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 timeconsuming 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

Length or Euclidean norm of [F]

For an n dimensional vector

X x1 x2 xn
a Euclidean norm is computed as
Xe

2
x
i
i 1

For a matrix [A]

Ae

i 1 j 1

Frobenius norm

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

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

than or equal to 1.
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X
X

Cond A

A
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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