Notes Part1 PDF

CH 3073: Numerical Methods
CH 5500: Numerical Methods I

Autumn 2014-15
Instructor: Kishalay Mitra

Department of Chemical Engineering
Indian Institute of Technology Hyderabad
(kishalay@iith.ac.in)
Tue / Thu: 11:30 AM 1 PM
Room # 132
Overview
Topics
Linear Algebraic Equations (5 lecs)

Nonlinear Algebraic Equations (3 lecs)
Function Approximation (6 lecs)
Ordinary Differential EquationsInitial Value Problems (ODE-IVPs)
(10 lecs)
Programming in MATLAB (10 classes)
Pre-requisites of the Course
BE / BTech in Chemical Engg / Chem Tech

Programming Skills (MATLAB)
Textbook for the Course
S. K. Gupta, Numerical Methods for Engineers, New Age Intl.

Publishers, New Delhi, 2nd Ed., 2009.
Examples
Topics
Linear Algebraic Equations
Nonlinear Algebraic Equations
Examples (contd.)
Topics
ODE - IVPs
ODE - BVPs
Evaluation
No.
Type
Final
Weightage
Tentative
Time
Remarks
1.
Mid Semester Exam
30
End Sept.
Absolute
Grading
2.
End Semester Exam
30
End Nov.
Absolute
Grading
3.
Class Tests, Computer

Programming
15+15
Almost
each
class
Relative
Grading
4.
Attendance & Class

Performance
10
85%
attendance
Total = 100
Programming Practices
Problems
Finding sum of a digit and reverse the order

In an array, store all the Fahrenheit values given Celsius values from -100C
to 100C
x3 x5 x7
x 2 n 1
n
... 1
Sum the following series Sum x
Tabulate values of below function for integer values of k = 0 to 15
3!
5!
7!
2n 1!
Sum e a a k / k!
Use of subroutines (preferably)
Solution of a quadratic equation

Write program to evaluate any nth order polynomial
Fitting a straight line through number of given points
Write program to generate Fibonacci sequence
Given a sequence of numbers, sort them in ascending and descending order
Write programs to multiply two matrices taking their sizes, values of elements
as inputs
Programming
Programming Review
EVALUATE S = 1 + 2 + 3 + . + n
and COMPARE WITH analytical results
S = n(n + 1)/2
GET FAMILIAR WITH C, FORTRAN,

MATLAB
PLOT S vs. n
GET FAMILIAR WITH MATLAB, MS

Excel
Chapter 1
LINEAR ALGEBRIC EQUATIONS
WHEN DO WE HAVE SOLUTIONS
GAUSS ELIMINATION
THOMAS ALGORITHM
LU DECOMP
GAUSS SEIDEL, SOR, ETC.
Representing MENU
SET OF M EQUATIONS IN N UNKNOWNS
SIMULTANEOUS LINEAR ALGEBRAIC
EQUATIONS
a11x1 + a12 x2 + ..+ a1N xN = b1

a21x1 + a22 x2 + ..+ a2N xN = b2
.
.
.
.
aM1x1 + aM2 x2 + ..+ aMN xN = bM
e.g. x1 + x2 = 4
2x1 + 3x2 = 11
PDE
ODE
NLE
SLE
9
Cramers Rule
Example 1.1
X1 + X2 = 4
2X1 + 3X2 = 11
Unique solution exists in case det(A) is nonsingular

Additionally, if b = 0, |Aj| = 0
all xj = 0 (trivial solution)
In case A is singular
First case: Identical equations

