Coursebooks

Advanced numerical analysis

MATH-351

Lecturer(s) :

Picasso Marco

Language:

English

Summary

The student will learn state-of-the-art algorithms for solving ordinary differential equations, nonlinear systems, and optimization problems. The analysis and implementation of these algorithms will be discussed in some detail.

Content

Numerical Solution of Ordinary Differential Equations

Explicit Runge-Kutta methods. Order 4 conditions. Step size control. Convergence.

Numerical Optimization

Newton, BFGS and conjugate gradient methods. Constrained optimization problems. Optimality (KKT) conditions. Quadratic programming. Optimal control.

Keywords

Explicit Runge-Kutta methods, Newton, BFGS and conjugate gradient methods, Constrained optimization problems, Optimality (KKT) conditions, Quadratic programming, Optimal control.

Learning Prerequisites

Recommended courses

Some background in numerical analysis and proficiency in programming - Matlab/Octave recommended

Important concepts to start the course

Numerical methods for approximation, differentiation and integration of functions. Basic knowledge of ordinary differential equations and their solutions. Basic knowledge of numerical techniques for solving systems of linear equations.

Learning Outcomes

By the end of the course, the student must be able to:

Teaching methods

Lecture style with computational experiments in class to illustrate analysis.

Expected student activities

Students are expected to attend lectures and participate actively in class and exercises. Exercises will include both theoretical work and implementation and test of a variety of methods.

Assessment methods

Written examination.

Dans le cas de l'art. 3 al. 5 du Règlement de section, l'enseignant décide de la forme de l'examen qu'il communique aux étudiants concernés.

 

Resources

Bibliography

Lecture notes will be provided by the instructor. Complimentary reading:

Hairer, E.; Norsett, S. P.; Wanner, G. Solving ordinary differential equations. I. Springer, 1987.

Nocedal, J.; Wright, S. J. Numerical optimization. Second edition. Springer, 2006

Ressources en bibliothèque

In the programs

Reference week

 MoTuWeThFr
8-9MAA331    
9-10    
10-11    MAA330
11-12    
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German