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LU Decomposition

LU decomposition is a method to express a square matrix A as the product of a lower triangular matrix L and an upper triangular matrix U. The process involves reducing A to row-echelon form without row interchanges and solving the resulting equations to find the values of the variables. An example is provided to illustrate the steps involved in solving a system of equations using LU decomposition.

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LU Decomposition

LU decomposition is a method to express a square matrix A as the product of a lower triangular matrix L and an upper triangular matrix U. The process involves reducing A to row-echelon form without row interchanges and solving the resulting equations to find the values of the variables. An example is provided to illustrate the steps involved in solving a system of equations using LU decomposition.

Uploaded by

justin sartorio
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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Numerical Methods

Topic: LU Decomposition

The goal of LU decomposition is to write a square matrix A as the product of matrix L and matrix U.

It was developed by Alan Turing.

Formula: A=L.U

Where: L-lower triangular matrix

U-upper triangular matrix

1 0 0

L= * 1 0

* * 1

* * *

U= 0 * *

0 0 *

A must be reduced to row-echelon form U, without interchanging any rows

Use the opposites of the multipliers to obtain U, to obtain L.

Example:

Consider the system of equations written as a matrix equation:

x1 + x2-x3=4

x1 -2x2+3x3=-6

2x1 + 3x2+x3=7

Solution:
1 1 -1 x1 4

1 -2 3 x2 = -6

2 3 1 x3 7

A X = B

Let A=LU so, AX=B is LUX=B for x to solve the system

Let UX=Y so LY=B

Solve LY=B for Y, and then solve UX=Y for X

But, L and U must be solved first.

1 1 -1

1 -2 3

2 3 1

R2-> -1R1+R2 (take the opposite value of -1 and place it in R21 in L matrix)

1 1 -1

0 -3 4

2 3 1

R3->-2R1+R3

1 1 -1

0 -3 4

0 1 3

R3->1/3R2+R3

L= 1 0 0
1 1 -1
1 1 0
0 -3 4 =U 2 -1/3 1
0 0 13/3
Solve LY=B for Y

1 0 0 y1 4

1 1 0 y2 = -6

2 -1/3 1 y3 7

L Y = B

Y1=4

Y1+y2=-6

2Y1-1/3y2+y3=7

Y1+y2=-6

4+y2=-6

Y2=-10

2Y1-1/3y2+y3=7

2(4)-1/3(-10)+y3=7

8+10/3 +y3=7

y3=-13/3

Y1= 4 Y2= -10 Y3=-13/3

Solve UX=Y for X

1 1 -1 x1 4

0 -3 4 x2 = -10

0 0 13/3 x3 -13/3

U X = Y

x1+x2-x3=4

-3x2+4x3=-10

13/3x3=-13/3
-3x2+4x3=-10

-3x2+4(-1)=-10

X2=2

x1+x2-x3=4

x1+2-(-1)=4

x1=1

x1=1 x2=2 x3=-1

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