1 equation 2 unknown Infinite solutions
Second case: Incompatible and no solution exist
10
Reviewing Rank r
(AUGMENTED A Aug A)
Aug A [ A b]
One highest possible size non zero determinant
1 1 4
2 3 11
1 1
2 3 0
r=2
r=1
11
Solution exists
IF and ONLY IF
RANK A = RANK (Aug A)
COMPATABLE EQUATIONS
FOR M = N (FOR CHEMICAL ENGG. PROBLEMS)
IF r (A) = N
UNIQUE SOLUTION
IF r (A) < N
INFINITE SOLNS
12
Assume N-r variables
Example
Example 1.3
X1 + X2 = 4
2 X1 + 3 X2 = 11
2 X1 + 3 X2 = 11
4 X1 + 6 X2 = 22
2 X1 + 3 X2 = 11
4 X1 + 6 X2 = 20
13
Homogeneous Case
ANxN xNx1 = bNx1
IF
Homogeneous equations
a11x1 + a12x2 = 0
a22x1 + a22x2 = 0; AND r(A) = 2 = N
Unique Solution
Trivial solution
NON-TRIVIAL SOLUTIONS IF r(A) < N
4 2
14
Homogeneous Case (contd.)

NON-TRIVIAL SOLUTIONS IF r(A) < N
r(A) = 1
Nr=21=1
ASSUME x1 = 5; THEN x2 = -10
x1 = 10; THEN x2 = -20
15
Review
= : FOCUS ON ONLY
SOLUTIONS ONLY IF RANK =
IF RANK = , UNIQUE SOLUTION
IF RANK < , MANY SOLUTIONS
HOMOGENEOUS EQUATIONS (b = 0)
TRIVIAL SOLUTION x = 0, IF RANK =
NONTRIVIAL SOLUTION, IF RANK <
16
Direct Methods
()
Ax=b
RANK =
Cramers Rule: Excessive Calculations (N2 N!)

Another route: A-1b
Equally expensive and suffers from additional problem of sensitivity
(round off errors)
17
G E Example
Example 1.4
18
Direct Methods
PIVOT
()
Ax=b
RANK =
Cramers Rule: Excessive

Calculaitons
19
G E (contd.)
PIVOT
20
G E (contd.)
Product of diagonal terms gives you the value of determinant

21
Computational Complexity
22
Pivoting
NOTE
Which one to prefer row or column shift? Which row / column to

shift? One that gives you largest absolute value in the pivot position
Process ends when zero cannot be removed from pivot position and
this occurs when set of equations does not have unique solutions
23
G E Example (Pivoting)
Example 1.5
24
Pivoting Practice
Get correct result with pivoting and wrong result

without pivoting
25
Thomas Algorithm
Finite Difference BVP
Stage operations
26
Thomas Algorithm (contd.)
27
LU Decomposition (Factorization)
Cases where A does not
change but b changes
1
(1)
a 21
(1)
a11
(1)
a 31
(1)
a11
L
.
.
.
(1)
a N1
(1)
a11
a (322 )
a (222 )
a (NN,N1)1
a (NN11, N) 1
.
.
Multiplying factors are multiplied with the pivot row and added
with the other rows we take ve of multiplying factors
28
LU Decomp (contd.)
We can show
A = L U;
Ly=b
A x = L (U x) = b
SOLVE BY FORWARD /DOWNWARD SWEEP
Remember this b is original b, not the modified b as in case of

Gauss Elimination
Ux=y
1
(1)
a 21
(1)
a11
(1)
a 31
(1)
a11
L
.
.
.
(1)
a N1
(1)
a11
THEN SOLVE BY REVERSE SWEEP

0
a (322 )
a (222 )
a (NN,N1)1
a (NN11, N) 1
.
.
29
LU Decomp Example
Example 1.8
Ly=b
Ux=y
Solution: [-11 5 4]
30
LU Decomp Example
7 1 2 x1 15
1 5 1 x 14
2
2 3 9 x 3 35
1
2 x1
15
1
1
1
1
1 ( )7 5 ( )1 1 ( )2 x 2 14 ( )15
7
7
7
7

