LU decomposition

「已注销」

已于 2022-12-17 21:00:45 修改

阅读量115

点赞数

分类专栏： Reference 文章标签：算法

于 2022-10-14 21:57:07 首次发布

本文链接：https://blog.csdn.net/qq_66485519/article/details/127328247

版权

Reference 专栏收录该内容

581 篇文章 5 订阅

订阅专栏

In numerical analysis and linear algebra, lower–upper (LU) decomposition or factorization factors a matrix as the product of a lower triangular matrix and an upper triangular matrix (see matrix decomposition). The product sometimes includes a permutation matrix as well. $LU$ decomposition can be viewed as the matrix form of Gaussian elimination. Computers usually solve square systems of linear equations using LU decomposition, and it is also a key step when inverting a matrix or computing the determinant of a matrix. The $LU$ decomposition was introduced by the Polish mathematician Tadeusz Banachiewicz in 1938.

1 Definitions

Let $A$ be a square matrix. An LU factorization refers to the factorization of $A$ , with proper row and/or column orderings or permutations, into two factors – a lower triangular matrix $L$ and an upper triangular matrix $U$ :
$A=LU.$

In the lower triangular matrix all elements above the diagonal are zero, in the upper triangular matrix, all the elements below the diagonal are zero. For example, for a $3 \times 3$ matrix $A$ , its $LU$ decomposition looks like this:
${\begin{bmatrix}a_{11}&a_{12}&a_{13}\\a_{21}&a_{22}&a_{23}\\a_{31}&a_{32}&a_{33}\end{bmatrix}}={\begin{bmatrix}\ell _{11}&0&0\\\ell _{21}&\ell _{22}&0\\\ell _{31}&\ell _{32}&\ell _{33}\end{bmatrix}}{\begin{bmatrix}u_{11}&u_{12}&u_{13}\\0&u_{22}&u_{23}\\0&0&u_{33}\end{bmatrix}}.$
Without a proper ordering or permutations in the matrix, the factorization may fail to materialize. For example, it is easy to verify (by expanding the matrix multiplication) that ${\textstyle a_{11}=\ell _{11}u_{11}}$ . If ${\textstyle a_{11}=0}$ , then at least one of ${\textstyle \ell _{11}}$ and ${\textstyle u_{11}}$ has to be zero, which implies that either $L$ or $U$ is singular. This is impossible if $A$ is nonsingular (invertible). This is a procedural problem. It can be removed by simply reordering the rows of $A$ so that the first element of the permuted matrix is nonzero. The same problem in subsequent factorization steps can be removed the same way; see the basic procedure below.

在这里插入图片描述

LDU decomposition of a Walsh matrix

1.1 LU factorization with partial pivoting

It turns out that a proper permutation in rows (or columns) is sufficient for LU factorization. LU factorization with partial pivoting (LUP) refers often to LU factorization with row permutations only:
$PA=LU,$
where $L$ and $U$ are again lower and upper triangular matrices, and $P$ is a permutation matrix, which, when left-multiplied to $A$ , reorders the rows of $A$ . It turns out that all square matrices can be factorized in this form, and the factorization is numerically stable in practice. This makes LUP decomposition a useful technique in practice.

1.2 LU factorization with full pivoting

An LU factorization with full pivoting involves both row and column permutations:
$PAQ=LU,$
where $L, U$ and $P$ are defined as before, and $Q$ is a permutation matrix that reorders the columns of $A$ .

1.3 Lower-diagonal-upper (LDU) decomposition

A Lower-diagonal-upper (LDU) decomposition is a decomposition of the form
$A=LDU,$
where $D$ is a diagonal matrix, and $L$ and $U$ are unitriangular matrices, meaning that all the entries on the diagonals of $L$ and $U$ are one.

1.4 Rectangular matrices

Above we required that $A$ be a square matrix, but these decompositions can all be generalized to rectangular matrices as well. In that case, $L$ and $D$ are square matrices both of which have the same number of rows as $A$ , and $U$ has exactly the same dimensions as $A$ . Upper triangular should be interpreted as having only zero entries below the main diagonal, which starts at the upper left corner. Similarly, the more precise term for $U$ is that it is the “row echelon form” of the matrix $A$ .

