CME 302/CS 237A. Numerical Linear Algebra
Institute for Computational and Mathematical Engineering
and the Department of Computer Science
Stanford University
Fall 2005
This course is the first in a three quarter graduate sequence designed to acquaint students in mathematical and physical sciences and engineering with the fundamental theory of numerical analysis. This first course is devoted to the solution of systems of linear equations, covering the following topics: direct methods, error analysis, structured matrices, iterative methods, least squares, parallel techniques.
Final Exam
 Final Exam: PDF TeX
source
 Posted: 4PM, Wednesday, December
7, 2005
 Due: 12N, Thursday, December 15, 2005
 Submit to: LekHeng in person in Gates 286 or by email to
lekheng@stanford.edu
 Rules: You may not collaborate nor seek help from anyone
other than the professor.
Announcements
 12/09/05: Average scores for Homeworks 1–3 posted (see below).
 12/08/05: The class will meet on Friday, 12/09/05.
 12/07/05: Notes for Lecture 19 posted.
 12/06/05: Solutions to problem sets posted.
 12/05/05: Notes for Lecture 18 posted.
 12/03/05: Final exam will be posted on 12/07/05 and due back on
12/14/05.
 11/30/05: Notes for Lecture 17 posted.
 11/28/05: Notes for Lectures 12–16 posted.
 11/24/05: Last year's notes posted.
 11/21/05: Notes for Lectures 10 & 11 posted.
 11/16/05: Homework 3 posted (due 11/30/05).
 11/03/05: Note on pairwise pivoting
posted.
 11/02/05: New section added to notes for Lecture 9.
 10/30/05: LH's office hours on Thursdays moved to Wednesdays
(1–2PM).
 10/26/05: Notes for Lecture 9 posted.
 10/25/05: Homework 2 posted (due 11/07/05).
 10/24/05: Notes for Lecture 8 posted.
 10/20/05: Notes for Lecture 7 posted.
 10/18/05: Notes for Lecture 6 posted.
 10/17/05: Notes for Lecture 5 posted.
 10/15/05: Notes for Lecture 4 posted.
 10/13/05: Notes for Lecture 3 posted.
 10/07/05: Diary, programs from MATLAB tutorial posted.
 10/05/05: Homework 1 posted (due 10/17/05).
 10/05/05: MATLAB tutorial this Friday (10/07/05).
 10/03/05: Notes/slides for lecture 2 posted.
 09/29/05: Notes/slides for lectures 0 & 1 posted.
 09/27/05: Office hours posted (G: M/Th 2:15–3:15; LH: T/Th
1:00–2:00).
 09/26/05: There will be no Friday lectures unless announced
otherwise.
Lectures
Location: Skilling
Building,
Room 193
Times: 11:00 AM–12:15 PM on Mon/Wed
Course staff
Instructor: Gene Golub (golub@stanford.edu).
Gates Building 2B, Room 280
(650) 7233124
Office hours: 2:15 PM–3:15 PM on Mon/Thu and by appointment.
Teaching assistant: LekHeng Lim (lekheng@stanford.edu).
Gates Building 2B, Room 286
(650) 7234101
Office hours: 1:00 PM–2:00 PM on Tue/Wed and by appointment.
Topics
 Direct methods for the solutions of linear systems
Lecture notes
Transcribed slides courtesy of John Carlsson.
 Homework 1
 Problems (posted: 10/05/05; due in class on
10/17/05)
 Solutions (posted: 12/06/05)
 Class average: 58.8/75
Grades and assignments
A grade will be assessed on about three homework sets and a takehome
final exam.
Recommended texts
 G. Golub and C. Van Loan, Matrix Computations, 3rd Ed., Johns
Hopkins Series in the Mathematical Sciences, 3, Johns Hopkins University Press, Baltimore, MD, 1996. ISBN: 0801854148
 L.N. Trefethen and D. Bau, Numerical Linear Algebra, SIAM,
Philadelphia, PA, 1997. ISBN: 0898713617
 J. Demmel, Applied Numerical Linear Algebra, SIAM,
Philadelphia, PA, 1997. ISBN: 0898713897 (before you buy this book, you
might want to check this out)
Supplementary texts
 D.S. Bernstein, Matrix Mathematics, Princeton University
Press, Princeton, NJ, 2005. ISBN: 0691118027
 Å. Björck, Numerical Methods for Least Squares
Problems, SIAM, Philadelphia, PA, 1996. ISBN: 0898713609

N.J. Higham, Accuracy and Stability of Numerical Algorithms,
2nd Ed., SIAM, Philadelphia, PA, 2002. ISBN: 0898715210
 G.W. Stewart, Matrix Algorithms I: Basic Decompositions, SIAM,
Philadelphia, PA, 1998. ISBN: 0898714141
 G.W. Stewart, Matrix Algorithms II: Eigensystems, SIAM,
Philadelphia, PA, 2001. ISBN: 0898715032
 H.A. van der Vorst, Iterative Krylov Methods for Large Linear
Systems, Cambridge Monographs on Applied and Computational
Mathematics, 13, Cambridge University Press, Cambridge, UK, 2003.
ISBN: 0521818281
 D. Watkins, Fundamentals of Matrix Computations, 2nd Ed.,
WileyInterscience, New York, NY, 2002. ISBN: 0471213942
Stuff you may find interesting
Softwares

E. Anderson, Z. Bai, C. Bischof, S. Blackford, J. Demmel, J. Dongarra, J.
Du Croz, A. Greenbaum, S. Hammarling, A. McKenney, and D. Sorensen,
LAPACK Users' Guide, 3rd Ed., SIAM, Philadelphia, PA, 1999. ISBN
0898714478

Z. Bai, J. Demmel, J. Dongarra, A. Ruhe, and H. van der Vorst,
Templates for the Solution of Algebraic Eigenvalue Problems,
SIAM, Philadelphia, PA, 2002. ISBN: 0898714710

R. Barrett, M. Berry, T.F. Chan, J. Demmel, J. Donato, J. Dongarra,
V. Eijkhout, R. Pozo, C. Romine, and H. van der Vorst,
Templates for the Solution of Linear Systems, SIAM,
Philadelphia, PA, 1994. ISBN: 0898713285

D.J. Higham and N.J. Higham, MATLAB Guide, 2nd Ed., SIAM,
Philadelphia, PA, 2005. ISBN 0898715784

R.B. Lehoucq, D.C. Sorensen, and C. Yang, ARPACK Users'
Guide, SIAM, Philadelphia, PA, 1998. ISBN 0898714079
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