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SYSTEM OF LINEAR
EQUATIONS
Lecture 3: Crout's method or
LU decomposition method.
Crout's Method (LU Decomposition method)
a11 a12 a13 ..... a1n l11 0 0 ..... 0 1 u12 u13 ..... u1n
a21 a22 a23 ..... a2 n l21 l22 0 ..... 0 0 1 u23 ..... u2n
... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
a
n1 an 2 an 3 ..... ann ln1 ln 2 ln 3 ..... lnn 0 0 0 ..... 1
This implies
l11 a11 , l21 a21 , l31 a31 ;
a12 a12
l11u12 a12 u12 ;
l11 a11
a13 a13
l11u13 a13 u13 ;
l11 a11
l21u12 l22 a22 l22 a22 l21u12 ;
1
l21u13 l22 u23 a23 u23 a23 l21u13 ;
l22
l31u12 l32 a32 l32 a32 l31u12 ;
l31u13 l32 u32 l33 a33 l33 a33 l31u13 l32u23
Once all the value of lij's and uij's are obtained, we can write
Ax b as LU x b
Let U x y , then L y b
l11 0 0 y1 b1
l21 l22 0 y2 b2
l l33 y3 b3
31 l32
l11 y1 b1
l21 y1 l22 y2 b2
l y l y l y b
31 1 32 2 33 3 3
b1 1 1
y1 , y2 b2 l21 y1 and y3 b3 l31 y1 l32 y2
l11 l22 l33
By forward substitution we obtain, U x y
1 u12 u13 x1 y1
0 1 u23 x2 y2
0 0 1
x3 y3
By back substitution we get,
x3 y3
x2 u23 x3 y2 x2 y2 u23 x3
x1 u12 x2 u13 x3 y1 x1 y1 u12 x2 u13 x3
10 x1 3x2 4 x3 15
2 x1 10 x2 3x3 37
3x1 2 x2 10 x3 10
10 3 4 x1 15
2 10 3 x
2 37
3 2 10 x3 10
which is of the form A x b . Let A =LU, which implies
l31u13 l32 u23 l33 10 l33 10 l31u13 l32 u23
4 11 11 1163
10 3
10 10 53 106
Therefore, we get,
3 4
1
10 0 0 10 10
106 11
L 2 0 and U 0 1
10 53
3 11 1163 0 0 1
10 106
Now, let U x y , then L y b implies
10 0 0
y1 15
2 106
0 y2 37
10
y 10
3 11 1163 3
10 106
3
10 y1 15 y1
2
106 170
2 y1 y2 37 y2
This implies 10 53
11 1163
y1 y2 y3 10 y3 1
10 106
32
170
Thus, y 53 and U x y gives
1
3 4 3
1
10 10 x y 2
1 1
0 11 170 , which implies
1 x2 y 2
53 53
x
1 3 3 1
y
0 0
3 4 3
x1 x2 x3
10 10 2
11 170
x2 x3
53 53
x3 1
By back substitution, we get,
x3 1
11 1 170
x2 3
53 53
3 3 4 3 3 4
x1 x2 x3 3 1 2
2 10 10 2 10 10
9 3 3 3 x1 24
3 10 2 2 x2 17
3 2 18 10 x3 45
3 2 10 10 x4 29
Therefore, we get
1 1 1 1
9 0 0 0 3 3 3
0 1 1 1
3 9 0 0
L and U 3 3
3 3 16 0 0 0 1
1
2
3 3 8 4 0 0 1
0
83
1
Thus, y and U x y gives
5
2
1
1 1
3
1
3
1
3 1
x y1 8 3
1 1
0 1 x y 1
3 3 2 2
0 0 1 1 x
3 y3 5
2
2
0 0 0 1 x4 y 4 1
By back substitution we get,
x4 1
1 5
x3 x4 x3 2
2 2
1 1
x2 x3 x4 1 x2 2
3 3
1 1 1 8
x1 x2 x3 x4 x1 1
3 3 3 3