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V. S. Ryaben’kii and S. V.

Tsynkov

A Theoretical Introduction to Numerical Analysis

CRC PRESS Boca Raton London

New York

Washington, D.C.

.

. . . . 2. . . .1. . . . . . . . . . . . . . . . . . . . . . . . .Contents Preface Acknowledgments 1 Introduction 1. . . . . . 21 25 25 25 26 31 32 33 34 35 35 iii . . . . . . . . . 2.1. . xi xiii 1 4 5 6 7 7 8 10 10 11 12 13 14 14 15 18 18 19 I 2 Interpolation of Functions. . . . . .2 The Newton Form of Interpolating Polynomial. . . . . . . . . . . 1. . . . . . . . . . . . . . . . . .3 Error . . . .5 Convergence . . . . . . . . . . . . . . 1. .1 The Lagrange Form of Interpolating Polynomial .3 Comparison of the Lagrange and Newton Forms . . .4 Conditioning of the Interpolating Polynomial . . . . . . . . . . . . . . . . . . . . . . . . . .2. . . .4. . . . . . . . . . . . . . . . . . . . 1.1 Accuracy . . . . . . . Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3. 1. . . . . Exercises .1 Definition of Piecewise Polynomial Interpolation . . . . . . . . . . 2.4 On Methods of Computation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Conditioning . . . . . . . . . . . . . . . . . . . . .1. . . . . . . . . . . .2 Error of the Method .4 Loss of Significant Digits 1. . . . . . . . . . . . . . . . . . . . . . . . . 1. . . . . Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Divided Differences . . . . . . . . . . . . . . . . . . Exercises . . . . . . .2 Classical Piecewise Polynomial Interpolation . . . . . . . . . . . . . . 1. . . . . . . . . . .3. . . . . . 2. . . . . . . . . . . . . . . .3 Round-off Error . . .6 General Comments . . . . . . . . 2. . 1. .5 On Poor Convergence of Interpolation with Equidistant Nodes .1 Existence and Uniqueness of Interpolating Polynomial . . . . . . . . 1. . . . . . . .1 Unavoidable Error .3. . . . . 1. . . . . 2. . . . . . . .4. . . .2 Operation Count . . . . . . . . .1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 Discretization . . . . .4. . . . . . . . . . . . . . . . . . . . . Quadratures Algebraic Interpolation 2. . . 1. . . . . . . . . . . . .1. . . . . . . . . .3 Stability . 1. . . . . .4. .4. 2. . . . Exercises . . . .4. . . . . . . . . .

