Questions on numerical analysis/numerical methods; methods for approximately solving various problems that often do not admit exact solutions.

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Constrained non-linear Optimization using Newton's method - Portfolio optimization

I want to solve following constrained optimization problem from portfolio optimization: The solution is supposed to be a modified risk parity portfolio: The optimization problem is: \begin{align} ...
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36 views

Multivariate Appoximation

I have a mathematical model for a complex system which I would like to approximate it. My idea is to run this complex model once and produce some outputs, and then fit a polynomial for these outputs. ...
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63 views

Reciprocal Non-linear Hammerstein integral equation

I came across a problem that looks like a non-linear Hammerstein equation: $$ \displaystyle y(t)= v(t)+\int_{0}^{\infty} \frac{e^{\iota ts}}{y(s)}\mathrm{d}s $$ I tried solving it by collocation ...
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30 views

Finding Volume of Monte Carlo Integration

Suppose $\mathbf{X}\in\mathrm{R}^n$ is an $n-$ dimensional random vector having joint Gaussian distribution i.e. $\mathbf{X}\sim\mathcal{N}\left(\boldsymbol\mu,\boldsymbol\Sigma\right)$, where, ...
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43 views

Finite difference scheme for hyperbolic system

I'm having a bit of trouble understanding the following, so it'd be great if anyone has any nice explanations! Thanks in advance! Consider the hyperbolic system $$u_t = Au_x + Bu$$ where $A$ and $B$ ...
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68 views

Numerically approximate the maximum of an element of a vector after a series of matrix multiplications.

Where S is a sigmoidal function, A_i is a matrix, and x is an input vector, and ...
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60 views

Compute average and maximum value of a field over a streamline

I'm working on a code solving a set of PDEs. I have a vector field, $\vec{v}(x,\theta,z,t)$ (it's a velocity) and a scalar field, $c(x,\theta,z,t)$. I have a $2\pi$-periodicity in $\theta$. The ...
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57 views

How to scale “probabilities” to a given mean?

I have a set of scores $x_i$, $i=1,\ldots,N$ (mimicking probabilities, $0\le x_i\le 1$) and I want to transform them so that the result has a given mean $m$, while remaining in the interval $[0;1]$. ...
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47 views

Solving systems of equations with trigonometric terms

I am trying to solve (or rather find the least squares solution for) a system of equations with trigonometric terms in them. The system consists of pairs of equations of the form $a_1 \cos\theta - ...
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59 views

solving singular linear system $Ax=0$

what are computational methods for solving square singular linear system $Ax=0$ for a nonzero $x$ with $A$ of large dimensions?
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13 views

Remainder of the minimax approximation polynomial - number of extrema

Recall some definitions. Let $f \in C [a,b]$. The minimax polynomial $p_n$ is the polynomial $p_n (x) $ of degree $\leq n$ that minimizes $||f-p_n||_\infty $. It can be proved that this polynomial ...
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78 views

How to solve this complicated differential equation?

I need to know how to solve this complicated differential equation in $z$ either analytically or numerically : \begin{eqnarray} \frac{dx_1}{dz} &=& -ib_1x_1 - ikx_2 \\ \frac{dx_2}{dz} ...
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152 views

Finite Difference Spacing of Points for PDE's for Convergence of Explicit Forward-Stepping Scheme

I realize that this question could be pretty broad, but I'm wondering at least what the conditions are for my simulation. I'm developing an Explicit Forward-Stepping Finite Difference scheme to solve ...
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59 views

Effective computation of matrix commutator

Is there a faster way to compute the commutator of large (at least one of them sparse) matrices $[A,B]$ then to compute $AB$ ,$BA$ and subtract them?
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68 views

Are there high performance computing applications for symbolic integration?

Currently there are a number of applications for numerical integration in applied mathematics and physics. Many of these are integral transforms (often Fourier or Laplace), or solving definite ...
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145 views

Boundary integral method to solve Poisson equation

Suggest how to solve Poisson equation \begin{equation} σ ∇^2 V = - I δ(x-x_s) δ(y-y_s) δ(z-z_s) \nonumber \end{equation} by using the boundary integration method to calculate the potential ...
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38 views

Numerical Integration of Highly Oscillatory Integral with Misbehaving Derivatives

I'm attempting to numerically handle an equation of the following form: \begin{equation*}f: x \rightarrow \int_{0.00001}^{2} d\omega e^{i \omega x} f(\omega)\end{equation*} where $f(\omega) = ...
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50 views

how to prove this curious identity with the Chebyshev polinomials

we defined the Tm like this (where Tm are the Chebyshev polinomials) Then I showed this: And now I have no idea how to proove this: I also have to make the remark that I also proved that the ...
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76 views

(newbie) spectral derivative

I have data that form a scalar field on a 2D grid, evenly spaced. The grid has a finite size. There is no particular periodicity patern in my data. I want to calculate the value of the gradient at ...
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164 views

Standard symmetric tridiagonal matrix Eigenvalue decomposition algorithm?

