G22.2112-001 (also  G63.2043)

Scientific Computing - Fall 2007

Aaditya Rangan

Office hours: Wednesdays 3:00pm-5:00pm, or by appointment

Course Description:

This is a one semester graduate course, which will introduce some of the basics of practical scientific computing.

Topics will include:

  1. basic principles of numerical analysis (conditioning and backwards stability).
  2. numerical linear algebra (conditioning, basic factorization techniques and hopefully the conjugate gradient method).
  3. numerical methods for ordinary differential equations (polynomial interpolation, quadrature, richardson extrapolation and linear stability analysis).
  4. fourier transforms (FFT, convolutions, brief introduction to spectral methods).
  5. numerical methods for stochastic differential equations (brief introduction to stochastic calculus)

The prerequisites are calculus, linear algebra, basic probability and statistics, and fluency in some computer language (Matlab will do).

The syllabus, grading scheme and lecture notes will be posted as they become available.