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Conditioning in Numerical Analysis

This document discusses numerical analysis and the sources and propagation of errors in numerical solutions. It describes how ill-conditioned problems have solutions that are highly sensitive to small changes in the input data, while well-conditioned problems have solutions that do not change dramatically with small input variations. It also discusses discretization error from approximating continuous problems with discrete solutions, as well as different sources of error like round-off from finite precision arithmetic and truncation from terminating approximations.

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vijay kumar honnali
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33 views

Conditioning in Numerical Analysis

This document discusses numerical analysis and the sources and propagation of errors in numerical solutions. It describes how ill-conditioned problems have solutions that are highly sensitive to small changes in the input data, while well-conditioned problems have solutions that do not change dramatically with small input variations. It also discusses discretization error from approximating continuous problems with discrete solutions, as well as different sources of error like round-off from finite precision arithmetic and truncation from terminating approximations.

Uploaded by

vijay kumar honnali
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Conditioning[edit]

Ill-conditioned problem: Take the function f(x) = 1/(x − 1). Note that f(1.1) = 10 and f(1.001) = 1000: a
change in x of less than 0.1 turns into a change in f(x) of nearly 1000. Evaluating f(x) near x = 1 is an
ill-conditioned problem.

Well-conditioned problem: By contrast, evaluating the same function f(x) = 1/(x − 1) near x = 10 is a
well-conditioned problem. For instance, f(10) = 1/9 ≈ 0.111 and f(11) = 0.1: a modest change
in x leads to a modest change in f(x).

Discretization[edit]
Furthermore, continuous problems must sometimes be replaced by a discrete problem whose
solution is known to approximate that of the continuous problem; this process is called
'discretization'. For example, the solution of a differential equation is a function. This function must
be represented by a finite amount of data, for instance by its value at a finite number of points at its
domain, even though this domain is a continuum.

Generation and propagation of errors[edit]


Further information: Error propagation
The study of errors forms an important part of numerical analysis. There are several ways in which
error can be introduced in the solution of the problem.

Round-off[edit]
Round-off errors arise because it is impossible to represent all real numbers exactly on a machine
with finite memory (which is what all practical digital computers are).

Truncation and discretization error[edit]


Truncation errors are committed when an iterative method is terminated or a mathematical
procedure is approximated and the approximate solution differs from the exact solution. Similarly,
discretization induces a discretization error because the solution of the discrete problem does not
coincide with the solution of the continuous problem. In the example above to compute the solution

of , after ten iterations, the calculated root is roughly 1.99. Therefore, the truncation error is
roughly 0.01.

Once an error is generated, it propagates through the calculation. For example, the operation + on a

computer is inexact. A calculation of the type is even more inexact.

A truncation error is created when a mathematical procedure is approximated. To integrate a


function exactly, an infinite sum of regions must be found, but numerically only a finite sum of
regions can be found, and hence the approximation of the exact solution. Similarly, to differentiate a
function, the differential element approaches zero, but numerically only a nonzero value of the
differential element can be chosen.

Numerical stability and well-posed problems[edit]


An algorithm is called numerically stable if an error, whatever its cause, does not grow to be much
larger during the calculation.[13] This happens if the problem is well-conditioned, meaning that the
solution changes by only a small amount if the problem data are changed by a small amount. [13] To
the contrary, if a problem is 'ill-conditioned', then any small error in the data will grow to be a large
error.[13] Both the original problem and the algorithm used to solve that problem can be well-
conditioned or ill-conditioned, and any combination is possible. So an algorithm that solves a well-
conditioned problem may be either numerically stable or numerically unstable. An art of numerical
analysis is to find a stable algorithm for solving a well-posed mathematical problem.

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