Numerical analysis

Numerical analysis is the study of algorithms that use

numerical approximation (as opposed to symbolic
manipulations) for the problems of mathematical analysis (as
distinguished from discrete mathematics). It is the study of
numerical methods that attempt at finding approximate
solutions of problems rather than the exact ones. Numerical
analysis finds application in all fields of engineering and the
physical sciences, and in the 21st century also the life and
social sciences, medicine, business and even the arts. Current
growth in computing power has enabled the use of more
complex numerical analysis, providing detailed and realistic
mathematical models in science and engineering. Examples of
numerical analysis include: ordinary differential equations as
found in celestial mechanics (predicting the motions of planets, Babylonian clay tablet YBC 7289 (c.
stars and galaxies), numerical linear algebra in data 1800–1600 BC) with annotations. The
analysis,[2][3][4] and stochastic differential equations and approximation of the square root of 2 is
four sexagesimal figures, which is about
Markov chains for simulating living cells in medicine and
biology. six decimal figures. 1 + 24/60 + 51/602 +
10/603 = 1.41421296...[1]
Before modern computers, numerical methods often relied on
hand interpolation formulas, using data from large printed
tables. Since the mid 20th century, computers calculate the required functions instead, but many of the same
formulas continue to be used in software algorithms.[5]

The numerical point of view goes back to the earliest mathematical writings. A tablet from the Yale
Babylonian Collection (YBC 7289), gives a sexagesimal numerical approximation of the square root of 2,
the length of the diagonal in a unit square.

Numerical analysis continues this long tradition: rather than giving exact symbolic answers translated into
digits and applicable only to real-world measurements, approximate solutions within specified error bounds
are used.

General introduction
The overall goal of the field of numerical analysis is the design and analysis of techniques to give
approximate but accurate solutions to hard problems, the variety of which is suggested by the following:

Advanced numerical methods are essential in making numerical weather prediction

feasible.
Computing the trajectory of a spacecraft requires the accurate numerical solution of a system
of ordinary differential equations.
Car companies can improve the crash safety of their vehicles by using computer simulations
of car crashes. Such simulations essentially consist of solving partial differential equations
numerically.
 Hedge funds (private investment funds) use quantitative finance tools from numerical
analysis to attempt to calculate the value of stocks and derivatives more precisely than other
market participants.[6]
Airlines use sophisticated optimization algorithms to decide ticket prices, airplane and crew
assignments and fuel needs. Historically, such algorithms were developed within the
overlapping field of operations research.
Insurance companies use numerical programs for actuarial analysis.

The rest of this section outlines several important themes of numerical analysis.

History

The field of numerical analysis predates the invention of modern computers by many centuries. Linear
interpolation was already in use more than 2000 years ago. Many great mathematicians of the past were
preoccupied by numerical analysis,[5] as is obvious from the names of important algorithms like Newton's
method, Lagrange interpolation polynomial, Gaussian elimination, or Euler's method. The origins of
modern numerical analysis are often linked to a 1947 paper by John von Neumann and Herman
Goldstine,[7][8][9] but others consider modern numerical analysis to go back to work by E. T. Whittaker in
1912.[7]

To facilitate computations by hand, large books were produced with formulas and tables of data such as
interpolation points and function coefficients. Using these tables, often calculated out to 16 decimal places
or more for some functions, one could look up values to plug into the formulas given and achieve very
good numerical estimates of some functions. The canonical work in the field is the NIST publication edited
by Abramowitz and Stegun, a 1000-plus page book of a very large number of commonly used formulas
and functions and their values at many points. The function values are no longer very useful when a
computer is available, but the large listing of formulas can still be very handy.

The mechanical calculator was also developed as a tool for hand computation. These calculators evolved
into electronic computers in the 1940s, and it was then found that these computers were also useful for
administrative purposes. But the invention of the computer also influenced the field of numerical
analysis,[5] since now longer and more complicated calculations could be done.

The Leslie Fox Prize for Numerical Analysis was initiated in 1985 by the Institute of Mathematics and its
Applications.

Direct and iterative methods

Consider the problem of solving

3x3 + 4 = 28

for the unknown quantity x.

Direct method
3x3 + 4 = 28.
Subtract 4 3x3 = 24.
Divide by 3 x3 = 8.
Take cube roots x = 2.
For the iterative method, apply the bisection method to f(x) = 3x3 − 24. The initial values are a = 0, b = 3,
f(a) = −24, f(b) = 57.

