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Introduction to Numerical methods

Content

Definitions and Basics

A linear equation system is a set of linear equations to be solved simultanously. A linear equation takes the form image1 where the n + 1 coefficients image2 and b are constants and image3 are the n unknowns.

Following the notation above, a system of linear equations is denoted as image4

This system consists of m linear equations, each with n + 1 coefficients, and has n unknowns which have to fulfill the set of equations simultanously. To simplify notation, it is possible to rewrite the above equations in matrix notation: image5

Exact Solution of Linear Systems

Solving a system image6 in terms of linear algebra is easy: just multiply the system with image7 from the left, resulting in image8

However, finding image9 is (except for trivial cases) very hard. The following sections describe methods to find an exact solution to the problem.

Gaussian elimination

Asymptotics image11

Gaussian elimination method is a numerical method for solving linear system Ax = b, where we assume that A is a square n x n matrix, x and b are both n dimentional vectors. In the process, the system of equations Ax = b is redused by Gaussian elimination to an upper triangular system Ux = y (forward function) to be solved through backward substitution.

def forward(A, f, n):
    for k in range(n):
        A[k] = A[k] / A[k][k]
        f[k] = f[k] / A[k][k] 
        
        for i in range(k + 1, n):
            A[i] = A[i] - A[k] * A[i][k]
            f[i] = f[i] - f[k] * A[i][k]
            A[i][k] = 0
    return A, f
def backward(A, f, n):
    myAnswer = [0] * n
    for i in range(n - 1, -1, -1):
        x[i] = f[i]
        for j in range(i + 1, n):
            x[i] = x[i] - A[i][j] * x[j]
    return np.array(x)

Using the matplotlib library, I was able to visually show the running time of the written program and the library function scipy.linalg.solve():

image11

Tridiagonal matrix algorithm

Asymptotics image12

This algorithm, also known as the Thomas algorithm, is a simplified form of Gaussian elimination that can be used to solve tridiagonal systems of equations. A tridiagonal system for n unknowns may be written as image13, where image14 and image15.

image16

Thomas' algorithm is not stable in general, but is so in several special cases, such as when the matrix is diagonally dominant.

After generating random vectors, I made the system diagonally dominant by adding the absolute values of all the numbers of this row:

def generate_random_vectors(size):
    a = np.random.rand(size)
    b = np.random.rand(size)
    c = np.random.rand(size)
    for i in range(size):
        b[i] = abs(a[i]) + abs(b[i]) + abs(c[i])
    f = np.random.rand(size)
    return a, b, c, f
def sweep(a, b, c, f, n):
    alpha = np.array([0.0] * (n + 1))
    beta = np.array([0.0] * (n + 1))
    for i in range(n):
        alpha[i + 1] = -c[i] / (a[i] * alpha[i] + b[i])
        beta[i + 1] = (f[i] - a[i] * beta[i]) / (a[i] * alpha[i] + b[i])
    x = np.array([0.0] * n)
    x[n - 1] = beta[n]
    for i in range(n - 2, -1, -1):
        x[i] = alpha[i + 1] * x[i + 1] + beta[i + 1]
    return x

Using the matplotlib library, I was able to visually show the running time of the written program and the library function scipy.linalg.solve_bounded().

With small matrix sizes (about 1000), the written algorithm works faster than scipy.linalg.solve_bounded(). image17

But, with the growth of the matrix size, the library function scipy.linalg.solve_bounded() is faster. image18

Cholesky decomposition

Asymptotic image18.1

The Cholesky algorithm, used to calculate the decomposition matrix L, is a modified version of Gaussian elimination.

