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Igor Yanovsky (Math 151B TA)

**These sample review problems do not necessarily represent the content, length, or depth
**

of the material you will be tested on.

Among other things, it is also a good idea to go over the homework sets.

1

Fourier Series

**Problem: Find the general continuous least squares trigonometric polynomial Sn (x) for
**

(

0, if − π < x ≤ 0,

f (x) =

1, if 0 < x < π.

**Solution: The continuous least squares approximation Sn (x) is in the form
**

n

a0 X

(ak cos kx + bk sin kx),

Sn (x) =

+

2

k=1

where, for k = 1, 2, . . .,

Z

1 π

a0 =

f (x) dx,

π −π

Z

Z

1 0

1 π

=

0 dx +

1 dx = 1, X

π −π

π 0

Z

1 π

f (x) cos kx dx,

ak =

π −π

Z

Z

1 0

1 π

=

0 · cos kx dx +

1 · cos kx dx,

π −π

π 0

1 sin kx ¯¯x=π

=

= 0, X

¯

π Z k x=0

1 π

bk =

f (x) sin kx dx

π −π

Z

Z

1 π

1 0

0 · sin kx dx +

1 · sin kx dx,

=

π −π

π 0

µ

¶

µ

¶

1 cos kx ¯¯x=π

1 (−1)k − 1

1 1 − (−1)k

= −

=

−

=

. X

¯

π k

π

k

π

k

x=0

Thus,

¶

n µ

1 1 X 1 − (−1)k

Sn (x) = +

sin kx. X

2 π

k

k=1

1

||˜ q2 ||2 q ˜3 = a3 − (qT1 a3 )q1 − (qT2 a3 )q2 . q1 = q ˜1 . One of such method is the Gram-Schmidt process. That is. where Q is an orthogonal matrix (i. a2 = (1. a3 = (0. 0 1 1 with the vectors a1 = (1. ||˜ q3 ||2 QR Factorization The resulting QR factorization is · A= 2. ||˜ q1 ||2 q ˜2 = a2 − (qT1 a2 )q1 . 2. A QR decomposition of a real square matrix A is a decomposition of A as A = QR.3 ¯ ¯ a1 ¯ a2 ¯ a3 ¸ · = ¯ ¯ q1 ¯ q2 ¯ q3 ¸ ||˜ q1 ||2 qT1 a2 qT1 a3 0 ||˜ q2 ||2 qT2 a3 = QR.2 QR decomposition and Least Squares The QR decomposition (also called the QR factorization) of a matrix is a decomposition of the matrix into an orthogonal matrix and a triangular matrix. ¸ · ¯ ¯ ¯ ¯ ¯ ¯ A = a1 a2 · · · an . 0)T .2 q3 = q ˜3 . QT Q = I) and R is an upper triangular matrix. q2 = q ˜2 . Then. 1)T . 0. 1. 2 . 1)T . Note that all the vectors considered above and below are column vectors. 0 0 ||˜ q3 ||2 Example Consider the matrix 1 1 0 A = 1 0 1 . There are several methods for actually computing the QR decomposition. then this factorization is unique. with the vectors to be considered in the process as columns of the 3x3 matrix A. If A is nonsingular.e. 1. q ˜1 = a1 . 2.1 Gram-Schmidt process Consider the GramSchmidt procedure. From now on. but we have to remember that all the vectors are column vectors. I will drop T notation for simplicity.

q3 = ||˜ q3 ||2 3 3 3 Thus. Also.√ . · Q = ¯ ¯ q1 ¯ q2 ¯ q3 ¸ = √1 2 √1 2 0 √1 6 − √16 √2 6 ||˜ q1 ||2 qT1 a2 qT1 a3 ||˜ q2 ||2 qT2 a3 = R = 0 0 0 ||˜ q3 ||2 − √13 √1 . 0).− . 0 . we obtain: q ˜1 = a1 = (1. √ .Performing the Gram-Schmidt procedure. √ . √ . 1. 1) − √ √ .√ . ||˜ q1 ||2 2 2 2 ¶ µ µ ¶ 1 1 1 1 1 q ˜2 = a2 − (qT1 a2 )q1 = (1. 0. −√ . 1. 2 2 2 2 2 µ ¶ µ ¶ 1 1 q ˜2 1 1 1 2 =p . − . 3 . 1 = √ . 0 = . √ = −√ .√ .√ . 0) = √ . − √ . review homework problems on solving linear least squares problem with QR decomposition. 1. q2 = ||˜ q2 ||2 6 6 6 3/2 2 2 q ˜3 = a3 − (qT1 a3 )q1 − (qT2 a3 )q2 µ ¶ µ ¶ µ ¶ 1 1 1 1 1 1 2 1 1 1 = (0. 1) − √ √ . 3 √1 3 √2 √1 √1 2 2 2 0 √36 √16 0 0 √23 . √ . 0 − √ √ . µ ¶ q ˜1 1 1 1 q1 = = √ (1.1 . 2 2 2 6 6 6 6 3 3 3 ¶ µ 1 1 1 q ˜3 = −√ .