Iterative method
a b mid f(mid)

0 3 1.5 −13.875
1.5 3 2.25 10.17...

1.5 2.25 1.875 −4.22...

1.875 2.25 2.0625 2.32...

From this table it can be concluded that the solution is between 1.875 and 2.0625. The algorithm might
return any number in that range with an error less than 0.2.

Discretization and numerical integration

In a two-hour race, the speed of the car is measured at three instants and recorded
in the following table.

Time 0:20 1:00 1:40

km/h 140 150 180

A discretization would be to say that the speed of the car was constant from 0:00 to 0:40, then from 0:40
to 1:20 and finally from 1:20 to 2:00. For instance, the total distance traveled in the first 40 minutes is
approximately (2/3 h × 140 km/h) = 93.3 km. This would allow us to estimate the total distance traveled as
93.3 km + 100 km + 120 km = 313.3 km, which is an example of numerical integration (see below)
using a Riemann sum, because displacement is the integral of velocity.

Ill-conditioned problem: Take the function f(x) = 1/(x − 1). Note that f(1.1) = 10 and f(1.001) = 1000: a
change in x of less than 0.1 turns into a change in f(x) of nearly 1000. Evaluating f(x) near x = 1 is an ill-
conditioned problem.

Well-conditioned problem: By contrast, evaluating the same function f(x) = 1/(x − 1) near x = 10 is a well-
conditioned problem. For instance, f(10) = 1/9 ≈ 0.111 and f(11) = 0.1: a modest change in x leads to a
modest change in f(x).

Direct methods compute the solution to a problem in a finite number of steps. These methods would give
the precise answer if they were performed in infinite precision arithmetic. Examples include Gaussian
elimination, the QR factorization method for solving systems of linear equations, and the simplex method of
linear programming. In practice, finite precision is used and the result is an approximation of the true
solution (assuming stability).

In contrast to direct methods, iterative methods are not expected to terminate in a finite number of steps.
Starting from an initial guess, iterative methods form successive approximations that converge to the exact
solution only in the limit. A convergence test, often involving the residual, is specified in order to decide
when a sufficiently accurate solution has (hopefully) been found. Even using infinite precision arithmetic
these methods would not reach the solution within a finite number of steps (in general). Examples include
Newton's method, the bisection method, and Jacobi iteration. In computational matrix algebra, iterative
methods are generally needed for large problems.[10][11][12][13]
Iterative methods are more common than direct methods in numerical analysis. Some methods are direct in
principle but are usually used as though they were not, e.g. GMRES and the conjugate gradient method.
For these methods the number of steps needed to obtain the exact solution is so large that an approximation
is accepted in the same manner as for an iterative method.

Discretization

Furthermore, continuous problems must sometimes be replaced by a discrete problem whose solution is
known to approximate that of the continuous problem; this process is called 'discretization'. For example,
the solution of a differential equation is a function. This function must be represented by a finite amount of
data, for instance by its value at a finite number of points at its domain, even though this domain is a
continuum.

Generation and propagation of errors

The study of errors forms an important part of numerical analysis. There are several ways in which error
can be introduced in the solution of the problem.

Round-off

Round-off errors arise because it is impossible to represent all real numbers exactly on a machine with finite
memory (which is what all practical digital computers are).

Truncation and discretization error

Truncation errors are committed when an iterative method is terminated or a mathematical procedure is
approximated and the approximate solution differs from the exact solution. Similarly, discretization induces
a discretization error because the solution of the discrete problem does not coincide with the solution of the
continuous problem. In the example above to compute the solution of , after ten iterations,
the calculated root is roughly 1.99. Therefore, the truncation error is roughly 0.01.

Once an error is generated, it propagates through the calculation. For example, the operation + on a
computer is inexact. A calculation of the type is even more inexact.

A truncation error is created when a mathematical procedure is approximated. To integrate a function

exactly, an infinite sum of regions must be found, but numerically only a finite sum of regions can be
found, and hence the approximation of the exact solution. Similarly, to differentiate a function, the
differential element approaches zero, but numerically only a nonzero value of the differential element can
be chosen.