The Cholesky decomposition of a Hermitian positive-definite matrix A is a decomposition of the form A = LL* where L is a lower triangular matrix with real and positive diagonal entires, and L* denotes the conjugate transpose of L. Every Hermitian positive-definite matrix (and thus also every real-valued symmetric positive-definite matrix) has a unique Cholesky decomposition.

def cholesky_decomposition(A, n):
    L = np.ones((n, n)) * 0.0
    for i in range(n):
        for j in range(i + 1):
            if i == j:
                Sum = 0
                for k in range(i):
                    Sum = Sum + L[i][k] ** 2
                L[i][i] = (A[i][i] - Sum) ** 0.5
            else:
                Sum = 0
                for k in range(j):
                    Sum = Sum + L[i][k] * L[j][k]
                L[i][j] = (A[i][j] - Sum) / L[j][j]
    return L

Iterative methods

An iterative method is a mathematical procedure that uses an initial guess to generate a sequence of improving approximate solutions for a class of problems, in which the n-th approximation is derived from the previous ones.

Seidel method

The Seidel method is an iterative technique for solving a square system of n linear equations with unknown x: Ax = b We represent matrix A as the sum of a lower triangular, diagonal, and upper triangular matrix A = L + D + U. And let the matrix B = D + L, then when substituting T = 1 in the expression image20 we get the Seidel method.

def Seidel(A, f, x, n):
    newx = [0] * n
    for i in range(n):
        Sum = 0
        for j in range(i - 1):
            Sum = Sum + A[i][j] * newx[j]
        for j in range(i + 1, n):
            Sum = Sum + A[i][j] * x[j]
        newx[i] = (f[i] - Sum) / A[i][i]
    return newx

Using the matplotlib library, I was able to visually show the running time of the written program and the library function scipy.linalg.solve().

image21

Jacobi method

The Jacobi method is an iterative technique for solving a square system of n linear equations with unknown x: Ax = b We represent matrix A as the sum of a lower triangular, diagonal, and upper triangular matrix A = L + D + U. And let the matrix B = D in the expression image22 then we get the Jacobi method.

def Jacobi(A, f, x, n):
    newx = [0] * n
    for i in range(n):
        Sum = 0
        for j in range(i - 1):
            Sum = Sum + A[i][j] * newx[j]
        for j in range(i + 1, n):
            Sum = Sum + A[i][j] * newx[j]
        newx[i] = (f[i] - Sum) / A[i][i]
    return newx

Using the matplotlib library, I was able to visually show the running time of the written program and the library function scipy.linalg.solve().

image23

Interpolation

Interpolation is a type of estimation, a method of constructing new data points within the range of a discrete set of known data points.

Linear interpolation

One of the simplest methods is linear interpolation (sometimes known as lerp). Consider the above example of estimating f(2.5). Since 2.5 is midway between 2 and 3, it is reasonable to take f(2.5) midway between f(2) = 0.9093 and f(3) = 0.1411, which yields 0.5252. Linear interpolation is quick and easy, but it is not very precise.

Generally, linear interpolation takes two data points and the interpolant is given by:

image24

image25

image26

The error is proportional to the square of the distance between the data points. The error in some other methods, including polynomial interpolation and spline interpolation, is proportional to higher powers of the distance between the data points.

We find the index using a binary search algorithm:

def find_index(array, value):
    left, right = 0, len(array) - 1
    while right - left > eps:
        middle = (left + right) // 2
        if array[middle] >= value:
            right = middle
        else:
            left = middle
    return left
def build_segment(x, y):
    n = len(x)
    a, b = [0.0] * (n - 1), [0.0] * (n - 1)
    for i in range(n - 1):
        tmp = (y[i + 1] - y[i]) / (x[i + 1] - x[i])
        a[i] = tmp
        b[i] = y[i] - x[i] * tmp
    return a, b

Using the matplotlib library, I was able to visually show the linear interpolation

image27

Polynomial interpolation

Polynomial interpolation is the interpolation of a given data set by the polynomial of lowest possible degree that passes through the points of the dataset.

The Lagrange interpolating polynomial is the polynomial P(x) of degree image28 that passes through the n points

image29,

image30,

... ,

image31.

and is given by

image32, where

image33.

