DCDM BUSINESS SCHOOL

NUMERICAL METHODS (COS 233-8)

Lecture 6

Definition

The trace of a square matrix A, denoted by tr(A), is the sum of the elements on its main diagonal.
It should be obvious that tr(A) = tr(AT).

Definition

A tridiagonal matrix is one that has non-zero elements only on the main diagonal and in the
positions adjacent to that diagonal.

Theorem

The determinant of lower and upper triangular matrices is the product of the elements on their
main diagonals.

Definition

The characteristic polynomial of a square matrix A is defined as pA(ë) = | A – ëI |. For a matrix of

order n × n, this polynomial is of degree n. By setting it to zero, we obtain the eigenvalues of A.
In symbols, we write Λ(A) = {e1, e2, … , en}.
We also have the notion of eigenvectors corresponding to eigenvalues. The eigenvector is a non-
zero vector w such that Aw = ëw, that is, (A – ëI)w = 0.
Note that the trace of a matrix A is equal to the sum of its eigenvalues.

LU Decomposition

By the Gaussian elimination method, we observe that a matrix can be decomposed into the
product of a lower triangular matrix and an upper triangular matrix. (Example on page 127,
Gerald/Wheatley). In fact, this can be done in an infinite number of ways.
The Crout reduction method (page 137) is slightly different in that there are 1’s on the main
diagonal of the upper triangular matrix as opposed to the Gaussian elimination method, where the
1’s are found on the main diagonal of the lower triangular matrix.
Example (Gaussian elimination)

 3 −1 2
Compute the L and U matrices for A =  1 2 3 .

 2 − 2 − 1

Solution

 3 −1 2  3 −1 2  3 −1 2
 1  7
 2 3 → R2 + − 13 R1 →  0
 7
3
7
3
 → R3 + − 23 R1 →  0 7
3 3
 2 − 2 − 1  2 − 2 − 1  0 − 43 − 73 
 3 − 1 2
→ R3 + 7 R2 →  0
4 7
3
7
3

 0 0 − 1
If we had left the coefficients in place of the zeros, then the final form of the matrix would have
 3 −1 2
 1 7 7
been  ( 3 ) 3 3  . Thus, the LU decomposition of the initial matrix is
 ( 23 ) ( − 74 ) − 1

 1 0 0  3 − 1 2
 1   0 7 7
 3 1 0  3 3
 3 − 74
2
1  0 0 − 1
Crout reduction

Le us start by developing the procedure for the Crout reduction. From the fact that LU = A, the
rules for a 3 × 3 matrix are as follows:

 l11 0 0  1 u12 u13   a11 a12 a13 

l l22 0  0 1 u 23  =  a 21 a 22 a 23 
 21 
 l31 l32 l33   0 0 1  a 31 a 32 a 33 

From the above product, we deduce the following equations:

l11 = a11 , l 21 = a 21 , l31 = a31 (the first column of L is the same as that of A);
a a
l11u12 = a12 , l11u13 = a13 ⇒ u12 = 12 and u13 = 13 (the first row of U is determined).
l11 l11
l 21u12 + l 22 = a 22 , l31u12 + l32 = a32 ⇒ l 22 = a 22 − l 21u12 and l32 = a 32 − l31u12

Proceeding in the same fashion, we have

a 23 − l21u13
u 23 = and l 33 = a 33 − l 31u13 − l 32 u 23
l 22

All the above equations may be summarise as a general formula:

j −1
lij = aij − ∑ lik u kj for j ≤ i , i = 1, 2, 3, … , n
k =1
i −1
a ij − ∑ lik u kj
and u ij = k =1
for i ≤ j , j = 2, 3, … , n
lii

a1 j a1 j
Note that the rule for l reduces to l i1 = ai1 for j = 1 and u1 j = = for i = 1.
l11 a11

Taking the same example as above, we have

 3 −1 2  3 0 0  1 − 13 2
3 
   0
 1
 2 
3 =  1 7
3
0  1 1
 2 − 2  
− 1  2 − 43 − 1  0 0 1

Digitally signed by
Rajesh Gunesh

Rajesh Gunesh DN: cn=Rajesh

Gunesh, o=De Chazal
du Mee, c=MU
Date: 2001.07.15
Signature 16:50:15 +04'00'
Not Verified Location: Vacoas