PowerPoints organized by Dr. Michael R. Gustafson II, Duke University

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1 Part 3 Chapter 10 LU Factorization PowerPoints organized by Dr. Michael R. Gustafson II, Duke University All images copyright The McGraw-Hill Companies, Inc. Permission required for reproduction or display.

2 Chapter Objectives Understanding that LU factorization involves decomposing the coefficient matrix into two triangular matrices that can then be used to efficiently evaluate different right-hand-side vectors. Knowing how to express Gauss elimination as an LU factorization. Given an LU factorization, knowing how to evaluate multiple right-hand-side vectors. Recognizing that Cholesky s method provides an efficient way to decompose a symmetric matrix and that the resulting triangular matrix and its transpose can be used to evaluate right-hand-side vectors efficiently. Understanding in general terms what happens when MATLAB s backslash operator is used to solve linear systems. 2

3 LU Factorization Recall that the forward-elimination step of Gauss elimination comprises the bulk of the computational effort. LU factorization methods separate the time-consuming elimination of the matrix [A] from the manipulations of the right-hand-side [b]. Once [A] has been factored (or decomposed), multiple righthand-side vectors can be evaluated in an efficient manner. 3

4 LU Factorization LU factorization involves two steps: Factorization to decompose the [A] matrix into a product of a lower triangular matrix [L] and an upper triangular matrix [U]. [L] has 1 for each entry on the diagonal. Substitution to solve for {x} Gauss elimination can be implemented in LU factorization 4

5 Gauss Elimination as LU Factorization [A]{x}={b} can be rewritten as [L][U]{x}={b} using LU factorization. The LU factorization algorithm requires the same total flops as for Gauss elimination. The main advantage is once [A] is decomposed, the same [L] and [U] can be used for multiple {b} vectors. MATLAB s lu function can be used to generate the [L] and [U] matrices: [L, U] = lu(a) 5

6 a a a a21 an 1 a n nn ( f a a ) ( f n a a ) 1 n1 11 a a a 0 a a a a 32 0 a n2 a n n nn ( f a a ) ( fn2 a n2 a 22) a11 a12 a1 n 0 a 22 a 23 0 a a n3 a nn ( f a a ) ( fn3 a n3 a 33) a a a 0 a a a 0 a a n n 33 3n ( n 1) a nn U f f f43 0 fn 1 fn2 fn3 fnn 1 1 L It can be proved that A LU. 6

7 Gauss Elimination as LU Factorization (cont) To solve [A]{x}={b}, first decompose [A] to get [L][U]{x}={b} Set up and solve [L]{d}={b}, where {d} can be found using forward substitution. Set up and solve [U]{x}={d}, where {x} can be found using backward substitution. In MATLAB: [L, U] = lu(a) d = L\b x = U\d 7

8 Cholesky Factorization Symmetric systems occur commonly in both mathematical and engineering/science problem contexts, and there are special solution techniques available for such systems. The Cholesky factorization is one of the most popular of these techniques, and is based on the fact that a symmetric matrix can be decomposed as [A]= [U] T [U], where T stands for transpose. The rest of the process is similar to LU decomposition and Gauss elimination, except only one matrix, [U], needs to be stored. 8

9 U u u u u 0 u u u 0 0 u u u U T u u11 u12 u13 u14 u12 u u22 u23 u 24 U u13 u23 u u33 u34 u14 u24 u34 u u44 u u u u u u u u12 u22 u12u13 u22u23 u12u14 u22u u13 u23 u33 u13u14 u23u24 u33u u14 u24 u34 u44 a a a a a a a a a a i1 2 ii ii ki k 1 u a u i1 a u u u j i n ij ki kj k 1 and ij for 1,, uii 9

10 MATLAB MATLAB can perform a Cholesky factorization with the builtin chol command: U = chol(a) MATLAB s left division operator \ examines the system to see which method will most efficiently solve the problem. This includes trying banded solvers, back and forward substitutions, Cholesky factorization for symmetric systems. If these do not work and the system is square, Gauss elimination with partial pivoting is used. 10

11 Part 3 Chapter 11 Matrix Inverse and Condition PowerPoints organized by Dr. Michael R. Gustafson II, Duke University All images copyright The McGraw-Hill Companies, Inc. Permission required for reproduction or display.

