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Theorem 1 (Mean Value Theorem).

If f C[a, b] and f is dierentiable


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
)