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Active Set -- Numerical Linear Algebra and Optimization

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Wright Review by: Janusz Kowalik and Karel Zikan SIAM Review, Vol. 35, No. 1 (Mar., 1993), pp. 155-158 Published by: Society for Industrial and Applied Mathematics Stable URL: http://www.jstor.org/stable/2132543 . Accessed: 16/09/2013 16:35

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BOOK REVIEWS

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may haveon theobserved ofperturbadecay tionsof a nonlinear wave. The readeralso a quick finds butcompetent introduction into forms and resonances. Butthegenandinstabilities normal Theformation ofpatterns is played bytheSwift-Hohenberg indissipative systems that liveon an infinitely eraltheme inthespace is which of fourth order equation, ofimextended space-domain posesa number variable, has a translational and reflectional portant and challenging problems.Though inspaceandmodels somerealdissymmetry that alldomains arebounded onecouldargue suchas theTaylor-Couette sipative systems, may inreality, their extension inonedirection in system hydrodynamics. The reflectional distance be so largeand thus theseparation in be a moving symmetry can broken coorso smallthatit is wise between eigenvalues dinatesystem, which againcan cause conto seekan analysis extended oftheinfinitely andnewtypes vective instabilities ofbifurcaa posandconsider effects casefirst boundary tion. While these bifurcations can be studexhibit bithesesystems teriori.In general in ied the context of perturbed reversible sysa continuum ofmodesbefurcations, where theanalysis tems, ofthenearby dynamics rereduccomes unstable, andthus theclassical In thecaseofbifurcated new methods. quires litIn thephysical tionmethods failtowork. a nonlinear version space-periodic solutions, equations have erature so-called modulation of Bloch or is to Floquet theory developed in which are debeen use forsome time, their timebehavior-inparticular, multiscaling. describe rived formally using appropriate The bookis mostinteresting their stability. underthe term Theyare generally known when analyzing thedynamics offronts. This Their validity "Ginzburg-Landau" equations. is doneon thebasisof a careful bifurcation a wideopenproblem. Basic for alltime is still analysis on a half is usedtopaste spacewhich ofthe timemathematical results onestimates the two inhomogeneous parts together, which only interval of validity havebeen obtained front. are created by the These are solutions authors and recently bytheabove-mentioned that a stable connect to an unstaequilibrium alsobyvanHarten. ble one andpropagate intothelatter region. book by Pierre Thedeclared purpose ofthis for The analysis given the Swift-Hohenberg is to tackle ColletandJean-Pierre Eckmann ofanytype is independent ofmaxibifur- equation andto treat somesignificant problems mum principle andis,therefore, to applicable in anddynamics cation ofdissipative systems ofsystems. In contrast a widerange extended domains overall times. Thebookis essentially self-contained for a to themany ad hocsolutions ofspecial probreader with basic of some knowledge bifurcaa moregento stress lems,the authors try andhigher tion The lesspretheory analysis. eral and systematic pointof view. In fact willfind a well-chosen user pared sequence the intention isdistinctly bookthis throughout and a of but elementary significant examples are wellchosenand refelt. The examples to the literature. good guide flect thegeneral without succumbstructure ofa toogeneral or too ingto thetemptation KLAUS KIRCHGASSNER a fine technical Thebookgives presentation. ofStuttgart University overview of thepresent stateof thesubject, notin thesenseof a comprehensive monobutrather as a quick picgraph, professional Numerical Linear Algebraand Optimization; andtheactual ture ofthemain advances ques1. By Philip E. Gill,Walter Murray, and Vol. Itcontains a short introtions tobe answered. H. Wright. Addison-Wesley, Redofbifurca- Margaret duction tothe now classical aspects CA, 1991.xvii+ 426pp. $48.50, tionand thelocaldynamics intheneighbor- woodCity, ISBN 0-201-12649-4. cloth. states. Atthesametime itis a hoodofcritical to thenewboundaries, eagertoinform guide The authors' intent is to combine exposithereader relevant litaboutthemost recent tionon thefundamentals ofnumerical linear erature. with algebra thoseof optimization. HistorA fewremarks on themaincontent may ically, numerical analysis texts seldom menbe in order.A careful ofconvecdiscussion tionoptimization beyond superficial lip sertivestability is given, the role emphasizing tend optimization texts which thechosenmoving coordinate-system vice,and viceversa, A Volume inthePrinceISBN 0-691-08568-4. inPhysics. tonSeries

