LU分解在本質上是高斯消元法的一種表達形式。實質上是將A通過初等行變換變成一個上三角矩陣,其變換矩陣就是一個單位下三角矩陣。這正是所謂的杜爾裏特算法(Doolittle algorithm)
重點內容
高斯消去法分爲
(1)LU分解 (2)前代 (3)回代
實例:題目:a)用高斯消去法解方程組Ax = b,其中
b)用得到的A的LU分解,解方程Ay=c
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LU分解
1.定義
LU分解是矩陣分解的一種,可以將係數矩陣A轉變成等價兩個矩陣L和U的乘機,其中L和U分別是下三角和上三角矩陣,A = LU.
2.例子
對如下矩陣A,對A進行LU分解
(1)先解出A的上三角矩陣U
故
(2)解出A的下三角矩陣L
下三角矩陣L中對應位置的元素就是求解上三角矩陣時對應位置的乘數因子.對應上述矩陣, L21 = 2; L31 = -1; L32 = 3,對角線上的數爲1,
故下三角矩陣爲:
$$
L = \left[\begin{matrix}1 & 0& 0 \2& 1 & 0 \-1 & 3 & 1 \
\end{matrix} \right]
(3)代碼如下
private static List<double[][]> decomposition(double[][]a){
double[][] U = a; //a是要分解的矩陣
double[][] L = createIndentityMatrix(a.length);
for(int j=0; j<a[0].length - 1; j++) {
if(a[j][j] == 0) {
throw new IllegalArgumentException("zero pivot encountered.");
}
for(int i=j+1; i<a.length; i++) {
double mult = a[i][j] / a[j][j];
for(int k=j; k<a[i].length; k++) {
U[i][k] = a[i][k] - a[j][k] * mult;
//得出上三角矩陣U,通過減去矩陣的第一行,第二行,第一行(第二行)得到上三角矩陣
}
L[i][j] = mult; //得到下三角矩陣是得出上三角矩陣的乘積因子
}
}
return Arrays.asList(L, U);
}
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前代
(1)因爲LUx = b,
令
則
(2)代碼如下
private static double[] getUMultiX(double[][] a, double[] b, double[][] L) {
double[] UMultiX = new double[a.length];
for(int i=0; i<a.length; i++) {
double right_hand = b[i];
for(int j=0; j<i; j++) {
right_hand -= L[i][j] * UMultiX[j]; //
}
UMultiX[i] = right_hand / L[i][i];
}
return UMultiX;
}
回代
(1)將得到V代入,得到x
(2)代碼如下
private static double[] getSolution(double[][] a, double[][] U,
double[] UMultiX) {
double[] solutions = new double[a[0].length];
for(int i=U.length-1; i>=0; i--) {
double right_hand = UMultiX[i];
for(int j=U.length-1; j>i; j--) {
right_hand -= U[i][j] * solutions[j];
}
solutions[i] = right_hand / U[i][i];
}
return solutions;
}
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如果不夠清楚,可以看下方總體代碼
import java.util.Arrays;
import java.util.List;
public class Decomposition {
public static void main(String[] args) {
double [][]A ={{2,4,-2},{4,9,-3},{-2,-1,7}};
double []b = {2,8,10};
int row = 3;
double[]x = solve(A, b);
for(int i = 0;i<x.length;i++){
System.out.println(x[i]);
}
}
public static double[] solve(double[][] a, double[] b) {
List<double[][]> LAndU = decomposition(a); //LU decomposition
double[][] L = LAndU.get(0);
double[][] U = LAndU.get(1);
double[] UMultiX = getUMultiX(a, b, L); //前代
return getSolution(a, U, UMultiX); //回代
}
/**
* Get solution of the equations
* @param a - Coefficient matrix of the equations
* @param U - U of LU Decomposition
* @param UMultiX - U multiply X
* @return Equations solution
*/
private static double[] getSolution(double[][] a, double[][] U,
double[] UMultiX) {
double[] solutions = new double[a[0].length];
for(int i=U.length-1; i>=0; i--) {
double right_hand = UMultiX[i];
for(int j=U.length-1; j>i; j--) {
right_hand -= U[i][j] * solutions[j];
}
solutions[i] = right_hand / U[i][i];
}
return solutions;
}
/**
* Get U multiply X
* @param a - Coefficient matrix of the equations
* @param b - right-hand side of the equations
* @param L - L of LU Decomposition
* @return U multiply X
*/
private static double[] getUMultiX(double[][] a, double[] b, double[][] L) {
double[] UMultiX = new double[a.length];
for(int i=0; i<a.length; i++) {
double right_hand = b[i];
for(int j=0; j<i; j++) {
right_hand -= L[i][j] * UMultiX[j]; //
}
UMultiX[i] = right_hand / L[i][i];
}
return UMultiX;
}
private static List<double[][]> decomposition(double[][]a){
double[][] U = a; //a是要分解的矩陣
double[][] L = createIndentityMatrix(a.length);
for(int j=0; j<a[0].length - 1; j++) {
if(a[j][j] == 0) {
throw new IllegalArgumentException("zero pivot encountered.");
}
for(int i=j+1; i<a.length; i++) {
double mult = a[i][j] / a[j][j];
for(int k=j; k<a[i].length; k++) {
U[i][k] = a[i][k] - a[j][k] * mult;
//得出上三角矩陣U,通過減去矩陣的第一行,第二行,第一行(第二行)得到上三角矩陣
}
L[i][j] = mult; //得到下三角矩陣是得出上三角矩陣的乘積因子
}
}
return Arrays.asList(L, U);
}
private static double[][]createIndentityMatrix(int row){
double[][]identityMatrix = new double[row][row];
for(int i=0;i<identityMatrix.length;i++){
for(int j=i;j<identityMatrix[i].length;j++){
if(j==i){
if (j==i) {
identityMatrix[i][j]= 1;
}else {
identityMatrix[i][j] = 0;
}
}
}
}
return identityMatrix;
}
}