Numerical stability and well-posed problems

Numerical stability is a notion in numerical analysis. An algorithm is called 'numerically stable' if an error,
whatever its cause, does not grow to be much larger during the calculation.[14] This happens if the problem
is 'well-conditioned', meaning that the solution changes by only a small amount if the problem data are
changed by a small amount.[14] To the contrary, if a problem is 'ill-conditioned', then any small error in the
data will grow to be a large error.[14]
Both the original problem and the algorithm used to solve that problem can be 'well-conditioned' or 'ill-
conditioned', and any combination is possible.

So an algorithm that solves a well-conditioned problem may be either numerically stable or numerically
unstable. An art of numerical analysis is to find a stable algorithm for solving a well-posed mathematical
problem. For instance, computing the square root of 2 (which is roughly 1.41421) is a well-posed problem.
Many algorithms solve this problem by starting with an initial approximation x0 to , for instance x0 =
1.4, and then computing improved guesses x1 , x2 , etc. One such method is the famous Babylonian method,
which is given by xk+1 = xk/2 + 1/xk. Another method, called 'method X', is given by xk+1 = (xk2 − 2)2 +
xk.[note 1] A few iterations of each scheme are calculated in table form below, with initial guesses x0 = 1.4
and x0 = 1.42.

Babylonian Babylonian Method X Method X

x0 = 1.4 x0 = 1.42 x0 = 1.4 x0 = 1.42

x1 = 1.4142857... x1 = 1.41422535... x1 = 1.4016 x1 = 1.42026896

x2 = 1.414213564... x2 = 1.41421356242... x2 = 1.4028614... x2 = 1.42056...

... ...
x1000000 = 1.41421... x27 = 7280.2284...

Observe that the Babylonian method converges quickly regardless of the initial guess, whereas Method X
converges extremely slowly with initial guess x0 = 1.4 and diverges for initial guess x0 = 1.42. Hence, the
Babylonian method is numerically stable, while Method X is numerically unstable.

Numerical stability is affected by the number of the significant digits the machine keeps. If
a machine is used that keeps only the four most significant decimal digits, a good example
on loss of significance can be given by the two equivalent functions
and

Comparing the results of

and

by comparing the two results above, it is clear that loss of significance (caused here by
catastrophic cancellation from subtracting approximations to the nearby numbers
and , despite the subtraction being computed exactly) has a huge effect on the
results, even though both functions are equivalent, as shown below
 The desired value, computed using infinite precision, is 11.174755...

The example is a modification of one taken from Mathew; Numerical methods using
MATLAB, 3rd ed.

Areas of study
The field of numerical analysis includes many sub-disciplines. Some of the major ones are:

Computing values of functions

One of the simplest problems is the evaluation of a function at a given point. The most straightforward
approach, of just plugging in the number in the formula is sometimes not very efficient. For polynomials, a
better approach is using the Horner scheme, since it reduces the necessary number of multiplications and
additions. Generally, it is important to estimate and control round-off errors arising from the use of floating-
point arithmetic.

Interpolation, extrapolation, and regression

Interpolation solves the following problem: given the value of some unknown function at a number of
points, what value does that function have at some other point between the given points?

Extrapolation is very similar to interpolation, except that now the value of the unknown function at a point
which is outside the given points must be found.[15]

Regression is also similar, but it takes into account that the data are imprecise. Given some points, and a
measurement of the value of some function at these points (with an error), the unknown function can be
found. The least squares-method is one way to achieve this.

Solving equations and systems of equations

Another fundamental problem is computing the solution of some
given equation. Two cases are commonly distinguished,
depending on whether the equation is linear or not. For instance, Interpolation: Observing that the
the equation is linear while is not. temperature varies from 20
degrees Celsius at 1:00 to 14
Much effort has been put in the development of methods for degrees at 3:00, a linear
solving systems of linear equations. Standard direct methods, i.e., interpolation of this data would
methods that use some matrix decomposition are Gaussian conclude that it was 17 degrees
elimination, LU decomposition, Cholesky decomposition for at 2:00 and 18.5 degrees at
symmetric (or hermitian) and positive-definite matrix, and QR 1:30pm.
decomposition for non-square matrices. Iterative methods such as
the Jacobi method, Gauss–Seidel method, successive over- Extrapolation: If the gross
relaxation and conjugate gradient method[16] are usually domestic product of a country
preferred for large systems. General iterative methods can be has been growing an average of
developed using a matrix splitting. 5% per year and was 100 billion
last year, it might extrapolated
Root-finding algorithms are used to solve nonlinear equations that it will be 105 billion this
(they are so named since a root of a function is an argument for year.
which the function yields zero). If the function is differentiable
and the derivative is known, then Newton's method is a popular
choice.[17][18] Linearization is another technique for solving
nonlinear equations.

