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LU Decomposition
(Chapter 20, Section 20.2 Kreyszig)
©Malay K. Das, mkdas@iitk.ac.in
Matrix decomposition (factorization)
representing matrix as a product of several matrices
LU decomposition refers to factorization of an invertible matrix A such that
Malay K. Das, ME, IIT Kanpur 1
07‐09‐2020
Recall Gaussian elimination
Forward Elimination Back Substitution
Forward Elimination in matrix form we also know
E A U
The goal of forward elimination is to reduce the coefficient matrix A
to upper‐triangular matrix U via multiplication of matrix E
we can
easily find
E A U
lower‐triangular
Thus
In general, for an invertible matrix A,
Gaussian elimination provides
E-1 should be lower‐triangular
Finding the LU decomposition from gaussian Elimination is not helpful for solving
linear equations since Gaussian elimination itself solves linear systems;
we must look for other methods
LU decomposition is not unique; for same A, you may get many L and U
Malay K. Das, ME, IIT Kanpur 2
07‐09‐2020
Solve using LU Decomposition
Solve the linear system with the following augmented matrices,
use LU decomposition
Malay K. Das, ME, IIT Kanpur 3