. 3. . . . . . Quadratures 4. . . . . . . . . . .2. . . . . . Simpson’s Formula. . . . . . . . . . . . . . . . . . . . . . . . . . . Exercises . . . . . 93 .iv Formula for the Interpolation Error . .6 Algebraic Interpolation with Extrema of the Chebyshev Polynomial Tn (x) as Nodes .4 Properties of Algebraic Interpolation with Roots of the Chebyshev Polynomial Tn+1 (x) as Nodes . . . . . . . 91 . . . and the Like . . 3. . . . . . . . . . . . . . . .2. . . Exercises . . . . . . . . . . . . . . . .3 Chebyshev Polynomials.1. . . . .11 . . . . .2. . . . . . . . . . . . . . . . . .1. . 3. . Gaussian Quadratures . . . . . .2 Interpolation of Functions on an Interval.2. .2. . . . .2 Unstructured Grids . . . . . . . . Exercises . 102 . . . . .5 An Algorithm for Evaluating the Interpolating Polynomial . . . . . . . .3. . . . . . 3. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. . . . Exercises . . . . . .2 Trigonometric Interpolation . . .1. . .2 Trapezoidal Rule . .7 More on the Lebesgue Constants and Convergence of Interpolants . 2.1 General Construction of Quadrature Formulae . . . . .1. . . . . . . 2.1 Interpolation of Periodic Functions . . . . 3. . . .2 Quadrature Formulae with No Saturation. . . . . .2.2. . . . .3 2. . . .1 Structured Grids . . . Smooth Piecewise Polynomial Interpolation (Splines) . . . . . . . 98 . . . . . Approximation of Derivatives for a Grid Function . . . Relation between Algebraic and Trigonometric Interpolation . . . . . . . 2. . . 3. . . . 2. Estimate of the Unavoidable Error and the Choice of Degree for Piecewise Polynomial Interpolation . . . . . . . . . . . . . 2. . . . 102 . . . . . . . . . . . . . .2 2. . . . . . . . . Computation of Definite Integrals. . . . . . . . . .1 Trapezoidal Rule. . Relation between Algebraic and Trigonometric Interpolation . . . . . . . . . . . . . . . . . . . . . . . . . . 4. . . .5 Saturation of Piecewise Polynomial Interpolation . . . . . .1 Periodization . . . . . . . 3. . . . . .4 An Alternative Choice of Interpolation Nodes . . . . . . . . . . . . . . .1. . . 3.1 Local Interpolation of Smoothness s and Its Properties . . . 3. . . . . . . . . 4. . . . . . . . Exercises . . . 3. . . .4. . . . .3 Estimate of Interpolation Error . . . . . . 4 91 . .1. . . . . . . . . . . . .2. . . .1. .2. .1 An Important Particular Choice of Interpolation Nodes . . . . . . . . . . 4. .4 35 38 40 42 42 43 43 48 53 56 57 57 59 60 61 62 62 67 68 72 73 73 75 75 77 78 79 80 89 2. . . . . . . . 2. .4 3 Trigonometric Interpolation 3. . .3. . . .2. . . .2 Sensitivity of the Interpolating Polynomial to Perturbations of the Function Values . . . . . . . . . . . . . . . . . .3.3 2. 4. . . . 92 . .3 Proof of Theorem 2. . . . . . . . .2. . 3. .3 Simpson’s Formula . . . . . . . . . . . 3.2 Nonlocal Smooth Piecewise Polynomial Interpolation . . . . . Interpolation of Functions of Two Variables . . . . . .4. . . . . .

. Norms. . . . . LU Factorization . . . . . . . . . . . .1. . . . . . . . . . . . . . . . .4. . . . . 5. . . . . . . . . . . . . . .4. .2 Characterization of a Linear System by Means of Its Condition Number . . . . . . . . . 4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5 Minimization of Quadratic Functions and Its Relation to Linear Systems . . . . . . . . . .1 Normed Spaces . . . . . . . . . . . . . . . . . . 5. . . . . . . . . . . . .1 Canonical Form of a Linear System . . . . .3 Computational Complexity . .2 Tri-Diagonal Elimination .2 The Use of Coordinate Transformations . . . . . . . . Exercises . . . . . . . .2 Operator Form .6 Gaussian Elimination with Pivoting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . and Operators . . .6. . . . . . . . . 5. .v Exercises .4. . . 5. . . 5. . . . . Combination of Numerical and Analytical Methods . . . . . . . . . .3 The Notion of Monte Carlo Methods . . . . 5. . . . .4 Gaussian Elimination and Its Tri-Diagonal Version . . . . . . . 115 119 120 120 121 121 124 124 126 129 131 133 134 136 139 140 141 145 148 149 153 154 155 156 157 159 159 159 163 163 163 . . . . . . . . . . . . . . . . . . . . . . . . Exercises . . 5. . . .4 Matrix Interpretation of the Gaussian Elimination. . . . .6. . . . . . . . . . . . .1 Different Forms of Consistent Linear Systems . . . . . .1 Condition Number . . . . . . . . . . . . . . . . . . 5. . .3 Conditioning of Linear Systems . . . . .4. . . . . . . . . . . . . . Exercises . . . . . . . . . . . . . . . . . . . .1 Standard Gaussian Elimination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4. . . 4. . . .1. . . . . . . . .2 Norm of a Linear Operator . . . . . . . . . . . 5. . . . . 5. . . . . . . . . . . . . . 5. 5. . 5. . 5. .7 An Algorithm with a Guaranteed Error Estimate . . . 5. Improper Integrals. . . . Exercises . . . .1 Construction of the Method . . . . . 5. . . . . . . . .2 Flexibility in Specifying the Operator A . . .2. . . . . . . . . . . . . . . . . . . . . . . . . .3 Finite-Difference Dirichlet Problem for the Poisson Equation . . . . . 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Exercises .6 The Method of Conjugate Gradients . 4. . . . . . Multiple Integrals . . . . . . Exercises . . . . . . .4. . . . . . . . . . . . . . . . . . . 5. . 5. . .3 Cyclic Tri-Diagonal Elimination . . . . . . . . . . . . 107 108 110 110 111 112 113 4. . . . . . .4. . . .4. Exercises . . . .3. . . . . . . . . . . . . . 5. . . . . . . . . . . . 5. . . . . . . . . . .5 Cholesky Factorization . . . . . . . .1 Repeated Integrals and Quadrature Formulae . . . . . . . . . . . . . . . . . . . . . . . . . . . .2. . . . . . . . . . .6. .4 II Systems of Scalar Equations 5 Systems of Linear Algebraic Equations: Direct Methods 5. . . . . . . . . .3 4. . . . . . . . . . . . . . . . . . . . . .4.3. . . . . . . . . . . . . .2 Linear Spaces. . .4.1. 5. . .

