LU Decomposition

A procedure for decomposing an NXN matrix A into a product of a lower triangular matrix L and an upper triangular matrix U.

(1)
Written explicitly for a 3X3 matrix, the decomposition is

(2)

(3)

This gives three types of equations (4) (5) (6) This gives N equations for N +N unknowns (the decomposition is not unique), and can be solved using Crout's method. To solve the matrix equation
2 2

(7)
first solve Ly=b for y. This can be done by forward substitution (8) (9)

For i=2N. Then solve Ux=y for x. This can be done by back substitution (10) (11)

for

, ..., 1.