Math 2.0

Numerical analysis Definition

Validated numerics

Builds on Interval arithmeticRound-off errorTruncation error

Definition

Let y∈ℝny \in \R^n be a quantity defined by a mathematical problem, such as a zero of a function or the value of an integral. A validated (or verified) computation of yy is an algorithm, run in floating-point arithmetic, with the following property. It either reports failure or outputs a set Y⊆ℝnY \subseteq \R^n, usually a box of intervals, such that y∈Yy \in Y is guaranteed. The guarantee must account for every round-off error and every truncation error of the computation. Validated numerics is the study and use of such algorithms.

Remarks

Example: the interval Newton test. Let f(x)=x2−2f(x) = x^2 - 2 and X=[1.4,1.5]X = [1.4, 1.5]; with midpoint m=1.45m = 1.45 and the enclosure [2.8,3.0][2.8, 3.0] of f′f' on XX, the interval Newton step is N(X)=m−f(m)/[2.8,3.0]=1.45−0.1025/[2.8,3.0]⊆[1.4133,1.4159]N(X) = m - f(m)/[2.8, 3.0] = 1.45 - 0.1025/[2.8, 3.0] \subseteq [1.4133, 1.4159]. Since N(X)⊆XN(X) \subseteq X and 0∉[2.8,3.0]0 \notin [2.8, 3.0], the interval Newton theorem shows that ff has exactly one zero in XX, and it lies in N(X)N(X). Done with outward rounding, this proves 1.4133≤2≤1.41591.4133 \le \sqrt{2} \le 1.4159. Non-example: running Newton's method in floating point until two iterates agree to 1515 digits gives an excellent approximation, but no guarantee, so it is not a validated computation.

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To understand this page from the ground up, read these 4 pages in order. The foundations come first.

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  1. Interval arithmetic concept
  2. Round-off error concept
  3. Truncation error concept
  4. Validated numerics definition

Further reading

  1. Web https://en.wikipedia.org/wiki/Validated_numerics
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Kinddefinition
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MSC65G20, 65G30, 65G40
DefinesValidated numerics
UsesInterval arithmetic, Round-off error, Truncation error

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