MIDTERM. b) [2 points] Compute the LU Decomposition A = LU or explain why one does not exist.

Transcription

1 MAE 9A / FALL 3 Maurício de Oliveira MIDTERM Instructions: You have 75 minutes This exam is open notes, books No computers, calculators, phones, etc There are 3 questions for a total of 45 points and bonus question with 5 bonus points Good luck! Questions:. [ points] Consider the matrix and vectors 4 A, b, x. Answer the following questions: a) [ points] Verify that x solves the equation Ax b. Multiply to verify that Ax b. (+ points) b) [ points] Compute the LU Decomposition A LU or explain why one does not exist. The LU Decomposition does not exist Because the first pivot, the a entry is zero. (+ point) (+ point) c) [8 points] Compute the LU Decomposition P A LU with partial pivoting. Use the computed decomposition to solve the system of equations Ax b.

2 First iteration is: P, P A 4, M I, M P A 4 (+.5 points) Second iteration is: P I, M, U M P M P A 4 /4 /4 (+.5 points) Extracting the factors P P P P, L, U 4 /4 /4 (+ point) To solve Ax b we note that P Ax LUx P b and solve Ly P b Ux y Computing y y y Ly P b, /4 y 3 (+ point) y, y, y 3 (/4)y / / (+ point) then computing x x Ux 4 x /4 x 3 / (+ point) x 3 4(/), x ( x 3 )/4 ( + )/4, x x 3 / (+ point) d) [8 points] Compute the LU Decomposition P AQ LU with complete pivoting. Use the computed decomposition to solve the system of equations Ax b.

3 First iteration is: 4 P I, Q, P A Q, 4 M, M P A Q /4 /4 Second iteration is: 4 P Q M I, U M P M P A Q Q /4 (+.5 points) (+ point) Extracting the factors P P P I, Q Q Q Q, 4 L, U /4 /4 (+ point) To solve Ax b we note that P AQx LUQx P b and solve Ly P b Uz y, x Q T z Computing y y y Ly P b, /4 y 3 (+ point) y, y, y 3 (/4)y / / (+ point) then computing z 4 z Ux z /4 z 3 / (+ point) z 3 4(/), z x 3 / /, z ( z 3 )/4 ( + )/4 (+ point) and finally computing x x Q T z 3 (+.5 point)

4 . [ points] Consider the matrices [ ] [ ] ρ ρ A, B ρ. Answer the following questions: a) [5 points] Using as matrix norm the p induced norm show that when < ρ. Hint: Use the fact that Compute κ(a) +, κ(b) ( + ρ) ρ [ ] x y [ x x y y ]. Recall that κ(x) X X. A max( + ρ, ) + ρ, B max( + ρ, ρ ) + ρ. (+ point) Using the formula provided [ A ρ ρ ] [ ], B ρ ρ ρ (+ point) and A max(ρ, ) ρ, B max(ρ + ρ, ρ) ρ + ρ. (+ point) Therefore κ(a) A A ρ ( + ρ) + ρ (+ point) κ(b) B B ( + ρ )(ρ + ρ ) ( + ρ) (+ point) b) [5 points] Provide a short explanation about the implications of the above calculations on the accuracy of solutions to the matrix equations Ax b and Bx b computed by a backward stable linear algebra algorithm when ρ > is small. Hint: Recall that a backward stable algorithm is one which calculates the exact solution of the perturbed problem (A + A)y b + b, where A ɛ A, b ɛ b. 4

5 Based on sensitivity analysis we know the calculated solution y will have a relative error y x x O(ɛκ(X)) (+ point) where x is the solution to the linear equations Xx b when X A or X B. For X A we have y x x O(ɛκ(A)) O(ɛ( + /ρ)) (+ point) therefore we should expect large relative errors if ρ is small since ɛ( + /ρ) for a fixed ɛ. (+ point) For X B we have y x x O(ɛκ(A)) O(ɛ( + /ρ)) (+ point) therefore we should expect small relative errors if ρ is small since ɛ( + ρ) ɛ for a fixed ɛ. (+ point) 5

6 3. [5 points] The matrix is called a projector. P (v) I v T v vvt a) [ points] Show that y P (v) x x α v, where α v T x / (v T v). y P (v)x ( I ) v T v vvt x x vt x v T v v x αv (+ points) b) [ points] Show that P (v) v. With x v we have α (v T v)/(v T v) (+ point) and therefore P (v)v v αv. (+ point) c) [ points] Show that if y P (v) x then v y. Calculate the inner product v T y v T P (v)v v T x vt x v T v vt v (+ points) d) [ points] Show that if v x then P (v) x x. When v x then v T x α (+ point) so that P (v)x x αv x (+ point) e) [ points] Prove that P (v) is not full-rank unless v. For any v from item b) P (v)v hence P (v) is not full-rank. With v then P (v) I and full-rank. (+ point) (+ point) 6

7 f) [5 points] For v ( ), x ( ), x ( ) 3, 4 compute P (v), y P (v) x, and y P (v) x. Draw a cartesian plan representing the vectors v, x, x, y and y. What is the geometric interpretation of the operation P (v) x? Calculating P (v) I v T v vvt [ ] ( ) [ ] ( ) [ ] ( ) y P (v)x [ ] ( ) 3 y P (v)x 4 ( ) ( ) 4 (+ point) (+ point) (+ point) Graphically: y 4 y x 3 y x v 3 4x which reveals that P (v)x is an orthogonal projection onto axis y. (+ points) 4. [5 bonus points] Every complex matrix A C m n, m n, admits the complex QR Decomposition A QR where Q C m n is such that Q Q I and R C n n is upper triangular. a) [ bonus points] Show that matrices ˆQ Q Θ, ˆR Θ R, where Θ C n n is a diagonal matrix with diagonal entries equal to Θ ii e jθ i, θ i [, π), i,..., n, and j, also constitute a QR Decomposition of A. 7

8 Note that ΘΘ is a diagonal n n matrix with diagonal entries That is ΘΘ Θ Θ I is unitary. Therefore Θ ii Θ ii e jθ i e jθ i, i,..., n, (+ point) ˆQ ˆR QΘΘ R QR A, ˆQ ˆQ Θ Q QΘ Θ Θ I (+ point) is a QR decomposition because ˆR Θ R is still upper-triangular. b) [ bonus points] Explain how item a) can be used to construct a matrix ˆR which has real and positive diagonal entries, such as the one produced by the Gram-Schmidt Algorithm. In general r ii will be a complex number. Representing r ii in polar form With the choice r ii r ii e j r ii Θ ii e j r ii (+ point) The product Θ R is such that the diagonal entries of ˆR are ˆr ii e j r ii r ii r ii e j r ii e j r ii r ii (+ point) c) [ bonus point] What are the possible values Θ can assume when A, Q, R, ˆQ and ˆR are real matrices? In order for Q and QΘ be real we will need Θ to be real. This is only possible if in which case Θ ii is either equal to or. Θ ii e jθ i, θ i {, π}, i,..., n, (+ point) 8