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Hacettepe University Department of Environmental Engineering

1. LU decomposition factors a matrix A into lower triangular matrix L and upper triangular matrix U. This decomposition allows for efficient solving of systems with the same coefficients but different right-hand sides. 2. The document discusses various LU decomposition algorithms including Crout decomposition, Cholesky decomposition for symmetric matrices, and algorithms for banded matrices like tridiagonal systems using Thomas algorithm. 3. Iterative methods like Gauss-Seidel are also covered, which start with an initial guess and iteratively update the solution variables until convergence is reached.

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0% found this document useful (0 votes)
55 views44 pages

Hacettepe University Department of Environmental Engineering

1. LU decomposition factors a matrix A into lower triangular matrix L and upper triangular matrix U. This decomposition allows for efficient solving of systems with the same coefficients but different right-hand sides. 2. The document discusses various LU decomposition algorithms including Crout decomposition, Cholesky decomposition for symmetric matrices, and algorithms for banded matrices like tridiagonal systems using Thomas algorithm. 3. Iterative methods like Gauss-Seidel are also covered, which start with an initial guess and iteratively update the solution variables until convergence is reached.

Uploaded by

Dilan Ağkoç
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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HACETTEPE UNIVERSITY

DEPARTMENT OF ENVIRONMENTAL
ENGINEERING

CEV 206 – NUMERICAL ANALYSIS

LECTURE 7

Dr. Ece Kendir Çakmak


LU Decomposition
 Gauss Elimination:

Inefficient when solving equations with the same


coefficients [A], but with different b’s

LU decomposition separate the time-consuming


elimination of the matrix [A]from the manipulations of
the right-hand side{B}.
-As[A] has been “decomposed,” multiple right-hand-
side vectors can be evaluated in an efficient manner.
Overview of LU Decomposition

Expression as an upper
triangular system
 Assume that there is
a lower diagonal
matrix with 1’s on
the diagonal

 If you multipy [L]


with
Chapra and Canale (2010)

1. LU decomposition step.[A] is factored or “decomposed” into lower [L] and upper


[U]triangular matrices.
2. Substitution step.[ L] and [U] are used to determine a solution {X} for a right-hand side{ B}
-
- is used to generate an intermediate vector { D} by forward substitution.

Then, the result is substituted into back substitution for{X}


LU Decomposition of Gauss Elimination
 Gauss elimination can be used to decompose [A] into [L]
and [U].

direct product of the forward elimination


-upper triangular format
 the matrix [L] is also produced during the step

The first step in Gauss elimination is to


multiply row 1 by a21/a11 and substract result
from second row
Then, to multiply row 3 by a31/a11 and
substract result from third row

Then to multiply modified second row by


a’32/a’22 and substract result from third row
 We could save the f ’s and manipulate {B}later.
 [A] matrix can therefore be written as:

an efficient storage of the LU


decomposition of [A]
Example ( LU Decomposition with Gauss
Elimination)
 Derive an LU decomposition based on the Gauss
elimination for:

SOLUTION:

1.Multiply first equation with 0.1/3 and


7.00333x2-0.293333x3
substract from the second equation:

2. Multiply first equation with 0.3/3 and -0.190000x2+9.900000x3


substract from the third equation

3. Multiply modified second equation with


10.0120x3
-0.190000/7.00333 and substract from the
modified third equation
 After forward elimination:

And for L, we can calculate factors:


f21:0.1/0.3: 0.0333333
f31: 0.3/3: 0.1
f32: -0.190000/7.00333: −0.0271300
 Finally,

You can verify the result by performing the


multiplication of [L][U ] to check with original [A]
 Now we can perform the substution step:

Forward-elimination phase of
conventional Gauss elimination

The forward-substitution phase

Do not
change b’s

multiplying out the left-hand side

d1: 7.85
0.0333333*d1+d2: -19.3  d2= −19.5617
0.1*d1+-0.0271300d2+d3: -19.3  d3= −70.0843
 Then,

X’s can be solved:


Crout Decomposition
 Doolittle decomposition: The [L] matrix has 1’s on the
diagonal.

 Crout decomposition: a [U] matrix with 1’s on the


diagonal.

This approach generates [U] and [L] by sweeping


through the matrix by columns and rows,
There is no need to store the 1’s on the diagonal of [U] or the 0’s for [ L] or [U]
because they are givens in the method

the values of [U] can be stored in the zero space of [L].

as each element of [L] and [U ] is computed, it can be substituted for the


corresponding element of [A]
Matrix Inverse

Calculation of the inverse:

column-by-column fashion by generating


solutions with unit vectors as the right-hand-
side constants.
the resulting solution will be the first column
of the matrix inverse.

the resulting solution will be the second


column of the matrix inverse
Example:
 Employ LU decomposition to determine the matrix
inverse:
 Solution:

 Initial step: The forward-substitution solution procedure


with a unit vector (with 1 in the first row) as the right-
hand-side vector

[L]

We can solve D’s :


 Second step: Put d’s to find x’s

[U]
 Third step: The calculated x values will be the first
column of the inverse matrix

Now, we need to operate two further calculations to


determine the values in the second and the third
column…
 The result:

 You can verify your result by checking:


Error Analysis and System Condition
 Inverse provides information whether systems are ill-
conditioned or not.

