hyperplane n x = d is the plane that minimizes the sum of the squared distances from the points to the plane. it minimizes the sum of the squared lengths of vertical lines from observations to a line.

We have 1m Xn ˆ 1m Xn + f(n) = n X Xn − 2 1m 1m n X 1m 1m Xn = n X Xn − 2 + 1m 1m n X 1m 1m Xn = n X Xn − 2 + 1m 1m n X 1m 1m Xn = n X Xn − 1m 1m X 1m 1m X n =n X X− 1m 1m = n Mn 1m Xn 1m 1m 1m 1m n X 1m 1m Xn1m 1m 1m 1m 1m 1m n X 1m 1m Xn 1m 1m 2 . d. this gives 0 = X Xn − X 1m 1m X X 1m 1m X n − λn = X X − − λI n 1m 1m 1m 1m Thus n is an eigenvector of the matrix M=X X− X 1m 1m X 1m 1m The ﬁnal condition of the three Lagrange conditions is that g(n. d. d) = 1 L (n. λ) = 2d1m 1m − 21m Xn ∂d ⇒ d = 1m Xn/1m 1m This essentially tells us that we will zero the ﬁrst moment of the data around the line. ˆ when the optimal d is used: f (n) = f (n. d. so the multiplication can be commuted. LEAST SQUARES condition for n.126 CHAPTER 9. λ) = (Xn − d1m ) (Xn − d1m ) − λn n We solve the necessary condition on 0= ∂L ∂d . d to be the solution is that there exists λ such that the following hold: ∂L (n. Note that this determination of d requires knowledge of n. We can rewrite the Lagrange function as = n X Xn − 2d1m Xn + d2 1m 1m − λn n ∂L (n. First we rewrite the function to be minimized. then it is a unit eigenvector of M. d. It is not clear which eigenvector is the right one. Thus if n is a minimizer. λ) = 2X Xn − 2d 1m X − 2λn = 2 X Xn − 1m Xn 1m X 1m 1m − λn The middle term is a scalar times a vector. d) = n n = 1. 1m Xn/1m 1m ). λ) = 0 ∂d L (n. further work tells us which eigenvector it is. since this is a necessary condition. However. we can plug it into the gradient equation: 0= n L (n. However. λ) = 0 n g (n. so we might have to check all the eigenvectors. Let X be the m × n matrix whose ith row is the vector x(i) . d.

whose roots are the eigenvalues of the matrix is p(λ) = det 2α − λ β β 2γ − λ = 4αγ − β 2 − 2(α + γ)λ + λ2 . and used the fact that a scalar is it’s own transpose. by the orthogonal least squares method. Example Problem 9. x2 xy ¯ ¯¯ xy y 2 ¯¯ ¯ 2α β β 2γ 2 x xi − m¯2 xi yi − m¯y x¯ xi yi − m¯y x¯ 2 y yi − m¯2 (9. then the matrix M must be positive deﬁnite.e. Thus one should select.and y-values.. .4) . . Solution: In this case the matrix X is x1 y1 x2 y2 x3 y3 . you may compute that M has some negative eigenvalues. xm ym M = X X− = = = = X 1m 1m X . Note that. where we use x. d) is deﬁned as w w. However. The characteristic ¯ ¯ polynomial of the matrix. . 1m 1m 1 xi yi x2 i − 2 yi xi yi m x2 i xi yi xi yi 2 yi −m Thus we have that ( xi ) 2 xi yi . Note that because f (n. as n.3. The associated eigenvector is in −k 1 = β − k (2α − λ− ) −kβ + 2γ − λ− 2α − λ− β β 2γ − λ− . then n Mn = λ. Thus we take n to be the unit eigenvector associated with the smallest eigenvalue. to mean. thus 1 m Xn = n X 1m . we want to minimize λ. Now if n is a unit eigenvector of M. i. by roundoﬀ. the unit eigenvector associated with the smallest eigenvalue in absolute value. . λ must be positive. y . for some vector w. . λ− = (α + γ) − the null space of the matrix 0= 2α − λ− β β 2γ − λ− v= (α − γ)2 + β 2 . though they are small in magnitude. respectively. xi ( yi ) 2 yi . yi )}i=1 . The roots of this polynomial are given by the quadratic equation λ± = 2(α + γ) ± 4 (α + γ)2 − 4 (4αγ − β 2 ) 2 = (α + γ) ± (α − γ)2 + β 2 We want the smaller eigenvalue. with corresponding eigenvalue λ.4. ORTHOGONAL LEAST SQUARES 127 This sequence of equations only required that the d be the optimal d for the given n. the mean of the x. Find the equation of the line which best approximates the 2D data m {(xi .9.

A square matrix U is called unitary if its inverse is its transpose. ¯ ¯ 9.1 Computing the Orthogonal Least Squares Approximant Just as the Normal Equations equation 9. The second equation tells that the rows of U are also such a collection. . 1m 1m Now note that W W= X− 1m 1m X 1m 1m X− 1m 1m X 1m 1m = X X−2 1m 1m X 1m 1m X X 1m 1m X + 2 1m 1m 1m 1m =X X−2 =X X− X 1m 1m X X 1m (1m 1m )1m X X 1m 1m X X 1m 1m X + + =X X−2 2 1m 1m 1m 1m 1m 1m 1m 1m X 1m 1m X = M. v. However it is parallel to the unit vector we want. y − y = k (x − x) . and can still use the regular formula to compute the optimal d.1.e. i. LEAST SQUARES β 2 (yi − x2 ) − m y 2 − x2 + ¯ ¯ i 2 2 (yi − x2 ) − m (¯2 − x2 ) y ¯ i 2 + 4( xi yi − m¯y x¯ or xi yi − m¯y )2 x¯ . but are not normally used to solve the problem. (9.. d = 1m Xn/1m 1m = = x y ¯ ¯ −k 1 1 1m X m −k 1 = y − k¯ ¯ x Thus the optimal line through the data is y = kx + d = k (x − x) + y or ¯ ¯ with k deﬁned in equation 9.5) Thus the best plane through the data is of the form −kx + 1y = d y = kx + d Note that the eigenvector. 1m 1m We now need some linear algebra magic: Deﬁnition 9. From the ﬁrst equation. U U = I = UU . that we used is not a unit vector.3. so too is the above described means of computing the orthogonal least squares not a good idea.128 This is solved by (γ − α) + 2γ − λ− = k= β = (γ − α)2 + β 2 CHAPTER 9.3 deﬁne the solution to the ordinary least squares approximant. we see that the columns of U form a collection of orthonormal vectors.3.5. First we deﬁne 1m 1m X W =X− .

9.3. ORTHOGONAL LEAST SQUARES Deﬁnition 9.3.2. Every m × n matrix B can be decomposed as B = UΣV ,

129

where U and V are unitary matrices, U is m × m, V is n × n, and Σ is m × n, and has nonzero elements only on its diagonal. The values of the diagonal of Σ are the singular values of B. The column vectors of V span the row space of B, and the column vectors of U contain the column space of B. The singular value decomposition generalizes the notion of eigenvalues and eigenvalues to the case of nonsquare matrices. Let u(i) be the ith column vector of U, v (i) the ith column of V, and let σi be the ith element of the diagonal of Σ. Then if x = i αi v (i) , we have 0 σ1 α1 0 σ 2 α2 . . . . . . 0 0 0 0 . . . . . . 0 0 ... ... .. . ... ... .. . ... 0 0 . . .

Bx = UΣV

i

αi v (i)

= UΣ [α1 α2 . . . αn ] = U

σ n αn = 0 . . . 0

σi αi u(i) .

i

Thus v (i) and u(i) act as an “eigenvector pair” with “eigenvalue” σ i . The singular value decomposition is computed by the octave/Matlab command [U,S,V] = svd(B). The decomposition is computed such that the diagonal elements of S, the singular values, are positive, and decreasing with increasing index. Now we can use the singular value decomposition on W: W = UΣV . Thus M = W W = VΣ U UΣV = VΣ IΣV = VS2 V ,

2 where S2 is the n × n diagonal matrix whose ith diagonal is σi . Thus we see that the solution to the orthogonal least squares problem, the eigenvector associated with the smallest eigenvalue of M, is the column vector of V associated with the smallest, in absolute value, singular value of W. In octave/Matlab, this is V(:,n). This may not appear to be a computational savings, but if M is computed up front, and its eigenvectors are computed, there is loss of precision in its smallest eigenvalues which might lead us to choose the wrong normal direction (especially if there is more than one!). On the other hand, M is a n × n matrix, whereas W is m × n. If storage is at a premium, and the method is being reapplied with new observations, it may be preferrable to keep M, rather than keeping W. That is, it may be necessary to trade conditioning for space.

9.3.2

Principal Component Analysis

The above analysis leads us to the topic of Principal Component Analysis. Suppose the m × n matrix X represents m noisy observations of some process, where each observation is a vector in Rn . Suppose the observations nearly lie in some k-dimensional subspace of R n , for k < n. How can you ﬁnd an approximate value of k, and how do you ﬁnd the k-dimensional subspace?

130 As in the previous subsection, let W =X− 1m 1m X ¯ = X − 1m X, 1m 1m

CHAPTER 9. LEAST SQUARES

¯ where X = 1m X/1m 1m .

