Many mathematical models in engineering, finance and science are based on differential equations. In general these equations cannot be readily solved analytically. This course introduces computational methods (finite difference methods) for solving partial differential equations that exploit the power of modern computer architectures.

Includes: Overview of scientific computing, iterative methods for linear systems, initial value problems, two-point boundary value problems, parabolic partial differential equations (heat equation), elliptic equations (Poisson equation), and hyperbolic partial differential equations.

Note: students must have some prior experience with simple computer programming. Familiarity with matlab is an advantage.