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Clase 7 Calculo Numerico I

LU decomposition breaks a matrix down into lower and upper triangular matrices. It can be used to efficiently solve systems of linear equations by separating the elimination steps from the back substitution steps. The LU decomposition of a matrix A yields matrices L and U such that A = LU. This decomposition allows the system Ax = b to be solved by first finding an intermediate vector d using forward substitution with L, then finding the solution x using back substitution with U. The LU decomposition can also be used to efficiently calculate the inverse of a matrix.

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41 views19 pages

Clase 7 Calculo Numerico I

LU decomposition breaks a matrix down into lower and upper triangular matrices. It can be used to efficiently solve systems of linear equations by separating the elimination steps from the back substitution steps. The LU decomposition of a matrix A yields matrices L and U such that A = LU. This decomposition allows the system Ax = b to be solved by first finding an intermediate vector d using forward substitution with L, then finding the solution x using back substitution with U. The LU decomposition can also be used to efficiently calculate the inverse of a matrix.

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enrique
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Calculo Numérico I

Descomposición LU e
Inversión de Matrices

Dr. Luis Sanchez


LU Decomposition and Matrix Inversion

• Gauss elimination, in which the forward elimination


comprises the bulk of the computational effort, can be
implemented as an LU decomposition.

• Provides an efficient way to compute matrix inverse by


separating the time consuming elimination of the Matrix
[A] from manipulations of the right-hand side {B}.
LU Decomposition: Introduction
LU decomposition was originally derived as a decomposition of quadratic
and bilinear forms. Lagrange, in the very first paper in his collected works(
1759) derives the algorithm we call Gaussian elimination. Later Turing
introduced the LU decomposition of a matrix in 1948 that is used to solve the
system of linear equation.

Let A be a m × m with nonsingular square matrix. Then there exists two


matrices L and U such that, where L is a lower triangular matrix and U is an
upper triangular matrix.

u11 u12  u1m   l11 0  0 


0 u  u 2 m  l l 22  0 
U  22
and L   21
          
   
0 0  u mm  l m1 lm2  l mm 

J-L Lagrange
Where, A  LU A. M. Turing
(1736 –1813) (1912-1954)
Introduction
• Gauss elimination solves [A] {x} ={B}

• LU decomposition works on the matrix [A] and the


vector {B} separately.

• LU decomposition is very useful when the vector of


variables {x} is estimated for different parameter
vectors {B} since the forward elimination process is
not performed on {B}.
LU Decomposition
If:
L: lower triangular matrix
U: upper triangular matrix

Then,

[A]{X}={B} can be decomposed into two


matrices [L] and [U] such that:
1. [L][U] = [A]  ([L][U]){X} = {B}
LU Decomposition
Consider:
[U]{X} = {D}
So, [L]{D} = {B}
2. [L]{D} = {B} is used to generate an
intermediate vector {D} by forward
substitution.
3. Then, [U]{X}={D} is used to get {X} by back
substitution.
Summary of LU Decomposition
LU Decomposition

As in Gauss elimination, LU decomposition must employ

pivoting to avoid division by zero and to minimize round

off errors. The pivoting is done immediately after

computing each column.


LU Decomposition
System of linear equations [A]{x}={B}
a12 a31
 a11 a12 a13   x1  b1  l 21  ; l 31 
a      a11 a11
 21 a22 a23   x2   b2 
a32\
a31 a32 a33   x3  b3  l 32  \
a22
Step 1: Decomposition [ L][U ]  [ A]

a11 a12 a13  1 0 0


[U ]   0 a22/ a23/  
[L ]  l 21 1 0 
 0 0 a33 
//
 l 31 l 32 1 
LU Decomposition
Step 2: Generate an intermediate vector {D} by forward
substitution
1 0 0  d1  b1 
l     
 21 1 0 d 2   b2 
l31 l32 1 d 3  b3 

Step 3: Get {X} by back substitution.