Hi I am trying to generate an arbitrary Gauss quadrature rule by using the Golub-Welsh algorithm (here). I need to code this on C++ for my personal project. This algorithm involves the eigenvalue ...
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292 views

Numerically calculate the boundary of a basin of attraction for a high dimensional dynamical system

I am looking for an efficient, non-exponential time algorithm to calculate the boundary of a basin of attraction for a stable fixed point in a high dimensional nonlinear dynamical system. The naive ...
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42 views

Interpolation Concept or Misconcept?

This question is regarding Interpolation, say we are given table of data ,$x_0 <x_1<\dotsb<x_k<\dotsb<\dotsb<x_n$ as well as $f(x_0),f(x_1),\dotsc,f(x_n)$ it is said that "we ...
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33 views

Time Discretization

I wonder why we work with constant discretization in Time Discretization of numerical approximation for numerical scheme if we take not necessarily constant Discretization Is the numerical scheme ...
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55 views

Expected error due to the tablemakers' dilemma

[note: to me, this does not seem like a question for m.se, but on mathoverflow it has been retroactively closed, with very little indication of why or what might be corrected... and waiting for ...
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62 views

Lagrange's interpolation to solve for 0 of y(x)

I have the data composing of 7 elements x is from 0 → 3 incrementing by 0.5 y is from 1.8241 → -1.5427 I am supposed to use Lagrange's interpolation of three nearest neighbor data points. I am ...
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52 views

Numerically stable Lanczos process? I need to compute Elements of inverse in sparsity pattern of A

I have a large sparse symmetric positive definite matrix NxN matrix $A$. Let $s$ be the average number of non-zeros per row (i.e. $sN$ total non-zero elements). I would like to compute the elements ...
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38 views

Accurate computation of arcsec near branch points

The direct numerical implementations of the usual definitions of the complex $\mathrm{arcsec}(z)=\arccos(1/z)$ and similar for $\mathrm{arccsc}(z), \mathrm{arcsech}(z), $ etc are not accurate near ...
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26 views

Does eigenvalue theory remain in numerical applications?

If I have a symmetric matrix $A \in \mathbb{Q}^{n \times n}$ in matlab, then in theory it is guaranteed that $A$ has a orthogonal basis of eigenvectors and real eigenvalues. Does this remain in ...
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54 views

We are learning about LU Decomposition .. because?

I know what LU Decomposition is but I don't know why we have have to learn about it. What are we using it for? (What's the point to know about it?) Thanks.
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37 views

Question on numerical quadrature and precision

I am studying numerical analysis and I came across this question: Let $P_{n+1}(x)\in\Pi_{n+1}$ be orthogonal to $\Pi_n$ relative to a weight function $w(x)\geq 0$ on $[a,b].$ Denote by ...
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127 views

lagrange interpolation question here

We have the function : $f(x)=\cos(x) + \sin(x)$ and $x_0=0, x_1=0.25 , x_2=0.5, x_3=1$ a)Find Lagrange polynomial for this function. c)Find the real approximation error. d)Find the limit of the ...
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41 views

Is numerical stability preserved under basis transformation for pde

I'm using a Backward Time Central Space method to solve the heat equation in polar coordinates. In Cartesian coordinates, it is easy to show this is unconditionally stable (by assuming solution of the ...
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277 views

Taylor expansion: first derivative approximation with third order

About first derivative approximation with third order. Let $$f'(t)=\frac{(2t+h)\cdot{f(h)}-4t\cdot{f(0)}+(2t-h)\cdot{f(-h)}}{2h^2}+R.$$ Show that $$R=\frac{f'''(\xi)\cdot{(3t^2-h^2)}}{6}$$ and ...
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35 views

Metastable solution for system of nonlinear equations

System of nonlinear equations: $$E_i=\epsilon_i+\sum_{j\neq i}^N \left(\frac{1}{1+\exp(E_j/T)}-\frac{1}{2}\right)\frac{e^2}{r_ij} \tag 1$$ where $T=0.05$, $r_{i,j}$ is given symmetric matrix with ...
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230 views