2 ( 2 )7 3 ( 2 )1 9 ( 2 )2 x 3 35 ( 2 )15
7
7
7
7
By R2 (1/7) R1 &
R3 (2/7) R1
7 1
34
0
0 19
M21 = (1/7)
M31 = (2/7)
2 x1 15
5 83
x 2
7
7
59 x 3 215
7
7
31
LU Decomp Example
7 1
34
0
0 19
2 x1 15
5 83
x 2
7
7
59 x 3 215
7
7
By R3 (19/34) R2
7
0
1
34
7
0
U 0
M21 = (1/7)
M31 = (2/7)
M32 = (19/34)
2
15
x
1
5
83
x 2
7
7
59 19 5 x 3 215 19 83

7 34 7
7 34 7
32
1
34
7
0
2
5
7
1911
238
0
0
1
L 1 / 7
1
0
2 / 7 19 / 34 1
LU Decomp Example
1
34
7
0
2 x1 15
5 83
x 2
7
7
1911 x 3 5733
238
238
By GE, x1 = 1, x2 = 2, x3 = 3
Ux=y
Ly=b
0
0 y1 15
1
Ly 1 / 7
1
0 y 2 14
2 / 7 19 / 34 1 y 3 35
By Forward Sweep, y1 =
15, y2 = 83/7, y3 = 5733/238
Ux 0
1
34
7
0
2 x1 15
5 83
x 2
7
7
1911 x 3 5733
238
238
By Backward Sweep, x1 =
1, x2 = 2, x3 = 3
33
LU Different b
0
0 y1 45
1
Ly 1 / 7
1
0 y 2 35
2 / 7 19 / 34 1 y 3 77
By Forward Sweep, y1 =
45, y2 = 200/7, y3 =
11466/238
Ux 0
1
34
7
0
2 x1 45
5 200
x 2
7
7
1911 x 3 11466
238
238
By Backward Sweep, x1 =
4, x2 = 5, x3 = 6
34
LU Factorization
7 1 2
L11
A 1 5 1 LU L 21
2 3 9
L 31
0
L 22
L 32
0 U11
0 0
L 33 0
U12
U 22
0
U13
U 23
U 33
Doolittles Method
L11 L 22 L 33 1
L11U11 7 U11 7; L 31U11 2; L 31
Row Column
multiplication:
9 equations,
12 unknowns
3 to be assumed
2
7
L11U12 1 U12 1; L 31U12 L 32 U 22 3 L 32
19
34
L11U13 2 U13 2; L 31U13 L 32 U 23 L 33 U 33 9 U 33

L 21U11 1 L 21
1
;
7
34
7
5
7 35
L 21U12 L 22 U 22 5 U 22
L 21U13 L 22 U 23 1 U 23
1911
238
0
0 7
1
2
1
A 1 / 7
1
0 0 34 / 7
5 / 7
2 / 7 19 / 34 1 0
0
1911 / 238
U same as GE
LU Factorization (contd.)
7 1 2
L11
A 1 5 1 LU L 21
2 3 9
L 31
0
L 22
L 32
0 U11
0 0
L 33 0
U12
U 22
0
U13
U 23
U 33
Row Column
Multiplication:
9 equations,
12 unknowns
3 to be assumed
Crouts Method
U11 U 22 U 33 1
L11U11 7 L11 7; L 31U11 2; L 31 2
1
19
; L 31U12 L 32 U 22 3 L 32
7
7
2
1911
L11U13 2 U13 ; L 31U13 L 32 U 23 L 33 U 33 9 L 33
7
238
L 21U11 1 L 21 1;
L11U12 1 U12
L 21U12 L 22 U 22 5 L 22
L 21U13 L 22 U 23 1 U 23
0
0
7
1 1 / 7 2 / 7
0 1 5 / 34
A 1 34 / 7
0
2 19 / 7 1911 / 238 0 0
1
34
7
5
34
36
LU Factorization (contd.)
Row Column multiplication: 9 equations, 12 unknowns 3 to be assumed
2 1 0
U11
A 1 2 1 LU U12
0 1 2
U13
0
U 22
U 23
0 U11
0 0
U 33 0
U12
U 22
0
U13
U 23 L U T
U 33
Choleskys algorithm for symmetric positive definite A:

Take only the +ve roots
Twice as fast as GE
A 1 / 2
0
0 2
3/ 2
0 0
2 / 3 2 / 3 0
0
37
1/ 2
3/ 2
0
2 / 3
2 / 3
0
LU Decomp (contd.)
Benefit of LU Decomposition:
Solving Ax = b when only b is changing as in Finite difference
technique of ODE-BVP
FOR ONE A AND M bs:
# OF MULTIPLICATIONS/ DIVISIONS =
Substantially lower than GE being solved repetitively
WORKS IF A IS DIAGONALLY DOMINANT
||
||
=;
OTHER LU DECOMPS: CHOLESKY PROB. 1.10 &

DOOLITTLE/CROUT PROB. 1.9
38
Gauss Jordon
A, b & I (unit diagonal matrix) are written together
ELIMINATE TERMS IN A, BOTH BELOW AND ABOVE THE

DIAGONAL to convert it into I in turn, I is converted into A-1 & b
is converted into solution i.e. the values of x
Twice as time consuming as GE
39
GJ Example
Example 1.9
R3/-1
(1/2)R3+R2, (-3/2)R3+R1
R2-R1, R3-2R1
R2/2
R2+R1
40
Iterative Techniques
GAUSS JACOBI / GAUSS SIEDEL (G S) / SOR (SUCCESSIVE OVER
RELAXATION)
A x = b: a11x1 + a12x2 + a13x3 + --- + a1NxN = b1

x
( k 1)
1
b1 a12 x (2k ) a13 x (3k ) ......... a1N x (Nk )
a11
( k 1)
2
b 2 a 21 x
( k 1)
1
a 23 x
(k)
3
GUESS x1(1), x2(1), , xN(1)
a 24 ......... a 1N x
(k)
N
For G-Jacobi, k
a 22
For G-Siedel,
k+1
x N( k 1)
bN a N 1 x1( k 1) a N 2 x2( k 1) ......... a N N 1 x N( k11)

a NN
41
Iterative Techniques (contd.)
i.e., IF A IS DIAGONALLY DOMINANT (DD), WILL CONVERGE (IF A IS NOT

DD, MAY OR MAY NOT CONVERGE) sufficient, not necessary condition
# MULTIPLICATIONS + DIVISIONS = MN2 (M = # OF ITERATIONS)
CONVERGENCE CRITERION:
MOST COMMON:
TOL: USER SPECIFIED
42
GS Example
Example 1.10
43
Iterative Techniques (contd.)

SCHEMATICALLY
a
0
X
xi(k)
a/2
xi,GS(k+1) xi,SOR(k+1)
(k )
(k 1)
X
; i 1, 2,...., N ( ALL)
i
i, GS
1)
1)
x(i ,kSOR
x(i k ) w x(i ,kGS
xi(k ) ; i 1, 2,...., N
w > 1 over relaxation,

w < 1 under relaxation,
w = 1 same as GS;
w typically in between 1 & 2, but no rule
Purpose is to speed up the process,
hence we generally go for w > 1
Solved Example: 1.11 Read

Reference: Press, Teukolsky, Vettering & Flannery - NUMERICAL RECIPES
Assignment: 1, 2, 3, 4, 6, 8, 10
Lab Assignment: Write a general program for G-Jacobi, G-Siedel, SOR to solve 13,
15, 18 (Keep a copy of your programs we will use them later in the course)
44
SOR Example
Example 1.11
[1 2 1]
45
Comparison Iterative schemes
GJ
GS
SOR
1 x 2k 1
x1
2
k 1
k 1
2
x
1
3
x 2k
2
x 3k 4 x 2k 1
1 x 2k 1
x1
2
2 x1k x 3k 1
k
x2
2
x 3k 4 x 2k
k 1
1
x
2
x1k,GS
2
k
k 1
2
x
1,GS
3
x 2k,GS
x 3k,GS
4 x 2k,GS
1.5x
1.5x
x1k x1k 1 1.5 x1k,GS x1k 1