1≤i≤n ½X n ||x||2 = ¾1 2 x2i . ||x||2 =1 Note. Thus. i=1 For matrices. . . || · ||F . we have ||Ax||2 = µX n ³X n i=1 aij xj ´2 ¶ 12 . x2 . i=1 j=1 ||A||2 = max ||Ax||2 .3 Vector and Matrix Norms The L∞ and L2 norms for the vector x = (x1 . .. Pn . . that Ax is a vector: Pn a1j xj Pj=1 n j=1 a2j xj Ax = . j=1 anj xj . xn )T are defined by ||x||∞ = max |xi |. and || · ||2 norms are: ||A||∞ = ||A||F = max n X 1≤i≤n |aij |. the definitions of || · ||∞ . j=1 4 . j=1 µX n X n ¶1 2 |aij | 2 .

. . Hence. . . .1 Iterative methods for the solution of linear systems of equations.. .. Introducing Tj = D−1 (L + U ) and cj = D−1 b (here.. . . . . .n 0 ··· ··· 0 0 ··· 0 ann −an1 · · · −an. . . . Introducing Tg = (D − L)−1 U and cg = (D − L)−1 b (here.. the Jacobi method has the form x(k) = Tj x(k−1) + cj . (1) is then transformed into Dx = (L + U )x + b. 0 ··· ··· 0 0 −a12 · · · −a1n a11 0 · · · 0 . − . Please see relevant homework problems for examples. . where a11 a12 · · · a1n a21 a22 · · · a2n A= . if D−1 exists. . . “j” stands for “Jacobi”). −a . This results in the matrix form of the Jacobi iterative technique: x(k) = D−1 (L + U )x(k−1) + D−1 b..4 4. 0 . . . − . . −L be the strictly lower-triangular part of A. Jacobi Method A general n × n linear system can be written as Ax = b. A = . .2 Gauss-Seidel Method Equation (1) can be written as (D − L)x = U x + b.n−1 0 = D − L − U. which gives the Gauss-Seidel method: (D − L)x(k) = U x(k−1) + b or x(k) = (D − L)−1 U x(k−1) + (D − L)−1 b. the Gauss-Seidel method has the form x(k) = Tg x(k−1) + cg .. .. . n−1. or (D − L − U )x = b.. an1 an2 · · · ann Jacobi method is written in the form x(k) = T x(k−1) + c by splitting A. and −U be the strictly upper-triangular part of A.. . and. . . The equation Ax = b. 0 a22 −a21 ... . 5 . . 4. . . . “g” stands for “Gauss-Seidel”). Let D be the diagonal matrix whose diagonal entries are those of A. . . x = D−1 (L + U )x + D−1 b.. . . . . . ...

4.4. j=1. . .4 where λ is an eigenvalue of A. . where ||A||∞ = max 1≤i≤n n X |aij |. j6=i holds for each i = 1. n. . j=1 6 (2) .5 Condition Number The condition number of the nonsingular matrix A relative to a norm || · || is K(A) = ||A|| · ||A−1 ||. In particular.3 Spectral Radius The spectral radius ρ(A) of matrix A is defined by ρ(A) = max |λ|. 4. the condition number of A relative to || · ||∞ is K(A) = ||A||∞ · ||A−1 ||∞ . 2. Diagonal Dominance The n × n matrix A is said to be strictly diagonally dominant when X |aii | > |aij |.

