Numerical Linear Algebra
where the algebra stops being the arithmetic
Concept

Gaussian elimination — where it appears

12 essays name this object, across 5 fields. What follows is each of them, and the objects they name alongside it.
21-13-3-121-212-443-12as givenrows in the order 1 2 3 443-1201.251.252.502.51.5-30-0.5-0.52after step 1pivot 443-1202.51.5-3000.5400-0.21.4after step 2pivot 2.543-1202.51.5-3000.540003after step 3pivot 0.5‖PA − LU‖/‖A‖0largest multiplier0.75row order 4 3 2 1the pivot is chosen

Elimination is a sequence of choices

Gaussian elimination is taught as a procedure with no decisions in it. There is one decision at every step — which row to use — and every stability property the algorithm has comes from making it well.

elimination · elimination the matrix, lower triangle408 entriesits Cholesky factor1739 entries · 1331 created→‖A − LLᵀ‖/‖A‖1.4·10⁻¹⁶fill, symbolic1331fill, numeric1331n = 144 · density 3.2% · bandwidth 12same matrix, renumberedthe answer is identical to rounding

The factor is not sparse

A sparse matrix has a factor that is not sparse, and the gap between them is the entire reason iterative methods exist. The entries elimination creates can be counted before any arithmetic runs, from the graph alone.

sparsity · fill 10⁻¹²10⁻¹⁰10⁻⁸10⁻⁶10⁻⁴10⁻²110⁻¹⁷10⁻¹⁴10⁻¹¹10⁻⁸10⁻⁵10⁻²10¹xrelative error of the computed value(1 − cos x)/x², as written2 sin²(x/2)/x²no digits left at allbinary64 throughoutone function, two spellings · zero below 1.5·10⁻⁸

Cancellation takes the answer, not a digit

Subtracting two nearly equal numbers is exact. That is what makes it dangerous — the subtraction introduces no error at all, it exposes error the operands were already carrying, and the exposure can consume every significant figure at once.

arithmetic · cancellation [ ε 1 ; 1 1 ] x = [ 1 ; 2 ], exact answer (1.000000, 1.000000)with partial pivoting1101U after elimination1.0000001.000000computed xbackward error 0forward error 0without10⁻¹⁷10-1·10¹⁷U after elimination0.0000001.000000computed xbackward error 0.25forward error 0.71no error is raisedgrowth 10¹⁷

The swap that is not optional

Run elimination without a row interchange on a matrix that needs one and nothing announces a failure. There is no division by zero, no warning, and an answer of the right shape. It is simply wrong, and how wrong depends on a number you did not look at.

elimination · pivoting natural1739reverse Cuthill–McKee1354minimum degree1026nested dissection1413matrix: 408 entries · dense factor: 10440bandwidth 12 · 4.26× the matrixbandwidth 12 · 3.32× the matrixbandwidth 123 · 2.51× the matrixbandwidth 108 · 3.46× the matrixn = 144, five-point stencilevery ordering fills in; none avoids it

The order decides the memory

Four elimination orderings on one matrix give factors of 1,739, 1,354, 1,413 and 1,026 entries. All four factorisations are exact, all four return the same answer, and the one with the better asymptotics is not the one that wins.

sparsity · ordering 10¹10²10³10⁴10⁵10⁶10⁻⁹10⁻⁷10⁻⁵10⁻³10⁻¹number of terms addedrelative error against the exact sumin orderin a treecompensatedbinary32 · terms are 1/icompensated: 3·10⁻⁸

The order they are added in

Addition is associative in the algebra and is not associative in the arithmetic. The same million numbers, added in a different order, give answers that differ in the third significant figure — and the fix is not a wider float, it is a different order.

arithmetic · summation 0816243240110²10⁴10⁶10⁸10¹⁰10¹²10¹⁴matrix size ngrowth factor max|u| / max|a|the 2ⁿ⁻¹ boundworst of 30 randommedian randomWilkinson's matrix sits on the bound30 Gaussian matrices per sizeat n = 40: bound 5.5·10¹¹, worst 4.8

