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Linear Algebra and Optimization: BITS Pilani

This document discusses different methods for LU factorization of a matrix: Doolittle's method, Crout's method, and Cholesky's method. It explains that LU factorization writes a square matrix A as A = LU, where L is a lower triangular matrix and U is an upper triangular matrix. It provides the definitions and computational approaches for each method. The benefits of LU factorization are also summarized as solving systems of equations more efficiently through back-substitution on the triangular factors.

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Ameer Ansar
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1K views

Linear Algebra and Optimization: BITS Pilani

This document discusses different methods for LU factorization of a matrix: Doolittle's method, Crout's method, and Cholesky's method. It explains that LU factorization writes a square matrix A as A = LU, where L is a lower triangular matrix and U is an upper triangular matrix. It provides the definitions and computational approaches for each method. The benefits of LU factorization are also summarized as solving systems of equations more efficiently through back-substitution on the triangular factors.

Uploaded by

Ameer Ansar
Copyright
© © All Rights Reserved
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Linear Algebra and

Optimization
BITS Pilani
Pilani Campus
BITS Pilani
Pilani Campus

BSDCH ZC234

Lecture No. 8
Agenda

• LU Factorization

• Doolittle’s method

• Crout’s method

• Cholesky’s method

BITS Pilani, Pilani Campus


LU Factorization

We write square matrix A as


A = LU

Doo Little’s Method : L is lower triangular matrix


diag(L) = 1, lii = 1 and U is
upper triangular matrix

Crout’s Method : U is upper triangular matrix with


diag(U) = 1, uii = 1 and L is lower
triangular matrix

Cholesky’s Method: U = LT

BITS Pilani, Pilani Campus


Benefits of LU
Decomposition

A = LU, Thus, the system Ax = B, is


LUx = B
Let Ux = y, then
Ly = B
Algorithm :-
Step-I Solve Ly = B, to find y.
Step-II Then solve Ux = y to find x

BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956


•Methods of LU
Factorization
Doolittle Method: The Factors L, U are defined as

1 0 0 0 u 11 u 12 u 13 u 14  l ij  1, for i  j
l 0 u u 24 
1 0 0  22 u 23 l ij  0, for i  j
L   21 U
l 31 l 32 1 0 0 0 u 33 u 34 
    u ij  0, for i  j
l 41 l 42 l 43 1 0 0 0 u 44 

Crout’s Method: The Factors L, U are defined as

 l11 0 0 0 1 u 12 u 13 u 14  l ij  0, for i  j
l 0 1 u 
l 22 0 0  u
L   21 U 23 24 
u ij  1, for i  j
l 31 l 32 l 33 0 0 0 1 u 34 
    u ij  0, for i  j
l 41 l 42 l 43 l 44   0 0 0 1 

BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956


Cholesky Method

BITS Pilani, Pilani Campus


Cholesky Method

• Decompose A such that A = UTU. Hence, we may have UTUx = b

• Set up and solve UTd = b, where d can be obtained by using


forward substitution

• Set up and solve Ux = d, where x can be obtained by using


backward substitution

BITS Pilani, Pilani Campus


Crout’s Method

BITS Pilani, Pilani Campus


Crout’s Method

BITS Pilani, Pilani Campus


Computational Complexity

The LU decomposition is computed directly without solving simultaneous


equations

• It is more economical to produce the LU Factorization

• This is followed by solving two simpler linear systems

BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

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