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156

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stabletechto be naiveaboutnumerically used in of matrices niquesformanipulation and Gill,Murray, algorithms. optimization by separation this unfortunate rectify Wright tobothsubjects aboutand teaching writing oftheir volume Thisbookis thefirst gether. algebra linear work onnumerical two-volume andoptimization. nudealswith ofthework volume Thefirst oflinsystems algebra, oflinear issues merical problems, linearleast-square ear equations, to linear approaches (pivoting) and classical dealswith volume Thesecond programming. The optimization. fornonlinear techniques programming-that linear for methods newer also inpointmethods-are is, theinterior Thesemethods volume. inthesecond cluded techniques optimization general are,in fact, setforthe linearprogramming specialized ting. numerinmodem background a solid Since in nearly evis required ical linearalgebra mathematics (not eryarea of computational in many other textbooks only optimization), would computing scientific areasofnumerical a coherent bodyof from presenting benefit oflinear ofsystems knowledge thespecialized erproblems, linear least-squares equations, and specialmethfactorization, roranalysis, problems. ill-conditioned ods forhandling can and Wright The book of Gill,Murray, this obofaccomplishing as an example serve jective. a teammorequalfind One couldhardly authors thisbook. The three to write ified theleaders among beenrecognized havelong contribufor their optimization in numerical as well. Toandpractice to thetheory tions Gill,Murray, with Michael Saunders, gether theSysformed years formany and Wright (SOL) at StanLaboratory temOptimization DepartResearch Operation ford University SOL havebeen also ment. (Affectionately, the as "The GangofFour.") Among known ofoptitothetheory SOL contributions many the famous mention atleast weshall mization, interior point Karmarkar's paper[2]inwhich to is shown programming forlinear method ofthe specialization programming be a linear of nonlinear programming. method barrier atSOL-NPSOL, QPSOL, Thecodeswritten MINOS, and so on-have longbeenwidely alike.An and academia byindustry adapted PracandWright, text Murray, earlier byGill, is 1981), Press, (Academic tical Optimization

optimizanumerical for reference a standard methods. tion thenewbookif appreciate We can better unstated, albeit on theunderlying, weexpand focus at SOL. The all-consuming philosophy codeandon solvbetter at SOL is onwriting TheSOL problems. optimization ing practical while patience almost infinite show personnel roucasesin a numerical outspecial sorting at all forarshowno patience butthey tine, At discourses. cane or baroquetheoretical In wins overscholarly. always SOL, practical fruitofthemost hundreds wefind book, this bytheSOL exatleastas measured ideas, ful perience. can be viewed SOL research Historically, men. ofthree great ofwork as a continuation to manis the late JimWilkinson The first whom thebookis dedicated.He essentially linrobust ofnumerically thefield originated The secondman computations. ear algebra factorwork on matrix is GeneGolubwhose valuedecomandsingular ingeneral izations the way changed forever inparticular position equaoflinear systems ill-conditioned large, are solved. problems and least-squares tions whois Dantzig manis George Thethird great as the aswell programming father oflinear the he gave ways, many ofSOL. In a great father ofoptimization. life tothefield 'An intheintroduction: state The authors a will be that throughout message underlying based bothsoundly requires good algorithm implemennumerical and careful motivation is sometimes the former tation. Although off is!" Then, never thelatter straightforward, thebook their point, toprove start to a quick 2. Exon page8 ofChapter inearnest begins the andthere, here a few sections dry ceptfor bookis hardto putdown.The pace is brisk, isvigorous. thewriting the book coversthe In the givenorder, background, algebra topics:linear following and condiof erroranalysis fundamentals of systems equations, oflinear systems tion, oflinsystems butcompatible rank-deficient linear problems, least-squares ear equations, andlinear prooflinear inequalities systems Method. Each and theSimplex gramming, the to a chapter; corresponds ofthese topics ina strictly logical eachother follow chapters thelater topofapplications, In terms order. ones. theearlier for motivation icsprovide to pay be forewarned The readershould parenthetito themany attention particular

