Advanced Numerical Analysis (852G1)

15 credits, Level 7 (Masters)

Autumn teaching

This module will cover topics including:

  • Iterative methods for linear systems: Jacobi and Gauss-Seidel, conjugate gradient, GMRES and Krylov methods
  • Iterative methods for nonlinear systems: fixed point iteration, Newton's method and Inexact Newton
  • Optimisation: simplex methods, descent methods, convex optimisation and non-convenx optimisation
  • Eigenvalue problems: power method, Von Mises method, Jacobi iteration and special matrices
  • Numerical methods for ordinary differential equations: existence of solutions for ODE's, Euler's method, Lindelöf-Picard method, continuous dependence and stability of ODE's
  • Basic methods: forward and backward Euler, stability, convergence, midpoint and trapezoidal methods (order of convergence, truncation error, stability convergence, absolute stability and A-stability)
  • Runge-Kutta methods: one step methods, predictor-corrector methods, explicit RK2 and RK4 as basic examples, and general theory of RK methods such as truncation, consitency, stability and convergence 
  • Linear multistep methods: multistep methods, truncation, consistency, stability, convergence, difference equaitons, Dahlquist's barriers, Adams family and backward difference formulas
  • Boundary value problems in 1d, shooting methods, finite difference methods, convergence analysis, Galerkin methods and convergence analysis

Teaching and assessment

We’re currently reviewing teaching and assessment of our modules in light of the COVID-19 situation. We’ll publish the latest information as soon as possible.

Contact hours and workload

This module is approximately 150 hours of work. This breaks down into about 33 hours of contact time and about 117 hours of independent study. The University may make minor variations to the contact hours for operational reasons, including timetabling requirements.

This module is running in the academic year 2020/21. We also plan to offer it in future academic years. It may become unavailable due to staff availability, student demand or updates to our curriculum. We’ll make sure to let our applicants know of such changes to modules at the earliest opportunity.

Courses

This module is offered on the following courses: