8.2 Derivatives via Lagrange Polynomial Interpolation . . . . . . .

163
8.2.1
The E ect of Round-o Error . . . . . . . . . . . . . . 168
9 NUMERICAL INTEGRATION
171
9.1 Quadrature Via Polynomial Approximation . . . . . . . . . . 171
9.1.1
The Trapezoidal Rule: . . . . . . . . . . . . . . . . . . 173
9.2 Simpson's Rule: . . . . . . . . . . . . . . . . . . . . . . . . . . 176
9.3 Discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
179
9.4 Gaussian Quadrature . . . . . . . . . . . . . . . . . . . . . . . 180
9.4.1
Using Legendre Polynomials on [
1
;
1] . . . . . . . . . 181
9.5 Composite Numerical Integration . . . . . . . . . . . . . . . . 184
9.6 Some Adaptive Quadrature Methods . . . . . . . . . . . . . . 188
9.7 Monte Carlo Method for Integrals . . . . . . . . . . . . . . . . 190
10 RICHARDSON EXTRAPOLATION
193
11 LINEAR ALGEBRA REVIEW
197
11.1 Vector Norms . . . . . . . . . . . . . . . . . . . . . . . . . . . 197
11.1.1 Matrix Norms . . . . . . . . . . . . . . . . . . . . . . . 198
11.1.2 Matrix Norms (Optional, a bit more advanced) . . . . 199
11.2 Eigenvalues and Eigenvectors . . . . . . . . . . . . . . . . . . 205
11.2.1 Matrix Norm and The Spectral Radius . . . . . . . . . 207
11.3 The Condition Number and Error Estimates . . . . . . . . . . 209
11.4 Linear Systems (Continued) and Canonical Forms . . . . . . . 211
11.5 Eigenvalues and The Canonical Forms of Matrices . . . . . . . 214
6