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07
LU Decomposition
04.07.1
04.07.2 Chapter 04.07
1
The time is calculated by first separately calculating the number of additions, subtractions,
multiplications, and divisions in a procedure such as back substitution, etc. We then assume
4 clock cycles each for an add, subtract, or multiply operation, and 16 clock cycles for a
divide operation as is the case for a typical AMD®-K7 chip.
http://www.isi.edu/~draper/papers/mwscas07_kwon.pdf
2
As an example, a 1.2 GHz CPU has a clock cycle of 1 /(1.2 109 ) 0.833333 ns
LU Decomposition 04.07.3
Now let us look at the computational time taken by Gaussian elimination. The computational
time CT |FE for the forward elimination part,
8n 3 32n
CT |FE = T 8n 2 ,
3 3
and the computational time CT |BS for the back substitution part is
CT |BS = T 4n 2 12n
So, the total computational time CT |GE to solve a set of equations by Gaussian Elimination
is
CT |GE = CT |FE + CT |BS
8n 3 32n
= T 8n 2 + T 4n 2 12n
3 3
8n 3 4n
= T 12n 2
3 3
The computational time for Gaussian elimination and LU decomposition is identical.
This has confused me further! Why learn LU decomposition method when it takes the
same computational time as Gaussian elimination, and that too when the two methods
are closely related. Please convince me that LU decomposition has its place in solving
linear equations!
We have the knowledge now to convince you that LU decomposition method has its
place in the solution of simultaneous linear equations. Let us look at an example where the
LU decomposition method is computationally more efficient than Gaussian elimination.
Remember in trying to find the inverse of the matrix [ A] in Chapter 04.05, the problem
reduces to solving n sets of equations with the n columns of the identity matrix as the RHS
vector. For calculations of each column of the inverse of the [ A] matrix, the coefficient
matrix [ A] matrix in the set of equation AX C does not change. So if we use the LU
decomposition method, the A L U decomposition needs to be done only once, the
forward substitution (Equation 1) n times, and the back substitution (Equation 2) n times.
So the total computational time CT |inverse LU required to find the inverse of a matrix
using LU decomposition is
CT |inverse LU = 1 CT |LU + n CT |FS + n CT |BS
8n 3 20n
= 1 T 4n 2 + n T 4n 2 4n + n T 4n 2 12n
3 3
32n 3
20n
= T 12n 2
3 3
In comparison, if Gaussian elimination method were used to find the inverse of a matrix, the
forward elimination as well as the back substitution will have to be done n times. The total
04.07.4 Chapter 04.07
computational time CT |inverse GE required to find the inverse of a matrix by using Gaussian
elimination then is
CT |inverse GE = n CT |FE + n CT |BS
8n 3 32n
= n T 8n 2 + n T 4n 2 12n
3 3
8n 4
4n
2
= T 12n 3
3 3
Clearly for large n , CT |inverse GE >> CT |inverse LU as CT |inverse GE has the dominating terms of n 4
and CT |inverse LU has the dominating terms of n 3 . For large values of n , Gaussian elimination
method would take more computational time (approximately n / 4 times – prove it) than the
LU decomposition method. Typical values of the ratio of the computational time for
different values of n are given in Table 1.
Are you convinced now that LU decomposition has its place in solving systems of equations?
We are now ready to answer other curious questions such as
1) How do I find LU matrices for a nonsingular matrix [ A] ?
2) How do I conduct forward and back substitution steps of Equations (1) and (2),
respectively?
How do I decompose a non-singular matrix [A] , that is, how do I find A LU ?
If forward elimination steps of the Naïve Gauss elimination methods can be applied on a
nonsingular matrix, then A can be decomposed into LU as
a11 a12 a1n
a a 22 a 2 n
[ A] 21
a n1 a n 2 a nn
1 0 0 u11 u12 u1n
1 0 0 u22 u2 n
21
n1 n2 1 0 0 unn
The elements of the U matrix are exactly the same as the coefficient matrix one obtains at
the end of the forward elimination steps in Naïve Gauss elimination.
LU Decomposition 04.07.5
The lower triangular matrix L has 1 in its diagonal entries. The non-zero elements on the
non-diagonal elements in L are multipliers that made the corresponding entries zero in the
upper triangular matrix U during forward elimination.
Let us look at this using the same example as used in Naïve Gaussian elimination.
Example 1
Find the LU decomposition of the matrix
25 5 1
A 64 8 1
144 12 1
Solution
A LU
1 0 0 u11 u12 u13
21 1 0 0 u22 u23
31 32 1 0 0 u33
The U matrix is the same as found at the end of the forward elimination of Naïve Gauss
elimination method, that is
25 5 1
U 0 4.8 1.56
0 0 0.7
To find 21 and 31 , find the multiplier that was used to make the a 21 and a 31 elements zero
in the first step of forward elimination of the Naïve Gauss elimination method. It was
64
21
25
2.56
144
31
25
5.76
To find 32 , what multiplier was used to make a32 element zero? Remember a 32 element
was made zero in the second step of forward elimination. The A matrix at the beginning of
the second step of forward elimination was
25 5 1
0 4.8 1.56
0 16.8 4.76
So
16.8
32
4.8
3 .5
Hence
04.07.6 Chapter 04.07
1 0 0
L 2.56 1 0
5.76 3.5 1
Confirm LU A .