.vi 5. . . . . . . 6. . . . . . . . . . . QR Factorization . . .3 Krylov Subspace Iterations . . . . . . . . . .7. . .3 The Richardson Method for A = A∗ > 0 . .1 Definition of Krylov Subspaces . .1 Chebyshev Iterations . . Empirical Formulae .2 GMRES . . . .2 Representation of Solution as a Finite Fourier Series 5. . . . . .1 Fourier Series for Grid Functions . . .1 Processing of Experimental Data. . . . . . . . . . . . . . . 5. . . . . . . . . . .2. . . .2.3. . . . . . . . . . Exercises . . . . . . .1. . . . . . . . . . . . .2. . . . . .3 Geometric Interpretation of the Method of Least Squares . . . . . Singular Value Decomposition .1 Examples of Problems that Result in Overdetermined Systems . . Exercises . . . . . . . . . . 7. . . . . . . . . . . . . . . . . . . . . . . . . . 6. . . . . . .7 Finite Fourier Series . . . .2 Minimum Norm Weak Solution . . .1. . 6. . . . . . 7. . . 7. . . . . . 7. . . . . . . . . . . . . . . . . . . . . . 7. Exercises . . . .2 Weak Solutions of Full Rank Systems. . . . . . . 6. . . . . . . 6. . .7. . .4 Multigrid Iterations . . . . 164 165 168 169 171 173 174 174 178 181 188 192 193 194 194 196 197 198 199 201 204 204 205 208 210 210 211 211 211 213 214 214 217 220 221 222 225 225 227 229 6 Iterative Methods for Solving Linear Systems 6. . . . . . .2. . . . . . . . . . . . . . . .2. . . . . . . . . . . . . . .4 Preconditioning . . . . 7. . . . 6. . . . . . . . .1. . . .1 Singular Value Decomposition and Moore-Penrose Pseudoinverse . . . . . . . . .2 A Necessary and Sufficient Condition for Convergence 6. . . . . . . . . . 6. 7. . . . 6. . . . . . . . . . . . . . . . . . . . . . 6. . . . . . . . . . .4. . . .1 Richardson Iterations and the Like . .1. . Exercises . . . . . . . .2 Description of the Algorithm . . . . . . . .2 Improving the Accuracy of Experimental Results by Increasing the Number of Measurements . . . . . 7. Exercises . . . . . . . . .1. . 7. . . . . . . .3 Bibliography Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5. . . . . . . . . . .2 Conjugate Gradients . . . . . . . . . . . . . . . . . . QR Factorization .2 Computation of Weak Solutions. . . . Exercises . . . . . . . . . . . . .1 Idea of the Method . . . .4 Overdetermined Systems in the Operator Form . . . .3. . Exercises . . 7. . . . . . . . .3. . . . . . . .1. . . . . . . . .2 Chebyshev Iterations and Conjugate Gradients . . . . . . . . . . . . . . .2. . . . . . . . . . . . .7. . . . . . . . . . . . . . . . 7 Overdetermined Linear Systems. . . .3. . . . .4. . . . . . . . . . . . . . . . . . . . . . 6. . . . . . . . . . . .1 General Iteration Scheme . . . . . . . . . . . . . . . . . . . .4. . . . . . 6. . . . . . . . . . . . . . . . . . . . . 6. . . . . . 6. .1. . . .5 Scaling . .3 Fast Fourier Transform . . . . . . . 6.3 Rank Deficient Systems. .1 Existence and Uniqueness of Weak Solutions . . . The Method of Least Squares 7. . . . . . . . . . . . . . . .

