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Layton W., Sussman M. Numerical Linear Algebra 2020
Textbook in PDF format
Preface
Introduction
Sources of Arithmetical Error
Measuring Errors: The Trademarked Quantities
Linear Systems and Finite Precision Arithmetic
Vectors and Matrices
Eigenvalues and Singular Values
Properties of eigenvalues
Error and Residual
When is a Linear System Solvable?
When is an N×N Matrix Numerically Singular?
Gaussian Elimination
Elimination + Backsubstitution
Algorithms and Pseudocode
The Gaussian Elimination Algorithm
Computational Complexity and Gaussian
Elimination
Pivoting Strategies
Tridiagonal and Banded Matrices
The LU Decomposition
Norms and Error Analysis
FENLA and Iterative Improvement
Vector Norms
Norms that come from inner products
Matrix Norms
A few proofs
Error, Residual and Condition Number
Backward Error Analysis
The general case
The MPP and the Curse of Dimensionality
Derivation
1D Model Poisson Problem
Difference approximations
Reduction to linear equations
Complexity of solving the 1D MPP
The 2D MPP
The 3D MPP
The Curse of Dimensionality
Computing a residual grows slowly with dimension
Iterative Methods
Introduction to Iterative Methods
Iterative methods three standard forms
Three quantities of interest
Mathematical Tools
Convergence of FOR
Optimization of ρ
Geometric analysis of the min-max problem
How many FOR iterations?
Better Iterative Methods
The Gauss–Seidel Method
Relaxation
Gauss–Seidel with over-relaxation = Successive Over
Relaxation
Three level over-relaxed FOR
Algorithmic issues: storing a large, sparse matrix
Dynamic Relaxation
Splitting Methods
Parameter selection
Connection to dynamic relaxation
The ADI splitting
Solving Ax = b by Optimization
The Connection to Optimization
Application to Stationary Iterative Methods
Application to Parameter Selection
The Steepest Descent Method
The Conjugate Gradient Method
The CG Algorithm
Algorithmic options
CG’s two main convergence theorems
Analysis of the CG Algorithm
Convergence by the Projection Theorem
The Gram–Schmidt algorithm
Orthogonalization of moments instead of
Gram–Schmidt
A simplified CG method
Error Analysis of CG
Preconditioning
CGN for Non-SPD Systems
Eigenvalue Problems
Introduction and Review of Eigenvalues
Properties of eigenvalues
Gershgorin Circles
Perturbation Theory of Eigenvalues
Perturbation bounds
The Power Method
Convergence of the power method
Symmetric matrices
Inverse Power, Shifts and Rayleigh Quotient Iteration
The inverse power method
Rayleigh Quotient Iteration
The QR Method
Appendix A An Omitted Proof
Appendix B Tutorial on Basic MatLAB Programming
Objective
MatLAB Files
Variables, Values and Arithmetic
Variables Are Matrices
Matrix and Vector Operations
Flow Control
Script and Function Files
MatLAB Linear Algebra Functionality
Solving matrix systems in MatLAB
Condition number of a matrix
Matrix factorizations
Eigenvalues and singular values
Debugging
Execution Speed
Initializing vectors and matrices in MatLAB
Array notation and efficiency in MatLAB
Bibliography
Index
