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Original Title: LAE_LU

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page 3-31

3.3 LU Decomposition

Recalling that in the Gauss elimination method we have forward elimination process

which involves considerable computations. The task is especially more cumbersome

for large systems of LAEs. Thus, the improved method is recommended.

The coefficient matrix A can be decomposed (or factored) into the product of two

triangular matrices, L and U, a lower and upper triangular matrix, respectively.

A = LU

(3.24)

Using a set of four LAEs as illustration, eq.(3.24) can be represented into two

forms,

a. Dolittle decomposition:

a11 a12

a

a 22

21

a31 a 32

a41 a 42

a13 a14

a23 a 24

a33 a 34

a43 a 44

1

l

21

l31

l41

0

1

0

0

a32

l42

l43

l11 0

l

l

21 22

l31 a 32

l41 l42

0

0

0 u11

0 0

0 0

1 0

u12

u22

u13

u23

u33

0 1 u12

0 0 1

0 0 0

l44 0 0

u13

u23

u14

u24

u34

u44

(3.25a)

u14

u24

u34

(3.25b)

b. Crout decomposition:

a11 a12

a

a 22

21

a31 a 32

a41 a 42

a13 a14

a23 a 24

a33 a 34

a43 a 44

l33

l43

1

0

Both forms yield a comparable degree of accuracy and efficiency. It is just a matter

of ones preference. For this class, we will only concentrate on the latter.

zar97/09/03

page 3-32

Once we have L and U matrices, we can then determine the solution of the LAEs

through the following manner

Ax = b

LUx = b

and defining

y = Ux

(3.26a)

Ly = b

(3.26b)

Eqs.(3.26b) is first solved for y, then substitutes it into eq.(3.26a) to solve for the

unknown x. Note, they can easily be solved since they are both in the triangular

form.

To derive the L and U matrices, lets now perform matrix multiplication of eq.(3.25b),

which yields

l11 = a11

or in general,

l21 = a21

li1 = ai1

l31 = a31

for i = 1,2,...,n

l41 = a41

(3.27)

Next, we have

l11 = a11

l11u12 = a12

l11u13 = a13

l11u14 = a14

The first result is already found, but the remaining relationships can be solved for

u12, u13, and u14. These terms can be expressed as

u1 j

a1 j

l11

for

j 2 ,3,..., n

(3.28)

zar97/09/03

page 3-33

Similar operations are done to obtain the remaining columns of L and rows of U.

The steps to implement the entire procedures are expressed in the following

concise formulas.

li1 ai1

a1 j

u1 j

l11

For

for

i 1,2 ,..., n

(3.27)

for

j 2 ,3,..., n

(3.28)

j 2 ,3,..., n 1

j 1

lij aij

lik ukj

for

i j , j 1,..., n

(3.29)

for

k j 1, j 2 ,..., n

(3.30)

k 1

j 1

a jk

u jk

l ji uik

i 1

l jj

and

n 1

lnn ann

lnk ukn

(3.31)

k 1

Remark:

1. The method is just as fast, but more accurate than the Gauss elimination method.

Thus, it becomes the basis for the decomposition of positive definite matices which

are frequently encountered in modern engineering and statistics.

2. The pivoting is done immediately after computing each column of L.

zar97/09/03

page 3-34

Problem Statement: Solve the following set of linear algebraic equations using

Crout LU decomposition method.

5x1 + 2x2 + 3x3 + x4 = 17

x1 - x2 + 2x3 + 5x4 = -3

2x1 + 3x2 + 5x3 - 2x4 = 4

8x1 + 5x2 - x3 - 2x4 = 50

Solution:

Using eq.(3.25b),

5 2 3 1

1 1 2 5

2 3 5 2

8 5 1 2

l11 0

l

l22

21

l31 a32

l41 l42

0

0

l33

l43

0 1 u12

0 0 1

0 0 0

l44 0 0

u13 u14

u23 u24

1 u34

0

1

l11 = a11 = 5

l21 = a21 = 1

l31 = a31 = 2

l41 = a41 = 8

Then eq.(3.28) gives the first row of U as

u12

a12 2

l11 5

u13

a13 3

l11 5

2

7

5

5

2

11

- l31u12 = 3 - 2( ) =

5

5

2

9

- l41u12 = 5 - 8( ) =

5

5

l32 = a32

l42 = a42

u14

a14 1

l11 5

zar97/09/03

page 3-35

3

a23 l21u13 2 1( 5 )

u23

1

7

l22

5

u24

1

a24 l21u14 5 1( 5 ) 24

7

l22

7

5

j=

I=

lij aij

lik ukj

)( 1)] 6

5

k 1

a jk

jk

l ji uik

i 1

l jj

u34

1

11

a34 ( l31u14 l32 u24 ) 2 [(2)( 5 ) ( 5 )(24)] 6

l33

6

7

j=

I=

lnn ann

lnk ukn

k 1

zar97/09/03

page 3-36

Problem Statement: Solve the following set of linear algebraic equations using

Crout Decomposition with partial pivoting .

2x1 - 6x2 - 2x3 = -24

3x1 - 2x2 + x3 = 0

3x1 - 3x2 + 6x3 = 5

Solution:

Answer:

zar97/09/03

page 3-37

Banded systems

In many engineering problems, linear systems with a band structure arise. This

structure can be seen, for example, in computations of spline function, solution of

boundary-value problems of differential equatuions using finite diffrence method,

etc.

In such systems, the band matrices have the nonzero elements on the major

diagonal and on the diagonals just above and below the main diagonal.

In general, a square matrix A = [ aij ] is a band matrix if there is a positive integer

k substantially smaller than the order n of the matrix such that aij = 0 if i j k .

For example, in the case of tridiagonal matrix, k = 2 which is the width of the band

matrix.

A band matrix saves storage requirements i.e. only 3n-2 as compared to nxn = n2

elements to be stored.

The number of additions and multiplications for the band matrix is 3n-3 and for

divisions is 2n-1, which for large n, it is nothing compared to that n3/3 for

conventional Gauss elemination method.

zar97/09/03

page 3-38

Problem Statement: Solve the following set of linear algebraic equations using

Crout Decomposition with partial pivoting .

x1 + 2x2

= 2

x1 + 3x2 + 2x3

= 7

x2 + 4x3 + 2x4 = 15

4x3 + x4 = 11

Solution:

zar97/09/03

page 3-39

If the coefficient matrix A is real and symmetric, the LU decomposition can be

modified so that the two factors are the transpose of each other. That is

A = L TL

or

UTU

i 1

a ki

lki

lij lkj

j 1

lii

k 1

lkk akk

lkj2

j 1

for

i 1,2,..., k 1

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