矩阵LU分解

一，矩阵LU分解定理

设A为n阶矩阵，如果A的顺序主子式D_i≠0(i=1,2,···,n-1),则A可以分解为一个单位下三角矩阵L和一个上三角矩阵U的乘积，且这种分解是唯一的，即A=LU

二，矩阵LU分解Python代码

# 自己原创
def lu_decomposition(coefficient_matrix: np.ndarray, right_hand_side_vector: np.ndarray):
    """
    实现方程Ax=b系数矩阵A的LU decomposition
    :param coefficient_matrix: 初始系数矩阵A
    :param right_hand_side_vector: 初始常数列向量b
    :return: 单位下三角矩阵L，上三角矩阵U，常数列向量b
    """
    # first step: evaluate the lu decomposition condition
    rows, columns = coefficient_matrix.shape
    if rows == columns:  # judge if it is a square matrix
        for k in range(rows):  # 判断各阶顺序主子式是否为0
            if det(coefficient_matrix[:k + 1, :k + 1]) == 0:
                raise Exception("cannot generate LU decomposition")
        else:
            # LU decomposition
            lower_triangular_matrix = np.eye(rows)
            for k in range(rows - 1):
                for row in range(k + 1, rows):
                    multiplier = coefficient_matrix[row, k] / coefficient_matrix[k, k]
                    coefficient_matrix[row, k:] += -multiplier * (coefficient_matrix[k, k:])
                    right_hand_side_vector[row] += -multiplier * right_hand_side_vector[k]
                    lower_triangular_matrix[row, k] = multiplier
    else:
        raise Exception("ERROR:please pass a square matrix.")

    return lower_triangular_matrix, coefficient_matrix, right_hand_side_vector