Matrix decomposition

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In the mathematical discipline of linear algebra, a matrix decomposition or matrix factorization is a factorization of a matrix into a product of matrices. There are many different matrix decompositions; each finds use among a particular class of problems.

1 Example
2 Decompositions related to solving systems of linear equations
3 Decompositions based on eigenvalues and related concepts
4 Other decompositions
5 Generalizations
6 See also
7 References
8 External links

1 Example

In numerical analysis, different decompositions are used to implement efficient matrix algorithms.

For instance, when solving a system of linear equations $A\mathbf {x} =\mathbf {b}$ , the matrix $A$ can be decomposed via the LU decomposition. The LU decomposition factorizes a matrix into a lower triangular matrix $L$ and an upper triangular matrix $U$ . The systems $L(U\mathbf {x} )=\mathbf {b}$ and $U\mathbf {x} =L^{-1}\mathbf {b}$ require fewer additions and multiplications to solve, compared with the original system $A\mathbf {x} =\mathbf {b}$ , though one might require significantly more digits in inexact arithmetic such as floating point.

Similarly, the QR decomposition expresses $A$ as $QR$ with $Q$ an orthogonal matrix and $R$ an upper triangular matrix. The system $Q (R x) = b$ is solved by $Rx = Q^Tb = c$ , and the system $R x = c$ is solved by ‘back substitution’. The number of additions and multiplications required is about twice that of using the $LU$ solver, but no more digits are required in inexact arithmetic because the $QR$ decomposition is numerically stable.