Numbers on the GMAT are always real numbers- if you know what imaginary numbers are, do your best to forget about them! On the GMAT, you can't take the square root of a negative, so if you see a question like:
For which value of x is sqroot(x-4) not defined?
A) 3
B) 4
C) 5
D) 6
E) 7
the answer is, of course, A, because we can't take square roots of negatives on the GMAT. In more advanced math, square roots of negatives are defined (using i, the square root of -1, as Sudhir points out), but they are undefined on the GMAT.
For online GMAT math tutoring, or to buy my higher-level Quant books and problem sets, contact me at ianstewartgmat at gmail.com
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