Regression: In linear regression,

Solving eigenvalue or singular value given n points, a line is
problems computed that passes as close
as possible to those n points.
Several important problems can be phrased in terms of
eigenvalue decompositions or singular value decompositions. For
instance, the spectral image compression algorithm[19] is based
on the singular value decomposition. The corresponding tool in
statistics is called principal component analysis.

Optimization Optimization: Suppose

lemonade is sold at a lemonade
Optimization problems ask for the point at which a given stand, at $1.00 per glass, that
function is maximized (or minimized). Often, the point also has to 197 glasses of lemonade can be
satisfy some constraints. sold per day, and that for each
increase of $0.01, one less glass
The field of optimization is further split in several subfields, of lemonade will be sold per day.
depending on the form of the objective function and the If $1.485 could be charged, profit
constraint. For instance, linear programming deals with the case would be maximized, but due to
that both the objective function and the constraints are linear. A the constraint of having to
famous method in linear programming is the simplex method. charge a whole-cent amount,
charging $1.48 or $1.49 per
glass will both yield the
maximum income of $220.52 per
day.
The method of Lagrange multipliers can be used to reduce Differential
optimization problems with constraints to unconstrained equation: If 100
optimization problems. fans are set up to
blow air from one
end of the room to
Evaluating integrals the other and then
a feather is dropped into the
Numerical integration, in some instances also known as wind, what happens? The
numerical quadrature, asks for the value of a definite integral.[20] feather will follow the air
Popular methods use one of the Newton–Cotes formulas (like the currents, which may be very
midpoint rule or Simpson's rule) or Gaussian quadrature.[21] complex. One approximation is
These methods rely on a "divide and conquer" strategy, whereby to measure the speed at which
an integral on a relatively large set is broken down into integrals the air is blowing near the
on smaller sets. In higher dimensions, where these methods feather every second, and
become prohibitively expensive in terms of computational effort, advance the simulated feather
one may use Monte Carlo or quasi-Monte Carlo methods (see as if it were moving in a straight
Monte Carlo integration[22]), or, in modestly large dimensions, line at that same speed for one
the method of sparse grids. second, before measuring the
wind speed again. This is called
the Euler method for solving an
Differential equations ordinary differential equation.

Numerical analysis is also concerned with computing (in an

approximate way) the solution of differential equations, both
ordinary differential equations and partial differential equations.[23]

Partial differential equations are solved by first discretizing the equation, bringing it into a finite-
dimensional subspace.[24] This can be done by a finite element method,[25][26][27] a finite difference
method,[28] or (particularly in engineering) a finite volume method.[29] The theoretical justification of these
methods often involves theorems from functional analysis. This reduces the problem to the solution of an
algebraic equation.

Software
Since the late twentieth century, most algorithms are implemented in a variety of programming languages.
The Netlib repository contains various collections of software routines for numerical problems, mostly in
Fortran and C. Commercial products implementing many different numerical algorithms include the IMSL
and NAG libraries; a free-software alternative is the GNU Scientific Library.

Over the years the Royal Statistical Society published numerous algorithms in its Applied Statistics (code
for these "AS" functions is here (https://jblevins.org/mirror/amiller/#apstat)); ACM similarly, in its
Transactions on Mathematical Software ("TOMS" code is here (https://jblevins.org/mirror/amiller/#toms)).
The Naval Surface Warfare Center several times published its Library of Mathematics Subroutines (https://a
pps.dtic.mil/sti/pdfs/ADA476840.pdf) (code here (https://jblevins.org/mirror/amiller/#nswc)).

There are several popular numerical computing applications such as MATLAB,[30][31][32] TK Solver, S-
PLUS, and IDL[33] as well as free and open source alternatives such as FreeMat, Scilab,[34][35] GNU
Octave (similar to Matlab), and IT++ (a C++ library). There are also programming languages such as R[36]
(similar to S-PLUS), Julia,[37] and Python with libraries such as NumPy, SciPy[38][39][40] and SymPy.
Performance varies widely: while vector and matrix operations are usually fast, scalar loops may vary in
speed by more than an order of magnitude.[41][42]
Many computer algebra systems such as Mathematica also benefit from the availability of arbitrary-
precision arithmetic which can provide more accurate results.[43][44][45][46]

Also, any spreadsheet software can be used to solve simple problems relating to numerical analysis. Excel,
for example, has hundreds of available functions, including for matrices, which may be used in conjunction
with its built in "solver".