 How to perform:

 1. Scale the matrix of coefficients [A] so that the largest


element in each row is 1. Invert the scaled matrix. if there
are elements of the inverse matrix [A]-1 has several
orders of magnitudeg reater than one, it is likely that the
system is ill-conditioned
 2. Multiply the inverse by the original coefficient matrix
and assess whether the result is close to the identity
matrix. If not, it indicates ill-conditioning

3. Invert the inverted matrix and assess whether the result


is sufficiently close to the original coefficient matrix. If not,
it again indicates that the system is ill-conditioned
Matrix Condition Number
 Definition of norm: a real-valued function that provides a
measure of the size or “length” of multi-component
mathematical entities such as vectors and matrices

a vector in three-dimensional Euclidean


space F= [a b c]

The length of this vector

Chapra and Canale (2010)


 The size of a vector:

 The size of a matrix:


Uniform matrix norm
 Alternative norm

uniform matrix norm:

the sum of the absolute value of the elements is


computed for each row, and the largest of these is
taken as the norm
Matrix Condition Number
 Matrix condition number can be calculated as:

This number will be greater than or equal to 1

Numbers close to 1 are said to be well-conditioned.


Example:
 Use the row-sum norm to estimate the matrix condition
number for the 3×3 Hilbert matrix (notoriously ill-
conditioned)

Solution:

First step: Normalized so that the maximum


element in each row is 1
Sum: 1+1/2+1/3=1.833
Sum: 1+2/3+1/2=2.1667
Sum: 1+3/4+3/5=2.35 (uniform
matrix norm)

=2.35

Now we need to find, inverse matrix :

Sum: 9+18+10=37
Sum: 192
Sum: 180
= 192*2.35= 451.2

ill conditioned
Special Matrices
 Banded matrix: a square matrix that has all elements
equal to zero, with the exception of a band centered on
the main diagonal

 A band matrix with k1 = k2 = 0 is a diagonal matrix


 A band matrix with k1 = k2 = 1 is a tridiagonal matrix

BW: band width


HBW: half band
width
 Gauss elimination or conventional LU are inefficient
since if pivoting is unnecessary none of the elements
outside the band would change from their original values
of zero
Tridiagonal Systems
 Band width:3

Thomas algorithm:
1. Decomposition
ek=ek/fk-1, fk=fk-ek-gk-1
2.Forward substitution
rk=rk-ek*rk-1
3. Back substitiution:
xk=(rk-gk*xk+1)/fk
Example:
 Solve the tridiagonal system with the Thomas algorithm

 Solution:

 Decomposition:
e3: -1/1.550=-0.645
e2: -1/2.04=-0.49
f3=2.04-(-0.645)*(-1)=1.395
f2=2.04-(-0.49)*(-1)=1.550
g3=-1
g2=-1
Transformed
 Forward substitution:
 r2=r2-e2-r1=0.8-(-0.49)*40.8=20.8……

Right hand side:

Finally, T values can be found via back substitution with the


[U] matrix and the results above
:
T4: 210.996/1.323=159.48
….
…..
Cholesky Decomposition
 For symmetric matrices

 Decomposing as:

Check the example in the reference book!


Gauss- Siedel
 Most commonly used iterative method!

If we have 3*3 set equations and


the diagonal elements are non-
zero

Solving by choosing guesses for the x’s.


INITAL GUESS IS ZERO as a simple way.
 Set zero as the initial guess
 Substitute the zeros into the first equation
For calculation of new value x1=b1/a11
 Substitute new x1 for new calculation of x2 (x3 is still
zero) in the second equation
 Use new x1 and x2 to calculate x3 in the third equation

 REPEAT THE ENTIRE PROCEDURE UNTIL


Example:
 Perform Gauss- Siedel for:

Solution (First iteration):

First step: Assume x2 and x3 is zero

X1: 7.85/3=2.61667 (first equation)


 Second step: Find x2 when x3 is zero and x1=2.61667
 X2: -2.794524 (from second equation)

 Third step: Find x3 when x2= -2.794524 and x1=2.61667


 X3: 7.005610 (from third equation)
 Second iteration:
 Find x1 when x2= -2.794524 and x3: 7.005610 ( from first
equation)
 Find x2 and x3 as previously stated
 CHECK approximation errors and go for further
iterations if needed.
Convergence Criterion for Gauss-Siedel
 In the case of two simultaneous equations, the Gauss-
Seidel algorithm can be defined as:
The partial derivatives of these equations

If they are inserted to the u


(x1,x2) and v (x1,x2) equations

the absolute values of the slopes must be less


than 1to provide convergence.
NEXT WEEK
 QUIZ 4( from this chapter, next Friday 08.04.2022)
 ASSIGNMENT 4 (from this chapter, uploaded on Monday
04.04.2022)

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