Upload
candace-daniels
View
217
Download
0
Embed Size (px)
Citation preview
Asymptotic error expansion
Example 1: Numerical differentiation
– Truncation error via Taylor expansion
)(:2
)()()(': hI
h
hxfhxfxfI
2 3 4(2) (3) (4)
2 4(3) (5)
2 4 62 4 6
2 4 62 4 6
( ) ( ) '( ) ( ) ( ) ( )2 3! 4!
( ) ( )( ) : '( )
2
( ) ( )3! 5!
( )
h h hf x h f x h f x f x f x f x
f x h f x hE h f x
h
h hf x f x
A h A h A h
I h I A h A h A h
Asymptotic error expansion
Example 2: Numerical integration via midpoint rule
– Truncation error via Taylor expansion
66
44
22)( hAhAhAIhI
)(:)()()()()(: 2/12/122/112/1 hIxfxfxfxfhdxxfI N
b
a
Asymptotic error expansion
In general, we assume
In addition, we assume the asymptotic error expansion
– Convergence – Order of convergence: p1
Estimate order of convergence numerically– By log-log plot– By quotation
0 when0)( satisfying )( hhIIhII
321321 0 with)( 321 ppphAhAhAIhI ppp
Richardson extrapolation
Suppose we have the asymptotic error expansion
With two different meshes: h:=h1 < h2 321321 0 with)( 321 ppphAhAhAIhI ppp
1:
)()()(I
)(
)(
1
2131211
1
213
1
212
1
211
2322212
1312111
332211
332211
321
321
h
hcchAchAchAI
h
hhA
h
hhA
h
hhA
hAhAhAIhI
hAhAhAIhI
pppppp
pppppp
ppp
ppp
Richardson extrapolation
Eliminating the leading order error term
Equivalently, we have
Better approximation, with order of accuracy: p2
3
1
312
1
21
1
1
131221
1)1(
111
)()(:)( p
p
ppp
p
pp
p
p
hAc
cchA
c
ccI
c
hIhIchI
32
1
1
1)1(
31)1(
221
1)1(
1
)()(:)( pp
p
p
hAhAIc
hIhIchI
Richardson extrapolation
Specifically, if we choose
Similarly, we have
22 12 chh
32
1
1
321
)1(3
)1(2
)1(
321321
12
)2()(2:)(
0 with)(
ppp
p
ppp
hAhAIhIhI
hI
ppphAhAhAIhI
3
2
2
32
1
1
321
)2(3
)1()1()2(
)1(3
)1(2
)1(
321321
12
)2()(2:)(
12
)2()(2:)(
0 with)(
pp
p
ppp
p
ppp
hAIhIhI
hI
hAhAIhIhI
hI
ppphAhAhAIhI
Romberg algorithm
Choose a sequence of mesh
Romberg algorithm based on Richardson extrapolation
2/,,2/,2/,2/, 12312010 nn hhhhhhhhh
)()()()(rate econvergenc
)()()()(
)()()()(
)()()(
)()(
)(
4321
)3()2()1(
3)3(
3)2(
3)1(
33
2)2(
2)1(
22
1)1(
11
00
ppppnnnnn
hOhOhOhO
hIhIhIhIh
hIhIhIhIh
hIhIhIh
hIhIh
hIh
An example
Composite trapezoidal rule
– Asymptotic error expansion
– Richardson extrapolation
)(:)(2
1)()()()(
2
1)( 1210 hIxfxfxfxfxfhdxxfI NN
b
a
)( 63
42
21 hAhAhAIhI
6)2(34
)1()1(4)2(
6)1(3
4)1(22
2)1(
63
42
21
12
)2()(2:)(
12
)2()(2:)(
)(
hAIhIhI
hI
hAhAIhIhI
hI
hAhAhAIhI
An example
Romberg algorithm
Exponential convergence rate
)()()()(rate econvergenc
)()()()(
)()()()(
)()()(
)()(
)(
8642
)3()2()1(
3)3(
3)2(
3)1(
33
2)2(
2)1(
22
1)1(
11
00
hOhOhOhO
hIhIhIhIh
hIhIhIhIh
hIhIhIh
hIhIh
hIh
nnnnn
IhIhIhIhI nn )(,),(),(),( )(
2)2(
1)1(
0
Numerical result
Compute:Result by Romberg algorithm
)(2)sin(0
hIdxxI
00000000.200000000.200000000.200000000.200000103.299839336.132/
99999999.100000001.299999975.100001659.299357034.116/
00000555.299998313.100026917.297423160.18/
99857073.100455976.289611890.14/
09439511.257079633.12/
0
5
4
3
2
1
0
h
h
h
h
h
h
Order of convergence
00000000.000000000.000000000.000000000.000000103.000160664.032/
00000000.000000001.000000025.000001659.000642966.016/
00000555.000001687.000026917.002576840.08/
00142927.000455976.010388110.04/
09439511.042920367.02/
2
5
4
3
2
1
0
h
h
h
h
h
h
)( 2hO )( 4hO )( 8hO)( 6hO
Exercises
Suppose the asymptotic error expansion
– Design the Richardson extrapolation with
– Design the Richardson extrapolation with
– Design the Romberg algorithm with
4/,,4/,4/,4/, 12312010 nn hhhhhhhhh
3/,,3/,3/,3/, 12312010 nn hhhhhhhhh
1 with/,,/,/,/, 12312010 cchhchhchhchhh nn
321321 0 with)( 321 ppphAhAhAIhI ppp
Stability and conditioning
Example 1. Linear system
– Numerical solution with 3 digits
– Perturbation errors: small & stable
3,123/1
96
yxyx
yx
006.3~,999.0~2~333.0~
9~~6
yxyx
yx
006.0~,001.0~ yyxx
Stability and conditioning
Example 2. Linear system
– Numerical solution with 3 digits
– Perturbation errors: extremely large & unstable!!!!!