1 0 0 25 5 1
LU 2.56 1 0 0 4.8 1.56
5.76 3.5 1 0 0 0.7
25 5 1
64 8 1
144 12 1
Example 2
Use the LU decomposition method to solve the following simultaneous linear equations.
25 5 1 a1 106.8
64 8 1 a 177.2
2
144 12 1 a 3 279.2
Solution
Recall that
AX C
and if
A LU
then first solving
LZ C
and then
U X Z
gives the solution vector X .
Now in the previous example, we showed
A LU
1 0 0 25 5 1
2.56 1 0 0 4.8 1.56
5.76 3.5 1 0 0 0.7
First solve
LZ C
1 0 0 z1 106.8
2.56 1 0 z 177.2
2
5.76 3.5 1 z 3 279.2
to give
LU Decomposition 04.07.7
z1 106.8
2.56 z1 z 2 177.2
5.76 z1 3.5z 2 z3 279.2
Forward substitution starting from the first equation gives
z1 106.8
z 2 177.2 2.56 z1
177.2 2.56 106.8
96.208
z3 279.2 5.76 z1 3.5z 2
279.2 5.76 106.8 3.5 96.208
0.76
Hence
z1
Z z 2
z 3
106.8
96.208
0.76
This matrix is same as the right hand side obtained at the end of the forward elimination steps
of Naïve Gauss elimination method. Is this a coincidence?
Now solve
U X Z
25 5 1 a1 106.8
0 4.8 1.56 a 96.208
2
0 0 0.7 a3 0.76
25a1 5a 2 a 3 106.8
4.8a 2 1.56a3 96.208
0.7a3 0.76
From the third equation
0.7 a3 0.76
0.76
a3
0.7
1.0857
Substituting the value of a3 in the second equation,
4.8a 2 1.56a3 96.208
96.208 1.56a3
a2
4.8
96.208 1.56 1.0857
4.8
04.07.8 Chapter 04.07
19.691
Substituting the value of a 2 and a3 in the first equation,
25a1 5a 2 a3 106.8
106.8 5a 2 a3
a1
25
106.8 5 19.691 1.0857
25
0.29048
Hence the solution vector is
a1 0.29048
a 19.691
2
a3 1.0857
How do I find the inverse of a square matrix using LU decomposition?
A matrix B is the inverse of A if
AB I BA.
How can we use LU decomposition to find the inverse of the matrix? Assume the first
column of B (the inverse of A ) is
[b11 b12 ... ... bn1 ]T
Then from the above definition of an inverse and the definition of matrix multiplication
b11 1
b 0
A 21
bn1 0
Similarly the second column of B is given by
b12 0
b 1
A 22
bn 2 0
Similarly, all columns of B can be found by solving n different sets of equations with the
column of the right hand side being the n columns of the identity matrix.
Example 3
Use LU decomposition to find the inverse of
25 5 1
A 64 8 1
144 12 1
Solution
Knowing that
LU Decomposition 04.07.9
A LU
1 0 0 25 5 1
2.56 1 0 0 4.8 1.56
5.76 3.5 1 0 0 0.7
We can solve for the first column of [ B] A by solving for
1
25 5 1 b11 1
64 8 1 b 0
21
144 12 1 b31 0
First solve
LZ C ,
that is
1 0 0 z1 1
2.56 1 0 z 0
2
5.76 3.5 1 z 3 0
to give
z1 1
2.56 z1 z 2 0
5.76 z1 3.5 z 2 z 3 0
Forward substitution starting from the first equation gives
z1 1
z 2 0 2.56 z1
0 2.561
2.56
z 3 0 5.76 z1 3.5 z 2
0 5.761 3.5 2.56
3.2
Hence
z1
Z z 2
z 3
1
2.56
3.2
Now solve
U X Z
that is
04.07.10 Chapter 04.07
25 5 1 b11 1
0 4.8 1.56 b 2.56
21
0 0 0.7 b31 3.2
25b11 5b21 b31 1
4.8b21 1.56b31 2.56
0.7b31 3.2
Backward substitution starting from the third equation gives
3.2
b31
0.7
4.571
2.56 1.56b31
b21
4.8
2.56 1.56(4.571)
4.8
0.9524
1 5b21 b31
b11
25
1 5(0.9524) 4.571
25
0.04762
Hence the first column of the inverse of A is
b11 0.04762
b 0.9524
21
b31 4.571
Similarly by solving
25 5 1 b12 0 b12 0.08333
64 8 1 b 1 gives b 1.417
22 22
144 12 1 b32 0 b32 5.000
and solving
25 5 1 b13 0 b13 0.03571
64 8 1 b 0 gives b 0.4643
23 23
144 12 1 b33 1 b33 1.429
Hence
0.04762 0.08333 0.03571
A 0.9524 1.417 0.4643
1
Key Terms:
LU decomposition
Inverse