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13.1 LU Decomposition

A general square matrix A has an LU decomposition into upper and lower triangular matrices, 

     P A = L U

where P is a permutation matrix, L is unit lower triangular matrix and U is upper triangular matrix. For square matrices this decomposition can be used to convert the linear system A x = b into a pair of triangular systems (L y = P b, U x = y), which can be solved by forward and back-substitution. Note that the LU decomposition is valid for singular matrices.

— Function: int gsl_linalg_LU_decomp (gsl_matrix * A, gsl_permutation * p, int * signum)
— Function: int gsl_linalg_complex_LU_decomp (gsl_matrix_complex * A, gsl_permutation * p, int * signum)

These functions factorize the square matrix A into the LU decomposition PA = LU. On output the diagonal and upper triangular part of the input matrix A contain the matrix U. The lower triangular part of the input matrix (excluding the diagonal) contains L. The diagonal elements of L are unity, and are not stored.

The permutation matrix P is encoded in the permutation p. The j-th column of the matrix P is given by the k-th column of the identity matrix, where k = p_j the j-th element of the permutation vector. The sign of the permutation is given by signum. It has the value (-1)^n, where n is the number of interchanges in the permutation.

The algorithm used in the decomposition is Gaussian Elimination with partial pivoting (Golub & Van Loan, Matrix Computations, Algorithm 3.4.1).

— Function: int gsl_linalg_LU_solve (const gsl_matrix * LU, const gsl_permutation * p, const gsl_vector * b, gsl_vector * x)
— Function: int gsl_linalg_complex_LU_solve (const gsl_matrix_complex * LU, const gsl_permutation * p, const gsl_vector_complex * b, gsl_vector_complex * x)

These functions solve the square system A x = b using the LU decomposition of A into (LU, p) given by gsl_linalg_LU_decomp or gsl_linalg_complex_LU_decomp.

— Function: int gsl_linalg_LU_svx (const gsl_matrix * LU, const gsl_permutation * p, gsl_vector * x)
— Function: int gsl_linalg_complex_LU_svx (const gsl_matrix_complex * LU, const gsl_permutation * p, gsl_vector_complex * x)

These functions solve the square system A x = b in-place using the LU decomposition of A into (LU,p). On input x should contain the right-hand side b, which is replaced by the solution on output.

— Function: int gsl_linalg_LU_refine (const gsl_matrix * A, const gsl_matrix * LU, const gsl_permutation * p, const gsl_vector * b, gsl_vector * x, gsl_vector * residual)
— Function: int gsl_linalg_complex_LU_refine (const gsl_matrix_complex * A, const gsl_matrix_complex * LU, const gsl_permutation * p, const gsl_vector_complex * b, gsl_vector_complex * x, gsl_vector_complex * residual)

These functions apply an iterative improvement to x, the solution of A x = b, using the LU decomposition of A into (LU,p). The initial residual r = A x - b is also computed and stored in residual.

— Function: int gsl_linalg_LU_invert (const gsl_matrix * LU, const gsl_permutation * p, gsl_matrix * inverse)
— Function: int gsl_linalg_complex_LU_invert (const gsl_matrix_complex * LU, const gsl_permutation * p, gsl_matrix_complex * inverse)

These functions compute the inverse of a matrix A from its LU decomposition (LU,p), storing the result in the matrix inverse. The inverse is computed by solving the system A x = b for each column of the identity matrix. It is preferable to avoid direct use of the inverse whenever possible, as the linear solver functions can obtain the same result more efficiently and reliably (consult any introductory textbook on numerical linear algebra for details).

— Function: double gsl_linalg_LU_det (gsl_matrix * LU, int signum)
— Function: gsl_complex gsl_linalg_complex_LU_det (gsl_matrix_complex * LU, int signum)

These functions compute the determinant of a matrix A from its LU decomposition, LU. The determinant is computed as the product of the diagonal elements of U and the sign of the row permutation signum.

— Function: double gsl_linalg_LU_lndet (gsl_matrix * LU)
— Function: double gsl_linalg_complex_LU_lndet (gsl_matrix_complex * LU)

These functions compute the logarithm of the absolute value of the determinant of a matrix A, \ln|\det(A)|, from its LU decomposition, LU. This function may be useful if the direct computation of the determinant would overflow or underflow.

— Function: int gsl_linalg_LU_sgndet (gsl_matrix * LU, int signum)
— Function: gsl_complex gsl_linalg_complex_LU_sgndet (gsl_matrix_complex * LU, int signum)

These functions compute the sign or phase factor of the determinant of a matrix A, \det(A)/|\det(A)|, from its LU decomposition, LU.