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Lecture Notes

Lecture 3.

Solving linear systems

solution is same but easier to compute

What type of transformation of linear system leaves

solution unchanged?

We can premultiply (from left) both sides of linear

system

Ax = b by any nonsingular matrix M without affecting

solution

Solution to MAx =Mb is given by

Permutation matrices

Scaling

Triangular form

solution (i.e., only one entry in that row of matrix is nonzero), then

that component can be computed by division

solution component, then by substituting one known component

into it, we can solve for other component

per equation, then all components of solution can be computed

in succession.

Triangular form

Gaussian elimination

Gaussian elimination

Example

Elimination

Elimination matrices

Elimination matrices

Example

Example

Gaussian elimination

Gaussian elimination

LU decomposition

LU decomposition

Example

Example

Example

Example

Row interchanges

remaining unreduced matrix is zero at any stage

row k with some subsequent row having nonzero entry in column

k and then proceed as usual

there is nothing to do at this stage, so skip to next column

singular, but LU factorization can still be completed

singular matrix

Partial pivoting

pivot should be chosen to minimize error propagation

remaining portion of matrix by elementary elimination matrix,

multipliers should not exceed 1 in magnitude

magnitude on or below diagonal as pivot at each stage

implementation of Gaussian elimination for general linear

systems

LU with pivoting

Complete pivoting

Example

Small pivots

Small pivots

Residual

Residual

Example

Example

Complexity

Modified systems

does not, then LU factorization need not be repeated to

solve new system

for new right-hand side

triangular solutions cost only O(n2) work, in contrast to

O(n3) cost of factorization

Rank-one update

Rank-one update

Example

Example

Scaling

scaling of matrix and right-hand-side vector

selection of pivots in Gaussian elimination, which in turn affect

numerical accuracy in finite-precision arithmetic

have about same size

of measurement units for variables, but there is no foolproof

method for doing so in general

Scaling

Iterative refinement

Iterative refinement

matrix and its LU factorization are required

higher precision for iterative refinement to produce meaningful

improvement

use routinely, but it can still be useful in some circumstances

otherwise unstable algorithm

SPD matrices

Cholesky decomposition

matrices

defined

No pivoting is required to maintain numerical stability

Only lower triangle of A is accessed, and hence upper triangular

portion need not be stored

Only n3/6 multiplications and similar number of additions are

required

Thus, Cholesky factorization requires only about half work and half

storage compared with LU factorization of general matrix by

Gaussian elimination, and also avoids need for pivoting

Banded matrices

case only ranges of loops change

Typically matrix is stored in array by diagonals to avoid storing

zero entries

If pivoting is required for numerical stability, bandwidth can grow

(but no more than double)

General purpose solver for arbitrary bandwidth is similar to code

for Gaussian elimination for general matrices

For fixed small bandwidth, band solver can be extremely simple,

especially if pivoting is not required for stability

system, producing exact solution in finite number of steps

(in exact arithmetic)

successively improve it until desired accuracy attained

converge to exact solution, but in practice iterations are

terminated when residual is as small as desired

significant advantages over direct methods

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