Runge-Kutta method accuracy

I got Runge-Kutta method here and I solve this system using it. So here's Runge-Kutta stuff $k_1 = f(t_n, y_n)$ $k_2 = f(t_n + h/2, y_n + hk_1/2) $ $k_3 = f(t_n+h, y_n - hk_1 + 2hk_2)$ $y_{n+1} ...
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100 views

Numerical Methods for estimating divergence over an improper integral

Problem given a function $f(x)$, defined on $[ \epsilon, \infty )$. Is there a way to "numerically estimate" whether the integral of the function diverges over the domain $[ \epsilon, \infty )$? ...
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24 views

Nontrivial Matrix-estimate

I try to proof the following estimate: \begin{align} h' W^{-1} H W^{-1} h \geq c h' H h \qquad c>0, \qquad\qquad (1) \end{align} where $h\in\mathbb{R}^{K-1}$ and ...
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0answers
134 views

Inverse of Sum of Matrix Inverses

Given $N$ positive-definite matrices $\Lambda_i$, I need to efficiently compute $\Gamma_N$, where $$ \Gamma_n = \left(\sum_{i=1}^n \Lambda_i^{-1}\right)^{-1}. $$ Applying the Woodbury matrix identity ...
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0answers
125 views

How to generate a random matrix which have given singular values?

I know one method: generate a random matrix, apply SVD decomposition, modify singular values, and then multiply those matrices back together. However, I'm wondering how random this method is. Since ...
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46 views

Is scalar product a well-conditioned operation?

I'm reading a course and one of the exercises is about establishing whether scalar product is a well-conditioned operation. Here's their solution. They disturb each element of the vector by ...
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50 views

Inequality in H-curl function space

Define a function space V , $$ V:=\{\mathbf{v} \in \mathbf{L}^{1+\alpha}(\Omega), \mathbf{curl}~\mathbf{v} \in \mathbf{L}^2(\Omega)\}, $$ equipped with graph norm $$ \|\mathbf{v}\|_{V} := ...
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0answers
88 views

how to choose point spacing to approximate a parametric curve using line segments?

Suppose I have a parametric equation for a curve $\vec{r} = f(t)$, which I wish to draw using line segments between some set of points at times $t_0, t_1, t_2,$ etc. If I want to achieve a given ...
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0answers
49 views

When solving PDEs is there an alternative to interpolation for out-of-grid point?

I'm numerically solving a PDE where the space domain is huge. So, I often need to interpolate to get out-of-grid points needed by the finite difference algorithm. As a result, I've a lot of numerical ...
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0answers
126 views

Solution of an implicit Fourier transform equation

How does one solve the following equation ($\hat{a}(k)$ denotes the Fourier transform of $a(x)$ and $q$ is real positive): $$\hat{a}(k)=f(k)\widehat{a^q}(k).$$ This equation appeared in some paper. ...
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754 views

Show that the averaged vector field one step method is well-defined

Let $\dot{\mathbf{y}} = \mathbf{f}(\mathbf{y}), \;\mathbf{f}: D \subset \mathbb{R}^d \to \mathbb{R}^d$ be an autonomous differential equation with $\mathbf{f}$ smooth. We define the averaged vector ...
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57 views

To calculate a derivative of a set of points, is it more correct to interpolate finite differences or to derivate the interpolation?

I have a series of points extracted from numerical simulations. I also recently discovered the amazing power of finite differences. Nevertheless, I was used to estimate my derivatives from the ...
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48 views

Finding $k$ unknowns given the sum of their first $k$ powers

Motivation: The motivation for this question came from a Computer Science problem of finding duplicates in a list in constant time and constant space. If the list of numbers was $i_1, i_2, \ldots, ...
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67 views

automatization of numerical derivation

I would like to know if there is an automized or fast way to numerically derivate a large number of tab-delimited files (derived from the program kaleidagraph) and to automatically extract some key ...
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0answers
155 views

monotonic smoothing fit to be implemented (in python or other language)

In a post that already exists, implementation-of-monotone-cubic-interpolation, there is a good method for fitting data which necessarily includes all of the given points. But, what if I need to ...
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87 views

van der pol and liapunov

i have attempted this question and done as much as i possibly could, any help regarding this question would be very helpful and appreciated. a) show that the second-order differential equation for ...