University of Chicago

Winter 2014

This course is a continuation of Stat 309. We will discuss topics that we did not have a chance to cover last quarter. However it is not necessary to have taken Stat 309 before taking this course. We will discuss three main topics: (i) Krylov subspace methods, (ii) eigenvalue problems, (iii) singular value problems.

- 03/30/14: Scribe notes for Lecture 18 posted.

- 03/21/14: Scribe notes for Lecture 16 posted.

- 03/19/14: Scribe notes for Lectures 17 & 19 posted. Scribe notes for Lecture 6 updated.

- 03/12/14: Class meets as usual on Thu, 3:00-4:20pm, in E117, for a make-up lecture.

- 03/05/14: Scribe notes for Lectures 12 & 15 posted.

- 02/28/14: Scribe notes for Lectures 13 & 14 posted.

- 02/26/14: Reorthogonalization: Why twice is enough?

- L. Giraud, J. Langou, M. Rozložník, and J. van den Eshof,
"Rounding error analysis of the classical Gram-Schmidt
orthogonalization
process,"
*Numer. Math.*,**101**(2005), no. 1, pp. 87–100.

- J. Daniel, W. Gragg, L. Kaufman, and G. Stewart,
"Reorthogonalization and stable algorithms for updating
the Gram-Schmidt
*QR*factorization,"*Math. Comp.*,**30**(1976), no. 136, pp. 772–795.

- 02/25/14: Scribe notes for Lectures 10 & 11 posted.

- 02/18/14: Scribe roster updated.

- 02/11/14: Scribe notes for Lecture 7 posted.

- 02/08/14: Scribe notes for Lecture 9 posted. Scribe notes for Lecture 8 updated.

- 02/03/14: Scribe notes for Lecture 8 posted.

- 01/28/14: Scribe notes for Lecture 6 posted.

- 01/23/14: Scribe notes for Lecture 5 posted. Scribe notes for Lecture 2 updated.

- 01/21/14: Scribe notes for Lecture 3 posted.

- 01/19/14: Scribe notes for Lecture 4 posted. Scribe notes for Lecture 2 updated.

- 01/15/14: No lecture on Feb 4. Make-up lecture TBA.

- 01/15/14: Scribe roster as follows:
- Ed: Jan 9, Feb 13, Mar 13
- Dan K: Jan 14, Feb 18
- Max: Jan 16, Feb 20
- Ken: Jan 21
- Dan B: Feb 25
- YJ: Jan 23, Feb 27
- Sean: Jan 28, Mar 4
- Swati: Jan 30, Mar 6
- Nikita: Feb 6
- Qinqing: Mar 11
- Walter: Feb 11

- 01/14/14: Scribe notes posted. Check email announcement for download URL.

- 01/07/14: Check back regularly for announcements.

**Location:** Eckhart Hall,
Room 117

**Times:** 3:00–4:20pm on Tue/Thu.

**Instructor:** Lek-Heng
Lim

Office: Eckhart
122

`lekheng(at)galton.uchicago.edu`

Tel: (773) 702-4263

**Office hours:** By appointment.

**Course Assistant:** Somak
Dutta

Office: Ryerson 375

`somakd(at)uchicago.edu`

**Office hours:** By appointment.

**Grade composition:** No in-class examination. Grade based entirely
on participation in class and homework assigments.

- J. Demmel, Applied Numerical Linear Algebra, SIAM, 1997.

- G. Golub, C. Van Loan, Matrix Computations, 4th Ed., John Hopkins, 2013.

- B.N. Parlett, The Symmetric Eigenvalue Problem, SIAM, 1998.

- G.W. Stewart, Matrix Algorithms, Volume II: Eigensystems, SIAM, 2001.

- L.N. Trefethen, D. Bau, Numerical Linear Algebra, SIAM, 1997.

- D.S. Watkins, The Matrix Eigenvalue Problem, SIAM, 2007.