x 2k x 2k 1
x 3k x 3k 1
46
k
2 ,GS
x 2k 1
k
3,GS
x 3k 1
MATLAB Exercise
Gauss Elimination
function x=gauss(a,b)
% A = [2 1 0; 1 2 1; 0 1 1]; B = [1 2 4]; p = gauss(A,B);
% a - (n x n) matrix; b - column vector of length n
Steps:
% Step 0: get number of rows in matrix a, get length of b & send
message in case they are not same
% Step 1: form (n,n+1) augmented matrix
% Step 2: Start from row 1 and do for all rows that Pivot row
divided by pivot element
% Step 3: For other rows convert all elements below pivot into 0
% Step 4: begin back substitution
MATLAB Exercise (contd.)

Gauss Elimination
function x=gauss(a,b)
m=size(a,1); % get number of rows in matrix a
n=length(b); % get length of b
if (m ~= n)
error('a and b do not have the same number of rows')
end
% Step 1: form (n,n+1) augmented matrix
a(:,n+1)=b;

for i=1:n
%Step 2: Start from row 1 and do for all rows
% Pivot row divided by pivot element
a(i, i:n+1) = a(i, i:n+1) / a(i, i);
%Step 3: For other rows convert all elements below pivot into 0
for j=i+1:n
a(j, i:n+1) = a(j, i:n+1) - a(j, i)*a(i, i:n+1);
end
end

%Step 4: begin back substitution
for j=n-1:-1:1
a(j,n+1) = a(j,n+1) - a(j,j+1:n)*a(j+1:n,n+1);
end
%return solution
x=a(:,n+1)

i = 1 a(1,1:4)=a(1, 1:4)/a(1,1);
j = 2 a(2, 1:4) = a(2, 1:4)- a(2, 1)*a(1,1:4);
j = 3 a(3, 1:4) = a(3, 1:4)- a(3, 1)*a(1,1:4);
i = 2 a(2,2:4)=a(2, 2:4)/a(2,2);
for i=1:n
a(i, i:n+1)=a(i, i:n+1)/a(i, i);
for j=i+1:n
a(j, i:n+1) = a(j, i:n+1)
- a(j, i)*a(i, i:n+1);
end
end
j = 3 a(3, 2:4) = a(3, 2:4)- a(3, 2)*a(2,2:4);

i = 3 a(3,3:4)=a(3, 3:4)/a(3,3);
j = 2 a(2,4) = a(2,4) a(2,3:3)*a(3:3,4);
for j=n-1:-1:1
a(j,n+1) = a(j,n+1)
a(j,j+1:n)*a(j+1:n,n+1);
end
j = 1 a(1,4) = a(1,4) a(1,2:3)*a(2:3,4);

i = 1 a(1,1:4)=a(1, 1:4)/a(1,1);
j = 2 a(2, 1:4) = a(2, 1:4)- a(2, 1)*a(1,1:4);
j = 3 a(3, 1:4) = a(3, 1:4)- a(3, 1)*a(1,1:4);
i = 2 a(2,2:4)=a(2, 2:4)/a(2,2);
j = 3 a(3, 2:4) = a(3, 2:4)- a(3, 2)*a(2,2:4);
i = 3 a(3,3:4)=a(3, 3:4)/a(3,3);
2 1 0 1
1 2 1 2
0 1 1 4
1 0 . 5 0 0 .5
0 1 . 5 1 1 .5
0 1 1 4
0
0 .5
1 0 .5
0 1 0.67 1
0 0 0.33 3
0
0 .5
1 0 .5
0 1 0.67 1
0 0
1
9

