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Numerical Methods and Optimization in Finance by Enrico Schumann, Dietmar Maringer, Manfred Gilli

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Chapter Two

Numerical Analysis in a Nutshell

Publisher Summary

The analysis of the computational complexity of an algorithm provides a measure of the efficiency of an algorithm and is used for comparison and evaluation of the performance of algorithms. The definition of the problem size is central as the computational effort of an algorithm should be a function of it. Generally, the size is expressed as roughly the number of elements the algorithm has to process. A detailed comparison is generally difficult to make and mostly not very useful. The most important criterion for comparison is the execution time of the algorithm. In order to be practical, the measure has to be computed easily and has to be independent of the computational platform. ...

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