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Concept
Error analysis (mathematics)
Summary
In mathematics, error analysis is the study of kind and quantity of error, or uncertainty, that may be present in the solution to a problem. This issue is particularly prominent in applied areas such as numerical analysis and statistics.
In numerical simulation or modeling of real systems, error analysis is concerned with the changes in the output of the model as the parameters to the model vary about a mean.
For instance, in a system modeled as a function of two variables Error analysis deals with the propagation of the numerical errors in and (around mean values and ) to error in (around a mean ).
In numerical analysis, error analysis comprises both forward error analysis and backward error analysis.
Forward error analysis involves the analysis of a function which is an approximation (usually a finite polynomial) to a function to determine the bounds on the error in the approximation; i.e., to find such that The evaluation of forward errors is desired in validated numerics.
Backward error analysis involves the analysis of the approximation function to determine the bounds on the parameters such that the result
Backward error analysis, the theory of which was developed and popularized by James H. Wilkinson, can be used to establish that an algorithm implementing a numerical function is numerically stable. The basic approach is to show that although the calculated result, due to roundoff errors, will not be exactly correct, it is the exact solution to a nearby problem with slightly perturbed input data. If the perturbation required is small, on the order of the uncertainty in the input data, then the results are in some sense as accurate as the data "deserves". The algorithm is then defined as backward stable. Stability is a measure of the sensitivity to rounding errors of a given numerical procedure; by contrast, the condition number of a function for a given problem indicates the inherent sensitivity of the function to small perturbations in its input and is independent of the implementation used to solve the problem.
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