Chapter 10

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 LU Decomposition and Matrix Inversion
Chapter 10

• Provides an efficient way to compute matrix

inverse by separating the time consuming
elimination of the Matrix [A] from
manipulations of the right-hand side {B}.
• Gauss elimination, in which the forward
elimination comprises the bulk of the
computational effort, can be implemented as
an LU decomposition.

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If
L- lower triangular matrix
U- upper triangular matrix
Then,
[A]{X}={B} can be decomposed into two matrices [L] and
[U] such that
[L][U]=[A]
[L][U]{X}={B}
Similar to first phase of Gauss elimination, consider
[U]{X}={D}
[L]{D}={B}
– [L]{D}={B} is used to generate an intermediate vector
{D} by forward substitution
– Then, [U]{X}={D} is used to get {X} by back substitution.
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Fig.10.1

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LU decomposition
• requires the same total FLOPS as for Gauss
elimination.
• Saves computing time by separating time-
consuming elimination step from the
manipulations of the right hand side.
• Provides efficient means to compute the
matrix inverse

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 Error Analysis and System Condition
• Inverse of a matrix provides a means to test
whether systems are ill-conditioned.

Vector and Matrix Norms

• Norm is a real-valued function that provides a
measure of size or “length” of vectors and
matrices. Norms are useful in studying the error
behavior of algorithms.

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A simple example is a vector in three - dimensional Euclidean space
that can be represented as
 F    a b c
where a, b, and c are the distances along x, y, and z axes, repectively.

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Figure 10.6

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• The length of this vector can be simply computed as

F e  a b c 2 2 2

Length or Euclidean norm of [F]

• For an n dimensional vector
 X    x1 x2  xn 
a Euclidean norm is computed as
n
Xe  i
x 2

i 1

For a matrix [A]

n n Frobenius norm
Ae 
i 1 j 1
ai2, j
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• Frobenius norm provides a single value to quantify
the “size” of [A].

Matrix Condition Number

• Defined as

Cond  A  A  A 1

•For a matrix [A], this number will be greater

than or equal to 1.
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 X A
 Cond  A
X A
• That is, the relative error of the norm of the
computed solution can be as large as the relative
error of the norm of the coefficients of [A]
multiplied by the condition number.
• For example, if the coefficients of [A] are
known to t-digit precision (rounding errors~10-t)
and Cond [A]=10c, the solution [X] may be valid
to only t-c digits (rounding errors~10c-t).
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