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Chapter 3
Chapter 3
(CENG-2084)
Chapter 3
LINEAR ALGEBRAIC EQUATIONS
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Linear Equation
• A linear equation in n variables:
f1 ( x1 , x2 , x3 , , xn ) 0
f 2 ( x1 , x2 , x3 , , xn ) 0
f n ( x1 , x2 , x3 , , xn ) 0
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Solving Systems of Equations
• A linear equation in n variables:
a1x1 + a2x2 + … + anxn = b
– Graphical method
– Cramer’s rule
– Method of elimination
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Determinants and Cramer’s Rule
Ax b [A] : coefficient matrix
x1 - x2 + x3 = 6
0 7x2 - x3 = -9
0 0 -(4/7)x3=-(8/7)
0
0 0
0 0 0
0 0 0 0
0 0 0 0 0
0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
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Back Substitution
2x2 – 3x3 = 0
x3 = 2 2x3 = 4
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Back Substitution
– 2x1 –3x2 = 3
x2 = 3 2x2 = 6
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Back Substitution
1x0 +1x1 = 3
x1 = –6 – 2x1 = 12
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Back Substitution
x0 = 9 1x0 = 9
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Back Substitution
(* Pseudocode *)
for i n down to 1 do
/* calculate xi */
x [ i ] b [ i ] / a [ i, i ]
a ji
a ji a ji a ii 0
a ii
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M
U
Forward Elimination
L
T
I
P
L
I
E 4x0 +6x1 +2x2 – 2x3 = 8
R
S
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Forward Elimination
M
U
L
T
I 4x0 +6x1 +2x2 – 2x3 = 8
P
L
I
E
R – 3x1 +4x2 – 1x3 = 0
S
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Forward Elimination
?? 2x2 +5x3 = 24
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Forward Elimination
1x2 +1x3 = 9
3x3 = 6
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Operation count in Forward
Gaussian Elimination
Elimination
b11
2n 0 b22
2n 0 0 b33
2n 0 0 0 b44
2n 0 0 0 0 b55
2n 0 0 0 0 0 b66
2n 0 0 0 0 0 0 b77
2n 0 0 0 0 0 0 0 b66
2n 0 0 0 0 0 0 0 0 b66
TOTAL
1st column: 2n(n-1) 2n2 2(n-1)2 2(n-2)2 …….
i 1
n(n 1)(2n 1)
2
6
O(n 3 ) 19
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Pitfalls of Elimination Methods
Division by zero
It is possible that during both elimination and back-substitution phases a
division by zero can occur.
For example:
2x2 + 3x3 = 8 0 2 3
4x1 + 6x2 + 7x3 = -3 A= 4 6 7
2x1 + x2 + 6x3 = 5 2 1 6
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Pitfalls (cont.)
Round-off errors
• It is also a good idea to substitute your results back into the original
equations and check whether a substantial error has occurred.
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Pitfalls (cont.)
ill-conditioned systems - small changes in coefficients result in large
changes in the solution. Alternatively, a wide range of answers can
approximately satisfy the equations.
(Well-conditioned systems – small changes in coefficients result in small
changes in the solution)
Problem: Since round off errors can induce small changes in the coefficients, these
changes can lead to large solution errors in ill-conditioned systems.
Example:
b1 a12 10 2
x1 + 2x2 = 10
b2 a22 10.4 2 2(10) 2(10.4)
1.1x1 + 2x2 = 10.4 x1 4 x2 3
D 1(2) 2(1.1) 0.2
x1 + 2x2 = 10 b1 a12 10 2
1.05x1 + 2x2 = 10.4 b2 a22 10.4 2 2(10) 2(10.4)
x1 8 x2 1
D 1(2) 2(1.05) 0.1
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ill-conditioned systems (cont.) –
• Surprisingly, substitution of the erroneous values, x1=8 and x2=1, into the original
equation will not reveal their incorrect nature clearly:
x1 + 2x2 = 10 8+2(1) = 10 (the same!)
1.1x1 + 2x2 = 10.4 1.1(8)+2(1)=10.8 (close!)
IMPORTANT OBSERVATION:
An ill-conditioned system is one with a determinant close to zero
• If determinant D=0 then there are infinitely many solutions singular system
• Scaling (multiplying the coefficients with the same value) does not change the
equations but changes the value of the determinant in a significant way.
