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(Johns Hopkins Studies in Mathematical Sciences) by Gene H. Golub, Charles F. Van Loan

This is one of the definitive texts on computational linear algebra, or more specifically, on matrix computations. The term "matrix computations" is actually the more apt name because the book focuses on computational issues involving matrices,the currency of linear algebra, rather than on linear algebra in the abstract. As an example of this distinction, the authors develop both "saxpy" (scalar "a" times vector "x" plus vector "y") based algorithms and "gaxpy" (generalized saxpy, where "a" is a matrix) based algorithms, which are organized to exploit very efficient low-level matrix computations. This is an important organizing concept that can lead to more efficient matrix algorithms.

For each important algorithm discussed, the authors provide a concise and rigorous mathematical development followed by crystal clear pseudo-code. The pseudo-code has a Pascal-like syntax, but with embedded Matlab abbreviations that make common low-level matrix operations extremely easy to express. The authors also use indentation rather than tedious BEGIN-END notation, another convention that makes the pseudo-code crisp and easy to understand. I have found it quite easy to code up various algorithms from the pseudo-code descriptions given in this book. The authors cover most of the traditional topics such as Gaussian elimination, matrix factorizations (LU, QR, and SVD), eigenvalue problems (symmetric and unsymmetric), iterative methods, Lanczos method, othogonalization and least squares (both constrained and unconstrained), as well as basic linear algebra and error analysis.

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