j = 2 a(2,4) = a(2,4) a(2,3:3)*a(3:3,4);
j = 1 a(1,4) = a(1,4) a(1,2:3)*a(2:3,4);
x3 = 9
x2 + 0.67x3 = 1
x1+ 0.5x2 + 0x3 = 0.5
x3 = 9 = a(3,4)
x2 + 0.67 a(3,4) = 1
x2 = 1 - 0.67 a(3,4) = a(2,4)
x1+ 0.5 a(2,4) + 0 a(3,4) = 0.5
x1 = 0.5 - 0.5 a(2,4) - 0 a(3,4) = a(1,4)
0
0 .5
1 0 .5
0 1 0.67 1
0 0
1
9
0
0 .5
1 0 .5
0 1 0.67 5
0 0
1
9
0
3
1 0.5
0 1 0.67 5
0 0
1
9
G E Example using MATLAB
2 1 0 1
1 2 1 2
0 1 1 4
1 0 . 5 0 0 . 5
0 1 .5 1 1 .5
0 1 1 4
0
0 .5
1 0.5
0 1 0.67 1
0 0 0.33 3
0
0 .5
1 0.5
0 1 0.67 1
0 0
1
9
0
3
0
0.5 1 0.5
1 0.5
0 1 0.67 5 0 1 0.67 5

0 0
1
9
1
9 0 0
54

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CH 3073: Numerical Methods

CH 5500: Numerical Methods I

Instructor: Kishalay Mitra

Linear Algebraic Equations (5 lecs)

Pre-requisites of the Course

BE / BTech in Chemical Engg / Chem Tech

Textbook for the Course

S. K. Gupta, Numerical Methods for Engineers, New Age Intl.

Indian Institute of Technology Hyderabad

Linear Algebraic Equations

Nonlinear Algebraic Equations

Indian Institute of Technology Hyderabad

Indian Institute of Technology Hyderabad

Mid Semester Exam

End Semester Exam

Class Tests, Computer

Attendance & Class

Indian Institute of Technology Hyderabad

Finding sum of a digit and reverse the order

Tabulate values of below function for integer values of k = 0 to 15

Solution of a quadratic equation

Indian Institute of Technology Hyderabad

GET FAMILIAR WITH C, FORTRAN,

GET FAMILIAR WITH MATLAB, MS

Indian Institute of Technology Hyderabad

WHEN DO WE HAVE SOLUTIONS

GAUSS SEIDEL, SOR, ETC.

Indian Institute of Technology Hyderabad

a11x1 + a12 x2 + ..+ a1N xN = b1

Indian Institute of Technology Hyderabad

Unique solution exists in case det(A) is nonsingular

First case: Identical equations

Indian Institute of Technology Hyderabad

One highest possible size non zero determinant

Indian Institute of Technology Hyderabad

RANK A = RANK (Aug A)

FOR M = N (FOR CHEMICAL ENGG. PROBLEMS)

Assume N-r variables

Indian Institute of Technology Hyderabad

Indian Institute of Technology Hyderabad

NON-TRIVIAL SOLUTIONS IF r(A) < N

Indian Institute of Technology Hyderabad

Homogeneous Case (contd.)

Indian Institute of Technology Hyderabad

SOLUTIONS ONLY IF RANK =

IF RANK = , UNIQUE SOLUTION

IF RANK < , MANY SOLUTIONS

TRIVIAL SOLUTION x = 0, IF RANK =

NONTRIVIAL SOLUTION, IF RANK <

Indian Institute of Technology Hyderabad

Cramers Rule: Excessive Calculations (N2 N!)

Indian Institute of Technology Hyderabad

Indian Institute of Technology Hyderabad

Cramers Rule: Excessive

Indian Institute of Technology Hyderabad

Indian Institute of Technology Hyderabad

Product of diagonal terms gives you the value of determinant

Indian Institute of Technology Hyderabad

Indian Institute of Technology Hyderabad

Which one to prefer row or column shift? Which row / column to

Indian Institute of Technology Hyderabad

Indian Institute of Technology Hyderabad