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L U Decomposition

L U decomposition factors a square matrix A into lower triangular matrix L and upper triangular matrix U, such that A = L*U. It was introduced by Alan Turing in 1948. It has applications in solving systems of linear equations by converting them to matrix form and solving using triangular matrices. To perform L U decomposition, the matrix A is first converted to row echelon form U using Gaussian elimination. The elements of L are then determined based on the operations performed to transform A into U. Solving the systems L*Z = C and U*X = Z then gives the solution variables X. An example illustrates the full process.

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53 views5 pages

L U Decomposition

L U decomposition factors a square matrix A into lower triangular matrix L and upper triangular matrix U, such that A = L*U. It was introduced by Alan Turing in 1948. It has applications in solving systems of linear equations by converting them to matrix form and solving using triangular matrices. To perform L U decomposition, the matrix A is first converted to row echelon form U using Gaussian elimination. The elements of L are then determined based on the operations performed to transform A into U. Solving the systems L*Z = C and U*X = Z then gives the solution variables X. An example illustrates the full process.

Uploaded by

Natasya Rahma Fadilla
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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L U decomposition of a matrix is the factorization of a given square matrix

into two triangular matrices, one upper triangular matrix and one lower
triangular matrix, such that the product of these two matrices gives the
original matrix. It was introduced by Alan Turing in 1948, who also created
the turing machine.
This method of factorizing a matrix as a product of two triangular matrices
has various applications such as solution of a system of equations, which
itself is an integral part of many applications such as finding current in a
circuit and solution of discrete dynamical system problems; finding the
inverse of a matrix and finding the determinant of the matrix.
Basically, the L U decomposition method comes handy whenever it is
possible to model the problem to be solved into matrix form. Conversion to
the matrix form and solving with triangular matrices makes it easy to do
calculations in the process of finding the solution.
A square matrix A can be decomposed into two square matrices L and U
such that A = L U where U is an upper triangular matrix formed as a result of
applying Gauss Elimination Method on A; and L is a lower triangular matrix
with diagonal elements being equal to 1.

For A = , we have L

= and U = ; such that


A = L U.
=>

Here value of l 21 , u11 etc can be compared and found.


Gauss Elimination Method
According to the Gauss Elimination method:
1. Any zero row should be at the bottom of the matrix.
2. The first non zero entry of each row should be on the right-hand side of
the first non zero entry of the preceding row.
This method reduces the matrix to row echelon form.
Steps for L U Decomposition
Given a set of linear equations, first convert them into matrix form A X = C
where A is the coefficient matrix, X is the variable matrix and C is the matrix
of numbers on the right-hand side of the equations.
Now, reduce the coefficient matrix A, i.e., the matrix obtained from the
coefficients of variables in all the given equations such that for ‘n’ variables
we have an nXn matrix, to row echelon form using Gauss Elimination
Method. The matrix so obtained is U.
To find L, we have two methods. The first one is to assume the remaining
elements as some artificial variables, make equations using A = L U and
solve them to find those artificial variables.
The other method is that the remaining elements are the multiplier
coefficients because of which the respective positions became zero in the U
matrix. (This method is a little tricky to understand by words but would get
clear in the example below)
Now, we have A (the nXn coefficient matrix), L (the nXn lower triangular
matrix), U (the nXn upper triangular matrix), X (the nX1 matrix of variables)
and C (the nX1 matrix of numbers on the right-hand side of the equations).
The given system of equations is A X = C. We substitute A = L U. Thus, we
have L U X = C.
We put Z = U X, where Z is a matrix or artificial variables and solve for L Z =
C first and then solve for U X = Z to find X or the values of the variables,
which was required.

Example:
Solve the following system of equations using LU Decomposition method:

Solution: Here, we have


A= and such
that A X = C.

Now, we first consider and convert it to row echelon


form using Gauss Elimination Method.
So, by doing

(1)
(2)
we get

Now, by doing

(3)
we get

(Remember to always keep ‘ – ‘ sign in between, replace ‘ + ‘ sign by two ‘ – ‘


signs)
Hence, we get L = and U

(notice that in L matrix, is from (1), is from (2)


and is from (3))

Now, we assume Z and solve L Z = C.

So, we
have

Solving, we get , and .


Now, we solve U X = Z
Therefore, we
get ,

Thus, the solution to the given system of linear equations is


, , and hence the matrix X

Exercise:
In the LU decomposition of the matrix
| 2 2 |
| 4 9 |
, if the diagonal elements of U are both 1, then the lower diagonal entry l22
of L is (GATE CS 2015)
(A) 4
(B) 5
(C) 6
(D) 7
For Solution, see http://quiz.geeksforgeeks.org/gate-gate-cs-2015-set-1-
question-28/
This article is compiled by Nishant Arora. Please write comments if you find
anything incorrect, or you want to share more information about the topic
discussed above.

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