The bound that is never attained

Partial pivoting's stability guarantee permits the entries to double at every step — a factor of 5.5·10¹¹ at n = 40. The measured growth on random matrices of that size is about three. The gap is eleven orders of magnitude, and the guarantee is still worth having.

elimination · growth the mirrorx, length 4.000Hx = (-4.000, 0)v = x − αe₁safe sign: α = −‖x‖, so v is formed from a sum and nothing cancelsunsafe sign: α = +‖x‖ gives ‖v‖ only 35.1% of ‖x‖ + ‖x‖ — the digits go‖HᵀH − I‖5·10⁻¹⁶‖Hx‖ − ‖x‖8.9·10⁻¹⁶second component2.2·10⁻¹⁶built from a unit vectororthogonality is structural

A reflection cannot stop being one

Householder QR holds orthogonality at 10⁻¹⁵ whatever the condition number of the matrix, and Gram–Schmidt does not. The reason is not that it is more careful. It is that its Q is built from unit vectors, and rounding a unit vector gives a different reflection rather than a broken one.

orthogonality · householder the matrix43 entriestip eliminated first253 entriestip eliminated last43 entries‖A − LLᵀ‖/‖A‖, tip first1.4·10⁻¹⁶‖A − LLᵀ‖/‖A‖, tip last0dense factor is n(n+1)/2 = 253 · sparse factor is 2n − 1 = 43one row swapped to the endnothing numerical chose between them

Two ends of the same arrow

One matrix, one row moved from the front of the elimination order to the back, and the factor goes from completely dense to no fill at all. Both factorisations are exact to rounding, and nothing numerical chose between them.

sparsity · fill H13 x = b, b formed exactly so that x = (1, 2, …, 13)12345678910111213exact1.00002.00003.00133.97865.18864.993010.46720.048921.2657-2.575319.21478.906013.5113computed6.6 correct digits4.8 correct digits3.4 correct digits2.3 correct digits1.4 correct digit0.8 correct digitno correct digitsno correct digitsno correct digitsno correct digitsno correct digits0.6 correct digit1.4 correct digitbackward error2.2·10⁻¹⁷κ = 1.7·10¹⁸The algorithm solved a neighbouring problem perfectly. That problem's answer is this one.right-hand side built in BigInt rationalsthe truth is known

An answer that is known

Almost every demonstration of numerical error estimates the error by computing the same thing more carefully. The Hilbert matrix does not need that: its inverse is a closed form in integers, so the true answer is available exactly and the error is measured rather than approximated.

error · exact ground truth 10⁻³10⁻²10⁻¹1110¹10²10³10⁴pivot threshold τgrowth factor · entries in L+U, ÷ entries in Agrowthfillthe library default‖PA − LU‖/‖A‖ at τ = 0.12.9·10⁻¹⁶growth at τ = 0.138entries in L+U at τ = 0.1372one knob, two measurements, opposite directionsand the default is most of both

A threshold between fill and growth

One number decides how small a pivot an elimination will accept. At 0.001 the factor holds 172 entries and the matrix grows by 1,330; at 1 it holds 260 and grows by 1.2. The libraries ship 0.1, and the measurement says why.

sparsity · sparse pivoting the bound211no pivoting127τ = 0.00198τ = 0.003100τ = 0.01106τ = 0.03111τ = 0.1116τ = 0.3117τ = 1138entries in Ua bound, and its slackthe bound, from the graph alone211the worst that occurs138loose by1.5no arithmetic was done to compute the bound — only the pattern of AᵀA and its elimination graphGeorge and Ng: U fits inside chol(AᵀA), whatever the swapsprovable, cheap, and loose

What the symbolic phase can only bound

Without pivoting, the fill can be computed from the graph and the count is exact — 233 predicted, 233 measured. With pivoting it is 233 predicted and 242 measured, and what survives is a bound that is right at every threshold and loose by 1.7 times at the largest grid drawn.

sparsity · sparse pivoting

Named alongside it

The objects these essays reach for when they reach for this one.

Backward errorFill-inResidualSparsityGrowth factorPermutationFill-reducing orderingPartial pivotingBackward stabilityCatastrophic cancellationCholeskyElimination graph

All concepts