Course: STAT 24300=STAT 30750
Title: Numerical Linear Algebra
Instructor(s): Eric Baer
Class Schedule: Sec 01: MW 1:30 PM–2:50 PM in Eckhart 133
Textbook(s): Strang, Linear Algebra and Its Applications, 4th edition.
For those taking course as STAT 30750, in addition to Strang: Watkins, Fundamentals of Matrix Computation, 3rd edition.
Description: This course is devoted to the basic theory of linear algebra and its significant applications in scientific computing. The objective is to provide a working knowledge and hands on experience of the subject suitable for graduate level work in statistics, econometrics, quantum mechanics, and numerical methods in scientific computing. Topics include Gaussian elimination, vector spaces, linear transformations and associated fundamental subspaces, orthogonality and projections, eigenvectors and eigenvalues, diagonalization of real symmetric and complex Hermitian matrices, the spectral theorem, and matrix decompositions (QR, Cholesky and Singular Value Decompositions). Systematic methods applicable in high dimensions and techniques commonly used in scientific computing are emphasized. Students enrolled in the graduate level STAT 30750 will have additional work in assignments, exams, and projects including applications of matrix algebra in statistics and numerical computations implemented in Matlab or R. Some programming exercises will appear as optional work for students enrolled in the undergraduate level STAT 24300.
Prerequisite(s): Multivariate calculus (MATH 19520 or 20000 or 20500 or equivalent). Previous exposure to linear algebra is helpful.