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| = Elimination Matrices = | = LU Decomposition = |
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| See [[LinearAlgebra/Elimination|Elimination]] for a walkthrough of '''elimination'''. This regards the computation of '''elimination matrices''', which are a method of computing elimination. | A fundamental step to solving systems of equation is [[LinearAlgebra/Elimination|elimination]]. A mathematical approach grounded in the same methods, but further generalized for automated compuation, is '''LU Decomposition'''. |
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| == Introduction == | == Linear Algebra == |
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== Formulation == The first step of elimination involves the elimination of the cell at row 2 column 1 ''(henceforward cell '''(2,1)''')''. |
The normal step of elimination proceeds like: |
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| [1] 2 1 [1] 2 1 3 8 1 -> 0 2 -2 0 4 1 0 4 1 |
┌ ┐ │ [1] 2 1│ │ 3 8 1│ │ 0 4 1│ └ ┘ ┌ ┐ │ [1] 2 1│ │ 0 2 -2│ │ 0 4 1│ └ ┘ |
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| This can instead be formulated in matrices: | Critically, note that this elimination step involved subtracting 3 of row 1 from row 2. This can instead be formulated with matrices: |
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| This elimination matrix is called E,,2 1,, because is eliminated cell (2,1). An elimination matrix is always the identity matrix with the negative of the multiplier in the elimination position. | This '''elimination matrix''' is called ''E,,2 1,,'' because it eliminated cell (2,1), the '''elimination cell'''. An elimination matrix is always the [[LinearAlgebra/SpecialMatrices#Identity_Matrix|identity matrix]] with the negated multiplier in the elimination cell. |
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| Completing the elimination process: {{{ [1] 2 1 [1] 2 1 0 [2] -2 -> 0 [2] -2 0 4 1 0 0 5 }}} This can be formulated as E,,3 2,, (E,,2 1,, A) = U. Note that this is equivalent to (E,,3 2,, E,,2 1,,) A = U. |
Note that the next elimination step will involve subtracting 2 of row 2 from row 3, to the effect of eliminating cell (3,2). Therefore: |
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| == Factorization == | == Simplification with Factorization == |
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| It is preferable to refactor (E,,3 2,, E,,2 1,,) A = U into A = L U. L can be trivially solved to be E,,2 1,,^-1^ E,,3 2,,^-1^. Furthermore, because elimination matrices are modifications of the inverse matrix, their inverses are also trivial to solve. Note that these are simply the identity matrix with the (normal, non-negative) multiplier in the elimination position | It is generally advantageous to refactor ''(E,,3 2,, E,,2 1,,) A = U'' into ''A = L U'', where ''L'' takes on the role of all elimination matrices. The notation ''L'' is a parallelism to the ''U'' notation for '''upper triangle matrices'''; ''L'' will be a '''lower triagle matrix'''. ''L'' can be trivially solved to be ''E,,2 1,,^-1^ E,,3 2,,^-1^''. Furthermore, because elimination matrices are modifications of the [[LinearAlgebra/SpecialMatrices#Identity_Matrix|identity matrix]], their [[LinearAlgebra/MatrixInversion|inverses]] are also trivial to solve. |
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| -1 E E = I 2,3 2,3 |
LU Decomposition
A fundamental step to solving systems of equation is elimination. A mathematical approach grounded in the same methods, but further generalized for automated compuation, is LU Decomposition.
Linear Algebra
Consider the below system of equations:
x + 2y + z = 2 3x + 8y + z = 12 4y + z = 2
The normal step of elimination proceeds like:
┌ ┐ │ [1] 2 1│ │ 3 8 1│ │ 0 4 1│ └ ┘ ┌ ┐ │ [1] 2 1│ │ 0 2 -2│ │ 0 4 1│ └ ┘
Critically, note that this elimination step involved subtracting 3 of row 1 from row 2.
This can instead be formulated with matrices:
julia> A = [1 2 1; 3 8 1; 0 4 1]
3×3 Matrix{Int64}:
1 2 1
3 8 1
0 4 1
julia> E2_1 = [1 0 0; -3 1 0; 0 0 1]
3×3 Matrix{Int64}:
1 0 0
-3 1 0
0 0 1
julia> E2_1 * A
3×3 Matrix{Int64}:
1 2 1
0 2 -2
0 4 1This elimination matrix is called E2 1 because it eliminated cell (2,1), the elimination cell. An elimination matrix is always the identity matrix with the negated multiplier in the elimination cell.
Note that the next elimination step will involve subtracting 2 of row 2 from row 3, to the effect of eliminating cell (3,2). Therefore:
julia> E3_2 = [1 0 0; 0 1 0; 0 -2 1]
3×3 Matrix{Int64}:
1 0 0
0 1 0
0 -2 1
julia> E3_2 * E2_1 * A
3×3 Matrix{Int64}:
1 2 1
0 2 -2
0 0 5
Simplification with Factorization
It is generally advantageous to refactor (E3 2 E2 1) A = U into A = L U, where L takes on the role of all elimination matrices. The notation L is a parallelism to the U notation for upper triangle matrices; L will be a lower triagle matrix.
L can be trivially solved to be E2 1-1 E3 2-1.
Furthermore, because elimination matrices are modifications of the identity matrix, their inverses are also trivial to solve.
-1
E E = I
2,3 2,3
┌ ┐
-1 │ 1 0 0│
E E = │ 0 1 0│
2,3 2,3 │ 0 0 1│
└ ┘
┌ ┐ ┌ ┐
│ 1 0 0│ -1 │ 1 0 0│
│ -3 1 0│ E = │ 0 1 0│
│ 0 0 1│ 2,3 │ 0 0 1│
└ ┘ └ ┘
┌ ┐
-1 │ 1 0 0│
E = │ 3 1 0│
2,3 │ 0 0 1│
└ ┘The fundamental reason for factorization is that the singular product of E3 2 E2 1 is messier than that of E2 1-1 E3 2-1
E E = ?
3,2 2,1
┌ ┐┌ ┐ ┌ ┐
│ 1 0 0││ 1 0 0│ │ 1 0 0│
│ 0 1 0││ -3 1 0│ = │ -3 1 0│
│ 0 -2 1││ 0 0 1│ │ 6 -2 1│
└ ┘└ ┘ └ ┘
-1 -1
E E = L
2,1 3,2
┌ ┐┌ ┐ ┌ ┐
│ 1 0 0││ 1 0 0│ │ 1 0 0│
│ 3 1 0││ 0 1 0│ = │ 3 1 0│
│ 0 0 1││ 0 2 1│ │ 0 2 1│
└ ┘└ ┘ └ ┘In particular, cell (3,1) is a 0 in L but is 6 in E3 2 E2 1.
Permutation
If a zero pivot is reached, rows must be exchanged. This can be expressed with matrices as P A = L U.
See Permutation Matrices for more information on these matrices and their properties.