2 Example

We factorize the following 2-by-2 matrix:
${\begin{bmatrix}4&3\\6&3\end{bmatrix}}={\begin{bmatrix}\ell _{11}&0\\\ell _{21}&\ell _{22}\end{bmatrix}}{\begin{bmatrix}u_{11}&u_{12}\\0&u_{22}\end{bmatrix}}.$
One way to find the LU decomposition of this simple matrix would be to simply solve the linear equations by inspection. Expanding the matrix multiplication gives
${\begin{aligned}\ell _{11}\cdot u_{11}+0\cdot 0&=4\\\ell _{11}\cdot u_{12}+0\cdot u_{22}&=3\\\ell _{21}\cdot u_{11}+\ell _{22}\cdot 0&=6\\\ell _{21}\cdot u_{12}+\ell _{22}\cdot u_{22}&=3.\end{aligned}}$
This system of equations is underdetermined. In this case any two non-zero elements of $L$ and $U$ matrices are parameters of the solution and can be set arbitrarily to any non-zero value. Therefore, to find the unique LU decomposition, it is necessary to put some restriction on $L$ and $U$ matrices. For example, we can conveniently require the lower triangular matrix $L$ to be a unit triangular matrix (i.e. set all the entries of its main diagonal to ones). Then the system of equations has the following solution:
${\begin{aligned}\ell _{11}=\ell _{22}&=1\\\ell _{21}&=1.5\\u_{11}&=4\\u_{12}&=3\\u_{22}&=-1.5\end{aligned}}$
Substituting these values into the LU decomposition above yields
${\begin{bmatrix}4&3\\6&3\end{bmatrix}}={\begin{bmatrix}1&0\\1.5&1\end{bmatrix}}{\begin{bmatrix}4&3\\0&-1.5\end{bmatrix}}.$

3 Existence and uniqueness

3.1 Square matrices

Any square matrix ${\textstyle A}$ admits $LU P$ and $P LU$ factorizations. If ${\textstyle A}$ is invertible, then it admits an $LU$ (or $L D U$ ) factorization if and only if all its leading principal minors are nonzero (for example ${\begin{bmatrix}0&1\\1&0\end{bmatrix}}$ does not admit an $LU$ or $L D U$ factorization). If ${\textstyle A}$ is a singular matrix of rank ${\textstyle k}$ , then it admits an $LU$ factorization if the first ${\textstyle k}$ leading principal minors are nonzero, although the converse is not true.

If a square, invertible matrix has an $L D U$ (factorization with all diagonal entries of $L$ and $U$ equal to $1$ ), then the factorization is unique. In that case, the $LU$ factorization is also unique if we require that the diagonal of ${\textstyle L}$ (or ${\textstyle U}$ ) consists of ones.

In general, any square matrix $A_{n\times n}$ could have one of the following:

a unique $LU$ factorization (as mentioned above)
infinitely many $LU$ factorizations if two or more of any first $(n - 1)$ columns are linearly dependent or any of the first $(n - 1)$ columns are $0$ , then $A$ has infinitely many LU factorizations.
no $LU$ factorization if the first $(n - 1)$ columns are non-zero and linearly independent and at least one leading principal minor is zero.

In Case $3$ , one can approximate an $LU$ factorization by changing a diagonal entry $a_{jj}$ to $a_{jj}\pm \varepsilon$ to avoid a zero leading principal minor.

3.2 Symmetric positive-definite matrices

If $A$ is a symmetric (or Hermitian, if $A$ is complex) positive-definite matrix, we can arrange matters so that $U$ is the conjugate transpose of $L$ . That is, we can write $A$ as
$A=LL^{*}.\,$
This decomposition is called the Cholesky decomposition. The Cholesky decomposition always exists and is unique — provided the matrix is positive definite. Furthermore, computing the Cholesky decomposition is more efficient and numerically more stable than computing some other $LU$ decompositions.

3.3 General matrices

For a (not necessarily invertible) matrix over any field, the exact necessary and sufficient conditions under which it has an $LU$ factorization are known. The conditions are expressed in terms of the ranks of certain submatrices. The Gaussian elimination algorithm for obtaining $LU$ decomposition has also been extended to this most general case.