STAT 31060. Further Mathematical Computation — Matrix Computation

Department of Statistics
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.

Announcements

• 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.

Lectures

Location: Eckhart Hall, Room 117

Times: 3:00–4:20pm on Tue/Thu.

Course staff

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.

• 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.