When constructing interpolating polynomials, there is a tradeoff between having a better fit and having a smooth well-behaved fitting function. The more data points that are used in the interpolation, the higher the degree of the resulting polynomial, and therefore the greater oscillation it will exhibit between the data points. Therefore, a high-degree interpolation may be a poor predictor of the function between points, although the accuracy at the data points will be "perfect."


def Lagrange(x, y, input):
    output = 0.0
    n = len(X)
    for i in range(n):
        if input == x[i]:
            return y[i]
    for i in range(n):
        tmp = 1.0
        for j in range(n):
            if i != j:
                tmp = (tmp * (input - x[j])) / (x[i] - x[j])
        output = output + y[i] * tmp     
    return output

Using the matplotlib library, I was able to visually show the polynomial interpolation

image34

Spline interpolation

Spline interpolation is a form of interpolation where the interpolant is a special type of piecewise polynomial called a spline. Originally, spline was a term for elastic rulers that were bent to pass through a number of predefined points ("knots").

The approach to mathematically model the shape of such elastic rulers fixed by n + 1 knots image40 is to interpolate between all the pairs of knots with polynomials image43

def generate_smooth_grid(x, y):
    n = len(x) - 1 
    h = (x[n] - x[0]) / n
    a = np.array([0] + [1] * (n - 1) + [0])
    b = np.array([1] + [4] * (n - 1) + [1])
    c = np.array([0] + [1] * (n - 1) + [0])
    f = np.zeros(n + 1)
    for i in range(1, n):
        f[i] = 3 * (y[i - 1] - 2 * y[i] + y[i + 1]) / h ** 2
    s = sweep(a, b, c, f, n + 1)
    A = np.array([0.0] * (n + 1))
    B = np.array([0.0] * (n + 1))
    C = np.array([0.0] * (n + 1))
    D = np.array([0.0] * (n + 1))
    for i in range(n):
        D[i] = y[i]
        B[i] = s[i]
        A[i] = (B[i + 1] - B[i]) / (3 * h)
        if i != n - 1:
            C[i] = (y[i + 1] - y[i]) / h - (B[i + 1] + 2 * B[i]) * h / 3
        else:
            C[i] = (y[i + 1] - y[i]) / h - (2 * B[i]) * h / 3
    return A, B, C, D

Using the matplotlib library, I was able to visually show the spline interpolation

image44

Problems of mathematical physics

Numerical methods for diffusion equation

The diffusion equation is a partial differential equation that describes how the distribution of some quantity (such as heat) evolves over time in a solid medium, as it spontaneously flows from places where it is higher towards places where it is lower. It is a special case of the diffusion equation.

The result of the program:

image35

Numerical methods for transfer equation

Instead of the diffusion equation, the process of the propagation of particles is also described by more accurate equations, the so-called transfer equations.

The result of the program:

image35

Dependencies

numpy

Debian/Ubuntu/Mint

sudo apt-get update

sudo apt-get install python3-numpy

pip install numpy

Fedora/CentOS

sudo dnf update

sudo dnf install python3-numpy

pip install numpy

scipy

Debian/Ubuntu/Mint

sudo apt-get update

sudo apt-get install python3-scipy

pip install scipy

Fedora/CentOS

sudo dnf update

sudo dnf install python3-scipy

pip install scipy

matplotlib

Debian/Ubuntu/Minta

sudo apt-get update

sudo apt-get install python3-matplotlib

pip install matplotlib

Fedora/CentOS

sudo dnf matplotlib

sudo dnf install python3-matplotlib

pip install matplotlib

pygame

Debian/Ubuntu/Mint

sudo apt-get pygame

sudo apt-get install python3-pygame

pip install pygame

Fedora/CentOS

sudo dnf pygame

sudo dnf install python3-pygame

pip install pygame

ffmpeg

Debian/Ubuntu/Mint

sudo apt-get ffmpeg

sudo apt-get install python3-ffmpeg

pip install ffmpeg

Fedora/CentOS

sudo dnf ffmpeg

sudo dnf install python3-ffmpeg

pip install ffmpeg

How to run programs

python3 programName.py

Example: python3 gauss.py

Questions and suggestions

If you have any questions or suggestions, write to the email zhanmukanbetova.gulden@gmail.com