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BOOK REVIEWS

157

calremarks liberally sprinkled throughout the book.ToquoteGeorge Polya:"Theadvanced reader whoskips parts that appear tohim too elementary maymissmorethantheless advanced whoskips that to reader parts appear himtoo complex."In thisbook,thefabric of successful numerical optimization is wovenintothemany sideremarks. Thisstratintentional or not,appears egy, appropriate. It seemsto be thenature ofnumerical optiin addition mization that, to thefew intrinsia virtually cally deep results, suchas duality, endless minor can stream ofon-surface points havecrucial influence. Mostofthetime, Gilletal. give only examdo work: plesofthings that Cholesky Factorization, Givens Rotations, Householder Reand so on. On occasion, flections, however, that do not they give examples ofthings work, butthat to try.Forinare awfully tempting formula isusestance, the Sherman-Morrison fulin theory inpractice. butdeadly You can ifyounever a lot ofgrief saveyourself ever in an algoto use this try updating technique Ifyou blink rithm. andmiss the last paragraph of ?4.11.2, then however, youmaynotlearn this itis toolate. lesson before The book is richin smallnumerical exthat wellthecomputational amples illustrate at hand. The overall ofthe points approach book is very and intuitive, but geometrical the bookcontains tohelp toofew sadly figures the own uninitiated with their developing geometric intuition. Weconsider this tobe oneof theweaknesses ofthebook. Another weaklies in themoness,at leastin our minds, tivating examples.Theyseemto lackspice. Allthree anauthors areprimarily numerical alysts;theydo not formulate optimization solvethem.Perhaps forthis problems, they reason which should themotivating examples aboutnuraisereaders' levelof excitement merical fail. The problem optimization lies with not theselection, but with theexposition. On thesurface, theexamples appearattracbutcomeoutbland.(Theexercise tive, problemsaregood.) We found twotopics conspicuous bytheir absence-theparallel computing techniques, and the sparsematrix Both computations. ofthese aregeared toward solving very large ofthealgoversions problems. Often, special ormoderately sized rithms effective for small we solvelarge must be usedwhen problems theefbetween problems.The differences

fective sequential denselinearalgebra algorithms and the effective parallelor sparse techniques canbe significant. Sparse linear alinheuristics aremuch richer gebra techniques thenthefullmatrix solvers.Parallel implementations runintotheproblems oflatency, granularity, synchronization, and other such insequential issues absent implementations. Itissurprising that Gilletal. decided toexcludetheparallelism and especially sparsity from their book. In thefield ofsparse topics matrix computations, the threeauthors betheleading world longamong experts. Moreat leastone other over, linear programming a successful textbook includes already discussion of sparsematrix fundacomputations mentals (V Chvatal [1]). The onlyreason we can see forthe omission is the already formidable sizeoftheproject. The case ofparallel computation is somewhat different because thefield ofparallel linear algebra is new, almost to thepoint ofbeingin itsinfancy. Still, many mathematically andnumerically solid have parallel algorithms and tested. These deserve been developed inan advanced somelevelofdiscussion book on numerical linear andoptimization algebra because islikely tobecome parallel processing a standard intherelacomputational practice nearfuture. Parallel be tively computing may inforced scaleproblems uponusbythelarge inthegrand herent ofscience and challenges of thenextdecades. The new engineering edition ofGolubandVanLoan'sclassic Matrix extensive disComputations [3] contains ofvector and parallel cussions computation. and Wright Gill,Murray, mayliketo follow andmentor, GeneGolub, andintheir friend related to parallel cludesomematerial prointhenext oftheir edition book. cessing with We conclude three minor andbiased comments. The first comment theauis that andbibthors decided notto offer historical notesat the close of chapters. liographical Given thewealth ofinformation collecthey we find their decision tively possess, disapforfurther pointing.The brief suggestions cannot be as entertaining as an inreading formed Thesecond comment pieceofhistory. Y isanunfortunate a matrix isthat for symbol onFarkas when the whole (see ?7.7.2 Lemma) available. Thethird alphabet (except A) isstill isthat eachchapter isintroduced comment by a quotation; these do lighten up themooda goodbit.