However, it does not change the ill-conditioned state of the equations!
DANGER! It may hide the fact that the system is ill-conditioned!!
• One way to find out: change the coefficients slightly and recompute & compare
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COMPUTING THE DETERMINANT OF A MATRIX
USING GAUSSIAN ELIMINATION
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Techniques for Improving Solutions
• Use of more significant figures – double precision arithmetic
• Pivoting
If a pivot element is zero, normalization step leads to division by zero. The
same problem may arise, when the pivot element is close to zero. Problem
can be avoided:
– Partial pivoting
Switching the rows below so that the largest element is the pivot element.
**here* Go over the solution in: CHAP9e-Problem-11.doc
– Complete pivoting
• Searching for the largest element in all rows and columns then switching.
• This is rarely used because switching columns changes the order of x’s
and adds significant complexity and overhead costly
• Scaling
– used to reduce the round-off errors and improve accuracy
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Gauss-Jordan Elimination
a11 0 0 0 0 0 0 0 0 b11
0 x22 0 0 0 0 0 0 0 b22
0 0 x33 0 0 0 0 0 0 b33
0 0 0 x44 0 0 0 0 0 b44
0 0 0 0 x55 0 0 0 0 b55
0 0 0 0 0 x66 0 0 0 b66
0 0 0 0 0 0 x77 0 0 b77
0 0 0 0 0 0 0 x88 0 b88
0 0 0 0 0 0 0 0 x99 b99
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Gauss-Jordan Elimination: Example
1 1 2 x1 8 1 1 2| 8
1 2 3 x 1 Augmented Matrix : 1 2 3 | 1
2
3 7 4 x3 10 3 7 4 |10
1 1 2 | 8 Scaling R2: 1 1 2 | 8
R2 R2 - (-1)R1 0 1 5 | 9 R2 R2/(-1) 0 1 5| 9
R3 R3 - ( 3)R1 0 4 2| 14 0 4 2| 14
R1 R1 - (1)R2 1 0 7 | 17 1 0 7 | 17
0 1 5 | 9 Scaling R3: 0 1 5 | 9
R3 R3-(4)R2 0 0 18 | 22 R3 R3/(18) 0 0 1 |11/ 9
f1 ( x1 , x2 , x3 ,, xn ) 0
f 2 ( x1 , x2 , x3 , , xn ) 0
f n ( x1 , x2 , x3 ,, xn ) 0
Example:
x12 x1 x2 10 f1 ( x1 , x2 ) x12 x1 x2 10 0
x2 3x1 x2 2 57 f 2 ( x1 , x2 ) x2 3x1 x2 2 57 0
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• First-order Taylor series expansion of a function with more than one variable:
f1(i ) f1( i )
f1(i 1) f1( i ) ( x1( i 1) x1( i ) ) ( x2( i 1) x2( i ) ) 0
x1 x2
f 2(i ) f 2(i )
f 2(i 1) f 2(i ) ( x1( i 1) x1( i ) ) ( x2( i 1) x2( i ) ) 0
x1 x2
• The root of the equation occurs at the value of x1 and x2 where f1(i+1) =0 and f2(i+1) =0
Rearrange to solve for x1(i+1) and x2(i+1)
Rearrange: [ J i ]{ X i 1 X i } {Fi }
[ J i ]{X i 1} {Fi }
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Notes on the solution of
Nonlinear Systems of Equations
n non-linear equations f1 ( x1 , x2 , x3 ,, xn ) 0 f1
x
f1
f1
n unknowns to be solved: x2 xn
1
f 2 ( x1 , x2 , x3 , , xn ) 0 f 2 f 2
f 2
Jacobian J x1 x2 xn
Matrix: f f n f n
f n ( x1 , x2 , x3 ,, xn ) 0 n
x1 x2
xn
• For n unknowns, the size of the Jacobian matrix is n2 and the time it takes to solve
the linear system of equations (one iteration of the non-linear system) is
proportional to O(n3)
• There is no guarantee for the convergence of the non-linear system. There may also
be slow convergence.
• In summary, finding the solution set for the Non-Linear system of equations is an
extremely compute-intensive task.
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