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Chole Sky

This document discusses Cholesky, Doolittle, and Crout factorizations, which are ways to factorize a matrix A into the product of a lower triangular matrix L and an upper triangular matrix U. The Cholesky factorization applies specifically to symmetric positive definite matrices, while Doolittle and Crout factorizations can be applied more generally. Examples are given applying each factorization method to find the LU decomposition of matrices.

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100% found this document useful (1 vote)
2K views6 pages

Chole Sky

This document discusses Cholesky, Doolittle, and Crout factorizations, which are ways to factorize a matrix A into the product of a lower triangular matrix L and an upper triangular matrix U. The Cholesky factorization applies specifically to symmetric positive definite matrices, while Doolittle and Crout factorizations can be applied more generally. Examples are given applying each factorization method to find the LU decomposition of matrices.

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navri_nalhad
Copyright
© Attribution Non-Commercial (BY-NC)
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Download as PDF, TXT or read online on Scribd
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Cholesky, Doolittle and Crout Factorization

6. Cholesky, Doolittle and Crout Factorization


Definition (LU-Factorization). The nonsingular matrix A has an LU-factorization if it can be expressed as the product of a lower-triangular matrix L and an upper triangular matrix U: . When this is possible we say that A has an LU-decomposition. It turns out that this factorization (when it exists) is not unique. If L has 1's on it's diagonal, then it is called a Doolittle factorization. If U has 1's on its diagonal, then it is called a Crout factorization. When (or ), it is called a Cholesky decomposition. Doolittle Factorization. If A has a Doolittle factorization A = LU.

Crout Factorization. If A has a Crout factorization A = LU.

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Cholesky, Doolittle and Crout Factorization

Cholesky Factorization. If A is real, symmetric and positive definite matrix, then it has a Cholesky , where U an upper triangular matrix ( ). factorizationhas a Cholesky factorization

Or if you prefer to write the Cholesky factorization as )

where L is a lower triangular matrix (

Theorem (A = LU; Factorization with NO Pivoting). Assume that A has a Doolittle, Crout or , is found in three steps: Cholesky factorization. The solution X to the linear system 1. Construct the matrices , if possible. for using forward substitution. 2. Solve for using back substitution. 3. Solve Example 1. Find the A = LU factorization for the matrix method.
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. Use the Doolittle

Cholesky, Doolittle and Crout Factorization

Solution 1.

Example 2. Find the A = LU factorization for the matrix method. Solution 2.

. Use the Crout

Example 3. Find the A = LU factorization for the matrix method. Solution 3.

. Use the Cholesky

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Cholesky, Doolittle and Crout Factorization

Example 1. Find the A = LU factorization for the matrix method. Solution 1.

. Use the Doolittle

file:///C|/numerical_analysis/chap02/CholeskyMod_lnk_1.html02.11.2006 20:02:20

Cholesky, Doolittle and Crout Factorization

Example 2. Find the A = LU factorization for the matrix method. Solution 2.

. Use the Crout

file:///C|/numerical_analysis/chap02/CholeskyMod_lnk_2.html02.11.2006 20:02:20

Cholesky, Doolittle and Crout Factorization

Example 3. Find the A = LU factorization for the matrix method. Solution 3.

. Use the Cholesky

file:///C|/numerical_analysis/chap02/CholeskyMod_lnk_3.html02.11.2006 20:02:20

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