9. . . . . . . . . . . . 9. . .2. . . . .2 Evaluation of the Truncation Error δ f (h) . . . . . . . . . . . . . . . . . . . .4 The Runge-Kutta Methods . . . . . . . . . . 9. . . . . . . . . . . . . . . . . . 8.4.3. . . 9. . .1. .3. .1. . . . . . . . .3 Newton’s Method . Exercises . . . . . .1 Definition of Stability . . .4. . . . .3. . . . . . . . . . . . . A-stability . . . . . . . . . . . . . . 8. . . . . . . . . 8. . . . . . . . . . . . . . . . . . . .2 Fixed Point Iterations . . . . .3. . .5 Replacement of Derivatives by Difference Quotients . . .1 Examples of Difference Schemes . . . 9. Consistency . . . Stability. . 8. . . . Exercises . 9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9. . . . .3. . . . Exercises . . . . . . 8. .3 Verification of Convergence for a Difference Scheme . . . and Convergence . . . . .2. . . 9. . . . . 8. . . . . . . . . . . . . . .3 Stability of Finite-Difference Schemes . . .2 The Case of a System of Equations . . . . . . . . .3 Accuracy of Order hk . . . . . . .1 The Bisection Method . . . . . . . . . . . . . . . . .1 The Case of One Scalar Equation . . . . . 9. . . . . . . . . . III The Method of Finite Differences for the Numerical Solution of Differential Equations 249 9 Numerical Solution of Ordinary Differential Equations 9. . . . . . .2. . . . . . . . . . . . . . . . .2 Approximation of Continuous Problem by a Difference Scheme. Exercises . . . . . . . . . . . . . . . . . . . Convergence . . . .2. . . .3 Modified Newton’s Methods . . . . .2. . . . . 9. . . . 8. . .2 Extension to Systems . . . .2. . .3.3. 9. .1 Commonly Used Methods of Rootfinding . . . . . . . . . . . . . . . . . . . 9. . . . . .4 Examples . . . . . . .2 The Relation between Consistency. .4 Newton’s Method . . . . . . . . . . . Exercises . . . . . . . . . . . . .3 Convergent Scheme for an Integral Equation . . .1 The Runge-Kutta Schemes . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . 231 233 233 234 235 236 237 237 240 242 242 242 244 246 247 . . . . . . . .3. . . . . . . . . . . . . . . . .3 The Secant Method . . . . . . 253 253 254 256 259 260 261 262 264 265 269 269 271 271 272 273 277 278 280 283 284 284 286 288 .2 Newton’s Linearization for Systems . . . . .1. . . . . . . . . . . . . . . . . .1 Truncation Error δ f (h) . . 9. . . . . . . . . . . . . . .vii 8 Numerical Solution of Nonlinear Equations and Systems 8. . . . . . 9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9. . . . . . . . .1. . . . . . . . 9.5 General Comments. . . . . . . . . . .2. 9. . . . .1. . 9. . .2. . .2 Convergent Difference Schemes . . . . . .4 The Effect of Rounding . 8. . . . . . .1 Newton’s Linearization for One Scalar Equation 8. . . . .1 Examples of Finite-Difference Schemes. . . .6 Other Approaches to Constructing Difference Schemes . . . . . . . . . . . . . . . . . . . . . .2 The Chord Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8. . . . 8. . .1. . . . . . 9. .