See also
Category:Numerical analysts Local linearization method
Analysis of algorithms Numerical differentiation
Computational science Numerical Recipes
Computational physics Probabilistic numerics
Gordon Bell Prize Symbolic-numeric computation
Interval arithmetic Validated numerics
List of numerical analysis topics

Notes
1. This is a fixed point iteration for the equation , whose solutions
include . The iterates always move to the right since . Hence
converges and diverges.

References

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OCLC 25116949 (https://www.worldcat.org/oclc/25116949). (examples of the importance of
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External links

Journals
Numerische Mathematik, volumes 1–..., Springer (https://www.springer.com/mathematics/nu
merical+and+computational+mathematics/journal/211), 1959–
volumes 1–66, 1959–1994 (http://www-gdz.sub.uni-goettingen.de/cgi-bin/digbib.cgi?PP
N362160546) (searchable; pages are images). (in English and German)
 Journal on Numerical Analysis (SINUM) (https://epubs.siam.org/journal/sjnaam), volumes
1–..., SIAM, 1964–

Online texts
"Numerical analysis" (https://www.encyclopediaofmath.org/index.php?title=Numerical_analy
sis), Encyclopedia of Mathematics, EMS Press, 2001 [1994]
Numerical Recipes (https://web.archive.org/web/20150905141405/http://www.nr.com/oldver
switcher.html), William H. Press (free, downloadable previous editions)
First Steps in Numerical Analysis (https://web.archive.org/web/20120225082123/http://kr.cs.
ait.ac.th/~radok/math/mat7/stepsa.htm) (archived), R.J.Hosking, S.Joe, D.C.Joyce, and
J.C.Turner
CSEP (Computational Science Education Project) (https://web.archive.org/web/2017080121
3333/http://www.phy.ornl.gov/csep/CSEP/TEXTOC.html), U.S. Department of Energy
(archived 2017-08-01)
Numerical Methods (https://dlmf.nist.gov/3), ch 3. in the Digital Library of Mathematical
Functions
Numerical Interpolation, Differentiation and Integration (https://personal.math.ubc.ca/~cbm/a
ands/page_875.htm), ch 25. in the Handbook of Mathematical Functions (Abramowitz and
Stegun)

Online course material

Numerical Methods (http://www.damtp.cam.ac.uk/user/fdl/people/sd103/lectures/nummeth9
8/index.htm#L_1_Title_Page) (Archived (https://web.archive.org/web/20090728181209/htt
p://www.damtp.cam.ac.uk/user/fdl/people/sd103/lectures/nummeth98/index.htm#L_1_Title_
Page) 28 July 2009 at the Wayback Machine), Stuart Dalziel University of Cambridge
Lectures on Numerical Analysis (http://www.math.upenn.edu/~wilf/DeturckWilf.pdf), Dennis
Deturck and Herbert S. Wilf University of Pennsylvania
Numerical methods (http://johndfenton.com/Lectures/Numerical-Methods/Numerical-Method
s.pdf), John D. Fenton University of Karlsruhe
Numerical Methods for Physicists (http://www-teaching.physics.ox.ac.uk/computing/Numeric
alMethods/NMfP.pdf), Anthony O’Hare Oxford University
Lectures in Numerical Analysis (https://web.archive.org/web/20120225082123/http://kr.cs.ait.
ac.th/~radok/math/mat7/stepsa.htm) (archived), R. Radok Mahidol University
Introduction to Numerical Analysis for Engineering (http://ocw.mit.edu/courses/mechanical-e
ngineering/2-993j-introduction-to-numerical-analysis-for-engineering-13-002j-spring-2005/),
Henrik Schmidt Massachusetts Institute of Technology
Numerical Analysis for Engineering (http://ece.uwaterloo.ca/~dwharder/NumericalAnalysis/),
D. W. Harder University of Waterloo
Introduction to Numerical Analysis (https://www.math.umd.edu/~diom/courses/AMSC466/Le
vy-notes.pdf), Doron Levy University of Maryland
Numerical Analysis - Numerical Methods (https://web.archive.org/web/20070310212643/htt
p://math.fullerton.edu/mathews/n2003/NumericalUndergradMod.html) (archived), John H.
Mathews California State University Fullerton

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