¯ Now note that X is the mean of the m observations, as a row vector in R n . Under the assumption ¯ that the noise is approximately the same for each observation, we should think that X is likely to be in or very close to the k-dimensional subspace. Then each row of W should be like a vector which is contained in the subspace. If we take some vector v and multiply Wv, we expect the resultant vector to have small norm if v is not in the k-dimensional subspace, and to have a large norm if it is in the subspace. You should now convince yourself that this is related to the singular value decomposition of W. Decomposing v = i αi v (i) , we have Wv = i σi αi u(i) , and thus product vector has small norm if the αi associated with large σi are small, and large norm otherwise. That is the principal directions of the “best” k-dimensional subspace associated with X are the k columns of V associated with the largest singular values of W.

1 cum. sum sqrd. sing. vals.

0.9

0.8

0.7

0.6

0.5

0.4

0.3 0 5 10 15 20 25 30 35 40

Figure 9.6: Noisy 5-dimensional data lurking in R 40 are treated to Principal Component Analysis. This ﬁgure shows the normalized cumulative sum of squared singular values of W. There is a sharp “elbow” at k = 5, which indicates the data is actually 5-dimensional. If k is unknown a priori, a good value can be obtained by eyeing a graph of the cumulative sum of squared singular values of W, and selecting the k that makes this appropriately large. This is illustrated in Figure 9.6, with data generated by the following octave/Matlab code: octave:1> octave:2> octave:3> octave:4> X = rand(150,5); sawX = (X * randn(5,40)) + kron(ones(150,1),randn(1,40)); sawX += 0.1 * randn(150,40); wun = ones(150,1);

9.3. ORTHOGONAL LEAST SQUARES octave:5> octave:6> octave:7> octave:8> octave:9> W = sawX - (wun * wun’ * sawX) / (wun’ * wun); [U,S,V] = svd(W); eigs = diag(S’*S); cseig = cumsum(eigs) ./ sum(eigs); plot ((1:40)’,cseig,’xr-@;cum. sum sqrd. sing. vals.;’);

131

3 0.10) Any symmetric positive deﬁnite matrix. y. express the approximate m in terms of the α.5. y n (9.3. In this exercise you will ﬁnd the best linear function which approximates a set of data.3) Find the constant that best approximates.1 0.3 using a single basis function g 0 (x) = 1. say. LEAST SQUARES (9.2 or equation 9. ﬁnds the c that solves ˆ min Ac − y c 2 G Prove that the normal equations form of the solution of this problem is A GA c = A Gy. the data x 1 −2 5 y 1 −2 4 (9.5 (9. (9.4) Find the function f (x) = c which best approximates. β. the given data x. x n y 0 y1 . ˆ .9) For ordinary least squares regression to the line y = mx + b.132 Exercises CHAPTER 9. a maximum? (9. G can be used to deﬁne a norm in the following way: √ v G =df v Gv The weighted least squares method for G and data A and y. in the ordinary least squares sense.1. . (9.2) Our “linear” least squares might be better called the “aﬃne” least squares. and not.1) How do you know that the choice of constants c i in our least squares analysis actually ﬁnd a minimum of equation 9. ﬁnd the function f (x) = cx which is the ordinary least squares best approximant to the given data x y x 0 x1 . (Hint: you can use equation 9. .) Do the xi values aﬀect your answer? (9. Compare this to that found in equation 9. . .8) Prove that the least squares solution is the solution of the normal equations. in the ordinary least squares sense. (9. That is. (9.7) Find the function ax2 + b that best approximates the data x y 0 1 2 0.6) Find the function ax + b that best approximates the data of the previous problem using the orthogonal least squares method. equation 9.4. and thus takes the form −1 c= A A A y. and γ parameters from equation 9.5) Find the function ax + b that best approximates the data x y 0 −1 2 0 1 −1 Use the ordinary least squares method.

let octave/Matlab solve that linear system for you.15) Write code to ﬁnd the function ae x + be−x that best interpolates. a set of data {(xi . 2 . .6.5 0 0. (b) Prove that the r 2 parameter is “scale-invariant. where L is a lower triangular matrix. . an is deﬁned as ( ai )1/n . . (9.13) As proved in Example Problem 9.b] = lsqrexp(xys) (b) Try the following: octave:5> xys = xys = [-0. the orthogonal least squares best approximate line for x ¯ data {(xi . in the least squares sense. It is deﬁned as r = where c is the approximant A A−1 A y.00001 0. octave:4> [a. (Hint: To ﬁnd x such that Mx = b. octave:2> ys = [1. . Use the normal equations method. in the least squares sense. .12) The r 2 statistic is often used to describe the “goodness-of-ﬁt” of the ordinary least squares approximation to data.3. use x = M \ b. How does your answer relate to the geometric mean? (9. yi )}m goes through the point (¯.034]’.9.7]. octave:3> xys = [xs ys].1.5 1]’.3.322 1. Your m-ﬁle should have header line like: . yi )}i=n . the parameter is unchanged (although the value of c may change.1.4.11) (Continuation) Let the symmetric positive deﬁnite matrix G have Cholesky Factorization G = LL .0.14) Find the constant c such that f (x) = ln (cx) best approximates. This should reduce the problem to solving a 2 × 2 linear system.b] = lsqrexp(xys) where xys is the (n + 1) × 2 matrix whose rows are the n + 1 tuples (x i . (9.430 0.) (a) What do you get when you try the following? octave:1> xs = [-1 -0. x n y y 0 y1 .16) Write code to ﬁnd the plane n x(i) = d that best interpolates. Your m-ﬁle should have header line like: i=0 function [a. y n (Hint: You cannot use basis functions and equation 9.00001 0. Show that the solution to the weighted least squares method is the c that is the ordinary (unweighted) least squares best approximate ˆ solution to the problem L Ac = L y.0 0. .194 0. octave:6> [a. a2 . Does the same thing hold for the ordinary i=1 least squares best approximate line? (9.) The geometric mean of the numbers a 1 . if we change the units of our data. . . yi ). ORTHOGONAL LEAST SQUARES 133 (9.2 to solve this.” that is.103 0.b] = lsqrexp(xys) Does something unexpected happen? Why? (9. a i=m set of data x(i) i=0 . y ). You must use the Deﬁnition 9. the given data x x 0 x1 . ˆ (a) Prove that we also have r2 = 1 − Aˆ − y c y 2 2 2 2 2 Aˆ c y 2 2 2 .) ˆ (c) Devise a similar statistic for the orthogonal least squares approximation which is scaleinvariant and rotation-invariant. in the least squares sense.

b = 1.1. octave:8> orthm = -n(1) / n(2). octave:2> Xsub = rand(m. Now X contains data which are approximately on a (n − 1)-dimensional hyperplane in Rn .1. Use the octave/Matlab eig function."). octave:4> YSaw = Ytrue + yeps * randn(size(Ytrue)). which control the sizes of the errors in the x and y dimensions.+ b.* randn(size(X)). octave:3> T = rand(n-1. octave:12> plot(XSaw. octave:6> X += epsi .orthogonal least squares. which returns the eigenvalues and vectors of a matrix.0. octave:14> plot(XSaw.m*XSaw . lay in the rowspace of T. yeps = 0. octave:15> hold off.YSaw.0.d] = orthlsq(X).d] = orthlsq([XSaw. octave:2> Xtrue = randn(obs. octave:7> [n."*.0.offs = 2. Try with xeps = 0.observed data."r-. What do you get? Try again with epsi very small (1 × 10 −5 ) or zero. YSaw]).orthm*XSaw . when centered.+ lsb.(n-1)). Now test your code. . y data nearly on the line y = mx + b: octave:1> obs = 100.m = 0.1). octave:4> X = Xsub * T.orthb = d / n(2).true line.epsi = 0. octave:13> plot(XSaw. . octave:3> XSaw = Xtrue + xeps * randn(size(Xtrue))."). octave:7> [n. Try this again with diﬀerent values of xeps and yeps. and with with xeps = 1. (a) Create artiﬁcially planar data by the following: octave:1> m = 100.+ orthb. Plot the two regression lines. You should have that the vector n is orthogonal to the rows of T."). ones(obs.d] = orthlsq(X) where X is the m × n matrix whose rows are the m tuples (x 1 . yeps = 1. Consider x.n)."b-.").1.xeps = 1.n = 5. x2 . octave:6> lsm = lsmb(1).375.Ytrue = m .0.lsm*XSaw . octave:11> hold on.ordinary least squares. octave:9> hold off. lsb = lsmb(2). LEAST SQUARES function [n. Compare the estimated coeﬃcients from both solutions. octave:10> plot(XSaw. . Check this: octave:8> disp(norm(T * n)). (b) Compare the orthogonal least squares technique to the ordinary least squares in a two dimensional setting."g-.1)] \ YSaw. xn ).134 CHAPTER 9.* Xtrue . Under which situations does orthogonal least squares outperform ordinary least squares? Do they give equally erroneous results in some situations? Can you think of a way of “reweighting” channel data to make the orthogonal least squares method more robust in cases of unequal error variance? .* ones(size(X)). octave:5> X += offs . The data.+ b.yeps = 1. octave:5> lsmb = [XSaw. .

x(a) = c. They are usually easier to solve or approximate than the more general Partial Diﬀerential Equations. For more background on ODEs. 1 has solution x(t) = 3 t3 − 1 t2 + K.1) In calculus classes. For example the ODE given by = t2 − t. Much of the background material of this chapter should be familiar to the student of calculus.g. x(a) = c. which can contain partial derivatives. x(t)) . x(t)) is independent of its second variable. thus we turn to approximation schemes. you probably studied the case where f (t. We will focus more on the approximation of solutions. 2 A more general case is when f (t. 135 . or ODEs.Chapter 10 Ordinary Diﬀerential Equations Ordinary Diﬀerential Equations. PDEs. e. see any of the standard texts. 10. where K is chosen such that x(a) = c. You may recall that the solution to such a separable ODE usually involved the following equation: dx(t) dt dx = h(x) g(t) dt Finding an analytic solution can be considerably more diﬃcult in the general case. x) is separable.. h.1 Elementary Methods A one-dimensional ODE is posed as follows: ﬁnd some function x(t) such that = f (t. [8]. than on analytical solutions. that is f (t. dx(t) dt (10. are used in approximating some physical systems. x) = g(t)h(x) for some functions g. Some classical uses include simulation of the growth of populations and trajectory of a particle.

