CAAM 454

NUMERICAL ANALYSIS II

Spring 2009

general information lectures assignments&exams

General Information

About this Course

Iterative methods for linear systems of equations including Krylov subspace methods; Newton and Newton-like methods for nonlinear systems of equations; Gradient and Newton-like methods for unconstrained optimization and nonlinear least squares problems; techniques for improving the global convergence of these algorithms; linear programming duality and primal-dual interior-point methods.

Time and Room

T/Th 2:30PM-3:50PM
Room: Duncan Hall 1075

Instructor

Matthias Heinkenschloss
Office: Duncan Hall 3088
Phone: x5176
Office Hours: TBA
email:heinken AT rice.edu

Textbooks and References

  • [TB] Lloyd N. Trefethen and David Bau, III: Numerical Linear Algebra,
    SIAM, 1997.
    Note: members of SIAM (Society for Industrial and Applied Mathematics) may purchase this textbook direct from SIAM for $40.25 (plus shipping). Rice students receive free membership by joining the Rice University Chapter of SIAM. Click here to join.

  • [NW] J. Nocedal and S. J. Wright: Numerical Optimization (second edition),
    Springer Verlag, 2006.
    The publisher's price for this book is US$ 79.95 (+ tax + S&H)

Recommended Reading.

  • [DS] J. E. Dennis, Jr., and R. B. Schnabel: Numerical Methods for Unconstrained Optimization and Nonlinear Equations,
    Prentice Hall 1983. Reprinted by SIAM, Philadelphia, 1996.

  • [K1] C. T. Kelley: Iterative Methods for Linear and Nonlinear Equations,
    SIAM, Philadelphia, 1995.
    A free PDF version of this book is available.

  • [K2] C. T. Kelley: Iterative Methods for Optimization,
    SIAM, Philadelphia, 1999.
    A free PDF version of this book is available.

  • [S] Y. Saad: Iterative methods for sparse linear systems (2nd edition),
    SIAM, Philadelphia, 2003.
    A free PDF version of the first edition of this book is available.

Grading

50% problem sets, 50% exams.
Class participation will be considered when assigning borderline grades, as will improvement from the midterm to the final.

Homework will be assigned roughly once a week. You may, with impunity, submit up to two assignments up to one class period beyond their due date. Subsequent submissions will incur penalties in increments of 10%. Homework submitted later than one class period beyond its due date will not be accepted without a written excuse.
You are encouraged to discuss homework with fellow students. You are expected, however, to individually write up your solutions.

Two take-home, closed book exams will each account for 25% of the final grade.
These pledged exams must be your individual, unassisted effort.

Note on Disability Based Accommodations

If you have a documented disability that will impact your work in this class, please contact me to discuss your needs. Additionally, you will need to register with the Disability Support Services Office in the Ley Student Center.

This web page is located at http://www.caam.rice.edu/~caam454 and maintained by Matthias Heinkenschloss.