5 Consistency. Recall that for Euler’s method. (3) h→0 1≤i≤N A one-step difference equation method is said to be convergent if lim max |wi − y(ti )| = 0. Stability and Convergence of Numerical Methods A one-step difference equation method with local truncation error τi (h) at the ith step is said to be consistent if lim max |τi (h)| = 0. 2L (5) and. Euler’s method is convergent with the linear (first order) rate of convergence of O(h). (4) h→0 1≤i≤N where yi is the exact solution and wi is the approximation obtained from the difference method. A method is stable if its results depend continuously on the initial data. 7 . therefore. we have max |wi − y(ti )| ≤ 1≤i≤N M h L(b−a) |e − 1|.

2 2 Is this method stable? Solution: For a multistep method to be stable. wi−1 ) . and therefore is unstable.1 Stability of Multistep Methods Problem: To approximate the initial value problem y 0 = f (t. and therefore. it has to satisfy the root condition. 2 2 is P (λ) = −2 + λ + λ2 . the leftmost grid point has an index i − 1. then λi is simple.5. 8 . wi−1 ) . which has roots λ1 = 1. Thus this multistep method does not satisfy the root condition. a0 = −2. A multistep method is said to satisfy the root condition if all roots λi of the characteristic polynomial P (λ) (for a general form of P (λ) see equation (5. and if |λi | = 1. wi ) + f (ti−1 . a2 = 1. consider a multistep method i h5 1 wi+1 = 2wi−1 − wi + h f (ti . a1 = 1.57) in the book) are such that |λi | ≤ 1. y) (6) for t > 0. wi ) + f (ti−1 . In the example above. λ2 = −2. The characteristic polynomial of the following multistep method h5 i 1 wi+1 + wi − 2wi−1 = h f (ti . X Note that a quick way of writing a characteristic polynomial is to associate the coefficient a0 to the leftmost grid point in the method’s stencil.

5. Solution: Expanding terms in Taylor’s series around ti . y) (7) for t > 0. wi ) + f (ti−1 . consider a multistep method i h5 1 wi+1 = 2wi−1 − wi + h f (ti . 9 . y(ti−1 )) = h 2 2 i 5 1h 1 = y(ti+1 ) + y(ti ) − 2y(ti−1 ) − y 0 (ti ) − y 0 (ti−1 ) h 2 2 2 3 h 1h h y(ti ) + hy 0 (ti ) + y 00 (ti ) + y 000 (ξi1 ) = h 2 6 +y(ti ) ¢i ¡ h3 h2 −2 y(ti ) − hy 0 (ti ) + y 00 (ti ) − y 000 (ξi2 ) 2 6 5 0 − y (ti ) 2 i 1h h2 − y 0 (ti ) − hy 00 (ti ) + y 000 (ξi3 ) 2 2 1 2 000 h y (ξi ).2 Local Truncation Errors and Consistency Problem: To approximate the initial value problem y 0 = f (t. = 4 where ti−1 < ξi < ti+1 . wi−1 ) . 2 2 Find the local truncation error. y(ti )) + f (ti−1 . we obtain the following local truncation error τ (h): µ h5 i¶ 1 1 τi+1 (h) = y(ti+1 ) + y(ti ) − 2y(ti−1 ) − h f (ti .

the region of absolute stability R for the Backward Euler method contains the entire left half-plane. wi+1 (1 − hλ) = wi .5. Solution: The region R of absolute stability is R = {hλ ∈ C | |Q(hλ)| < 1}. 1 wi+1 = wi . |Q(hλ)| < 1. wi+1 ) is A-stable. all the solutions of the method also tend to zero for a fixed h > 0 as i → ∞. where wi+1 = Q(hλ)wi . and hence. the method is A-stable. we need to show that when it is applied to the scalar test equation y 0 = λy = f . For the Backward Euler method. +∞). wi+1 − hλwi+1 = wi . 1 − hλ Thus. In other words. whose solutions tend to zero for λ < 0. 1 − µ hλ ¶n+1 1 wi+1 = w0 . 10 . we have wi+1 = wi + hλwi+1 . Q(hλ) = 1 . A numerical method is said to be A-stable if its region of stability R contains the entire left half-plane. 1 − hλ Note that for Re(hλ) < 0. Therefore.3 Regions of Absolute Stability Problem: Show that the Backward Euler (or Implicit Euler) method wi+1 = wi + hf (ti+1 . Note that the region of absolute stability contains the interval (2. in order to show that the method is A-stable.

