STAT 30900/CMSC 37810. Mathematical Computation I — Matrix Computation

Department of Statistics
University of Chicago
Fall 2014

This is an introductory course on numerical linear algebra. The course will present a global overview of a number of topics, from classical to modern to state-of-the-art. The fundamental principles and techniques will be covered in depth but towards the end of the course we will also discuss some exciting recent developments.

Numerical linear algebra is quite different from linear algebra. We will be much less interested in algebraic results that follow from the axiomatic definitions of fields and vector spaces but much more interested in analytic results that hold only over the real and complex fields. The main objects of interest are real- or complex-valued matrices, which may come from differential operators, integral transforms, bilinear and quadratic forms, boundary and coboundary maps, Markov chains, graphs, metrics, correlations, hyperlink structures, cell phone signals, DNA microarray measurements, movie ratings by viewers, friendship relations in social networks, etc. Numerical linear algebra provides the mathematical and algorithmic tools for matrix problems that arise in engineering, scientific, and statistical applications.



Location: Room 133, Eckhart Hall.

Times: 1:30–4:20pm on Fri.

Course staff

Instructor: Lek-Heng Lim
Office: Eckhart 122
Tel: (773) 702-4263
Office hours: 2:00–4:00pm on Oct 9 (Thu), Oct 23 (Thu), Nov 6 (Thu), Nov 25 (Tue)

Course Assistant: Somak Dutta
Office: Eckhart 8
Office hours: 3:00–5:00pm on Oct 16 (Thu), Oct 30 (Thu), Nov 13 (Thu), Dec 04 (Thu)


The last two topics we would only touch upon briefly (no discussion of actual algorithms); they would be treated in greater detail in a second course.

Problem Sets

Collaborations are permitted but you will need to write up your own solutions and declare your collaborators. The problem sets are designed to get progressively more difficult. You will get at least six days for each problem set.

Bug report on the problem sets: lekheng(at)

Supplementary materials


Grade composition: 50% Problem Sets (six altogether, lowest grade would be dropped), 50% Midterm Exam (Nov 14, 1:30–4:20pm, in-class, closed book)


We will use the 4th edition of Golub–Van Loan.