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Lesson 2 Math 311

The document explains the LU decomposition method for solving systems of linear equations. It shows that any matrix A can be decomposed into the product of a lower triangular matrix L and an upper triangular matrix U. This decomposition allows the original system of equations Ax=b to be rewritten as equivalent upper and lower triangular system LUx=b that can be solved using forward and back substitution. The document provides the general steps as 1) performing LU decomposition to factor A into L and U and 2) using L and U to solve for x through substitution. An example system is given to demonstrate the method.

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32 views3 pages

Lesson 2 Math 311

The document explains the LU decomposition method for solving systems of linear equations. It shows that any matrix A can be decomposed into the product of a lower triangular matrix L and an upper triangular matrix U. This decomposition allows the original system of equations Ax=b to be rewritten as equivalent upper and lower triangular system LUx=b that can be solved using forward and back substitution. The document provides the general steps as 1) performing LU decomposition to factor A into L and U and 2) using L and U to solve for x through substitution. An example system is given to demonstrate the method.

Uploaded by

mc604011
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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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Lesson 2: LU Decomposition

General form: 𝑎11 𝑥1 + 𝑎11 𝑥1 + 𝑎11 𝑥1 = 𝑏1


𝑎21 𝑥1 + 𝑎22 𝑥2 + 𝑎23 𝑥2 = 𝑏2
𝑎31 𝑥1 + 𝑎32 𝑥2 + 𝑎33 𝑥3 = 𝑏3

𝑎11 𝑎12 𝑎13 𝑥1 𝑏1


Matrix form: 𝑎
[ 21 𝑎22 𝑎23 ] 𝑥
[ 2 ] = [𝑏2 ]
𝑎31 𝑎32 𝑎33 𝑥3 𝑏3

Compact matrix form: [𝐴] [𝑋] = [𝐵] ⟶ eqn 1

𝑎11 𝑎12 𝑎13


Where: [𝐴] = [𝑎21 𝑎22 𝑎23 ] ⟶ matrix of coefficient
𝑎31 𝑎32 𝑎33

𝑥1
[𝑋] = [𝑥2 ] ⟶ vector of unknown
𝑥3

𝑏1
[𝐵] = [𝑏2 ] ⟶ vector of constant
𝑏3

Rearrange eqn 1: [𝐴] [𝑋] − [𝐵] = 0 ⟶ eqn 1

Express eqn 1 into upper triangular system:

𝑢11 𝑢12 𝑢13 𝑥1 𝑑1


[ 0 𝑢22 𝑢23 ] [𝑥2 ] = [𝑑2 ]
0 0 𝑢33 𝑥3 𝑑3

𝑢11 𝑢12 𝑢13 𝑥1 𝑑1


[ 0 𝑢22 𝑢23 ] [𝑥2 ] − [𝑑2 ] = 0 ⟶ eqn 2
0 0 𝑢33 𝑥3 𝑑3

Compact form: [𝑈] [𝑋] − [𝐷] = 0 ⟶ eqn 3

Consider a lower triangular system with main diagonal equal to one:

1 0 0
[𝐿] = [𝑙21 1 0] ⟶ eqn 4
𝑙31 𝑙32 1
Eqn 4 has the property that if multiplied to eqn 3 will result to eqn 1:

[𝐿] {[𝑈] [𝑋] − [𝐷]} = [𝐴] [𝑋] − [𝐵]

[𝐿] [𝑈] [𝑋] − [𝐿] [𝐷] = [𝐴] [𝑋] − [𝐵]

Therefore: [𝐿] [𝑈] = [𝐴] ⟶ eqn 5

And: [𝐿] [𝐷] = [𝐵] ⟶ eqn 6

𝑢11 𝑢12 𝑢31


Where: [𝑈] = [ 0 𝑢22 𝑢23 ] ⟶ upper triangular system
0 0 𝑢33

1 0 0
𝑙
[𝐿] = [ 21 1 0] ⟶ lower triangular system
𝑙31 𝑙32 1

𝑎21 𝑎31 𝑎′ 32
With: 𝑙21 = ; 𝑙31 = ; and 𝑙32 =
𝑎11 𝑎11 𝑎′ 22

Note:
➢ [𝐴] is decomposed into [𝑈] and [𝐿];

i.e.: [𝐴] ⟶ [𝐿] [𝑈]

➢ [𝑈] is transformed from [𝐴] using gaussian elimination method


➢ [𝐿] is derived from the factor used in the gaussian elimination in arriving [𝑈]

Two-step strategy:

1. LU decomposition step - matrix [𝐴] is factored or decompose into lower [𝐿] and upper [𝑈]
triangular matrices.
2. Substitution step - [𝐿] and [𝑈] are used to determine the solution [𝑋] for a right-hand side
[𝐵] . This consist of two step:
a. First eqn 6 is used to generate intermediate vector [𝐷] by forward substitution.
b. Then, the result is substituted in eqn 3, which can be solved by back substitution for [𝑋]
Figure: LU decomposition steps:

Example:
Find the solution of the given system of linear equation

𝑥 + 𝑦 − 𝑍 = 4
𝑥 − 2𝑦 + 3𝑍 = −6
2𝑥 + 3𝑦 + 𝑍 = 7

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