1 Definition of Convergence . . . Exercises . . . . . . . . . . . . .5. .5 Sufficiency of the Spectral Stability Condition in l2 . . . . . .5. . . . . . . . . . . . . . . . . . . . . . . . . . .1. .1. . . . . . . . . . . . . . . . . . . . . . .3 Examples . . . . . The Notion of Spectral Methods . . . . . .1 The Shooting Method . .1. . Friedrichs. . . . . . 10. . . . . . .1 Stability with Respect to Initial Data . . . .4 The Courant. . .6 Scalar Equations vs. 10. . .5. . . . . . .2 Construction of Consistent Difference Schemes . . . . . . . . . and Lewy Condition . . . .1 Key Definitions and Illustrating Examples . . . . . .1 The Babenko-Gelfand Criterion . . . . . . 10. Exercises .2 Dissipation of Finite-Difference Schemes .1 The Principle of Frozen Coefficients . . . . . . . . . . . . . The GodunovRyaben’kii Criterion . . . .6 The Kantorovich Theorem . . . . . . . . .2. . . .8 Bibliography Comments . . . . . . . . . . . . . . .2.5 The Mechanism of Instability . . . . . . . . . . . . .3 Newton’s Method . . . . . . . . . .4 Stability for Problems with Variable Coefficients . . . . . .1. . . . . . . 10. . . . . . . . . . . . . . . . . . 10. . .2 The Method of Undetermined Coefficients . . . . . . . . . . . . . . . . .3. . . . . . . . . . . 9.4. . . . . . . . .1 Replacement of Derivatives by Difference Quotients . . . . . . . . . . . . . . . . . . . . . . . . . . .3. . . . . . . . . 10. . . . . . . . . . . . . . . . . . . . . . . 10. . . . . . 10. . . 10. . . . . . 10. . .6 9. . .5. .4. . . . . . . . . . . .5 Stability for Initial Boundary Value Problems . . . . . . . . . . .4 Stability in C . . . .3. . . . . . . . . . .2 Definition of Consistency . . . .1. . . . . 10.5. .3 Other Methods. . . . . . . . Saturation of Finite-Difference Methods by Smoothness Exercises . . . . . . . . . . . 10. . . .2 Tri-Diagonal Elimination . .3. . . . . . Exercises . . . . . . . Exercises . . . . . . . . . . . .3. .viii 9. . . . 10. . 10. . .2. . . . . . . Exercises . 10. . . . . . . . . . . . 10. . . . . . . . . . . . . . Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5. 288 289 291 291 292 293 300 301 306 307 307 307 309 312 317 319 320 322 323 324 327 327 333 340 344 345 349 349 350 352 362 362 365 367 369 369 372 377 377 377 385 402 9. . . . .3 Spectral Stability Criterion for Finite-Difference Cauchy Problems . . . . .3 Definition of Stability . . . . . . . . . . . . . 10. . . . . . . . . . . . . 10.1. . . . .3 The Energy Method . . . . . 10. . . . . . . . . . . . . . . . 10. . 10. . . . .3. . . .2.1. . . . . . . . . . . . . . . . . . . . . . .5 Solution of Boundary Value Problems . . . . . . . . . . Exercises . . . . . . . . . . 9. . . . . . . . . . . Phase Error . . . .7 On the Efficacy of Finite-Difference Schemes . . . .1. . . . . . . 10. . 9. . . . . . . . . .2 A Necessary Spectral Condition for Stability . . . . 10. 10. . . . . . . . . . . . .7 10 Finite-Difference Schemes for Partial Differential Equations 10. 10. . . 10. 10. . . . . . . . . . . . . . . . . .4 Predictor-Corrector Schemes . . . . .2 Spectra of the Families of Operators. . .

