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My summary sheet for MA2213 Numerical Analysis 1, AY2012/2013 Sem 2

- SMO(J) Mock Paper 1
- System Notes for J1
- MA2216 Summary
- Summary of CS1231
- A Review of Geometry
- SoC Bridge Lesson 3
- A Review of Geometry
- HCMOP Open Incidence Matrix Solutions
- CS2103/CS2103T Summary
- CS1231 Cheat Sheet Part 1
- MA1505 Summary
- A Potpourri of Algebra
- CS1231 Cheat Sheet 2
- Combinatorics: The Next Step
- Bridge Kickstarter Course Lesson 1 Slides
- Basic Inequalities and Diophantine Equations
- SMO 2006 Junior Solution
- SMO(S) Mock Paper 1
- SMO(J) Mock Paper
- SIMO Combi Invariance

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on (a, b), then there exists c (a, b) such that f

(c) =

f(b)f(a)

ba

Theorem 2 (Weighted Mean Value Theorem). Suppose f C[a, b]. the

Riemann Integral of g exists on [a, b], and g(x) does not change sign on

[a, b]. Then there exists a number c in (a, b) with

_

b

a

f(x)g(x) dx = f(c)

_

b

a

g(x) dx

Theorem 3 (Generalised Rolles Theorem). Suppose f C[a, b] is n

times dierentiable on (a, b). If f(x

0

) = f(x

1

) = = f(xn) for some

n + 1 distinct numbers a x

0

< x

1

< < xn bn, then there exists

c (x

0

, xn) (a, b) such that f

(n)

(c) = 0.

Theorem 4 (Taylors Theorem). Suppose f C

n

[a, b], that f

(n+1)

exists

on [a, b] and x

0

[a, b]. For every x [a, b], there exists a number (x)

between x

0

and x (exclusively if x = x

0

) with

f(x) =

n

k=0

f

(k)

(x

0

)

k!

(x x

0

)

k

+

f

(n+1)

((x))

(n + 1)!

(x x

0

)

n+1

.

Benign cancelation occurs when subtracting exactly knwon quantities,

catastrophic cancellation occurs when quantities to subtract are subject to

round-o errors.

Denition 1 (Rate of Convergence). 1. Suppose {an}

n=1

converges to

a number . If a positive constant K exists with |an | K

1

h

p

for large n, then we say that {an}

n=1

converges to at a rate of

convergence O(

1

h

p

), denoted by an = +O(

1

h

p

)

2. Suppose lim

h0

+ F(h) = L. If a positive constant K exists with

|F(h) L| K h

p

for suciently small h, then we say that F(h)

converges to L with the rate of convergence of O(h

p

). It is indicated

by F(h) = L +O(h

p

).

Theorem 5 (Lagranges Interpolating Polynomial). Suppose x

0

, x

1

, xn

are distinct numbers in the interval [a, b] and f C

n+1

[a, b]. Then, for

each x in [a, b], a number (x) between x

0

, x

1

, xn and hence in (a, b)

exists with

f(x) = P(x) +

f

(n+1)

((x))

(n + 1)!

n

k=0

(x x

k

)

where P(x) is the interpolating polynomial given by

P(x) =

n

k=0

f(x

k

)L

n,k

(x), L

n,k

=

n

i=0,i=k

x x

i

x

k

x

i

Denition 2 (Divided Dierence). The n th divided dierence of a

function with respect to x

0

, x

1

, , xn is dened as

f[x

0

, x

1

, xn] =

_

f(x

0

) if n = 0

f[x

1

,x

2

,xn]f[x

0

,x

1

,x

n1

]

xnx

0

if n > 0

Theorem 6 (Newtons Divided Dierence Interpolation Formula). Sup-

pose that f C

n

[a, b] and x

0

, x

1

, xn are n + 1 distinct points in [a, b]

for some n 1, then the polynomial

Pn(x) = f[x

0

] +

n

k=1

f[x

0

, x

1

, x

k

](x x

0

)(x x

1

) (x x

k1

)

interpolates f at x

0

, x

1

, xn.