a11 a12 a13   x1   d1 


 0 a'     
 22 a '23   x2   d 2 
 0 0 a ' '33   x3  d 3 
LU Decomposition-Example

 3  0.1  0.2   3 0.1 0.2 


A  0.1 7  0.3
0.3  0.2 10 
 0 7.003 0.293
 
  0 0.19 10.02 
0.1 0.3
l 21   0.03333; l 31   0.1000
3 3
a32\ 0.19
l 32  \   0.02713
a22 7.003

3  0.1  0.2   1 0 0
   
U   0 7.003  0.293 [L ]  0.03333 1 0
0   0.1000 .02713 1 
 0 10 .012 
LU Decomposition-Example (cont’d)
Use previous L and D matrices to solve the system:

 3  0.1  0.2   x1   7.85 


0.1     
 7  0.31  x2    19.3
0.3  0.2 10   x3   71.4 

Step 2: Find the intermediate vector {D} by forward substitution

 1 0 0  d1   7.85  d1   7.85 


0.0333         
 1 0 d 2    19.3  d 2    19.5617 
0.1000  0.02713 1 d 3   71.4  d 3   70.0843 
LU Decomposition-Example (cont’d)

Step 3: Get {X} by back substitution.

3  0.1  0.2   x1   7.85   x1   3 


0 7.0033  0.2933  x    19.5617    x     2.5 
  2     2  
0 0 10.012   x3   70.0843   x3  7.00003
Matrix Inverse Using the LU
Decomposition

• LU decomposition can be used to obtain the inverse of


the original coefficient matrix [A].
• Each column j of the inverse is determined by using a
unit vector (with 1 in the jth raw ).
Matrix Inverse: LU Decomposition
[A] [A]-1 = [A]-1[A] = I

Ax1  {b}1 Ax2  {b}2 Ax3  {b}3


1 0 0
     
Ax1  0 Ax2  1  Ax3  0
0 0 1 
     

1st column 2nd column 3rd column


of [A]-1 of [A]-1 of [A]-1

A 1
 {x}1 {x}2 {x}3 
Matrix inverse using LU decomposition Example
 3  0.1  0.2   1 0 0 3  0.1  0.2 
A  0.1 7  0.3 [L ]  0.03333 1 0  U   0 7.003  0.293
0.3  0.2 10   0.1000 .02713 1  0 10.012 
   0

1A. [L]{d}1 = {b}1


 1 0 0  d1  1 d1   1 
0.0333  d   0  d    0.03333
 1 0  2     2   
0.1000  0.02713 1 d 3  0 d 3    0.1009 
1st column of
1B. Then, [U]{X}1={d}1 [A]-1

3  0.1  0.2   x1   1   x1   0.33249 


0 7.0033  0.2933  x    0.03333   x    0.00518
  2     2  
0 0 10.012   x3    0.1009   x3   0.01008
Matrix inverse using LU decomposition Example
(cont’d)
2A. [L]{d}2 = {b}2

 1 0 0  d1  0 d1   0 
0.0333         
 1 0 d 2   1  d 2    1 
0.1000  0.02713 1 d 3  0 d 3  0.02713

2nd column of
2B. Then, [U]{X}2={d}2 [A]-1

3  0.1  0.2   x1   0   x1  0.004944


0 7.0033  0.2933  x    1    x   0.142903
  2     2  
0 0 10.012   x3  0.02713  x3   0.00271 
Matrix inverse using LU decomposition Example
(cont’d)

3A. [L]{d}3 = {b}3

 1 0 0  d1  0 d1  0


0.0333  d   0  d   0
 1 0  2     2   
0.1000  0.02713 1 d 3  1 d 3  1

3B. Then, [U]{X}3={d}3 3rd column of


[A]-1

3  0.1  0.2   x1  0  x1  0.006798


0 7.0033  0.2933  x   0   x   0.004183
  2     2   
0 0 10.012   x3  1  x3   0.09988 
Matrix inverse using LU decomposition Example
(cont’d)

 0.33249 0.004944 0.006798


[ A]1   0.00518 0.142903 0.004183
 0.01008 0.00271 0.09988 

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