. . . . . . . . . .2. . . . . . . . . . . . . . . . . . . . . .1. . . . . . . 11. . . . . . . . . . . . . .5. .2. . Exercises . . . . . Stability. . . . . . . . . . . . . . . . . . . . . . . .4 An Example of Finite Element Discretization . . . .1 Differential Form of an Integral Conservation Law . . . .3 Condition at the Discontinuity . . . . .6. .1. . . . . . . . . . . . . 409 418 422 422 425 426 427 428 428 429 431 433 434 436 436 437 438 439 444 445 446 447 448 451 452 453 454 458 460 464 466 469 11 Discontinuous Solutions and Methods of Their Computation 11. . . . . . . Ritz and Galerkin Approximations 12. . . . .1 Variational Problem . . . .2. . . . . . . . . . . . 11. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Godunov Scheme . . . . . . . . . . .2 Construction of Difference Schemes .1 Artificial Viscosity . . . 12. . . .2 An Implicit Scheme . . . . .5 Convergence of Finite Element Approximations .2 The Mechanism of Formation of Discontinuities . . . . . . . 10. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Exercises . . . .1 Differential Equation in the Case of Smooth Solutions 11.ix 10. . . . . . 12. . . . . . . . . .2 Maximum Principle and Stability . . . .2. 12. . .4 Generalized Solution of a Differential Problem . . . . . .1 Reduction of Boundary Value Problems to Integral Equations . . Exercises . . 12. . . . . . .1. .1. . . . . . . . . . .6. . . . . . . . 11. 10. . . . . . . . . . . . . . . . .3 The Range of Applicability for Boundary Elements . .6 Maximum Principle for the Heat Equation . .1. . . . . . . . . . . 12. . . The . .1. . . . . . . . . . . . . . . . .2. . . Exercises . Exercises . . . . . . . . . . The Maximum Principle . 11. . . . .5 The Riemann Problem . . . . . . . . . .2 The Notion of Finite Elements. . . . IV The Methods of Boundary Equations for the Numerical Solution of Boundary Value Problems 471 475 475 479 480 13 Boundary Integral Equations and the Method of Boundary Elements 13. . . 11. .2 The Ritz Method .1. . . . . . . . . . Exercises . . . . . . . .2. . 12. . . . . . . . 11.2 Discretization of Integral Equations and Boundary Elements . . . . .2.1 An Explicit Scheme . . . . . . . . . . . . . . . . . . .1 Consistency . . . . . . . . . . . . . . . . . .1. . . . . . . .3 The Galerkin Method . . . . . 12. . . 12 Discrete Methods for Elliptic Problems 12. . . . 13. . . . .3 Conservative Schemes. . . . . . . . . . . . . . . . . 11. . . . . . . . .2. . . . . . . . . . . . . . .2 The Method of Characteristics . . 12. . . 10. . . . . . . . .3 Variable Coefficients . .4 A Necessary and Sufficient Condition Kreiss Criterion . . of . . . . . . . . . . . . . . . 11. . . . . .1 A Simple Finite-Difference Scheme. 13. . .

. . . . . . . . . . . . . 486 14.3. .1.5 Problem of Active Shielding . . . . . . .x 14 Boundary Equations with Projections and the Method of Difference Potentials 483 14. . . . . . . . . . . . . . . . .2 The Potential u+ = P+ vγ .1. . . . .3. . .2. . . . .1. . . . . . . . . . 487 14. . . . . . . . . . . . . . . . .4 Problem of Two Subdomains . . . . .3 Problem of Artificial Boundary Conditions . . . . . 497 14. . . . .4 Cauchy Type Difference Potential w± = P± vγ . 498 14. . . . . . 501 14. . . . . . . . . . 485 14.1. . . . . . .5 Analogy with Classical Cauchy Type Integral . . . .1 Interior Boundary Value Problem .5 Problem of Active Shielding . . . . . . . . . 485 14. . .1 Auxiliary Difference Problem . . . . . 498 14. .3 Difference Potential u− = P− vγ . 488 14. .2. . . . . .3. . . . . . . . . . . . . 489 14. . . . .1 Formulation of Model Problems . . . . . . . . . .2. . . . . . . . . .3 Problem of Artificial Boundary Conditions . . . . . .2. .1 Interior Boundary Value Problem . . . . . . 485 14. . . 484 14. . . . . . 505 14. . . . . . . . . 500 14. .4 General Remarks . . . . . . . . . . . . . . . . . 503 14. . . . . . . . . .4 Problem of Two Subdomains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Difference Potentials . . . . . . . . . . . . . .3 Solution of Model Problems . . . . . . .3. . . . . . . .3.1. 488 14.2 Exterior Boundary Value Problem . . . . . 506 List of Figures Referenced Books Referenced Journal Articles Index 507 509 517 521 . . . . . . . . . . . . . . .5 Bibliography Comments . . . 492 14. . . . . 493 14. . . . . . .2. 501 14. . . .2 Exterior Boundary Value Problem . . .

