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Van de Geijn R. Linear Algebra. Foundations to Frontiers...2018
Textbook in PDF format
Why Multiplication with Unitary Matrices is a Good Thing
Balancing a Matrix
Wrapup
Additional exercises
Wrapup
Additional exercises
Summary
Notes on the Stability of an Algorithm
Launch
Outline
What you will learn
Motivation
Floating Point Numbers
Notation
Floating Point Computation
Model of floating point computation
Stability of a numerical algorithm
Absolute value of vectors and matrices
Stability of the Dot Product Operation
An algorithm for computing Dot
A simple start
Preparation
Target result
A proof in traditional format
A weapon of math induction for the war on (backward) error (optional)
Results
Stability of a Matrix-Vector Multiplication Algorithm
An algorithm for computing Gemv
Analysis
Stability of a Matrix-Matrix Multiplication Algorithm
An algorithm for computing Gemm
Analysis
An application
Wrapup
Additional exercises
Summary
Notes on Performance
Notes on Gaussian Elimination and LU Factorization
Opening Remarks
Launch
Outline
What you will learn
Definition and Existence
LU Factorization
First derivation
Gauss transforms
Cost of LU factorization
LU Factorization with Partial Pivoting
Permutation matrices
The algorithm
Proof of Theorem 12.3
LU with Complete Pivoting
Solving A x = y Via the LU Factorization with Pivoting
Solving Triangular Systems of Equations
L z = y
U x = z
Other LU Factorization Algorithms
Variant 1: Bordered algorithm
Variant 2: Left-looking algorithm
Variant 3: Up-looking variant
Variant 4: Crout variant
Variant 5: Classical LU factorization
All algorithms
Formal derivation of algorithms
Numerical Stability Results
Is LU with Partial Pivoting Stable?
Blocked Algorithms
Blocked classical LU factorization (Variant 5)
Blocked classical LU factorization with pivoting (Variant 5)
Variations on a Triple-Nested Loop
Inverting a Matrix
Basic observations
Via the LU factorization with pivoting
Gauss-Jordan inversion
(Almost) never, ever invert a matrix
Efficient Condition Number Estimation
The problem
Insights
A simple approach
Discussion
Wrapup
Additional exercises
Summary
Notes on Cholesky Factorization
Opening Remarks
Launch
Outline
What you will learn
Definition and Existence
Application
An Algorithm
Proof of the Cholesky Factorization Theorem
Blocked Algorithm
Alternative Representation
Cost
Solving the Linear Least-Squares Problem via the Cholesky Factorization
Other Cholesky Factorization Algorithms
Implementing the Cholesky Factorization with the (Traditional) BLAS
What are the BLAS?
A simple implementation in Fortran
Implemention with calls to level-1 BLAS
Matrix-vector operations (level-2 BLAS)
Matrix-matrix operations (level-3 BLAS)
Impact on performance
Alternatives to the BLAS
The FLAME/C API
BLIS
Wrapup
Additional exercises
Summary
Notes on Eigenvalues and Eigenvectors
Video
Outline
Definition
The Schur and Spectral Factorizations
Relation Between the SVD and the Spectral Decomposition
Notes on the Power Method and Related Methods
Video
Outline
The Power Method
First attempt
Second attempt
Convergence
Practical Power Method
The Rayleigh quotient
What if "026A30C 0"026A30C "026A30C 1 "026A30C?
The Inverse Power Method
Rayleigh-quotient Iteration
Notes on the QR Algorithm and other Dense Eigensolvers
Video
Outline
Preliminaries
Subspace Iteration
The QR Algorithm
A basic (unshifted) QR algorithm
A basic shifted QR algorithm
Reduction to Tridiagonal Form
Householder transformations (reflectors)
Algorithm
The QR algorithm with a Tridiagonal Matrix
Givens' rotations
QR Factorization of a Tridiagonal Matrix
The Implicitly Shifted QR Algorithm
Upper Hessenberg and tridiagonal matrices
The Implicit Q Theorem
The Francis QR Step
A complete algorithm
Further Reading
More on reduction to tridiagonal form
Optimizing the tridiagonal QR algorithm
Other Algorithms
Jacobi's method for the symmetric eigenvalue problem
Cuppen's Algorithm
The Method of Multiple Relatively Robust Representations (MRRR)
The Nonsymmetric QR Algorithm
A variant of the Schur decomposition
Reduction to upperHessenberg form
The implicitly double-shifted QR algorithm
Notes on the Method of Relatively Robust Representations (MRRR)
Outline
MRRR, from 35,000 Feet
Cholesky Factorization, Again
The L D LT Factorization
The U D UT Factorization
The U D UT Factorization
The Twisted Factorization
Computing an Eigenvector from the Twisted Factorization
Notes on Computing the SVD of a Matrix
Outline
Background
Reduction to Bidiagonal Form
The QR Algorithm with a Bidiagonal Matrix
Putting it all together
Answers
Notes on Simple Vector and Matrix Operations
Notes on Vector and Matrix Norms
Notes on Orthogonality and the SVD
Notes on Gram-Schmidt QR Factorization
Notes on Householder QR Factorization
Notes on Solving Linear Least-squares Problems (Answers)
Notes on the Condition of a Problem
Notes on the Stability of an Algorithm
Notes on Peformance
Noteson Gaussian Elimination and LU Factorization
Notes on Cholesky Factorization
Notes on Eigenvalues and Eigenvectors
Notes on the Power Method and Related Methods
Notes on the Symmetric QR Algorithm
Notes on the Method of Relatively Robust Representations
Notes on Computing the SVD
How to Download
LAFF Routines (FLAME@lab)