Theorem 7 (Hermites Interpolating Polynomial). If f C[a, b] and

x

0

, x

1

, xn [a, b] are distinct, the unique polynomial of least degree

agreeing with f and f

at x

0

, x

1

, xn is the Hermite polynomial of degree

at most 2n + 1 given by

H

2n+1

(x) =

n

j=0

f(x

j

)H

n,j

(x) +

n

j=0

f

(x

j

)

H

n,j

(x)

where, for L

n,j

(x) denoting the jth Lagrange coecient polynomial of

degree n, we have

H

n,j

= [1 2(x x

j

)L

n,j

(x

j

)]L

2

n,j

(x),

H

n,j

= (x x

j

)L

2

n,j

(x)

Moreover, if f C

2n+2

[a, b], then

f(x) = H

2n+1

(x) +

(x x

0

)

2

(x xn)

2

(2n + 2)!

f

(2n+2)

((x))

Also, dene a new sequence z

0

, z

1

, zn by z

2i

= z

2i+1

= x

i

for each

i = 1, 2, n. We have an alternate form of Hermites interpolating poly-

nomial:

H

2n+1

= f[z

0

] +

2n+1

k=1

f[z

0

, z

1

, z

k

](x z

0

)(x z

1

) (x z

k1

)

Algorithm 1 (Constructing Natural Cubic Spline). Given n + 1 nodes

x

0

, x

1

, xn and their corresponding function values, the natural cubic

spline interpolant will be in the form of Sn(x) = an +bn(xxn) +cn(x

xn)

2

+dn(x xn)

3

for n = 0, 1, n 1. To obtain the coecients,

1. Compute h

i

= x

i+1

x

i

for all i = 0, 1, n 1

2. Compute a

i

= f(x

i

) for all i = 0, 1, n

3. Solve the linear system Ax = b where

A =

_

_

_

_

_

_

_

_

_

_

_

_

_

_

_

_

1 0 0 . . . . . . 0

h

0

2(h

0

+h

1

) h

1

.

.

.

.

.

.

0 h

1

2(h

1

+h

2

) h

2

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

. h

n2

2(h

n2

h

n1

+h

n1

)

0 . . . . . . 0 0 1

_

_

,

x =

_

_

_

_

_

c

0

c

1

.

.

.

cn

_

_

, b =

_

_

_

_

_

_

_

_

0

3

h

1

(a

2

a

1

)

3

h

0

(a

1

a

0

)

.

.

.

3

h

n1

(an a

n1

)

3

h

n2

(a

n1

a

n2

)

0

_

_

4. Compute b

j

for j = 0, 1, n 1 as

b

j

=

1

h

j

(a

j+1

a

j

)

1

3

h

j

(c

j+1

+ 2c

j

)

5. Compute d

j

for j = 0, 1, n 1 as

d

j

=

1

3h

j

(c

j+1

c

j

)

Theorem 8 (Forward-Dierence Formula).

f

(x

0

) =

f(x

0

+h) f(x

0

)

h

h

2

f

((x))

for some (x) between x

0

and x

0

+h

Theorem 9 (Three-Point Midpoint Formula).

f

(x

0

) =

1

2h

[f(x

0

+h) f(x

0

h)]

h

2

6

f

(3)

((x))

for some (x) between x

0

h and x

0

+h

Theorem 10 (Three-Point Endpoint Formula).

f

(x

0

) =

1

2h

[3f(x

0

) + 4f(x

0

+h) f(x

0

+ 2h)] +

h

2

3

f

(3)

((x))

for some (x) between x

0

and x

0

+ 2h

Theorem 11 (Five-Point Midpoint Formula).

f

(x

0

) =

1

12h

[f(x

0

2h)8f(x

0

h)+8f(x

0

+h)f(x

0

+2h)]+

h

4

30

f

(5)

((x))

for some (x) between x

0

2h and x

0

+ 2h

Theorem 12 (Five-Point Endpoint Formula).

f

(x

0

) =

1

12h

[25f(x

0

) + 48f(x

0

+h)

36f(x

0

+ 2h) + 16f(x

0

+ 3h) 3f(x

0

+ 4h)] +

h

4

5

f

(5)

((x))

for some (x) between x

0

and x

0

+ 4h

Theorem 13 (Second Derivative Midpoint Formula).

f

(x

0

) =

1

h

2

[f(x

0

+h) 2f(x

0

) +f(x

0

h)]

h

2

12

f

(4)

((x))

for some (x) between x

0

h and x

0

+h

Theorem 14 (Midpoint Rule (Open n = 0, h = (b a)/(n + 2))).

_

b

a

f(x) dx = 2hf(x

0

) +

h

3

3

f

()

Theorem 15 (Trapezoidal Rule (Closed n = 1, h = (b a)/n)).

_

b

a

f(x) dx =

h

2

[f(xo) +f(x

1

)]

h

3

12

f

()

for some between x

0

and x

1

.

Theorem 16 (Simpsons Rule).

_

b

a

f(x) dx =

h

3

[f(x

0

) + 4f(x

1

) +f(x

2

)]

h

5

90

f

(4)

()

for some between x

0

and x

2

.