x(t)) . Note this is essentially the same as the “forward diﬀerence” approximation we made to the derivative. 2 But we cannot evaluate this exactly. we can write 1 1 m (m) 1 x(t + h) = x(t) + hx (t) + h2 x (t) + .e. maybe the formula would work.1 Integration and ‘Stepping’ We attempt to solve the ODE by integrating both sides.2 Taylor’s Series Methods We see that our more accurate integral approximations will be useless since they require information we do not know. x(r)) dr. we get x(t + h) ≈ x(t) + hf (t. The diﬀerence between the actual . We can also view this as using integral approximations where all information comes from the left-hand endpoint.136 CHAPTER 10. x(t + h))] . If we apply the left-hand rectangle rule for approximating integrals to equation 10. dt t+h t+h yields thus (10. Bummer.2. By Taylor’s theorem. (10. + h x (t) + hm+1 x(m+1) (τ ). Thus we fall back on Taylor’s Theorem (Theorem 1.1. This is the idea behind the Runge-Kutta Method (see Section 10. If we can approximate the integral then we have a way of ‘stepping’ from t to t + h. say by using Euler’s Method. Since τ is essentially unknown.1. ORDINARY DIFFERENTIAL EQUATIONS 10. x(r)) dr. But if we could approximate it.. We also say that this approximation is a truncation of the Taylor’s series. And it is embedded on the right hand side. for each step.1). x(t)).. . 10. Note that this means that all the work we have put into approximating integrals can be used to approximate the solution of ODEs. since x(t + h) appears on both sides of the equation. evaluations of f (t. + 2 m! This approximate solution to the ODE is called a Taylor’s series method of order m. x) for yet unknown x values. t+h x(t + h) = x(t) + t f (r. our best calculable approximation to this expression is 1 m (m) 1 h x (t). i. For simplicity we usually use the same step size.2). That is dx(t) = f (t. Using stepping schemes we can approximate x(t f inal ) given x(tinitial ) by taking a number of steps. . i. though nothing precludes us from varying the step size.2) dx = t t f (r. x(t + h) ≈ x(t) + hx (t) + h2 x (t) + . x(t)) + f (t + h. h. equation 7. if x has at least m + 1 continuous derivatives on the interval in question.3) This is called Euler’s Method.1. .e. 2 m! (m + 1)! where τ is between t and t + h. if we have a good approximate of x(t) we can approximate x(t + h). . Trapezoid rule gives x(t + h) ≈ x(t) + h [f (t.

dx(t) dt The actual solution is x(t) = et . Consider the ODE PSfrag replacements = x.1. x(t)). as the actual solution. 10. We discuss this more in Subsection 10.5.5 2 2.1. In Figure 10. Example 10. 22 20 18 16 14 12 10 8 6 4 2 0 0 0.1. called roundoﬀ error.1. x(t) = e t has positive curvature. The truncation error exists independently from any error in computing the approximation. Each step proceeds on the linearization of the curve. 10. Euler’s Method will underestimate x(t) because the curvature of the actual x(t) is positive.1: Euler’s Method applied to approximate x = x.10. x) is given as a “black box” function. and is thus an underestimate. and thus the function is always above its linearization.1. . Here step size h = 0.4 Higher Order Methods Higher order methods are derived by taking more terms of the Taylor’s series expansion.1. x(0) = 1.5 1 1. Note however. x(0) = 1. that they will require information about the higher derivatives of x(t).5 3 Euler approximation Actual Figure 10.3 Euler’s Method When m = 1 we recover Euler’s Method: x(t + h) = x(t) + hx (t) = x(t) + hf (t. and thus may not be appropriate for the case where f (t. ELEMENTARY METHODS 137 value of x(t + h).3 is used. we see that eventually the Euler’s Method approximation is very poor. and this approximation is called the truncation error.

5 Errors There are two types of errors: truncation and roundoﬀ. We have already observed this kind of behaviour. x(0) = 1. x(a) = c + . Roundoﬀ error occurs because of the limited precision of computer arithmetic. x(t)) . the optimal h-value will usually depend on the given ODE and the approximation method. while the roundoﬀ error increases.2. You can see that the truncation error is O hm+1 . Unfortunately. it is generally impossible to predict the optimal h.6 Stability Suppose you had an exact method of solving an ODE. but instead fed the wrong data into the computer. you were trying to solve dx(t) dt = f (t. Truncation error is the error of truncating the Taylor’s series after the mth term. which then solved exactly the ODE = f (t. This leads to the topic of stability. dx(t) dt . an error in the value of x(t) can cause a greater error in the value of x(t + h). but had the wrong data. x(a) = c.5. While it is possible these two kinds of error could cancel each other. 10. we usually assume they are additive.138 CHAPTER 10. x(t)) . It turns out that for some ODEs and some methods. Solution: By simple calculus: x (t) = x + ex x (t) = x + ex x x (t) = x (1 + ex ) + x ex x We can then write our step like a program: x (t) ← x(t) + ex(t) dx(t) dt x (t) ← x (t) 1 + ex(t) 1 1 x(t + h) ≈ x(t) + hx (t) + h2 x (t) + h3 x (t) 2 6 x (t) ← x (t) 1 + ex(t) + x (t) 2 x(t) e 10.2. This results in an optimal h-value for a given method. this does not happen. As h is made smaller. Derive the Taylor’s series method for m = 3 for the ODE = x + ex . Both of these kinds of error can accumulate: Since we step from x(t) to x(t + h). For an ODE with unknown solution. ORDINARY DIFFERENTIAL EQUATIONS Example Problem 10. That is.1. the truncation error presumably decreases. when analyzing approximate derivatives–cf.1. Example Problem 7. See Figure 10. given our pessimistic worldview. We also expect some tradeoﬀ between these two errors as h varies.

We illustrate this with the usual example. The former ODE exhibits the opposite behavior– accrued errors will be ampliﬁed. and total error for a ﬁctional ODE and approximation method are shown. Consider the ODE dx(t) = x.2: The truncation.3(a).1. Sfrag replacements 139 truncation roundoﬀ total error 1e-06 1e-05 0. dt This has solution x(t) = x(0)et .10.1. The curves for diﬀerent starting conditions diverge.” as seen in Figure 7. as in Figure 10.0001 0. dt which has solution x(t) = x(0)e−t .01 . roundoﬀ.3.01 1e-07 Figure 10. This solution can diverge from the correct one because of the diﬀerent starting conditions. ELEMENTARY METHODS 10000 1000 100 10 1 0. In reality.0002. if we instead consider the ODE dx(t) = −x. However. thus the approximation could be Euler’s Method.1 0. Thus the latter ODE exhibits stability: roundoﬀ and truncation errors accrued at a given step will become irrelevant as more steps are taken. The total error is apparently minimized for an h value of approximately 0.3(b). as in Figure 10. Note that the truncation error appears to be O (h). we see that diﬀerences in the initial conditions become immaterial.001 0. Example 10. we expect the roundoﬀ error to be more “bumpy.

5 1.6 0.5 = −0. ORDINARY DIFFERENTIAL EQUATIONS 12 10 = −0.8 0.4 = −0.6 1.5 2 (a) (1 + )et 1.5 1 1.4 0.25 =0 = 0.2 0 0 0. (1+ )e−t are shown.5 = −0.5 8 6 4 PSfrag replacements 2 0 0 0.5 1 1. while in (b). the functions (1 + )e t are shown.25 =0 = 0.PSfrag replacements 140 CHAPTER 10.3: Exponential functions with diﬀerent starting conditions: in (a).2 1 0.25 = 0. . The latter exhibits stability.25 = 0.5 2 (b) (1 + )e−t Figure 10. while the former exhibits instability.

We can prove this without too much pain. However. s) = fx (t. ∂s ∂t ∂s ∂s By the independence of t. for t ≥ a. If we take the derivative of the ODE we get ∂ x(t. ∂s ∂t ∂s We use continuity of x to switch the orders of diﬀerentiation: ∂ ∂ ∂ x(t. if fx < −δ for a positive δ. s). giving stability. we have ∂ u(t) = q(t)u(t). x(t. and so lim u(t) = 0. it may suﬀer from instability. then lim Q(t) = −∞. ∂t ∂s ∂s Deﬁning u(t) = ∂ ∂s x(t. If f x > δ for some positive δ. Deﬁne x(t. x(t. Some ODEs fall through this test. Similarly if q(r) ≤ −δ < 0. and q(t) = fx (t. x(a) = s. then the ODE is instable. ∂t ∂ ∂ ∂ x(t. which may make the method inappropriate or impractical.1. x(t. x(t)) + fx (t. . and so lim u(t) = ∞.. x(t)) . where t Q(t) = a q(r) dr. it can be recast into a method which may have superior stability at the cost of limited applicability. s) = ft (t.7 Backwards Euler’s Method Euler’s Method is the most basic numerical technique for solving ODEs. s) = f (t. ∂s Think about this in terms of the curves for our simple example x = x. ELEMENTARY METHODS 141 It turns out there is a simple test for stability. s). But note that u(t) = ∂ ∂s x(t. and thus we have instability.10.1. s)). i. s) x(t. s) = ∞. so ∂ ∂ ∂x(t. x(r. then lim Q(t) = ∞. 10. s). s)). However. s the ﬁrst part of the RHS is zero. s) = fx (t. however. If q(r) = fx (r. s) x(t. s)) x(t. s)). the equation is stable.e. ∂t The solution is u(t) = ceQ(t) . x(t. s) = f (t. x(t. s)) ≥ δ > 0. s)) . s) to be the solution to = f (t. x(t. s)) . ∂s ∂t ∂s ∂ ∂ ∂t ∂x(t. Then instability means that t→∞ dx(t) dt lim ∂ x(t.