and Chapter 14. parts of Sections 4. acoustics. then the method does not saturate. spectral methods for differential equations.2 and 9. numerical stability. linear algebra. This is the first account of difference potentials in the educational literature. The contemplated readership of this book consists of beginning graduate and senior undergraduate students in mathematics.1. and differential equations. The discussion focuses on how one can represent different mathematical models in a form that enables their efficient study by means of a computer. It has been successfully applied to solving a variety of direct and inverse problems in fluids. Newton-Cotes vs.3 and 3. such as discretization. numerical analysis is interpreted as a mathematical discipline.5. convergence. The portions of the text considered more difficult are clearly identified.3. some ideas and views that are addressed. In particular. It is carefully structured and can be read in its entirety. Examples include algebraic vs. etc. the accuracy of approximation self-adjusts to the smoothness. If. Another advanced subject is an introduction to the method of difference potentials in Chapter 14. efficiency. science and engineering.1 and 2. First and foremost. This book covers three semesters of instruction in the framework of a commonly xi .Preface This book introduces the key ideas and concepts of numerical analysis. it may stop short of reaching the intrinsic accuracy limit (unavoidable error) determined by the smoothness of the approximated solution and by the discretization parameters. It may also be of interest to working scientists and engineers. The method employs discrete analogues of modified Calderon’s potentials and boundary projection operators.3. The material learned from this book can be applied in various contexts that require the use of numerical methods. The basic concepts. The general methodology and principles of numerical analysis are illustrated by specific examples of the methods for real analysis.7.2. they can be skipped during the first reading without creating any substantial gaps in the material studied otherwise. and electromagnetism.7. provide a number of well-known efficient algorithms. Section 10. are explained and illustrated in different parts of the book with varying levels of depth using different subject material. Hereafter. complexity. The book offers a first mathematical course on the subject of numerical analysis. because of its design. The reason for this particular selection of subjects is that these methods are proven. trigonometric interpolation. as well as by selected parts. may also draw the attention of more advanced readers. Gaussian quadratures. Sections 3. A given method of approximation is said to be saturated by smoothness if. and others. or at least touched upon in the text. finite-difference vs.2. this applies to the key notion of the saturation of numerical methods by smoothness.3. more difficult subjects are discussed in Sections 2. consistency. error. conversely. and are used for solving different applied problems that are often quite distinct from one another. Moreover. Section 12.