12 Chapter Objectives Knowing how to determine the matrix inverse in an efficient manner based on LU factorization. Understanding how the matrix inverse can be used to assess stimulus-response characteristics of engineering systems. Understanding the meaning of matrix and vector norms and how they are computed. Knowing how to use norms to compute the matrix condition number. Understanding how the magnitude of the condition number can be used to estimate the precision of solutions of linear algebraic equations. 12

13 Matrix Inverse Recall that if a matrix [A] is square, there is another matrix [A] -1, called the inverse of [A], for which [A][A] -1 =[A] -1 [A]=[I] The inverse can be computed in a column by column fashion by generating solutions with unit vectors as the right-hand-side constants: A x A x 2 A 1 x 1 x 2 x A x 3 13

14 Matrix Inverse (cont) Recall that LU factorization can be used to efficiently evaluate a system for multiple right-hand-side vectors - thus, it is ideal for evaluating the multiple unit vectors needed to compute the inverse. 14

15 Stimulus-Response Computations Many systems can be modeled as a linear combination of equations, and thus written as a matrix equation: Interactions response stimuli The system response can thus be found using the matrix inverse. 15

16 Vector and Matrix Norms A norm is a real-valued function that provides a measure of the size or length of multi-component mathematical entities such as vectors and matrices. Vector norms and matrix norms may be computed differently. 16

17 Vector Norms For a vector {X} of size n, the p-norm is: n p X p x i i1 Important examples of vector p-norms include: 1/ p n p 1:sum of the absolute values X 1 x i i1 n i1 p 2 :Euclidian norm (length) X 2 X e x i 2 p :maximum magnitude X max x i 1in 17

18 Matrix Norms Common matrix norms for a matrix [A] include: column - sum norm A 1 Frobenius norm A f a ij 2 row - sum norm spectral norm (2 norm) A n max a ij 1 jn i1 n n i1 j1 n max a ij 1in j1 1/2 A 2 max Note - max is the largest eigenvalue of [A] T [A]. 18

19 Matrix Condition Number The matrix condition number Cond[A] is obtained by calculating Cond[A]= A A -1 In can be shown that: X X Cond A A A The relative error of the norm of the computed solution can be as large as the relative error of the norm of the coefficients of [A] multiplied by the condition number. If the coefficients of [A] are known to t digit precision, the solution [X] may be valid to only t-log 10 (Cond[A]) digits. 19

20 MATLAB Commands MATLAB has built-in functions to compute both norms and condition numbers: norm(x,p) Compute the p norm of vector X, where p can be any number, inf, or fro (for the Euclidean norm) norm(a,p) Compute a norm of matrix A, where p can be 1, 2, inf, or fro (for the Frobenius norm) cond(x,p) or cond(a,p) Calculate the condition number of vector X or matrix A using the norm specified by p. If p is omitted, it is automatically set to 2. 20

21 The Hilbert matrix, n n n n1 n2 2n1 21

22 Part 3 Chapter 12 Iterative Methods PowerPoints organized by Dr. Michael R. Gustafson II, Duke University All images copyright The McGraw-Hill Companies, Inc. Permission required for reproduction or display.

23 Chapter Objectives Understanding the difference between the Gauss-Seidel and Jacobi methods. Knowing how to assess diagonal dominance and knowing what it means. Recognizing how relaxation can be used to improve convergence of iterative methods. Understanding how to solve systems of nonlinear equations with successive substitution and Newton-Raphson. 23

24 Gauss-Seidel Method The Gauss-Seidel method is the most commonly used iterative method for solving linear algebraic equations [A]{x}={b}. The method solves each equation in a system for a particular variable, and then uses that value in later equations to solve later variables. For a 3x3 system with nonzero elements along the diagonal, for example, the j th iteration values are found from the j-1 th iteration using: a11x1 a12 x2 a13 x3 b1 a x a x a x b a x a x a x b x x x j 1 j 2 j 3 b a x a x a j1 j j j b a x a x a 22 j j b a x a x a 33 24

25 Jacobi Iteration The Jacobi iteration is similar to the Gauss-Seidel method, except the j-1th information is used to update all variables in the jth iteration: a) Gauss-Seidel b) Jacobi 25

26 Convergence The convergence of an iterative method can be calculated by determining the relative percent change of each element in {x}. For example, for the i th element in the j th iteration, a,i x i j x i j1 x i j 100% The method is ended when all elements have converged to a set tolerance. 26

27 Diagonal Dominance The Gauss-Seidel method may diverge, but if the system is diagonally dominant, it will definitely converge. Diagonal dominance means: a ii n j1 ji a ij 27

28 MATLAB Program x 1 j b 1 a 12 x 2 j1 a 13 x 3 j1 a 11 x 2 j b 2 a 21 x 1 j a 23 x 3 j1 a 22 x 3 j b 3 a 31 x 1 j a 32 x 2 j a 33 28

29 Relaxation To enhance convergence, an iterative program can introduce relaxation where the value at a particular iteration is made up of a combination of the old value and the newly calculated value: x new i x new old i 1 x i where is a weighting factor that is assigned a value between 0 and 2. 0<<1: underrelaxation =1: no relaxation 1< 2: overrelaxation 29

30 Nonlinear Systems Nonlinear systems can also be solved using the same strategy as the Gauss-Seidel method - solve each system for one of the unknowns and update each unknown using information from the previous iteration. This is called successive substitution. 30

31 31

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