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Linear Algebraic Equations:: Lu Decomposition

The document discusses different methods for decomposing a matrix A into lower (L) and upper (U) triangular matrices to solve systems of linear equations. Specifically, it provides examples using the Doolittle method, which decomposes A as A = LU by calculating L and U directly from A. The method is demonstrated on a sample system of equations, showing the steps of decomposing the matrix, forward/back substitution to solve for intermediate values, and back substitution to solve for the unknowns.

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1K views

Linear Algebraic Equations:: Lu Decomposition

The document discusses different methods for decomposing a matrix A into lower (L) and upper (U) triangular matrices to solve systems of linear equations. Specifically, it provides examples using the Doolittle method, which decomposes A as A = LU by calculating L and U directly from A. The method is demonstrated on a sample system of equations, showing the steps of decomposing the matrix, forward/back substitution to solve for intermediate values, and back substitution to solve for the unknowns.

Uploaded by

esahjamil
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Linear Algebraic Equations:

LU DECOMPOSITION

Chapter 3
Representing Linear Algebraic Equations
in Matrix Form

a11 x1 + a12 x2 +  + a1n xn = b1



a 21 x1 + a 22 x2 +  + a 2 n xn = b2

 
a n1 x1 + a n 2 x2 +  + a nn xn = bn

[ A]{ X } = {B}
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

 a11 a12 a13   1 0 0 u11 u12 u13 


a a 22 a 23  = l 21 1 0  0 u 22 u 23 
 21
a31 a32 a33  l 31 l 32 1  0 0 u 33 
 u11 u12 u13 
= l 21u11 l 21u12 + u 22 l 21u13 + u 23 

l 31u11 l 31u12 + l 32 u 22 l 31u13 + l 32 u 23 + u 33 
DOOLITTLE METHOD
u11 = a11
u12 = a12
u13 = a13
a 21
a 21 = l 21u11 → l 21 =
u11
a 22 = l 21u12 + u 22 → u 22 = a 22 − l 21u12
a 23 = l 21u13 + u 23 → u 23 = a 23 − l 21u13
a31
a31 = l31u11 → l31 =
u11
a32 − l31u12
a32 = l31u12 + l32 u 22 → l 32 =
u 22
a33 = l31u13 + l32 u 23 + u 33 → u 33 = a33 − l 31u13 − l 32 u 23
EXAMPLE 1
Solve the following system of linear equations using
Doolittle Method.

3x1 − x 2 + 2 x3 = 12
x1 + 2 x 2 + 3x3 = 11
2 x1 − 2 x 2 − x3 = 2
SOLUTION 1
Step 1: Convert the system of linear equations into the matrix form,
[ A]{ x} = { b}.

3 − 1 2   x1  12
1 2     
 3   x 2  = 11 
2 − 2 − 1  x3   2 
SOLUTION 1
Step 2: Decompose [A] into [L] and [U] using Doolittle formula.
u11 = 3
u12 = −1
u13 = 2
1
1 = l 21 ( 3) → l 21 = = 0.3333
3
2 = ( 0.3333)( − 1) + u 22 → u 22 = 2.3333
3 = ( 0.3333)( 2 ) + u 23 → u 23 = 2.3334
2
2 = l31 ( 3) → l 31 = = 0.6667
3
− 1.3333
− 2 = ( 0.6667 )( − 1) + l32 ( 2.3333) → l32 = = −0.5714
2.3333
− 1 = ( 0.6667 )( 2 ) − ( 0.5714 )( 2.3334 ) + u 33 → u 33 = −1.0001
SOLUTION 1
Step 2: Decompose [A] into [L] and [U] using Doolittle formula.

3 − 1 2 
1 2 3  = [ L][U ]
 
2 − 2 − 1
 1 0 0 3 −1 2 
=  0.3333 1 0 0 2.3333 2.3334 
0.6667 − 0.5714 1 0 0 − 1.0001
SOLUTION 1
Step 3: Solve [ L ]{ y} = { b} using forward substitution.

 1 0 0  y1  12
 0.3333 1 0   y  = 11
  2   
0.6667 − 0.5714 1  y 3   2 

y1 = 12

0.3333(12 ) + y 2 = 11 → y 2 = 7.0004

0.6667(12 ) − 0.5714( 7.0004 ) + y 3 = 2 → y 3 = −2.0004


SOLUTION 1
Step 4: Solve [U ]{ x} = { y} using backward substitution.
3 −1 2  x1   12 
0    
 2.3333 2.3334 x 2  =  7.0004 
0 0 − 1.0001  
x3  − 2.0004

− 1.0001x3 = −2.0004 → x3 = 2.0002

2.3333 x 2 + 2.3334( 2.0002 ) = 7.0004 → x 2 = 0.9999

3 x1 − 0.9999 + 2( 2.0002 ) = 12 → x1 = 2.9998


EXAMPLE 4
1) Solve the following system using Gauss Elimination
Method with partial pivoting

2 x1 + 5 x2 + 8 x3 = 36
4 x1 + 8 x2 − 12 x3 = −16
x1 + 8 x2 + x3 = 20
Exercise 1
Solve the following system using Doolittle
and Cholesky methods. The exact
solution is given and compare the true
error between the methods.
5 x1 + 3x2 + x3 = 9  x1 = 1

3 x1 + 6 x2 + 2 x3 = 11  x2 = 1
x1 + 2 x2 + 7 x3 = 10 x = 1
 3

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