Letting tf = t + h. is a stepping method: given a reasonable approximation to x(t). x(0) = 2π. . we have to ﬁnd x(h) such that x(h) = x(0) + cos x(h). 8 g(y) 6 4 2 0 -2 -4 -6 2 4 6 8 10 12 Figure 10. . ORDINARY DIFFERENTIAL EQUATIONS This method. Taylor’s Theorem states that x(tf − h) = x(tf ) + (−h)x (tf ) + (−h)2 x (tf ) + . it calculates an approximation to x(t + h). the second order term is truncated to give x(t) = x(t + h − h) = x(tf − h) ≈ x(tf ) + (−h)x (tf ) and so. and the Runge-Kutta methods in the following section are explicit methods: they can be used to directly compute an approximate step. Example 10. if we wish to approximate x(0 + h) using Backwards Euler’s Method. As usual. The techniques of Chapter 4 are needed to ﬁnd the zero of this function. Consider the ODE = cos x.4: The nonincreasing function g(y) = 2π + cos y − y is shown. . We make this clear by examples.4.4. This is equivalent to ﬁnding a root of the equation PSfrag replacements 0 dx(t) dt g(y) = 2π + cos y − y = 0 The function g(y) is nonincreasing (g (y) is nonpositive). and has a zero between 6 and 8. Assuming that x has two continuous derivatives on the interval in question. . 2 for an analytic function. In this case. thus cannot be used to calculate an approximation for x(t+h). Since this approximation may contain x(t + h) on both sides. we call this method an implicit method. In contrast. x(t + h) ≈ x(t) + hx (t + h) The complication with applying this method is that x (t+h) may not be computable if x(t+h) is not known.142 CHAPTER 10. as seen in Figure 10. Euler’s Method. the so-called Backwards Euler’s Method. Taylor’s Theorem is the starting point.

dx(t) dt 143 The actual solution is x(t) = et . RUNGE-KUTTA METHODS Example 10. x(0) = 1.2 Runge-Kutta Methods dx(t) dt Recall the ODE problem: ﬁnd some x(t) such that = f (t. gives the approximation: x(t + h) = x(t) + hx(t + h).3. 1−h Using Backwards Euler’s Method gives an over estimate.5. x(a) = c. as shown in Figure 10. through the tangent at that point.1. as shown in Figure 10.5 1 1.1: = x. x(t)) . 10. which shows the same problem approximated by Euler’s Method.5: Backwards Euler’s Method applied to approximate x = x. with the same stepsize. This eﬀect is not evident in this case.5. as each step is to a point on a curve ke t .2.5 2 2. .10. 40 PSfrag replacements Backwards Euler approximation Actual 35 30 25 20 15 10 5 0 0 0. x(0) = 1. Consider the ODE from Example 10. The approximation is an overestimate. Using Backwards Euler’s Method.1.5 3 Figure 10. h = 0. Generally Backwards Euler’s Method is preferred over vanilla Euler’s Method because it gives equivalent stability for larger stepsize h. This is because each step proceeds on the tangent line to a curve ke t to a point on that curve. Compare this ﬁgure to Figure 10. x(t) x(t + h) = . Euler’s Method underestimates x(t).

y) + 1 2 h fxx (¯. c are given.e. We will pick another choice. y) ∂ 2 f (x.1 Taylor’s Series Redux We fall back on Taylor’s series. y) + kfy (x. in this case the 2-dimensional version: ∞ f (x + h. x ¯ For practice. 10. ∂x ∂y ∂ 2 f (x. Note that w 1 = 1. x (t). y ) + 2hkfxy (¯. y). y). y) ∂ 2 f (x. y) +k . y) = h 2 ∂f (x. .2 Deriving the Runge-Kutta Methods We now introduce the Runge-Kutta Method for stepping from x(t) to x(t + h). y) = f (x. y + k) = i=0 1 i! h ∂ ∂ +k ∂x ∂y i f (x. y) ∂f (x. The thing in the middle is an operator on f (x.. we will write this for n = 1: f (x + h. y) + 1 (n + 1)! h ∂ ∂ +k ∂x ∂y n+1 f (¯. .2. that is: h h h ∂ ∂ +k ∂x ∂y ∂ ∂ +k ∂x ∂y ∂ ∂ +k ∂x ∂y 0 f (x. y) + k2 + 2hk . . The Runge-Kutta Methods (don’t ask me how it’s pronounced) seek to resolve this. The partial derivative operators are interpreted exactly as if they were algebraic terms. This makes these methods less useful for the general setting of f being a blackbox function. which suﬀers inaccuracy. w2 = 0 corresponds to Euler’s Method. y) = h2 . or you are using a higher order method which requires evaluations of higher order derivatives of x(t). x) K2 ← hf (t + αh. β. x ¯ where (¯. y ) + k 2 fyy (¯. y + k) = i=0 1 i! h ∂ ∂ +k ∂x ∂y i f (x. i. y) and (x + h. Recall that the Taylor’s series method has problems: either you are using the ﬁrst order method (Euler’s Method).2. x + βK1 ). There is a truncated version of Taylors series: n f (x + h. and does not require computation of K 2 . ORDINARY DIFFERENTIAL EQUATIONS where f.144 CHAPTER 10. w1 . We now examine the “proper” choices of the constants. etc. y ) is a point on the line segment with endpoints (x. y + k). x (t). y ). We suppose that α. y). w2 are ﬁxed constants. y) + hfx (x. ∂x∂y ∂x2 ∂y 2 f (x. We then compute: K1 ← hf (t. Then we approximate: x(t + h) ← x(t) + w1 K1 + w2 K2 . 1 f (x. a. y ) x ¯ x ¯ x ¯ 2 10. y + k) = f (x.

our choice of the constants makes the approximate x(t + h) good up to a O h3 term. 6 . x + K1 /2) K3 ← hf (t + h/2. x + K3 ) 1 x(t + h) ← x(t) + (K1 + 2K2 + 2K3 + K4 ) . w1 + w2 = 1.2. x + K1 ) 1 x(t + h) ← x(t) + (K1 + K2 ) . x) + f (t + h. 2 Another choice is α = β = 2/3. w1 = 1/4. x) + β 2 h2 f 2 fx x(t. x) .. x) K2 ← hf (t + h/2. The next Runge-Kutta Method is the order four method: K1 ← hf (t. x) + αβf h2 ftx (t. 2 2 This can be written (and evaluated) as K1 ← hf (t. x + βK1 ) = f (t + αh.e.5) K4 ← hf (t + h. RUNGE-KUTTA METHODS 145 Also notice that the deﬁnition of K2 should be related to Taylor’s theorem in two dimensions. Sometimes this is not enough and higher-order Runge-Kutta Methods are used.10. because we end up with the Taylor’s series expansion up to that term. x) + f 4 4 t+ 2h 2h . x + βhf (t.x + f (t. This gives x(t + h) ← x(t) + 3h h f (t. 2 Now reconsider our step: x(t + h) = x(t) + w1 K1 + w2 K2 = x(t) + w1 hf + w2 hf + w2 αh2 ft + w2 βh2 f fx + O h3 . x)) 1 2 2 ¯¯ ¯¯ ¯¯ = f + αhft + βhf fx + α h ftt (t. 1 The usual choice of constants is α = β = 1. w2 = 3/4. x + K2 /2) (10. 2 If we happen to choose our constants such that K2 ← hf (t + h. cool. then we get 1 x(t + h) = x(t) + hx (t) + h2 (ft + f fx ) + O h3 2 1 = x(t) + hx (t) + h2 x (t) + O h3 . x)). w 1 = w2 = 2 . 2 i. This gives the second order RungeKutta Method : h h x(t + h) ← x(t) + f (t. x) αw2 = 1 = βw2 . x) . 3 3 (10.4) The Runge-Kutta Method of order two has error term O h3 . x + hf (t. Let’s look at it: K2 /h = f (t + αh. = x(t) + (w1 + w2 ) hx (t) + w2 h2 (αft + βf fx ) + O h3 . = x(t) + (w1 + w2 ) hx (t) + w2 h2 (αft + βf fx ) + O h3 .

