Numerical Analysis for Industrial Engineers IE 404

By Ouz Akaln

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Session 1-2005

Introduction

Scheduled for 14 weeks each week 2 hrs lecture and 2 hrs practical sessions assessment by

One mid-term exam Lab and homeworks Final exam

%20 %30 %50

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Suggested Books

Numerical Analysis, R. Burden, J.D. Faires Applied Numerical Analysis, C.F. Gerald, P.O. Wheatley Introduction to Numerical Analysis, F.B. Hildebrand Numerical Methods for Computer Science, Engineering and Mathematics, J.H. Mathews Numerical Analysis, D. Kincaid, W. Cheney

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Objectives

the advantages and disadvantages of using Numerical Methods Numerical Calculations error sources, representing and avoiding them solution of nonlinear equations using well known methods approximating functions by special methods Numerical differentiation techniques Numerical integration techniques Ordinary differential equations solution techniques

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Course Schedule
Wk 1 Introduction to mathematical preliminaries Review of Calculus, Error analysis, stable & unstable computations, Numerical Softwares Wk 2 Solution of Equations in One variable Bisection method Fixed point and functional iteration Wk 3 Newtons method and Secant method Wk 4 Interpolation and Polynomial Approximation Wk 5 Divided differences, Lagrange Polynomial

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Wk 6 Cubic Spline interpolation Wk 7/8 Least-squares method, Parametric Curves Wk 9 Mid-term exam (16 April 2009) Wk10 Numerical integration Wk 11 Numerical differentiation Wk 12 Ordinary Differential Equations Taylor series method Wk 13 Runge-Kutta Methods Wk 14 Multi-step methods

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Session 1
Review of Calculus and Mathematical Preliminaries

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Introduction

List of certain analytical results to which reference will be made we deal with real and continuous functions in the range considered and also they possess as many continuous derivatives as required
Definition of limit : let f be a function defined on a set X of real numbers, f is said to have the limit L at x0 and written
x x0

lim f ( x) = L

If, given any real number > 0, there exists a real number > 0 such that | f(x) L | < and 0 < | x x0| <
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Definition of Continuity : function f is said to be continuous at x0 if

x x0

lim f ( x) = f ( x0 )
be an infinite sequence of

{xn }=1 Definition of convergence : Let n

real or complex numbers. The sequence is said to converge to a number x, if for any > 0, there exists a positive integer N() such that n > N() implies | x0 x |< The notation

lim xn = x
x

means that the sequence converges to x

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Definition of differentiability : if f is a function defined in an open interval containing x0, f is said to be differentiable at x0, if

f ( x) f ( x0 ) lim x x0 x x0
exists. When this limit exists it is denoted f (x0) and is called the derivative of f at x0 A function that has a derivative at each number in a set is said to be differentiable on X.

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Mathematical Preliminaries
THEOREM 1 : if f(x) is continuous for a x b and f(a) and f(b) are of opposite sign then f(c)=0 for at least one number c such that a<c <b For example f(x) = x3 - x 1 has a solution in the interval (1,2) f(1) = -1 and f(2) = 5 f(a) and f(b) are of opposite sign then according to above theorem there is a number c in (1,2) with c3 - c 1 = 0
NOTE : Determination of real roots of algebraic and transcendental equations is among the topics included in the numerical analysis. A poynomial equation xn + a1 xn-1 +...+an = 0 is called an algebraic equation. On the other hand tan x x = 0 or ex + 2 cos x = 0 are transcendental equations

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THEOREM 2 : if f(x) is continuous for a x b, and if 1 and 2 are positive constants then 1 f(a) + 2 f(b) = ( 1 + 2 ) f(c) for at least one number c such that a c b

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THEOREM 3 (Rolle`s Theorem): if f (x) is continuous and differentiable for a x b and f `(x) is continuous for a < x < b and f(a) = f(b) = 0 then f `(c) = 0 for at least one number c such that a < c < b

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THEOREM 4 ( mean-value theorem ) : if f (x) is continuous and differentiable for a x b and f `(x) is continuous for a < x < b then f(a) - f(b) = ( b a ) f `( c) for at least one number c such that a < c < b

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If it is assumed that integrals involved exist and a < b

THEOREM 5 :
if | f (x)| M in (a,b), where M is constant then

f ( x)dx f ( x) dx M (b a )
a

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THEOREM 6 (Weighted mean-value theorem for integrals):

if f (x) is continuous for a x b then

f ( x)dx = (b a) f (c)

for at least one c such that a < c < b ( first law of the mean )

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If it is assumed that integrals involved exist and a < b THEOREM 7

if m f (x) M and g(x) is non-negative for a x b in (a,b) then

m g ( x ) dx f ( x ) g ( x ) dx M g ( x ) dx
a a a

THEOREM 8 :
if f (x) is continuous for a x b and g(x) does not change sign inside (a,b) then

f ( x ) g ( x ) dx = f (c ) g ( x ) dx
a

for at least one c such that a < c < b ( second law of the mean )

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THEOREM 9 : if a and b are finite constants and F(x,s) is continuous in x and s, then

lim
x >c

F ( x, s ) ds = F (c, s ) ds
a

THEOREM 10 : if a and b are finite constants and if F/ x is continuous, then

d dx

F ( x, s ) ds =

F ( x, s ) ds x

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THEOREM 11 : if a is a finite constants and u is a differentiable function of x and F/ x is continuous, then

d dx

F ( x, s ) ds =

F ( x, s ) du ds + F ( x, u ) x dx

THEOREM 12 : if Fn(x) denotes the result of integrating F(x) successively n times over (a,x), then
x 1 Fn ( x ) = ( x s ) n 1 F ( s ) ds a ( n 1)!

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Application of Numerical Methods

Numerical methods are methods for solving problems on a computer It provides access to problems to large that they were out of reach in precomputer era Today much of computing is real-time computing in controlling chemical processes or guiding airplanes and it is done almost simultaneously with the process of generating data
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