Linear Algebraic Equations

:
LU DECOMPOSITION
Chapter 3
Representing Linear Algebraic Equations
in Matrix Form
¹
¹
¹
¹
¹
'
¹
· + + +
· + + +
· + + +
n n nn n n
n n
n n
b x a x a x a
b x a x a x a
b x a x a x a

 


2 2 1 1
2 2 2 22 1 21
1 1 2 12 1 11

} { } ]{ [ B X A ·
LU DECOMPOSITION

By using this method, system of linear equations
[A]{x}={b} will be transformed to [L][U]{x}={b} where
[L] is a lower triangular matrix and [U] is an upper
triangular matrix.

In this course, 4 methods to decompose matrix A into
matrix L and U will be discussed which are :
(i) Gauss Elimination Method
(ii) Doolittle Method
(iii) Crout Method
(iv) Cholesky Method
LU DECOMPOSITION
1) Solve [L]{y}={b} by using forward substitution.
2) Solve [U]{x}={y} by using backward substitution.
5) LU Decomposition which is categorized under direct
method also known as matrix factorization.
DOOLITTLE METHOD
]
]
]
]
]

+ + +
+ + ·
]
]
]
]
]

]
]
]
]
]

·
]
]
]
]
]

33 23 32 13 31 22 32 12 31 11 31
23 13 21 22 12 21 11 21
13 12 11
33
23 22
13 12 11
32 31
21
33 32 31
23 22 21
13 12 11

0 0
0
1
0 1
0 0 1
u u l u l u l u l u l
u u l u u l u l
u u u
u
u u
u u u
l l
l
a a a
a a a
a a a
DOOLITTLE METHOD
23 32 13 31 33 33 33 23 32 13 31 33
22
12 31 32
32 22 32 12 31 32
11
31
31 11 31 31
13 21 23 23 23 13 21 23
12 21 22 22 22 12 21 22
11
21
21 11 21 21
13 13
12 12
11 11






u l u l a u u u l u l a
u
u l a
l u l u l a
u
a
l u l a
u l a u u u l a
u l a u u u l a
u
a
l u l a
a u
a u
a u
− − · → + + ·

· → + ·
· → ·
− · → + ·
− · → + ·
· → ·
·
·
·
EXAMPLE 1
Solve the following system of linear equations using
Doolittle Method.
2 2 2
11 3 2
12 2 3
3 2 1
3 2 1
3 2 1
· − −
· + +
· + −
x x x
x x x
x x x
SOLUTION 1
[ ]{ ¦ { ¦. b x A ·
¹
¹
¹
'
¹
¹
¹
¹
'
¹
·
¹
¹
¹
'
¹
¹
¹
¹
'
¹
]
]
]
]
]

− −

2
11
12
1 2 2
3 2 1
2 1 3
3
2
1
x
x
x
Step 1: Convert the system of linear equations into the matrix form,
SOLUTION 1
Step 2: Decompose [A] into [L] and [U] using Doolittle formula.
( )
( ) ( )
( ) ( )
( )
( ) ( ) ( )
( ) ( ) ( ) ( ) 0001 . 1 3334 . 2 5714 . 0 2 6667 . 0 1
5714 . 0
3333 . 2
3333 . 1
3333 . 2 1 6667 . 0 2
6667 . 0
3
2
3 2
3334 . 2 2 3333 . 0 3
3333 . 2 1 3333 . 0 2
3333 . 0
3
1
3 1
2
1
3
33 33
32 32
31 31
23 23
22 22
21 21
13
12
11
− · → + − · −
− ·

· → + − · −
· · → ·
· → + ·
· → + − ·
· · → ·
·
− ·
·
u u
l l
l l
u u
u u
l l
u
u
u
SOLUTION 1
Step 2: Decompose [A] into [L] and [U] using Doolittle formula.
[ ][ ]
]
]
]
]
]



]
]
]
]
]


·
·
]
]
]
]
]

− −

0001 . 1 0 0
3334 . 2 3333 . 2 0
2 1 3
1 5714 . 0 6667 . 0
0 1 3333 . 0
0 0 1

1 2 2
3 2 1
2 1 3
U L
SOLUTION 1
Step 3: Solve using forward substitution.
[ ]{ ¦ { ¦ b y L ·
( )
( ) ( ) 0004 . 2 2 0004 . 7 5714 . 0 12 6667 . 0
0004 . 7 11 12 3333 . 0
12
2
11
12
1 5714 . 0 6667 . 0
0 1 3333 . 0
0 0 1
3 3
2 2
1
3
2
1
− · → · + −
· → · +
·
¹
¹
¹
'
¹
¹
¹
¹
'
¹
·
¹
¹
¹
'
¹
¹
¹
¹
'
¹
]
]
]
]
]


y y
y y
y
y
y
y
SOLUTION 1
Step 4: Solve using backward substitution.
[ ]{ ¦ { ¦ y x U ·
( )
( ) 9998 . 2 12 0002 . 2 2 9999 . 0 3
9999 . 0 0004 . 7 0002 . 2 3334 . 2 3333 . 2
0002 . 2 0004 . 2 0001 . 1
0004 . 2
0004 . 7
12
0001 . 1 0 0
3334 . 2 3333 . 2 0
2 1 3
1 1
2 2
3 3
3
2
1
· → · + −
· → · +
· → − · −
¹
¹
¹
'
¹
¹
¹
¹
'
¹

·
¹
¹
¹
'
¹
¹
¹
¹
'
¹
]
]
]
]
]



x x
x x
x x
x
x
x
1) Solve the following system using Gauss Elimination
Method with partial pivoting
20 8
16 12 8 4
36 8 5 2
3 2 1
3 2 1
3 2 1
· + +
− · − +
· + +
x x x
x x x
x x x
EXAMPLE 4
Exercise 1
Solve the following system using Doolittle
and Cholesky methods. The exact
solution is given and compare the true
error between the methods.
10 7 2
11 2 6 3
9 3 5
3 2 1
3 2 1
3 2 1
· + +
· + +
· + +
x x x
x x x
x x x
¹
¹
¹
'
¹
·
·
·
1
1
1
3
2
1
x
x
x

Sign up to vote on this title
UsefulNot useful