6. w2 = 1.2. a. ORDINARY DIFFERENTIAL EQUATIONS This method has order O h5 .3 Systems of ODEs dx(t) dt Recall the regular ODE problem: ﬁnd some x(t) such that = f (t. Sometimes the physical systems we are considering are more complex. but rather a collection of two ODEs: . For example.3 Examples Example 10.1 to compute x(1.7. where f. y(t)) . 2 2 This is called the modiﬁed Euler’s Method .html) The Runge-Kutta Method can be extrapolated to even higher orders. x(t).com/Runge-KuttaMethod. We already saw that w1 = 1. we might be interested in the system of ODEs: dx(t) = f (t. (See http://mathworld. x(a) = c. x(0) = 1. w2 = 0 corresponds to Euler’s Method. Example 10. dx(t) dt You should immediately notice that this is not a system at all. Thus the methods of order higher than four are normally not used.1) using both Taylor’s Series Methods and Runge-Kutta methods of order 2. Consider the following system of ODEs: dx(t) = t2 − x dt dy(t) 2 dt = y + y − t. x + f (t. y(t)) . x(a) = c. = t2 − x x(0) = 1. 10. However. dt dy(t) dt = g (t. the number of function evaluations grows faster than the accuracy of the method. c are given. 10. y(a) = d. Note this gives a diﬀerent value than if Euler’s Method was applied twice with step size h/2. The method becomes x(t + h) ← x(t) + hf t+ h h . x) . x(t).146 CHAPTER 10.wolfram. y(0) = 0. We consider now the case w1 = 0. Consider the ODE: x = (tx)3 − x(1) = 1 x 2 t Use h = 0. x(t)) .

3. x1 (t).1 Larger Systems There is no need to stop at two functions. We will not consider uncoupled systems. x2 (t). y) is independent of x. . is. y(0) = 0.3 can be written as X(t + h) ← X(t) + hF (t. Euler’s Method. Most of the methods we looked at for solving one dimensional ODEs can be rewritten to solve higher dimensional problems. . . coupled. . xn (t) such that dx1 (t) dt dx2 (t) dt = f1 (t. and g(t. . We call such a system uncoupled. x. . . We may imagine we have to solve the following problem: ﬁnd x1 (t).. .10.. xn (t)) . xn (a) = cn . .. + X (k) (t). As in 1D. . . this method is derived from approximating X by its linearization. dt x1 (a) = c1 . . dxn (t) = fn (t.. . Compare this to equation 10. F = 2 . x1 (t). . . there is nothing new but notation: Let c1 f1 x1 x1 c f x x X = 2 . dy(t) dt 147 These two ODEs can be solved separately. In fact. . our general strategy of using Taylor’s Theorem also carries through without change. x2 (t). . .3. x2 (t). X = 2 .1.3. In an uncoupled system the function f (t. That is we can use the k th order method to step as follows: X(t + h) ← X(t) + hX (t) + hk h2 X (t) + . Then we want to ﬁnd X such that The idea is to not be afraid of the notation. of course. For example. . X(t)) X (a) = C. cn fn xn xn X (t) = F (t. . xn (t)) . 2 k! . x2 (t). . X(t)) .6) 10. . then do exactly the same thing as for the one dimensional case! That’s right. y) is independent of y. . A system which is not uncoupled. x. and want to ﬁnd X(t + h). .. . x2 (a) = c2 . 10. (10.2 Recasting Single ODE Methods We will consider stepping methods for solving higher order ODEs. . That is. = f2 (t. we know X(t). . C = 2 . equation 10. xn (t)) ... . x1 (t). write everything as vectors. SYSTEMS OF ODES and = y 2 + y − t. ..

X(0) + K1 ) = 0.061 K2 ← 0. X + K2 2 2 K4 ← hF (t + h.1F (0. X(0)) = 2 −1 Euler’s Method then makes the approximation 0. Consider the system of ODEs: 2 x1 (t) = x2 − x3 x (t) = t + x + x 2 1 3 x3 (t) = x2 − x2 1 x1 (0) = 1.9 −0.1 1 The Runge-Kutta Method computes: −0. X) K2 ← hF Order four: 1 1 t + h. x3 (0) = 1. and the Runge-Kutta Method of order 2. 2 K1 ← hF (t. X + K3 ) 1 X(t + h) ← x(t) + (K1 + 2K2 + 2K3 + K4 ) . X(t)) = x2 (t) − x2 (t) 1 1 Thus we have −1 F (0. X + K1 2 2 1 1 K3 ← hF t + h.1) by taking a single step of size 0. ORDINARY DIFFERENTIAL EQUATIONS Additionally we can write the Runge-Kutta Methods as follows: K1 ← hF (t.1 K1 ← 0. X(0)) = 0. x2 (0) = 0.1.1 1 X(0.1.1F (0.2 −0.8.1 −0. X) Order two: K2 ← hF (t + h. Approximate X(0.061 and . X(0)) = 0 + 0.2 = 0.1) ← X(0) + 0. X + K1 ) 1 X(t + h) ← X(t) + (K1 + K2 ) . for Euler’s Method. 6 Example Problem 10.148 CHAPTER 10. Solution: We write x2 (t) − x2 (t) 1 3 t + x1 (t) + x3 (t) X(0) = 0 F (t.1F (0.19 −0.2 0.9 −0.

. x2 (0) = −1 . x2 (a) = c2 . ﬁnd x(t) such that x(n) (t) = f t. . . . . .0805 0. then we can rewrite as x1 (t) = (t/x2 (t)) + x1 (t) − 1 x (t) = x (t) 1 0 1 x2 (t) = (x1 (t)+x2 (t)) x0 (0) = 1. x1 = x .195 2 1 −0.10. x2 = x . . a. It allows us to solve higher order ODEs. . c 0 . . c1 . x (a) = c2 . Example Problem 10. For example. x (t). x(a) = c0 .0805 0. x(n−1) (t) . .195 = 0. cn .3. . . x (0) = 0. consider the following problem: given f. . y(0) = −1 Solution: We let x0 = x. This is just a system of ODEs that we can solve like any other. x(t). . . x2 = y. xn−1 (t)) x0 (t) = x1 (t) x (t) = x2 (t) 1 . xn−1 (a) = cn−1 . x1 = x . x (a) = c1 .9195 149 10. x n−2 (t) = xn−1 (t) x0 (a) = c0 . x1 (t). . .1) ← X(0) + (K1 + K2 ) = 0 + 0. . x2 (t). .3 It’s Only Systems The fact we can simply solve systems of ODEs using old methods is good news. . Then the ODE plus these n − 1 equations can be written as xn−1 (t) = f (t. x(n−1) (a) = cn−1 . Note that this trick also works on systems of higher order ODEs. . That is. we can transform any system of higher order ODEs into a (larger) system of ﬁrst order ODEs. Rewrite the following system as a system of ﬁrst order ODEs: x (t) = (t/y(t)) + x (t) − 1 1 y (t) = (x (t)+y(t)) x(0) = 1. . We can put this in terms of a system by letting x0 = x.3. .9.9195 1 X(0. x1 (a) = c1 . x0 (t). SYSTEMS OF ODES Then 1 −0. . . x1 (0) = 0. . xn−1 = x(n−1) .

phase curves never cross. . . . . . instead of time. . there would have to be two diﬀerent values of the tangent of the curve. x = f2 (x0 . .2) We can rewrite this ODE as X (t) = F (X(t)) . x1 . x2 . the vector ﬁeld would have to have two diﬀerent values at that point.. Example 10. xn ) . . then adding the equations x0 = 1.4) x2 (t) = 3(x1 − 1. . We can get rid of the time dependence and thus make the system autonomous by making t another variable function to be found. xn ) . . and thus we speak of position. This is because at the point of crossing. xn ) . 1 Note that if you have converted a system of n equations with a time dependence to an autonomous system. . x1 . Consider the autonomous system of ODEs. . without an initial value: x1 (t) = −2(x2 − 2. x1 . . xn ) . x1 . . . . . . 3 . n x0 (a) = a. In our deterministic world. x1 . . Under this analogy.3. x2 . x2 . x1 . the phase curve is the path of a vessel placed in the river. . We do this by letting x 0 = t. . . x2 . . . ORDINARY DIFFERENTIAL EQUATIONS 10.4 It’s Only Autonomous Systems In fact. at a given point. x2 . The following example illustrates the idea of phase curves for autonomous ODE. x = fn (x0 . xn (a) = cn . we can use a similar trick to get rid of the time-dependence of an ODE. . . An autonomous system can be written in the more elegant form: . . . . xn ) . You can think of the vector ﬁeld F as being the velocity. . . . 2 x3 = f3 (x0 . . the ﬂow of which is time independent. . the movement of the particle is dependent only on its current position and not on time. . x2 . of a river. x1 = f1 (x0 . x = fn (t.e. and x0 (a) = a. One can consider X to be the position of a particle which moves through R n over time. . . x = f3 (t. x2 . xn ) . i.10. . x2 = f2 (t. xn ) . X = F (X) X (a) = C.150 CHAPTER 10. xn (a) = cn . . Moreover. . to get the system: x0 = 1. . In this case time becomes one of the dimensions. x2 (a) = c2 . xn ) . x1 (a) = c1 . x1 . x2 (a) = c2 . . then the autonomous system should be considered a particle moving through Rn+1 . . x2 . x1 . we can consider the phase curve of an autonomous system. . For an autonomous system of ODEs. n x1 (a) = c1 . Consider the ﬁrst order system x1 = f1 (t. .1 A phase curve is a ﬂow line in the vector ﬁeld F .

2 2.5 2 In the case r = 0. 2 Thus the family of such ellipses. 4. taking all r ≥ 0.4 . arrowheads were not available for this ﬁgure.) You should verify that this ODE is solved by √ √ 2 cos(√6t + t0 ) X (t) = r √ 3 sin( 6t + t0 ) + 1. 1.6: The vector ﬁeld F (X) is shown in R 2 .5 3 2.5 151 0 −2 3 0 X+ 4. 2π] . SYSTEMS OF ODES This is an autonomous ODE. The tips of the vectors are shown as circles.5 1 1. the ellipse is the “trivial” ellipse which consists of a point.5 4 3. the parameters r and t 0 are uniquely determined. 0 0.8 −3. This is because the phase curve represents the Euler’s Method and the second order Runge-Kutta Method were used to approximate the ODE with initial value 1.6.5 2 1.5 -0. form the phase curves of this ODE.10. . for any r ≥ 0. Thus the trajectory of X over time is that of an ellipse in the plane. We would expect the approximation of an ODE to never cross a phase curve.5 2 2.6 .5 0 -0.3. and t0 ∈ (0. (Due to budget restrictions. Given an initial value.5 1 0. The associated vector ﬁeld can be expressed as F (X) = This vector ﬁeld is plotted in Figure 10.5 3 3.5 X (0) = .5 Figure 10.

