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LUfac.bas: LU factorisation method in visual basic

LUfac.bas: LU factorisation method in visual basic

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Published by rodwellhead
LUfac.bas: LU factorisation method (with pivotting) in visual basic. The method is demonstrated on an Excel spreadsheet.
LUfac.bas: LU factorisation method (with pivotting) in visual basic. The method is demonstrated on an Excel spreadsheet.

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Published by: rodwellhead on Jul 17, 2014
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04/18/2015

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Numerical Methods Library in Excel VBA
Module
LUfac.bas
Title
Carries out an LU factorisation of a real matrix.
Description The spreadsheet contains the VBA source files for carrying out a LU factorisation of a real square
 matrix
 
, so that
 where
 is a lower-triangular matrix (with diagonal elements set to 1) and
 is an upper-triangular matrix and
 is a permutation matrix. Interface Sub LUfac(a, n, perm, lfail) real a: on input the nxn matrix A, on output L and U integer n: the dimension of the matrix/vector integer perm: an n-vector, the column index of the permutation matrix P logical lfail: returns 'true' if the method fails, otherwise 'false'
Note the output matrix ‘a’ is such that th
e diagonal and upper-triangular
elements is the ‘U’ matrix and the lower 
-triangular elements together
with 1s on the diagonal is the matrix ‘U’.
 
On exit ‘perm’ records the row exchanges that have occurred as a result
of pivoting, otherwise known as a permutation matrix P. It would be wasteful of computer memory to store the permutation matrix as an nxn array. P is taken to be made up of all zeros, except for P[j,i]=1 when perm(i)=j. Web source of code. http://www.numerical-methods.com/Excel_VBA/LU.xlsm 
(key ‘Developer’ then ‘Visual Basic’ and then ‘LUfac_module’)
 Web source of this guide www.numerical-methods.com/Excel_VBA/LUfac_bas.htm Web source of the algorithm http://www.numerical-methods.com/lineq/LU Factorisation.htm Dependent routines NONE

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