Solving Linear Eqns 8/26/2003 page 1

Dennis L. Bricker
Dept of Mechanical & Industrial Engineering
University of Iowa
Solving Linear Eqns 8/26/2003 page 2
Contents
Preliminaries
o Elementary Matrix Operations
o Elementary Matrices
o Echelon Matrices
o Rank of Matrices
Elimination Methods
o Gauss Elimination
o Gauss-Jordan Elimination
Factorization Methods
o Product Form of Inverse (PFI)
o LU Factorization
o LDL
T
Factorization
o Cholesky LL
T
Factorization
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CHOLESKY FACTORIZATION
Suppose that A is a symmetric & positive definite matrix.
Then the Cholesky factorization of A is

T
A L L =
where

L is a lower triangular matrix.

Computation:
Suppose that we have the factorization
T
A L D L =
Then if 0
i
i
D , we can define a new diagonal matrix

D where

i i
i i
D D
Then
( ) ( )

T
T T T
A L D L L D D L LD LD L L = = = = where

L LD =
Solving Linear Eqns 8/26/2003 page 38
Example:
We wish to find the Cholesky factorization of the matrix
2 0 1
0 1 1
1 1 2
A
(
(
=
(
(

Solving Linear Eqns 8/26/2003 page 39
Cholesky factorization
Solving Linear Eqns 8/26/2003 page 40
The lower triangular matrix L is found by performing (on the
identity matrix) the inverse of the row operations used to reduce
the A matrix:
3 3 1
3 3 2
1 0 0
1
2
0 1 0
1
1 1
2
R R R
L
R R R
(
(
+

= (
`
( +

)
(

We now have the LU factorization of matrix A:
1 0 0 2 0 1
0 1 0 0 1 1
1 1
1 1 0 0
2 2
A LU
( (
( (
= = ( (
( (
( (

Solving Linear Eqns 8/26/2003 page 41
Define the diagonal matrix D:
1
1
0 0
2 0 0
2
0 1 0 0 1 0
1 0 0 2
0 0
2
D D

( (
( (
( = = (
( (
( (

Note that
1
1
0 0
2 0 1
2

0 1 0 0 1 1
0 0 2 1
0 0
2
1
1 0
2
0 1 1
0 0 1
U D U

( (
( (
( = = (
( (
( (

(
(
( =
(
(

Solving Linear Eqns 8/26/2003 page 42
And so,
1
1 0
1 0 0 2 0 0
2
0 1 0 0 1 0 0 1 1
1 1 0 0 1
1 1 0 0
2 2
T
A LDL
( ( (
( ( (
( = = ( (
( ( (
( ( (

Solving Linear Eqns 8/26/2003 page 43
Define the diagonal matrix

D where

i i
i i
D D :
2 0 0

0 1 0
1
0 0
2
D
(
(
(
=
(
(

Then compute
1 0 0 2 0 0 2 0 0

0 1 0 0 1 0 0 1 0
1 1 1 1
1 1 0 0 1
2
2 2 2
L LD
( (
(
( (
(
( (
= = = (
( (
(
( (
(


So the Cholesky factorization is
1
2 0
2 0 0
2

0 1 0 0 1 1
1 1 1
1 0 0
2 2 2
T
A LL
( (
( (
( (
= =
( (
( (
(