Alternatively. many exercises supplement the core material. A number of important results are given as exercises for independent study. one can subsequently judge the efficiency from a mathematical standpoint. Chapters 10. yet very little use is made of the apparatus of functional analysis. e. By comparing how their convergence rates depend on the condition number. the goal is to clearly and concisely present the key mathematical concepts pertinent to the analysis of numerical methods. no substantial emphasis is put on issues related to programming. Most corresponding books require some numerical background from the reader. A rigorous mathematical style is maintained throughout the book. .. 11. runtime efficiency determined by the software and/or computer platform. Chapter 9. for the curricula that introduce numerical differentiation right after the interpolation of functions and quadratures.. Likewise. and solution of nonlinear equations and systems. while not compromising any fundamentals in the field. However. and III of the book. Altogether. All important mathematical results are accompanied by proofs. the material from Chapter 9 can be added to a course based predominantly on Part I of the book. including rigorous analysis of stability for initial boundary value problems and approximation of the weak solutions for nonlinear conservation laws. A thorough explanation of the key ideas in the simplest possible setting is always prioritized over various technicalities and generalizations. This provides a foundation for the subsequent specialized training. respectively. Three semester-long courses can be designed based on Parts I. other efficiency issues. On the contrary. Part I includes interpolation of functions and numerical evaluation of definite integrals.g. it treats only a limited number of wellknown methodologies. However. Some exercises require computer implementation of the corresponding techniques. computational electromagnetism. Part II covers direct and iterative solution of consistent linear systems. The first chapter in this part. are very well addressed in the literature. is devoted to ordinary differential equations and serves an introductory purpose. it may be useful to have different iteration schemes implemented for a system of linear algebraic equations. For example. This approach makes the book accessible to a much broader audience than only mathematicians and mathematics majors. the background of precisely the kind that the current text offers. they range from elementary to quite challenging. and 12 cover different aspects of finite-difference approximation for both steady-state and evolution partial differential equations. and only for the purpose of exemplifying the most fundamental concepts that unite different branches of the discipline. Indeed.xii used curriculum with three credit hours per semester. Subjects such as computational fluid dynamics. are not addressed as there is no direct relation between them and the mathematical analysis of numerical methods. computational acoustics. etc. II. This book has no objective whatsoever of describing as many different methods and techniques as possible. At the same time. solution of overdetermined linear systems. any computer implementation serves only as an illustration of the relevant mathematical concepts and does not carry an independent learning objective. a large number of examples are provided that illustrate how those results apply to the analysis of individual problems. In other words. no substantial emphasis is put on any specific applications. Part III discusses finite-difference methods for differential equations.

N. L. Tsynkov. Abarbanel. Chertock. Kosarev. V. D. A. Demkowicz. A. Fedorenko. H. C. When writing Chapter 14. A crucial and painstaking task of proofreading the manuscript was performed by the students who took classes on the subject of this book when it was in preparation. the current book is completely rewritten. and W. V. Strygina. C. but not least. Ryaben’kii. Raleigh. Introduction]. V. Peterson. Radvogin. Sampat. G. Tadmor. Qasimov. T. Russia S. O. Grove. A. Gremaud. Petrov. K. and Yu. and A. E. A. V. When writing Part III of the book. Academician O. Kholodov. The book has greatly benefited from all those discussions. I. Turkel. we are very grateful to the CRC Press Editor. Ernsberger. M. R. Bilbro.Acknowledgments This book has a Russian language prototype [Rya00] that withstood two editions: in 1994 and in 2000. We would like to specially thank Alexandre Chorin of UC Berkeley and David Gottlieb of Brown University who read the manuscript prior to publication. L. Weiselquist. Compared to [Rya00]. Pirogov. It accommodates the differences that exist between the Russian language culture and the English language culture of mathematics education. And last. All the imperfections still remaining are a sole responsibility of the authors. A. we used the approach of [Rya02. The authors are most grateful to the rector of the Institute at the time. Finally. S. Zabrodin. Belotserkovskii. A. It serves as the main numerical analysis text at Moscow Institute for Physics and Technology. Brushlinskii. E. In particular. Choudov. Onofrieva. Kelley. as well as to the company staff in London and in Florida. A. who has influenced the original concept of this textbook. We are indebted to all our colleagues and friends with whom we discussed the subject of teaching the numerical analysis. Keyes. Ditkowski. our deepest thanks go to our families for their patience and understanding without which this book project would have never been completed. Hagstrom. Lokutsievskii. Utyuzhnikov. It is also a pleasure for the second author to thank Arje Nachman and Richard Albanese of the US Air Force for their consistent support of the second author’s research work during and beyond the period of time when the book was written. We also remember the late K. Demchenko. We are most grateful to L. Constantinescu. Kurganov. V. we exploited the ideas and methods previously developed in [GR64] and [GR87]. Babenko. Fibich. S. Moreover. we would like to thank S. S. Meyer. L. Sunil Nair. for their advice and assistance. the current textbook includes a very considerable amount of additional material. P. Ivanov. Moscow. USA August 2006 xiii .