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IAM 961: Numerical Linear Algebra

Instructor: John Gibson,
Office hours: Tue 2-3pm, Thu 12-1pm, Kingsbury N309E, or after class

Numerical linear algebra is the science of solving systems of linear equations $Ax=b$ and the eigenvalue problem $A v = \lambda v$ on a digital computer –problems are at the root of the vast bulk of scientific computation. Compared to classical linear algebra, the finite precision and speed of numerical mathematics brings in a number of important new concepts, including conditioning, stability, and accuracy, and efficiency. We will develop these ideas and learn the most important numerical linear algebra algorithms: QR, LU, SVD decompositions, Gramm-Schmidt orthogonalization, the QR eigenvalue algorithm, and Krylov subspace methods. Time permitting, we will also study key algorithms for function optimization and the solution of systems of nonlinear equations.

Text: Numerical Linear Algebra, by Trefethen and Bau, SIAM Press.

HWs due date comments
hw1 9/24
hw2 10/14 note: revised part 4, plot $\|\hat{x}-x\|/\|x\|$ instead of $\|Ax-b\|$
hw3 11/04
gibson/teaching/fall-2013/iam961.txt · Last modified: 2013/10/23 12:52 by gibson