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Numerical Analysis Chapter 1

The document outlines key concepts in numerical analysis including calculus, round-off errors, and algorithms. It discusses limits, continuity, differentiation and integration. It also defines absolute and relative errors, significant digits, and rates of convergence for numerical methods. Theorems like Rolle's theorem, the mean value theorem, and Taylor's theorem are also summarized.

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Rathea UTH
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51 views15 pages

Numerical Analysis Chapter 1

The document outlines key concepts in numerical analysis including calculus, round-off errors, and algorithms. It discusses limits, continuity, differentiation and integration. It also defines absolute and relative errors, significant digits, and rates of convergence for numerical methods. Theorems like Rolle's theorem, the mean value theorem, and Taylor's theorem are also summarized.

Uploaded by

Rathea UTH
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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1.

Greeting

Numerical Analysis
Mathematical Preliminaries

OL Say

[email protected]

Institute of Technology of Cambodia

February 19, 2023

OL Say (ITC) Numerical Analysis February 19, 2023 1 / 15


2. Outline

1 Greeting

2 Outline

3 Calculus

4 Round-off Errors

5 Algorithms and Convergence

OL Say (ITC) Numerical Analysis February 19, 2023 2 / 15


3. Calculus

Definition 1 (Limit)

A function f defined on a set X of real numbers has the limit L at x0 ,


written

lim f (x) = L,
x→x0

if, given any real number 𝜀 > 0, there exists a real number 𝛿 > 0
such that

|f (x) − L| < 𝜀, whenever x ∈ X and 0 < |x − x0 | < 𝛿.

OL Say (ITC) Numerical Analysis February 19, 2023 3 / 15


3. Calculus

Definition 2 (Continuity)

Let f be a function defined on a set X of real numbers and x0 ∈ X.


Then f is continuous at x0 if

lim f (x) = f (x0 ).


x→x0

The function f is continuous on the set X if it is continuous at each


number in X.

OL Say (ITC) Numerical Analysis February 19, 2023 4 / 15


3. Calculus

Definition 3 (Limit of Sequence)

Let {xn }∞ n=1 be an infinite


sequence of real numbers. This sequence
has the limit x (converges to x) if, for any 𝜀 > 0 there exists a
positive integer N(𝜀) such that |xn − x| < 𝜀, whenever n > N(𝜀). The
notation

lim xn , or xn → x as n → ∞
n→∞

means that the sequence {xn }∞


n=1 converges to x.

OL Say (ITC) Numerical Analysis February 19, 2023 5 / 15


3. Calculus

Theorem 4

If f is a function defined on a set X of real numbers and x0 ∈ X, then


the following statements are equivalent:
1 f is continuous at x0 ;
2 If {xn }∞
n=1 is any sequence in X converging to x0 , then
lim f (xn ) = f (x0 ).
n→∞

OL Say (ITC) Numerical Analysis February 19, 2023 6 / 15


3. Calculus

Definition 5 (Differentiability)

Let f be afunction defined in an open interval containing x0 .


Thefunctionf is differentiable at x0 if

f (x) − f (x0 )
f ′(x0 ) = lim
x→x0 x − x0

exists. The number f ′(x0 ) is called the derivative of f at x0 . A function


that has a derivative at each number in a set X is differentiable on X.

OL Say (ITC) Numerical Analysis February 19, 2023 7 / 15


3. Calculus

Theorem 6

If the function f is differentiable at x0 , then f is continuous at x0 .

Theorem 7 (Rolle’s Theorem)

Suppose f ∈ C[a, b] and f is differentiable on (a, b). If f (a) = f (b),


then a number c in (a, b) exists with f ′(c) = 0.

OL Say (ITC) Numerical Analysis February 19, 2023 8 / 15


3. Calculus

Theorem 8 (Mean Value Theorem)

If f ∈ C[a, b] and f is differentiable on (a, b), then a number c in (a, b)


exists with
f (b) − f (a)
f ′(c) = .
b−a

Theorem 9 (Extreme Value Theorem)

If f ∈ C[a, b], then c1 , c2 ∈ [a, b] exist with f (c1 ) ≤ f (x) ≤ f (c2 ), for all
x ∈ [a, b]. In addition, if f is differentiable on (a, b), then the numbers
c1 and c2 occur either at the endpoints of [a, b] or where f ′ is zero.

