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Cholesky, Doolittle and Crout Factorization

6. Cholesky, Doolittle and Crout Factorization


Definition (LU-Factorization). The nonsingular matrix A has an LU-factorization if it can be expressed as the product of a lower-triangular matrix L and an upper triangular matrix U: . When this is possible we say that A has an LU-decomposition. It turns out that this factorization (when it exists) is not unique. If L has 1's on it's diagonal, then it is called a Doolittle factorization. If U has 1's on its diagonal, then it is called a Crout factorization. When (or ), it is called a Cholesky decomposition. Doolittle Factorization. If A has a Doolittle factorization A = LU.

Crout Factorization. If A has a Crout factorization A = LU.

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Cholesky, Doolittle and Crout Factorization

Cholesky Factorization. If A is real, symmetric and positive definite matrix, then it has a Cholesky , where U an upper triangular matrix ( ). factorizationhas a Cholesky factorization

Or if you prefer to write the Cholesky factorization as )

where L is a lower triangular matrix (

Theorem (A = LU; Factorization with NO Pivoting). Assume that A has a Doolittle, Crout or , is found in three steps: Cholesky factorization. The solution X to the linear system 1. Construct the matrices , if possible. for using forward substitution. 2. Solve for using back substitution. 3. Solve Example 1. Find the A = LU factorization for the matrix method.
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. Use the Doolittle

Cholesky, Doolittle and Crout Factorization

Solution 1.

Example 2. Find the A = LU factorization for the matrix method. Solution 2.

. Use the Crout

Example 3. Find the A = LU factorization for the matrix method. Solution 3.

. Use the Cholesky

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Cholesky, Doolittle and Crout Factorization

Example 1. Find the A = LU factorization for the matrix method. Solution 1.

. Use the Doolittle

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Cholesky, Doolittle and Crout Factorization

Example 2. Find the A = LU factorization for the matrix method. Solution 2.

. Use the Crout

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Cholesky, Doolittle and Crout Factorization

Example 3. Find the A = LU factorization for the matrix method. Solution 3.

. Use the Cholesky

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