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Understanding LDU Decomposition

1. Gauss elimination can be used to decompose a non-singular matrix A into LDU form, where L is a lower triangular matrix, D is a diagonal matrix, and U is an upper triangular matrix. 2. The LDU decomposition facilitates solving systems of equations of the form Ax=b by transforming it into an equivalent system that can be solved through back substitution. 3. The LDU decomposition algorithm works by performing elementary row operations to introduce zeros above and below the diagonal elements of the matrix being decomposed.

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229 views12 pages

Understanding LDU Decomposition

1. Gauss elimination can be used to decompose a non-singular matrix A into LDU form, where L is a lower triangular matrix, D is a diagonal matrix, and U is an upper triangular matrix. 2. The LDU decomposition facilitates solving systems of equations of the form Ax=b by transforming it into an equivalent system that can be solved through back substitution. 3. The LDU decomposition algorithm works by performing elementary row operations to introduce zeros above and below the diagonal elements of the matrix being decomposed.

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APPLIED NUMERICAL METHODS

Dr. Khaled Ahmida Ashouri


Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

GAUSS ELIMINATION: LDU DECOMPOSITION


If matrix A is a non-singular, then A can be decomposed into LDU
decomposition (factorization):
A = LDU
Once we have LDU, Ax=b becomes LDUx=b, which must be easier to solve.
Ax  LDUx  LD(Ux)
 LDz  L(Dz)
 Ly=b
Ax=b  Ly=b
𝑙 ⋯ 0 𝑦 𝑏
⋮ ⋱ ⋮ ⋮ ⋮
𝑙 ⋯ 𝑙 𝑦 𝑏
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LDU: HOW TO!


Consider the matrix:

We want to make this = zero

To introduce zero in (3,1), we subtract 3*(line1) from (line3). This is equivalent


to multiplying by the following lower triangular matrix
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LDU: HOW TO!


Thus:

Since

Thus 
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LDU: HOW TO!


 (1)

Now, L2-L1 in last matrix results in, analogously: to make equal to zero

 1 0 0  1 1 1  1 1 1 
 1 1 0   1 2 4    0 1 3 

 0 0 1   0 6 24   0 6 24 

Again multiply by inverse 


Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LDU: HOW TO!


Substituting in (1):

Simplifying:
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LDU: HOW TO!


 (2)

Now, L3-6L2, which is equivalent to:


Make = 0
1 0 0  1 1 1  1 1 1
0 1 0   0 1 3    0 1 3 

 0 6 1   0 6 24   0 0 6 

Again multiply by inverse 


 Substitute in (2)
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LDU: HOW TO!


Thus, finally,
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LDU: HOW TO!


Why we need LDU and not only LU?
Because LDU usually is guaranteed to be well-conditioned
Numerical Analysis Course/Academia

Pseudo algorithm Dr. Khaled M. Ahmida

LDU: ALGORITHM
 This algorithm creates L, D, U
Matrix D can be modified to look
like that of last slide
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

LU: ALGORITHM
If [D] is the Identity matrix, then we can consider the system as LU
decomposition.

It also facilitates its computation in special cases.

For Ax=b  LUx=b  Ly=b

Then 1- solve the system Ly=b


2- solve the system Ux=y
It facilitates dense matrix computations.
Numerical Analysis Course/Academia
Dr. Khaled M. Ahmida

NUMERICAL STABILITY
How to Ensure Numerical Stability
 System of equations must be well conditioned
 Investigate condition number – if matrix is diagonally dominant or not
 Consistent with physics
 e.g. do not couple domains that are physically uncoupled or unrelated
 Consistent units
 e.g. do not mix known units with unknown units
 If Dimensions are unknown
 Normalize all unknowns consistently

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