STAT 30900/CMSC 37810. Mathematical Computation I — Matrix Computation

Department of Statistics
University of Chicago
Fall 2010

This is an introductory course on numerical linear algebra. The course will present a global overview of a number of topics, from classical to modern to state-of-the-art. The fundamental principles and techniques will be covered in depth but towards the end of the course we will also discuss some exciting recent developments.

Numerical linear algebra is quite different from linear algebra. We will be much less interested in algebraic results that follow from the axiomatic definitions of fields and vector spaces but much more interested in analytic results that hold only over the real and complex fields. The main objects of interest are real- or complex-valued matrices, which may come from differential operators, integral transforms, bilinear and quadratic forms, boundary and coboundary maps, Markov chains, graphs, metrics, correlations, hyperlink structures, cell phone signals, DNA microarray measurements, movie ratings by viewers, friendship relations in social networks, etc. Numerical linear algebra provides the mathematical and algorithmic tools for matrix problems that arise in engineering, scientific, and statistical applications.



Location: Eckhart Hall, Room 117

Times: 10:30–11:50AM on Tue/Thu.

Course staff

Instructor: Lek-Heng Lim
Office: Eckhart 122
Tel: (773) 702-4263
Office hours: 1:00–2:00 PM Tue/Thu

Course Assistant: Rina Foygel
Office: Ryerson N375
Office hours: TBA


The last three topics we would only touch upon briefly (no discussion of actual algorithms); they would be treated in greater detail in a second course.

Problem Sets

Problem set will be assigned biweekly and will be due the following week (except possibly in the weeks when there is a midterm). Collaborations are permitted but you will need to write up your own solutions.

Bug report on the problem sets or the solutions: lekheng(at)

Supplementary materials


Grade composition: 60% Problem Sets, 40% Final


Any one of the following books (listed in order of difficulty) would be acceptable.