5 0 -0.5 1 0.5 -0.5 1 1. The Runge-Kutta Method used larger step size.5 (a) Euler’s Method 4.5 0 -0.5 1 0.5 0 0.5 2 2. .5 3 2.5 -0.5 3 2.5 (b) Runge-Kutta Method Figure 10.5 1 1. but was more accurate.5 3 3.152 CHAPTER 10.5 2 1.10 are shown for (a) Euler’s Method and (b) the Runge-Kutta Method of order 2.5 4 3.7: The simulated phase curves of the system of Example 10. thus the “spiralling” observed for Euler’s Method is spurious.5 3 3.5 0 0.5 4 3.5 2 2. The actual solution to the ODE is an ellipse. ORDINARY DIFFERENTIAL EQUATIONS 4.5 2 1.

7.015 for 3000 steps. . but at greater computational cost. since Euler’s Method steps in the direction tangent to the actual solution.3. whereas Euler’s Method requires only one. The Runge-Kutta Method was employed with step size h = 0. The approximations are shown in Figure 10.005 for 3000 steps.3 3 Because the Runge-Kutta Method of order two requires two evaluations of F . SYSTEMS OF ODES 153 Euler’s Method was used for step size h = 0. thus every step of Euler’s Method puts the approximation on an ellipse of larger radius. we see that Euler’s Method performed rather poorly. per step. This must be the case for any step size.10. and at lesser computational cost. Thus the Runge-Kutta Method outperforms Euler’s Method. Given that the actual solution of this initial value problem is an ellipse. and for larger step size. Smaller stepsize minimizes this eﬀect. The Runge-Kutta Method performs much better. At the given resolution. no spiralling is observable. it is expected that they would be ‘evenly matched’ when Runge-Kutta Method uses a step size twice that of Euler’s Method. spiralling out from the ellipse.

y (t) = x (t) + x(t) − 4. for some function g. x(0) = 2. derive a higher order approximation scheme to ﬁnd x(t + h) based on x(t).1) by using one step of Euler’s Method.154 Exercises (10. x(0) = 0. y (t) = x (t) + y (t). (10. Approximate X(1. Use backward’s Euler (or. (10. x (0) = π.3) Consider the separable ODE x (t) = x(t)g(t). y(0) = 0.4) Consider the ODE x (t) = x(t) + t2 . ORDINARY DIFFERENTIAL EQUATIONS x (t) = t2 − x2 x(1) = 1 Approximate x(1.1) using one step of the second order Runge-Kutta Method. and h. t. x (0) = y(0) = y (0) = 1. 1 − hg(t + h) What could go wrong with using such a scheme? (10. (10.8) Rewrite the following higher order system of ODEs as a system of ﬁrst order ODEs: x (t) = y (t) − x (t).6) Rewrite the following higher order ODE as a system of ﬁrst order ODEs: x (t) = x(t) − sin x (t).1) Given the ODE: CHAPTER 10. x(0) = x (0) = y (0) = −1. . the right endpoint rule for approximating integrals) to derive the approximation scheme x(t + h) ← x(t) .5) Which of the following ODEs can you show are stable? Which are unstable? Which seem ambiguous? (a) x (t) = −x − arctan x (b) x (t) = 2x + tan x (c) x (t) = −4x − ex (d) x (t) = x + x3 (e) x (t) = t + cos x (10.7) Rewrite the system of ODEs as a system of ﬁrst order ODEs x (t) = y(t) + t − x(t).1) using one step of the second order Runge-Kutta Method. Using Taylor’s Theorem. alternatively. x (0) = 1. (10.2) Given the ODE: x1 (t) = x1 x2 + t x2 (t) = 2x2 − x2 1 x1 (1) = 0 x2 (1) = 3 Approximate X(1. Approximate x(1. (10.1) by using one step of Euler’s Method.

h. 1000. Your m-ﬁle should have header line like: function xfin = rkm(f.0. 91.1. dx(t) dt 155 Your m-ﬁle should have header line like: function xfin = euler(f.h. 500. so your approximation should be good (cf.c. using a = 0.3. SYSTEMS OF ODES (10.0.2) (c) Run your code with f(t. For example. x(a) = c. (b) Run your code with f(t. using a = 0 = c. Your actual solution may be a rather poor approximation.0. Plot your approximations for varying values of steps. (a) Run your code with f(t. c = 0. and using h steps = 1. Test your code with the ODEs from the previous problem.9) Implement Euler’s Method for approximating the solution to = f (t. Also try large values of steps. 36. Can you guess what the actual solution is supposed to look like? Can you explain the poor performance of Euler’s Method for this ODE? (10. and 90.3). and using h steps = 2. and using h steps = 1. Experiment with diﬀerent values of h.c.a.10) Implement the Runge-Kutta Method of order two for approximating the solution to = f (t. Does the Runge-Kutta Method perform any better than Euler’s Method for the last ODE? dx(t) dt . x) = −x. In this case the actual solution is xfin = ce−1 . x(t)) .steps) where xfin should be the approximate solution to the ODE at time a + steps h. (cf. Prepare a plot of error versus h for varying values of h.10. x) = x.1 and Figure 10.a. using a = 0 = c. x) = 1/ (1 − x) . like 100. Figure 7.steps) where xfin should be the approximate solution to the ODE at time a + steps h. Example 10. try steps values of 35. x(t)) . This ODE is stable. In this case the actual solution is xfin = ce. x(a) = c.

ORDINARY DIFFERENTIAL EQUATIONS .156 CHAPTER 10.

and state the conditions on the variable that appears in the error term. . P6 (7 pnts) Write out the iteration step of the Secant Method for ﬁnding a zero of the function f (x). . √ • Letting x0 = 1. Your iteration should look like xk+1 = ?? √ • Write the Newton’s Method iteration for ﬁnding 5. xn . Let a0 = 0. Fall 2003 P1 (7 pnts) Clearly state Taylor’s Theorem for f (x + h). What are a2 . Note that 5 ≈ 2. give the accuracy of the above approximation. x1 . .236. using h = 3 . xn . 1 • Let f (x) = x2 . Approximate f (0) with this approximation. . P3 (7 pnts) Write the Lagrange form of the polynomial of lowest degree that interpolates the following values: xk −1 1 yk 11 17 P4 (14 pnts) Use the method of Bisection for ﬁnding the zero of the function f (x) = x 3 − 3x2 + 5x − 5 .Appendix A Old Exams A. ﬁnd the x1 and x2 for your iteration. Your answer should be something like O h? . Include all hypotheses. P8 (21 pnts) Consider the data: 0 1 2 k xk 3 1 −1 f (xk ) 5 15 9 157 . . x2 . write the polynomial that has value 1 at x0 and has value 0 at x1 . b2 ? 2 P5 (21 pnts) • Write out the iteration step of Newton’s Method for ﬁnding a zero of the function f (x). . That is. and b0 = 2. • Assuming that f (x) has bounded derivatives. Your iteration should look like xk+1 = ?? P7 (21 pnts) Consider the following approximation: f (x) ≈ f (x + h) − 5f (x) + 4f (x + h ) 2 3h • Derive this approximation using Taylor’s Theorem. . . P2 (7 pnts) Write out the Lagrange Polynomial 0 (x) for nodes x0 .1 First Midterm.

. Your answer should be a number. Fall 2003 b P1 (6 pnts) Write the Trapezoid rule approximation for a f (x) dx. Show your work. Find a numerical upper bound on the error |p(x) − f (x)| over the interval [−1. using the nodes {xi }n . Verify your answer. . .2 Second Midterm. P7 (28 pnts) Consider the quadrature rule: 1 0 f (x) dx ≈ z0 f (0) + z1 f (1) + z2 f (0) + z3 f (1).1 −0. Make this rule exact for all polynomials of degree ≤ 2. .e.158 APPENDIX A.001 43 91 −43 1 .0001 −0. Suppose b a f (x) dx = φ(n) + a5 h5 + a10 h10 + a15 h15 + . L and U. Show all your work. n n n where hn = b−a . A. devise a “Romberg-style” quadrature rule that is 2n a O h10 approximation to the integral. P3 (14 pnts) Let φ(n) be some quadrature rule that divides an interval into 2 n equal subintervals. • Suppose that these data were generated by the function f (x) = x 3 − 5x2 + 2x + 17. Clearly indicate your answer x(1) . i. A= −12 26 −1 0 1 −10 π −7 2 Which row contains the ﬁrst pivot? You must show your work. Using evaluations of φ(·).01 0. You must indicate which of the two methods you are using. P5 (14 pnts) Run one iteration of either Jacobi or Gauss Seidel on the system: 1 3 4 −3 −2 2 1 x = −3 −1 3 −2 1 Start with x(0) = [1 1 1] . verify that A = LU. • Construct the Newton form of the polynomial p(x) of lowest degree that interpolates f (x) at these nodes. n P4 (14 pnts) Compute the LU factorization of the matrix 1 0 −1 A= 0 2 0 2 2 −1 using na¨ Gaussian Elimination. OLD EXAMS • Construct the divided diﬀerences table for the data. . i=0 P2 (6 pnts) Suppose Gaussian Elimination with scaled partial pivoting is applied to the matrix 0. Your ﬁnal answer should be two ıve matrices. 3]. P6 (21 pnts) Derive the two-node Chebyshev Quadrature rule: 1 −1 f (x) dx ≈ c [f (x0 ) + f (x1 )] .

