Here are ten things about numerical linear algebra that you may find surprising if you’re not familiar with the field.
- Numerical linear algebra applies very advanced mathematics to solve problems that can be stated with high school mathematics.
- Practical applications often require solving enormous systems of equations, millions or even billions of variables.
- The heart of Google is an enormous linear algebra problem. PageRank is essentially an eigenvalue problem.
- The efficiency of solving very large systems of equations has benefited at least as much from advances in algorithms as from Moore’s law.
- Many practical problems — optimization, differential equations, signal processing, etc. — boil down to solving linear systems, even when the original problems are non-linear. Finite element software, for example, spends nearly all its time solving linear equations.
- A system of a million equations can sometimes be solved on an ordinary PC in under a millisecond, depending on the structure of the equations.
- Iterative methods, methods that in theory require an infinite number of steps to solve a problem, are often faster and more accurate than direct methods, methods that in theory produce an exact answer in a finite number of steps.
- There are many theorems bounding the error in solutions produced on real computers. That is, the theorems don’t just bound the error from hypothetical calculations carried out in exact arithmetic but bound the error from arithmetic as carried out in floating point arithmetic on computer hardware.
- It is hardly ever necessary to compute the inverse of a matrix.
- There is remarkably mature software for numerical linear algebra. Brilliant people have worked on this software for many years.