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

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Chapter Three

Linear Equations and Least Squares Problems

Publisher Summary

Systems of linear equations arise very frequently in numerical problems, and therefore, the choice of an efficient solution method is of great importance. Formally, the problem consists in finding the solution of Ax = b, where A is the coefficient matrix, b the so-called right-hand-side vector, and x the unknown solution vector. The intention of the presentation of the algorithms that follow is not to instruct the users to write their own code for solving linear systems. It would be very hard to beat the code implemented in most of the popular software packages. The target of this presentation is to provide understanding and help to make the appropriate choices among the ...

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