Knowledge base dedicated to Linux and applied mathematics.
All the versions of this article: [English] [français]
We will study a direct method for solving linear systems: the LU decomposition. Given a matrix A, the aim is to build a lower triangular matrix L and an upper triangular matrix which has the following property: diagonal elements of L are unity and A=LU.
Let be matrix . factorization is a procedure for decomposing into a product of a lower triangular matrix (diagonal elements of L are unity) and an upper triangular matrix such as with
For the resolution of linear system : , the system becomes
if an LU factorization exists, then it is unique.
An invertible matrix admits an LU factorization if and only if all its principal minors are non-zero (principal minor of order is the determiant of the matrix ).
If is only invertible, then can be written where is a permutation matrix.
We suppose that admits an LU factorization, the LU Decomposition algorithm is:
The LU decomposition also makes it possible to calculate the determinant of , which is equal to the product of the diagonal elements of the matrix if admits an LU factorization since