OL Say (ITC) Numerical Analysis February 19, 2023 9 / 15


3. Calculus

Theorem 10 (Generalized Rolle’s Theorem)

Suppose f ∈ C[a, b] is n times differentiable on (a, b). If f (x) = 0 at


the n + 1 distinct numbers a ≤ x0 < x1 < · · · < xn ≤ b, then a number
c in (x0 , xn ), and hence in (a, b), exists with f (n) (c) = 0.

Theorem 11 (Intermediate Value Theorem)

If f ∈ C[a, b] and K is any number between f (a) and f (b), then there
exists a number c in (a, b) for which f (c) = K.

OL Say (ITC) Numerical Analysis February 19, 2023 10 / 15


3. Calculus

Definition 12 (Integration)

The Riemann integral of the function f on the interval [a, b] is the


following limit, provided it exists:
∫ b n
Õ
f (x)dx = lim f (zi )∆xi ,
a max ∆xi →0
i=1

where the numbers x0 , x1 , ... , xn satisfy a = x0 ≤ x1 ≤ · · · ≤ xn = b


where ∆xi = xi − xi−1 , for each i = 1, 2, ... , n, and zi is arbitrarily
chosen in the interval [xi−1 , xi ].

OL Say (ITC) Numerical Analysis February 19, 2023 11 / 15


3. Calculus

Theorem 13 (Taylor’s Theorem)

Suppose f ∈ Cn [a, b], that f (n+1) exists on [a, b], and x0 ∈ [a, b]. For
every x ∈ [a, b], there exists a number 𝜉(x) between x0 and x with

f (x) = Pn (x) + Rn (x),

where

f ′′(x0 ) f (n) (x0 )


Pn (x) = f (x0 ) + f ′(x0 )(x − x0 ) + (x − x0 )2 + · · · + (x − x0 )n
2! n!
n
Õ f (k) (x0 )
= (x − x0 )k
k!
k=0

f (n+1) (𝜉(x))
and Rn (x) = (x − x0 )n+1
(n + 1)!

OL Say (ITC) Numerical Analysis February 19, 2023 12 / 15


4. Round-off Errors

Definition 14 (Absolute and Relative Errors)


∗
Suppose that p is an approximation to p. The absolute error is
|p − p∗ |
|p − p∗ |, and the relative error is , provided that p ≠ 0.
|p|

Definition 15 (Significant Digits)


∗
The number p is said to approximate p to t significant digits (or
figures) if t is the largest nonnegative integer for which
|p − p∗ |
≤ 5 × 10−t .
|p|

OL Say (ITC) Numerical Analysis February 19, 2023 13 / 15


5. Algorithms and Convergence

Definition 16 (Rates of Convergence)

Suppose {𝛽 n }∞ n=1 is a sequence known to converge to zero, and


∞
{𝛼n }n=1 converges to a number 𝛼. If a positive constant K exists with

|𝛼n − 𝛼| ≤ K|𝛽 n |, for large n,

then we say that {𝛼n }∞n=1 converges to 𝛼 with rate, or order, of


convergence O(𝛽 n ). (This expression is read “big oh of 𝛽 n ”.) It is
indicated by writing 𝛼 n = 𝛼 + O(𝛽n ).

OL Say (ITC) Numerical Analysis February 19, 2023 14 / 15


5. Algorithms and Convergence

Definition 17

Suppose that lim G(h) = 0 and lim F(h) = L. If a positive constant K


h→0 h→0
exists with

|F(h) − L| ≤ K|G(h)|, for sufficiently small h,

then we write F(h) = L + O(G(h)).

OL Say (ITC) Numerical Analysis February 19, 2023 15 / 15

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