TITLE: Why are numerical solutions preferred to analytical solutions?
QUESTION [8 upvotes]: I'm just learning about optimization, and the difference between an analytical solution, and a numerical one. Suppose there is a cost function f(x), and we want to find the value of x which minimizes this. In an analytical solution, we would differentiate with respect to x, i.e. find df(x)/dx. Whereas in a numerical solution, we would try values of x, and see in which direction we need to change x in order to move towards the solution (gradient descent).
It seems to me that the analytical solution is always preferred because it gives you an exact answer. You do not get stuck in local minima and you can be sure that your solution is correct. So why do we not always use analytical solutions?
I understand that numerical solutions make things easier because you don't have to work out by hand the analytical solution, but it seems to me that solving something by hand to get a precise answer is highly preferred to doing it computationally for an approximate answer.
Can somebody clear this up for me? Thanks!

REPLY [2 votes]: In addition to answers already given, it might well be that your "analytic expression" will have to be numerically evaluated in applications anyway, and that its evaluation will often be less efficient, more numerically unstable, or even both, than had you just constructed a numerical solution at the outset.

Let me quote the following from Acton, who puts it more eloquently than I ever could:

Formal mathematical training is a frequent if minor villain 
  in the righteous struggle for efficient computer use. For 
  example, every college sophomore has seen linear algebraic 
  equation solving expressed in two lines as $$\begin{align*}&\qquad\mathbf A\mathbf x=\mathbf b\\&\text{so}\\&\qquad\mathbf x=\mathbf A^{-1}\mathbf b\end{align*}$$ It is not surprising that, faced with an equation set, he invokes a computer library program to invert his matrix $\mathbf A$ and then multiply it into $\mathbf b$. The fact that this sequence of operations 
  takes at least three times as much labor on the part of the computer as a direct solution of the original problem by the elimination of variable technique has never penetrated his consciousness. The glibness of the formal mathematical 
  notation has obscured the realities of the arithmetic process.
...
The student that worships at the altars of Classical Mathematics should really be warned that his rites frequently have quite oblique connections with the external world. 

and in a later section

$$F(b)=\frac{\pi}{2}\cos b-\left[\cos b\int_0^b\frac{\sin t}{t}\mathrm dt+\sin b\int_b^\infty\frac{\cos t}{t}\mathrm dt\right]\qquad\qquad\text{(10.17)}$$ This formulation of our function is another way to get the series representation. Since the two integrals are functions tabled in several standard references [AMS 55] $\text{(10.17)}$ is also the practical formula for hand evaluation of $F$. When we consider automatic computation, however, this expression for $F(b)$ is virtually useless, since it requires the subcomputation of two nonstandard functions, one of them containing a singularity at the origin. We quote it here merely to stress how different in utility a particular expression may be for hand and automatic computations.