# MMath Mathematics with Financial Mathematics

Year of entry: 2023

## Course unit details:Numerical Linear Algebra

Unit code MATH46101 15 Level 4 Semester 1 Department of Mathematics No

### Overview

This module treats the main classes of problems in numerical linear algebra: linear systems, least square problems, and eigenvalue problems, covering both dense and sparse matrices. It provides analysis of the problems along with algorithms for their solution. It also uses MATLAB as tool for expressing and implementing algorithms and describes some of the key ideas used in developing high-performance linear algebra codes. Applications, such as machine learning and search engines, will be introduced throughout the module.

### Pre/co-requisites

Students are not permitted to take, for credit, MATH46101 in an undergraduate programme and then MATH66101 in a postgraduate programme at the University of Manchester, as the courses are identical.

### Aims

To develop understanding of modern methods of numerical linear algebra for solving linear systems, least squares problems and the eigenvalue problem.

### Learning outcomes

On completion of the module, students will be able to

• construct some key matrix factorizations using elementary transformations,
• choose an appropriate numerical method to solve systems, least squares problems, and the eigenvalue problem.
• evaluate and compare the efficiency and numerical stability of different algorithms for solving linear systems, least squares problems, and the eigenvalue problem.
• design algorithms that exploit matrix structures such as triangularity, sparsity, banded structure, and symmetric positive definiteness,
• quantify the sensitivity of a linear system or least squares problem to perturbations in the data.

### Syllabus

1. Basics. Summary/recap of basic concepts from linear algebra and numerical analysis: matrices, operation counts. Matrix multiplication, block matrices. 

Matrix norms. Linear system sensitivity. 

2. Matrix factorizations. Cholesky factorization. QR factorization by Householder matrices and by Givens rotations. 

LU factorization and Gaussian elimination; partial pivoting. Solving triangular systems by substitution. Solving full systems by factorization. Error analysis. Complete pivoting, rook pivoting. Numerical examples. 

3. Sparse and banded linear systems and iterative methods. Storage schemes for banded and sparse matrices.  LU Factorization, Markowitz pivoting. 

Iterative methods: Jacobi, Gauss-Seidel and SOR iterations. Kronecker product. Krylov subspace methods, conjugate gradient method. Preconditioning. 

4. Linear least squares problem. Basic theory using singular value decomposition (SVD) and pseudoinverse. Perturbation theory. Numerical solution: normal equations. SVD and rank deficiency.  

5. Eigenvalue problem. Basic theory, including perturbation results. Power method, inverse iteration. Similarity reduction. QR algorithm. 

### Teaching and learning methods

30 lectures (two or three lectures per week), with a fortnightly examples class.

### Assessment methods

Method Weight
Other 20%
Written exam 80%
• Mid-semester coursework: 20%
• End of semester examination: weighting 80%

### Feedback methods

Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding.  Coursework also provides an opportunity for students to receive feedback.  Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour.

¿ David Gleich, Expanders, Tropical Semi-Rings, and Nuclear Norms: Oh My!, XRDS: Crossroads, The ACM Magazine for Students, 19(3) 32-36, 2013. What does "The Matrix" have to do with "The Social Network"?
¿ Desmond J. Higham and Alan Taylor, The Sleekest Link Algorithm, Mathematics Today, 39(6):192-197, 2003. An article explaining the maths begind Google's PageRank algorithm.
¿ Nicholas J. Higham,  Cholesky Factorization, WIREs Comp. Stat., 1(2):251-254, 2009.
¿ Nicholas J. Higham,  Gaussian Elimination, WIREs Comp. Stat., 3(3):230-238, 2011.
¿ Nicholas J. Higham,  Numerical Linear Algebra and Matrix Analysis, In N. J. Higham, M. R. Dennis, P. Glendinning, P. A. Martin, F. Santosa, and J. Tanner, editors,  The Princeton Companion to Applied Mathematics, pages 263-281. Princeton University Press, Princeton, NJ, USA, 2015.
¿ Nicholas J. Higham,  The Singular Value Decomposition, In N. J. Higham, M. R. Dennis, P. Glendinning, P. A. Martin, F. Santosa, and J. Tanner, editors,  The Princeton Companion to Applied Mathematics, pages 126-127. Princeton University Press, Princeton, NJ, USA, 2015.
¿ Gilbert Strang,  Row Rank Equals Column Rank: Four Approaches, IMAGE (The Bulletin of the International Linear Algebra Society), 53:17, 2014.

### Study hours

Scheduled activity hours
Lectures 24
Tutorials 12
Independent study hours
Independent study 114

### Teaching staff

Staff member Role
Francoise Tisseur Unit coordinator