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thisbook. Overall, recommend We highly blend of numerical the book is a successful linearalgebra,and linearoptimizaanalysis, tion. The authorshave achieved excellently a unifiedintroductheirgoals of providing tionto thesethreecloselyrelatedfields. We and practithe textforstudents recommend Mathematics, Research, ofOperations tioners Science,and Engineering. Computer

REFERENCES

W H. (1983), LinearProgramming, [1] V. CHVATAL Freeman and Co., New York, San Francisco. [2] P. E. GILL, W MURRAY, M. A. SAUNDERS, J. A. TOMLIN, AND M. H. WRIGHT(1986),

for methods barrier Newton On projected to andan equivalence programming linear ProMath. method, projective Karmarkar's

36, pp. 183-209. gramming, Second Ed., Prenticetrix Computations, NJ. Hall, EnglewoodCliffs, JANusz KOWALIKAND KAREL ZIKAN

Non-LinearPhenomenain Scienceand EngiRowlands.Ellis Horwood By George neering. UK, 1990. 172 pp. $ 79.95. ISBN 0Limited,

phenomnonlinear that Thereis no doubt in mathfashionable very ena are nowadays and topscienceand engineering, ematics, in in parties icslikechaosarenowdiscussed was in the twenthesamewayas relativity occurs science" (which ties.Even"nonlinear a popisnow Preface) lineofthe atthesecond science" "discontinuous although ularterm, thestudy to characterize proposed wasnever One can speakof phenomena! of quantum or evenlinanalysis, orlinear algebra, linear a classof to delimit physics earmathematical or analyin algebra and problems questions linwith dealing physics sis or mathematical sci"nonlinear but orequations, earmappings to define.The ence"maybe moredelicate or, philosophy" be "nonlinear should step next At leastthe theology." not,"nonlinear why

titleNon-LinearPhenomenain Science and

hereis less ambitious analyzed Engineering it evenif the material and less ambiguous, pages twohundred in lessthan cover should is formidable. in hisdeficient is somewhat The Preface not should andthereader perspective, torical Altooseriously. takesomeofitsstatements imdeniesthefundamental nobody though workin the qualitaof Poincare's portance differofnonlinear study andquantitative tive that notforget one should equations, ential mechanics, by celestial motivated his work, of study was in thelineof a longtradition Newton's with starting problems ofnonlinear gravitation andNewton's ofmotion equations likeEuler,Labyscientists lawas illustrated Gauss,andBessel. Laplace,Poisson, grange, havebeen mechanics andcelestial Analytical andlinbeginning, very their from nonlinear of the physics was onlydominating earity and heat,electromagnetism, (light, "fields" theexcepwith mechanics), quantum finally and afBut,before tionof hydrodynamics. been have phenomena nonlinear Poincare, ter bymany studied andintensively continuously as byengineers (andnotonly mathematicians where onp. 13intheIntroduction, mentioned ofJacoma), instead readTacoma one should ofnonlinear thestudy recently, evenif,until as today (bewasnotas fashionable problems ofmathematviews causeofnarrow-minded Conmathematics"). ics suchas "structural agreewith completely one cannot sequently, at thevery Poincare like'Although sentences understood century ofthepresent beginning is nowcausing ofwhat much about andwrote science, of nonlinear in thefield excitement bymostof thescienwas ignored hiswork or "Not recently" fairly until community tific are essentially which a few phenomena until ofthelosolutions likethechaotic nonlinear, problems to ecological mapas applied gistic by as found attractor byMayor thestrange prediction, ofweather Lorenzin hisanalysis of didthestudy analysis, totheoretical yielded a from change phenomena nonlinear intrinsic this Although industry." a to major cottage in the Inamended is somewhat viewpoint other many thePreface, following troduction beenmentioned have andshould could names page long the seventy using,forexample, Asympmonograph, of Cesari's bibliography

in OrdiProblems toticBehaviorand Stability in 1959. Equations,published Differential nary

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