Verify your answer. . L. . . • Solve your system for z using na¨ Gaussian Elimination. x n y0 y1 . P9 (9 pnts) Let F = {f (x) = c0 x + c1 log x + c2 cos x | c0 .3 Final Exam. . L and U. c1 . Determine a quadrature rule of the form α −α f (x) dx ≈ Af (0) + Bf (−α) + Cf (α) that is exact for polynomials of highest possible degree. Fall 2003 P1 (4 pnts) Clearly state Taylor’s Theorem for f (x + h). y n Caution: this should not be done with basis vectors. . P8 (9 pnts) Find the least-squares best approximate of the form y = ln (cx) to the data x0 x1 . Your ﬁnal answer should be two ıve matrices.e.. Let the knots be a = t0 < t1 < t2 < . Write out the Lagrange Polynomial 0 (x) for these nodes. . verify that A = LU. i.3. P2 (4 pnts) State the conditions that characterize S(x) as a natural cubic spline on the interval [a. FALL 2003 159 • Write four linear equations involving z i to make this rule exact for polynomials of the highest possible degree. that is. x(t)) x(a) = c Write out the Euler Method to step from x(t) to x(t + h). and state the conditions on the variable that appears in the error term. Show all your work. x2 = 0. P3 (4 pnts) Let x0 = 3. . P4 (4 pnts) Consider the ODE: x (t) = f (t. . . P5 (7 pnts) Compute the LU factorization of the matrix −1 1 0 A = 1 1 −1 −2 0 2 using na¨ Gaussian Elimination. x1 = −5. Include all hypotheses. c2 ∈ R } . . Set up (but do not attempt to solve) the normal equations to ﬁnd the least-squares best f ∈ F to approximate the data: x0 x1 . FINAL EXAM. x2 . . < tn = b. . Furthermore suppose that φ(n) = L + a1 n− 2 + a2 n− 2 + a3 n− 2 + . P6 (9 pnts) Let α be given.A. What is the highest degree polynomial for which this rule is exact? P7 (9 pnts) Suppose that φ(n) is some computational function that approximates a desired quantity. b]. Combine two evaluations of φ(·) in the manner of Richardson to get a O n−1 approximation to L. write the polynomial that has value 1 at x 0 and has value 0 at x1 . ıve A. y n 1 2 3 . x n y0 y1 .

.160 APPENDIX A. x(t + h) ← R(x(t). OLD EXAMS The normal equations should involve the vector c = [c 0 c1 c2 ] . x (t)) . give the accuracy of the above approximation. . Your answer should be something like O h? . It is permissible to write the update as a small program like: x (t) ← Q0 (x(t)) Rt 0 g(r) dr . which uniquely determines a function in F. P11 (11 pnts) Consider the ODE: x (t) = x(t)g(t) x(0) = 1 • Use the Fundamental Theorem of Calculus to write a step update of the form: t+h x(t + h) = x(t) + t ?? • Approximate the integral using the Trapezoid Rule to get an explicit step update of the form x(t + h) ← Q(t.5 0 0. x (t).) rather than write the update as a monstrous equation of the form x(t + h) ← M (x(t)). • Assuming that f (x) has bounded derivatives. P10 (9 pnts) Consider the following approximation: f (x) ≈ 3f (x − h) − 4f (x) + f (x + 3h) 6h2 • Derive this approximation using Taylor’s Theorem. P13 (15 pnts) Consider the data: k xk f (xk ) 0 1 2 −0. .5 5 15 9 • Construct the divided diﬀerences table for the data. x (t) ← Q1 (x(t). Do you see any problem with this stepping method if h > 2/m? Hint: the actual solution to the ODE is x(t) = e P12 (9 pnts) Consider the ODE: x (t) = ex(t) + sin (x(t)) x(0) = 0 Write out the Taylor’s series method of order three to approximate x(t + h) given x(t). . x (t). . x(t). . h) • Suppose that g(t) ≥ m > 0 for all t.

1 • Let f (x) = x2 + 1. P4 (14 pnts) One of the roots of x2 − bx + c = 0 as found by the quadratic formula is subject to subtractive cancellation when |b| |c| . . Let the ﬁrst interval be [0. “black box” function. Jacobi. 256]. get a O h2 approximation to f (0) using the method of Richardson’s Extrapolation.5]. P2 (12 pnts) Write the general form of the iterated solution to the problem Ax = b. 0) D(1. Your iteration should look like xk+1 = ?? • Write the Newton’s Method iteration for ﬁnding 3 25/4.4 First Midterm.” and use the factor ω. That is. Use x0 = 3. describe what Q is. Find a reasonable C such that the truncation error is no greater than Ch 4 . Using Taylor’s Theorem. Include all hypotheses. 1) A. P2 (14 pnts) Give a O h4 approximation to sin (h + π/2) . ﬁnd the x1 and x2 for your iteration. Gauss-Seidel. your answer should probably include a table like this: D(0.842.5. and ﬁfth intervals. such that xk → 3 24. fourth. P1 (14 pnts) Perform bisection on the function graphed below. Give the second. • Suppose that these data were generated by the function f (x) = 40x 3 − 32x2 − 6x + 15. the approximation should be deﬁned in terms of f (·) evaluated at some values. 0) D(1. FALL 2004 161 • Construct the Newton form of the polynomial p(x) of lowest degree that interpolates f (x) at these nodes. √ P3 (14 pnts) Use Newton’s Method to ﬁnd a good approximation to 3 24. and let f (·) be a given. P15 (15 pnts) • Let x be some given number. Note that 3 25/4 ≈ 1. and state the conditions on the variable that appears in the error term. third. Call your approximation φ(h). Let Q be your “splitting matrix. √ iteratively deﬁne a sequence with x 0 = 3. derive a O (h) approximation to the derivative f (x). Your answer should be a number. Your solution should look something like: xk+1 =?? + ?? ?? [Problems] Answer no more than four of the following. • For the same f (x) and h. in relation to A : Richardson’s. 5 • Letting x0 = 2 . for h = 2 . Your solution should look something like: ??x(k) =??x(k−1) +?? or x(k) =??x(k−1) +?? For one of the following variants.A. P1 (12 pnts) Clearly state Taylor’s Theorem for f (x + h). Which root is it? Rewrite the expression for that root to eliminate subtractive cancellation. Fall 2004 [Deﬁnitions] Answer no more than two of the following. P3 (12 pnts) Write the iteration for Newton’s Method or the Secant Method for ﬁnding a root to the equation f (x) = 0. 0. and should probably involve x and h. Find a numerical upper bound on the error |p(x) − f (x)| over the interval [−0. FIRST MIDTERM.4. P14 (15 pnts) • Write out the iteration step of Newton’s Method for ﬁnding a zero of the function f (x). Approximate f (0) using your φ(h).

ıve 3 2 4 −6 1 −6 12 −12 10 P6 (14 pnts) Consider the linear equation: 5 6 1 1 2 4 0 x = −6 3 1 2 6 Letting x(0) = [1 1 1] .162 64 32 0 -32 -64 0 32 64 96 128 160 192 APPENDIX A. (Hint: Use Taylor’s Theorem twice. . show that for Newton’s Method. Show all your work. OLD EXAMS 224 256 P5 (14 pnts) Find the LU decomposition of the following matrix by Gaussian Elimination with na¨ pivoting. [Questions] Answer only one of the following. 2 when |ek | is suﬃciently small. . x13 . Justify your answer. Suppose that f (x) has the properties that f (x) ≥ m > 0 for all x. P1 (10 pnts) For a set of distinct nodes x 0 .) Is this faster or slower convergence than for Newton’s Method with a simple root? A. You must indicate which scheme you are using. and |f (x)| ≤ M for all x. . Fall 2004 5 (x)? [Deﬁnitions] Answer no more than two of the following three. What degree is this polynomial? . . Find δ > 0 such that |e k | < δ insures that xn → r. 1 ek+1 ≈ ek . P1 (20 pnts) Suppose that the eigenvalues of A are in [α. What is the minimal value of I − ωA2 2 for this optimal ω? For full credit you need to make some argument why this ω minimizes this norm. P2 (20 pnts) Let f (x) = 0 have a unique root r. x1 . Recall that the form of the error for Newton’s Method is −f (ξk ) 2 e . ﬁnd x(1) using either the Gauss-Seidel or Jacobi iterative schemes. P3 (20 pnts) Suppose that f (r) = 0 = f (r) = f (r). and f (x) is continuous. Letting ek = xk −r. ek+1 = 2f (xk ) k where ek = r − xk . Use weighting ω = 1. β] with 0 < α < β. what is the Lagrange Polynomial You may write your answer as a product.5 Second Midterm. Find the ω that minimizes I − ωA2 2 .

