Existence of LU

Let’s look at a case where the LU factorization breaks down. This happens when a pivot becomes equal to 0.

Consider:

$$A=\left(\begin{array}{cccc}1& 6& 1& 0\\ 0& 1& 9& 3\\ 1& 6& 1& 1\\ 0& 0& 1& 9\end{array}\right)$$

Why does the LU algorithm break down?

• $A=LU$
• We have $\det (A)=\det (L)\det (U)=\det (U)$ because $L$ is lower triangular with 1 on the diagonal.
• det($A$) = 0 if and only if det($U$) = 0. This is equivalent to saying that one of the diagonal entries of $U$ is 0. LU and determinant.
• Furthermore, because $A=LU$ and the triangular form of $L$ and $U$ we have that

$$A[1:k,1:k]=L[1:k,1:k]U[1:k,1:k]$$

• Assume that all the pivots are non-zero up to step $k$. Then $A[1:k,1:k]$ is singular if and only if $u_{kk}$ is zero. This can be stated equivalently as $\det (A[1:k,1:k])\ne 0$ if and only if $u_{kk}\ne 0$. LU and determinant.
• So, if $\det (A[1:k,1:k])\ne 0$, $1\le k\le n-1,$ then all the pivots remain non-zero, and the algorithm completes.

In our example, $u_{33}=0$ at step $k=3$. This is because the top left $3\times 3$ block of $A$ is singular. So we cannot proceed to step $k=4$.

Triangular factorization, LU algorithm, LU and determinant

Existence of the LU factorization §

Theorem: the LU factorization exists if

$$\det (A[1:k,1:k])\ne 0.$$

for all $1\le k\le n-1$.

This was proved above. A more precise version of this result is as follows.

Theorem: The LU factorization exists if and only if

$$\mathrm{rank}(A[1:k,1:k])=\mathrm{rank}(A[1:n,1:k])$$

for all $1\le k\le n-1$.

More details §

We make a few observations.

A matrix $A$ is non-singular if and only if $\mathrm{rank}(A[1:n,1:k])=k$, $1\le k\le n$. For non-singular matrices, $\det (A[1:k,1:k])\ne 0$, $1\le k\le n-1$, is a necessary and sufficient condition for the existence of an LU factorization.

Assume that $A$ has an LU factorization. If $u_{kk}=0$, then $a_{,k}$ is a linear combination of the columns $l_{,j}$, $j<k$. If $u_{kk}=0$ and $u_{ll}\ne 0$ for $l<k$, then $a_{,k}$ is a linear combination of the columns $a_{,j}$, $j<k$.

When $u_{kk}=0$, column $l_{,k}$ of $L$ is not uniquely defined, and an infinite number of LU factorizations satisfy $A=LU$.

We also have:

Theorem: There exists a unique $L$ and $U$ if and only if $\det (A[1:k,1:k])\ne 0$ for all $1\le k\le n-1$.

Variant:

Theorem: There exists a unique non-singular $L$ and $U$ if and only if $\det (A[1:k,1:k])\ne 0$ for all $1\le k\le n$.