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LU Decomposition: (Chapter 20, Section 20.2 Kreyszig)

Lu_decomposition

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62 views

LU Decomposition: (Chapter 20, Section 20.2 Kreyszig)

Lu_decomposition

Uploaded by

Garima
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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07‐09‐2020

LU Decomposition
(Chapter 20, Section 20.2 Kreyszig)

©Malay K. Das, [email protected]

Matrix decomposition (factorization)
representing matrix as a product of several matrices

LU decomposition refers to factorization of an invertible matrix A such that 

where L ‐ lower‐triangular matrix, and U ‐ upper‐triangular matrix

If we know LU decomposition of matrix A, solution of Ax = b


may be solved easily
we can now split the system in two parts
and the methods of finding L and U will be 
discussed later, we will get the idea 
find y find x using Gaussian elimination

Malay K. Das, ME, IIT Kanpur 1
07‐09‐2020

Recall Gaussian elimination

Forward Elimination Back Substitution
Forward Elimination in matrix form we also know

E A U
The goal of forward elimination is to reduce the coefficient matrix A
to upper‐triangular matrix U via multiplication of matrix E

we can 
easily find
E A U
lower‐triangular
Thus

In general, for an invertible matrix A,
Gaussian elimination provides
E-1 should be lower‐triangular

Finding the LU decomposition from gaussian Elimination is not helpful for solving 
linear equations since Gaussian elimination itself solves linear systems; 
we must look for other methods
LU decomposition is not unique; for same A, you may get many L and U

Malay K. Das, ME, IIT Kanpur 2
07‐09‐2020

Solve using LU Decomposition

Solve the linear system with the following augmented matrices, 
use LU decomposition

Malay K. Das, ME, IIT Kanpur 3

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