3,123/1
001.6001.3
yxyx
yx
1~,333.2~2~333.0~001.6~~001.3
yxyx
yx
4~,333.1~ yyxx
Stability and conditioning
In many cases, inaccuracies in computed results are much larger than the round-off errors and/or truncation errors introduced in the computationThe reason may be that the errors were ``amplified’’ by the algorithm.We say that a problem is stable if the solution depends continuously on the input parameters– If ``small’’ changes are made to the input parameters, then the resulting
changes in the solution will also be ``small– Mathematically,
bCxx ~
Stability and conditioning
If a problem is not stable, then it is said to be unstable
Condition number of a problem: – A measure of the sensitivity of its solution to small
perturbation of the input parameters– The ratio of the relative change in the solution to the relative
change in the input parameters– It is significant in many problems because the round-off errors
in the input to a problem may lead to large changes in the solution
Stability and conditioning
– Small: well-conditioned problem– Large: ill-conditioned problem– It is a property of the problem to be solved itself, but not of
the numerical algorithm employed to solve it!!!– It depends on the number of significant digits used in the
computation• Single precision • Double precision ---- adapted in most current scientific computations • 4 times precision• Infinite precision
Perturbation analysis
Solving the linear system
Vector and matrix norm
Perturbation in the right hand side
invertible is A suppose 1 bAxbxA
nnnnij
x
nTnn
aAx
xAAA
xxxxxxxxx
n
)(,sup:
),,,(,:
2
2
02
2122
2212
)(&
11
1
b
bAA
xA
bAA
x
bA
x
xbxA
bbxxAbxAxxxbbb
Perturbation analysis
– The largest ratio of the relative change
Condition number
– Two examples
AAb
b
x
x 1 /
1/ cond(A):k(A) minmax1 AA
33351)(cond,0849.38)(cond
3/11
1001.3
3/11
16
BA
BA
Some comments on condition number
– k(A) is great or equal than 1!! It depends on the norm.– A is well-conditioned if k(A)=O(1)– A is ill-conditioned if k(A)>>1– The linear system A x= b is well-conditioned (ill-conditioned) if
A is well-conditioned (ill-conditioned)– For well-conditioned linear systems, the relative change in the
solution is small if the relative change in the right-hand side is small
– For ill-conditioned linear systems, the relative change is the sloution can be very large even the right hand side is small!!
A simple example
Solve
– Condition number: ill-conditioned !!!!
– Perturb the right hand side
– Perturbation in the error
TxbxA
AbA
)11(
1000999
999998
1997
1999
998999
9991000 1
6211 10996.31999)(1999
AAAkAA
99.19
97.19
99.18
97.20
01.1997
99.1998
01.0
01.0xxxbbb
99.191999
01.01999)(99.19 2
b
bAk
x
x
Another example
Consider
– Plot the condition number of A for different degree– Solve
3/7
3/7
3/5
3/7
3/1
3/1
1
3/1
1000
0100
0210
0021
xAbxA
yxbyA
error plot the andy numericall
Condition number of A
Error of the solution
Some observations
A is not singular since det(A)=1 !! Condition number increase exponentially When n=73, the condition number exceeds the double precision!!We solve the linear system by back substitution, thus no truncation. So the errors are fully due to the round-off errors!!The error is directly proportional to the condition numberRound-off errors are important for large sparse matrix!
Perturbation on b
Result
Proof
AAAkb
bk(A)
x
x
bbxxAbxAxxxbbb
1)( with
)(&
11
1
b
bAA
xA
bAA
x
bA
x
x
Perturbation on A
Result
Proof: see details in class– Lemma 1.
– Lemma 2
)(1
)(
)(
))((&
1
A
AAk
A
AAk
x
xxAxAAx
bxxAAbxA
xxxAAA
invertible is them,1&matrix squarea is If XIX X
invertible is them,)(
1&matrix invertible squarea is If AA
AkA
A A
Perturbation on A & b
Result
Proof: see details in class
)(1
)(
)]([
))((&
&
1
A
A
b
b
A
AAk
Ak
x
x
xAxAbAx
bbxxAAbxA
xxxbbbAAA
Efficient computation: Fast algorithms
Example 1: compute power – Algorithm 1:
• Computational cost: 254 times multiplication
255x
0output
end;
00
2541 do
;0
s
*xss
,i
xs
xxxx 255
Efficient computation: Fast algorithms
– Algorithm 2:
• Computational cost: 14 times multiplication
0output
end;
100
;1*11
71 do
;1;0
s
*sss
sss
,i
xsxs
128643216842255 xxxxxxxxx
Efficient computation
Example 2: Evaluate polynomial
– Direction sum: cost is n(n+1)/2– Fast algorithm: O(n)!!!
012
21
1)( axaxaxaxaxP nn
nnn
)))((()( 1210 xaaxaxaxaxP nnn
sum
asumxsum
,ni
asum
i
n
output
end;
1,01 do
Review of numerical integration and differentiation
Numerical integration– Basic quadratures
• Midpoint rule• Trapezoidal rule• Simpson’s rule
– Composite techniques– Romberg algorithm – Richardson extrapolation– Gaussian quadratures --- high order
Numerical differentiation– Finite difference & stencils
Review of function approximation & interpolation
Function interpolation– Lagrange polynomial interpolation– Hermite polynomial interpolation– Cubic spine interpolation– Piecewise polynomial interpolation
Function approximation– Orthogonal functions approximation– Least square approximation