+ p(xi ) h2 2h (9) Problem: Write the discretization of the following boundary value problem 2 4 2 y 00 = − y 0 + 2 y − 2 log x. the differential equation to be approximated is y 00 (xi ) = − 2 2 4 0 y (xi ) + 2 y(xi ) − 2 log xi . 2h 6 The approximation to (8) is therefore: ¶ ¶ µ µ −wi+1 + 2wi − wi−1 wi+1 − wi−1 + q(xi )wi = −r(xi ). . xi xi xi 11 (11) . for i = 1. 2. the differential equation to be approximated at the interior points xi is y 00 (xi ) = p(xi )y 0 (xi ) + q(xi )y(xi ) + r(xi ). Expanding y(xi+1 ) and y(xi−1 ) in Taylor polynomials about xi . 1 y(1) = − . xi xi xi (10) Since y 00 (xi ) = y 0 (xi ) = y(xi+1 ) − 2y(xi ) + y(xi−1 ) h2 (4) − y (ξi ). . i+1 i i−1 h2 12 ¤ h2 000 1£ y(xi+1 ) − y(xi−1 ) − y (ηi ).6 Boundary Value Problems Given the second-order boundary-value problem y 00 (x) = p(x)y 0 (x) + q(x)y(x) + r(x). x x x 1 ≤ x ≤ 2. (8) It might be helpful to know how to derive the following approximations to the first and second derivatives of y(xi ) (pages 656-657 in the book). we obtain the following formulas: y 00 (xi ) = y 0 (xi ) = ¤ h2 0000 1£ y(x ) − 2y(x ) + y(x ) − y (ξi ). 2h 6 we can write the numerical approximation to (10) as µ ¶ 2 wi+1 − 2wi + wi−1 4 wi+1 − wi−1 2 + − 2 wi = − 2 log xi . h2 12 2 y(xi+1 ) − y(xi−1 ) h 000 − y (ηi ). . 2 in matrix-vector notation Aw = b. and doing some arithmetic manipulations (as in the book). Solution: At the interior points xi . a ≤ x ≤ b. 2 h xi 2h xi xi Multiplying both sides of (11) by −h2 gives −(wi+1 − 2wi + wi−1 ) − 2h 2h2 2h2 (wi+1 − wi−1 ) + 2 wi = 2 log xi . . y(2) = log 2. y(a) = α. y(b) = β. N .

Collecting wi−1 . .. 0 −1 + −1 − . 0 .. and wi+1 terms. . . we can verify whether our calculations are correct. first and last elements of b might be a little daunting. wN −1 wN .. 2 2 4 For our problem. . − 1− x1 x1 x1 x1 which satisfies equation (12). . note that the book considers the general second-order boundary value problem: y 00 (x) = p(x)y 0 (x) + q(x)y(x) + r(x). .. .... p(x) = − . X In order to see that this system satisfies (12). w= . for example. the second row: ³ ³ ³ 2h2 ´ 2h2 2h ´ 2h ´ w1 + 2 + 2 w2 − 1 + w3 = 2 log x2 . we see that ³ 2+ ³ ³ 2h ´ 2h2 2h ´ 2h2 ´ w − 1 + w = log x + 1 − w0 . wi . . . 12 . .. . and r(x) = − 2 log x. 1 2 1 x1 x1 x21 x21 or ³ ³ ³ 2h2 ´ 2h2 2h ´ 2h ´ w0 + 2 + 2 w1 − 1 + w2 = 2 log x1 . . −1 − 0 w1 w2 . . if we look at the first row (for example). xi xi xi xi (12) The resulting system of equations can be expressed in the tridiagonal N × N matrix form Aw = b. Also. q(x) = 2 . 0 . look at a couple of rows of matrix A. However.. − 1− x2 x2 x2 x2 Also. and b = 2h2 log xN −1 x2N −1 ³ 2h2 2h ´ log x + 1 + wN +1 N xN x2N . 0 2h x1 2h2 2+ 2 x2 . . Plugging these values x x x into the formulas in the book.. we obtain ³ ³ ³ 2h ´ 2h2 ´ 2h ´ 2h2 − 1− wi−1 + 2 + 2 wi − 1 + wi+1 = 2 log xi . . where 2h2 2 + x2 1 −1 + 2h x2 A= 0 . ··· ··· 2h x2 2h xN −1 2h2 2+ 2 xN −1 − 2h xN ³ 2h ´ 2h2 log x + 1 − w0 1 x1 x21 2h2 log x2 x22 ..

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