Reference no: EM132185873

Numerical Analysis Project -

Problem 1 - Let A ∈ R^(n+m)×(n+m) be symmetric positive definite, with

where A₁₁ ∈ R^n×n, A₁₂ ∈ R^n×m, A₂₂ ∈ R^m×m, and let L be the cholesky factor of A, A = LL^T. Partition L as

where L₁₁ ∈ R^n×n, L₂₁ ∈ R^n×m, L₂₂ ∈ R^m×m.

(a) Show that L₂₂L₂₂^T = S where S = A₂₂ - A₁₂^TA₁₁^-1A₁₂ is the Schur complement of A₁₁ in A.

(b) Using the foregoing relations to drive a block version of the Cholesky factorization algorithm. Note that the algorithm should not require any explicit matrix inversion.

Problem 2 - Linear systems that arise in many applications can become quite large. It is often necessary to exploit any structure and/or sparsity in the matrices to reduce the computation burden. We will consider the one-dimensional Poisson equation: -y′′(t) = f(t) on [0, 1], with y(0) = y(1) = 0.

Such problems are frequently very hard to handle because it is often not possible to express y(t) in terms of elementary functions (as is done in undergraduate courses on ODE). Numerical methods are employed in order to approximate y(t) at discrete points inside the interval [a, b]. This approach will leads to a linear system of equations (we will learn how in the numerical PDE class).

The approach we consider begins by subdividing the interval [a, b] into n + 1 equal subintervals, each of length (b-a)/(n+1): t₀ = a, t₁ = a + h, t₂ = a + 2h, · · · , t_n = a + nh, t_n+1 = b; The points t_i = a + ih are called grid points, and the value h = (b-a)/(n+1) is called the step size. Smaller step sizes generally produce better approximations to the derivatives, so better accuracy requires smaller step size, and hence larger number of grid points.

Let y_i = y(t_i) and f_i = f(t_i), and show that by using the finite difference method, we can compute approximations to yi by solving the linear system Ty = h²f, where

(a) Prove that the matrix T has an LU factorization with L(i, i) = 1 and L(i + 1, i) = -i/(i+1) , U(i, i) = (i+1)/i and U(i, i + 1) = -1.

(b) Is partial pivoting needed?

(c) Write a Matlab function T = poissonmat(n) which created the n × n matrix T for given n.

(d) Write a Matlab function y = poissonsolve(f) which, given a vector f of length n, computes the solution y of Ty = h²f.

(e) Let f(t) = sin πt, then the right hand side f_i = sin π(ti). Experiment with various values of n, say n = 10, 100, 500, 1000. Fill the following table:

Note - Need problems 1 and 2 and need all work shown.