Theorem 17 (Composite Simpsons Rule (h = (b a)/n)).

_

b

a

f(x) dx =

h

3

_

_

f(a) + 2

(n/2)1

j=1

f(x

2j

) + 4

n/2

j=1

f(x

2j1

) +f(b)

_

_

b a

180

h

4

f

(4)

()

Theorem 18 (Composite Trapezoidal Rule).

_

b

a

f(x) dx =

h

2

_

_

f(a) + 2

n1

j=1

f(x

j

) +f(b)

_

_

b a

12

h

2

f

()

Theorem 19 (Composite Midpoint Rule (h = (b a)/(n + 2))).

_

b

a

f(x) dx = 2h

n/2

j=0

f(x

2j

) +

b a

6

h

2

f

()

for some between a and b.

Theorem 20 (Gaussian Quadrature Rules).

_

b

a

f(x) dx =

n

i=1

c

i

f(x

i

) +

f

(2n)

()

(2n)!

_

b

a

n

i=1

(x x

i

)

2

dx

Theorem 21 (Gaussian Quadrature on Arbitrary Interval).

_

b

a

f(x) dx =

_

1

1

f

_

(b a)t + (b +a)

2

_

(b a)

2

dt

Theorem 22. Suppose A R

n,n

. A factorization A = LDL

t

, where L is

unit lower triangular and D is diagonal is called an LDL

t

factorization. If

A is nonsingular, then A has a LDL

t

factorization if and only if A = A

t

and A

k

is nonsingular for k = 1, 2, 3, , n 1.

Denition 3 (Strict Diagonally Dominant Matrix). The n n matrix A

is said to be strictly diagonally dominant matrix when

|a

ii

>

n

j=1,j=i

|a

ij

Gaussian elimination can be performed on strictly diagonally dominant

matrix without row/column interchanges.

Denition 4 (Positive Denite Matrix). A matrix A is positive denite

if it is symmetric and if x

t

Ax > 0 for every x R

n

/{0}.

Theorem 23. Let A be a symmetric matrix. The following are equivalent:

1. A is positive denite;

2. each of As leading principle submatrices has a positive determinant;

3. A = B

t

B for some B with full column rank.

Theorem 24. A symmetric matrix A is positive denite if and only if

Gaussian elimination without row interchanges can be performed on the

linear system Ax = b with all the pivot elements positive.

Theorem 25 (Cholesky Factorisation). The matrix A is positive denite

if and only if A can be factorised in the form LL

t

where L is is lower

triangular with positive diagonal entries.

1. Set l

11

=

a

11

and l

j1

= a

j1

/l

11

2. Set l

ii

=

_

a

ii

i1

k=1

l

2

ik

_

1/2

, l

ji

=

_

a

ji

i1

k=1

l

jk

l

ik

_

/l

ii

Algorithm 2 (Crouts Method for Solving Tridiagonal Matrices). .

1. Set l

1

=

1

and u

1

=

1

/l

1

.

2. For i = 2, , n, set

l

i1

=

i1

, l

i

=

i

l

i1

u

i1

, u

i

=

i

/l

i

.

3. Set

l

n1

= n, ln =

l

n1

u

n1

Theorem 26 (Trigonometric Interpolation). The interpolatory trigono-

metric polynomial on 2n equidistant points is given by

S(n) =

a

0

2

+

n1

k=1

(a

k

cos kx +b

k

sin kx) +

an

2

cos nx

where

a

k

=

1

n

2n1

j=0

y

j

cos kx

j

for each k = 0, 1, , n

b

k

=

1

n

2n1

j=0

y

j

sin kx

j

for each k = 0, 1, , n 1

Denition 5 (Inverse Discrete Fourier Transform). Given a vector

(

f

0

,

f

1

,

f

N1

)

t

of complex numbers, we dene its DFT to be

f

j

=

N1

j=0

f

k

e

ijk2

N

for j = 0, 1, 2, N 1.

Algorithm 3 (Fast Fourier Transform). .

1. Compute (g

0

, g

1

, g

N/21

) = IDFT(

f

0

,

f

2

, ,

f

N2

)

2. Compute (h

0

, h

1

, h

N/21

) = IDFT(

f

1

,

f

3

, ,

f

N1

)

3. Set f

j

= g

j

+

j

N

h

j

for j = 0, 1, 2, , N/2 1

4. Set f

j+N/2

= g

j

j

N

h

j

for j = 0, 1, 2, , N/2 1

a

k

=

(1)

k

n

Re(c

k

), b

k

=

(1)

k

n

Im(c

k

)

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