b] there is some ξ ∈ [a. P1 (16 pnts) How large must n be to interpolate the function e x to within 0. b]. x2 − 3x + 4 Q(x) = α(x − 1)2 + β(x − 1) + 2 2 x +x−4 f (x) ≈ :0≤x<1 :1≤x<3 :3≤x≤4 P6 (16 pnts) Consider the following approximation: f (x + h) − 5f (x) + 4f (x + h ) 2 3h • Derive this approximation via Taylor’s Theorem. Let f (n+1) be continuous. i=0 P3 (10 pnts) State the conditions which deﬁne the function S(x) as a natural cubic spline on the interval [a. P3 (16 pnts) Derive the constants A and B which make the quadrature rule 1 −1 f (x) dx ≈ Af √ 15 − 5 + Bf (0) + Af √ 15 5 exact for polynomials of degree ≤ 2.5. 4]. . Your answer should be something like O h? . .A. Then for each x ∈ [a. FALL 2004 163 P2 (10 pnts) Complete this statement of the polynomial interpolation error theorem: Let p be the polynomial of degree at most n interpolating function f at the n+1 distinct nodes x 0 . [Problems] Answer no more than ﬁve of the following six. using h = 3 . . . b] such that f (x) − p(x) = ? ? n (?) . . β such that the following is a quadratic spline on [0. . 2] with the polynomial interpolant at n equally spaced nodes? P2 (16 pnts) Let φ(h) be some computable approximation to the quantity L such that φ(h) = L + a5 h5 + a10 h10 + a15 h15 + . Combine evaluations of φ(·) to devise a O h10 approximation to L.) P5 (16 pnts) Find constants α. SECOND MIDTERM. . give the accuracy of the above approximation. b].001 on the interval [0. xn on [a. Approximate f (0) with this approximation. x1 . Use this quadrature rule to approximate 1 π= −1 2 dx 1 + x2 P4 (16 pnts) Find the polynomial of degree ≤ 3 interpolating the data x y −1 0 1 2 −2 8 0 4 (Hint: using Lagrange Polynomials will probably take too long. • Assuming that f (x) has bounded derivatives. 1 • Let f (x) = x2 .

Combine evaluations of φ(·) to devise a O h8 approximation to L.1) using a single step. Your answer should be something like O h? . (b) Assuming that f (x) has bounded derivatives. Your solution should look something like: ??x(k) =??x(k−1) +?? or x(k) =??x(k−1) +?? For one of the following variants. Include all hypotheses. . P3 (10 pnts) Let φ(h) be some computable approximation to the quantity L such that φ(h) = L + a4 h4 + a8 h8 + a12 h12 + . P1 (10 pnts) Rewrite this system of higher order ODEs as a system of ﬁrst order ODEs: x (t) = x (t) [x(t) + ty(t)] y (t) = y (t) [y(t) − tx(t)] x (0) = 1 x(0) = 4 y (0) = −3 y(0) = −2 P2 (10 pnts) Consider the ODE: x (t) = t (x + 1)2 x(2) = 1/2 Use Euler’s Method to ﬁnd an approximate value of x(2. . Gauss-Seidel. . P4 (15 pnts) Consider the approximation f (x) ≈ 9f (x + h) − 8f (x) − f (x − 3h) 12h (a) Derive this approximation using Taylor’s Theorem.164 APPENDIX A. give the accuracy of the above approximation. Let Q be your “splitting matrix. Jacobi. Fall 2004 [Deﬁnitions] Answer all of the following. OLD EXAMS A. x n y0 y1 .” and use the factor ω. P2 (10 pnts) Write the iteration for Newton’s Method or the Secant Method for ﬁnding a root to the equation f (x) = 0. Your solution should look something like: xk+1 =?? + ?? ?? P3 (10 pnts) Write the general form of the iterated solution to the problem Ax = b.6 Final Exam. describe what Q is. . . and state the conditions on the variable that appears in the error term. in relation to A : Richardson’s. P1 (10 pnts) Clearly state Taylor’s Theorem for f (x + h). y n [Problems] Answer all of the following. P4 (10 pnts) Deﬁne what it means for the function f (x) ∈ F to be the least squares best approximant to the data x0 x1 . . .

FALL 2004 P5 (15 pnts) Find constants. Write your subroutine in pseudo code. and h only. α. . x (t). . in particular your subroutine should not have access to a cubed root or logarithm operator. P1 (20 pnts) Consider the “quadrature” rule: 1 0 f (x) dx ≈ A0 f (0) + A1 f (1) + A2 f (1) + A3 f (1) (a) Write four linear equations involving A i to make this rule exact for polynomials of the highest possible degree. x (t). (b) Find the constants Ai using Gaussian Elimination with na¨ pivoting. . Your subroutine should use only the basic arithmetic operations of addition. β. t. multiplication. γ such that the following is a natural cubic spline on [1. division.5 f (xk ) 1.5]. calculates an approximate to 3 z via Newton’s Method.5 (a) Construct the divided diﬀerences table for the data.) ˜ such that x(t + h) = x + O h3 . Matlab. . FINAL EXAM. . P7 (15 pnts) Consider the ODE: x (t) = cos (x(t)) + sin (x(t)) x(0) = 1 Use Taylor’s theorem to devise a O h3 approximant to x(t + h) which is a function of x. (c) What degree is your polynomial? Is this strange? (d) Suppose that these data were generated by the function f (x) = 1 + cos 2πx . subtraction. 2 Find an upper bound on the error |p(x) − f (x)| over the interval [0. (b) Construct the Newton form of the polynomial p(x) of lowest degree that interpolates f (x) at these nodes. ˜ [Questions] Answer all of the following. given an input number z. x ← R(x(t). ıve P2 (20 pnts) Consider the data: 0 1 2 k xk 0 0. or C/C++.A. You may write your answer as a program: x (t) ← Q0 (x(t)) x (t) ← Q1 (x(t).25 0. Q(x) = α (x − 1)3 + β (x − 1)2 + 12 (x − 1) + 1 γx3 + 18x2 − 30x + 19 :1≤x<2 :2≤x<3 165 √ P6 (15 pnts) Devise a subroutine that. Your answer should be a number. 0. 3]. x (t)) . .5 1 0.6. Include reasonable termination conditions so your subroutine will terminate if it ﬁnds a good approximate solution.

. c1 . among the values x0 . . x1 . but did not. P4 (10 pnts) State some substantive question which you thought might appear on this exam. xn . . (xj ) = δj7 . c2 ∈ R . where (x) is some black box function. which determines the least squares approximant in F. . Answer this question (correctly). y n (a) Set up (but do not attempt to solve) the normal equations to ﬁnd the the vector c = [c0 c1 c2 ] . . . We are concerned with ﬁnding the least-squares best f ∈ F to approximate the data x0 x1 . where f is the least squares best approximant to the data. . Prove that f (x7 ) = y7 . . .166 P3 (20 pnts) Let APPENDIX A. (b) Now suppose that the function (x) happens to be the Lagrange Polynomial associated with x7 . That is. OLD EXAMS √ F = f (x) = c0 x + c1 (x) + c2 ex | c0 . x n y0 y1 .

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New York. Early Transcendentals.Bibliography [1] Guillaume Bal. CA. McGraw-Hill. Analysis of Numerical Methods. [7] David Kincaid and Ward Cheney. Calculus. Dover. ISBN 0-534-33892-5. 2003. Dover. [5] Eugene Isaacson and Herbert Bishop Keller. Brooks/Cole Publishing Co.. 1980. fourth edition. 2001. Numerical Mathematics and Computing.columbia. http://www. Wiley. ISBN 0-534-39330-6.ps. New York. 1996. ﬁfth edition. 171 . ISBN 0486652416. course on numerical analysis. Epperson. Numerical analysis. Brooks/Cole-Thomson Learning. third edition. URL [2] Samuel Daniel Conte and Carl de Boor. Numerical Methods for Scientists and Engineers. [4] Richard Hamming. second edition. Belmont. Elementary Numerical Analysis. [8] James Stewart. CA. ISBN 0070124477. Mathematics of scientiﬁc computing. 2002. New York. Paciﬁc Grove. [6] David Kincaid and Ward Cheney. Lecture notes. 1966. [3] James F. Paciﬁc Grove. 1999..edu/~gb2030/COURSES/E6302/NumAnal. Brooks/Cole Publishing Co. ISBN 0-534-35184-0. An Introduction to Numerical Methods and Analysis. CA. ISBN 0-471-31647-4. An Algorithmic Approach. ISBN 0486680290. 1987.

119 LU Factorization. 84 linear. 58 splines. 105 Runge Function. 138 truncation. 9 normal equations. 28 natural cubic spline. 25 error roundoﬀ. 122 Chebyshev Quadrature. 100 Dirichlet function. 117 linear. 3 bisection method. 118 ODE errors. 81 subtractive cancellation. 99 divided diﬀerences. 138 higher order methods. 91 Chebyshev Polynomials. 106 vector space. 3 trapezoidal rule. 107 Heaviside function. 69. Gaussian Quadrature. 8 eigenvector. 69 Runge-Kutta Method. 89. 52 norm. 97 Romberg Algorithm. 50 centered diﬀerence. 79 quadratic. 104. 137 stability. 108 multiplier. 136 partition. 104 Riemann Integrable. 79 Lagrange Polynomials. 63 least squares. 98 Hilbert Matrix. 6 Intermediate Value Theorem. 141 big-O. 4 Taylor’s Series Method. 79 basis splines. 67 eigenvalue. 83 Newton’s Method. 150 Richardson Extrapolation.Index Backwards Euler’s Method. Na¨ 25 ıve. 136. 33 method of undetermined coeﬃcients. 48 inner product. 98 Riemann integral. 1. 137 Gaussian Elimination. 100 error. 143 secant method. 89. 7 172 subordinate. 102 recursive. 92. 49 knot. 5 . 136 Taylor’s Theorem. 8 elementary row operations. 138 stepping. 79 phase curve. 119 deﬁnition. 114 composite quadrature rule. 138 Euler’s Method.

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