TheoremComplete

LU Factorization Existence Theorem

Theorem5.1Existence and Uniqueness of LU Factorization

Let A∈Rn×nA \in \mathbb{R}^{n \times n}. The factorization A=LUA = LU with LL unit lower triangular and UU upper triangular exists and is unique if and only if all leading principal minors of AA are nonzero: det⁡(A[1:k,1:k])≠0\det(A[1:k, 1:k]) \neq 0 for k=1,…,n−1k = 1, \ldots, n-1. If AA is nonsingular, there always exists a permutation matrix PP such that PA=LUPA = LU (LU factorization with partial pivoting).


Proof

Proof

Existence (by induction on nn). For n=1n = 1: A=(a11)A = (a_{11}), L=(1)L = (1), U=(a11)U = (a_{11}).

For the inductive step, partition A=(An−1crTann)A = \begin{pmatrix} A_{n-1} & c \\ r^T & a_{nn} \end{pmatrix} where An−1A_{n-1} is (n−1)×(n−1)(n-1) \times (n-1). By hypothesis, det⁡(An−1)≠0\det(A_{n-1}) \neq 0 (it is a leading principal minor), so by induction An−1=Ln−1Un−1A_{n-1} = L_{n-1} U_{n-1}.

Seek L=(Ln−10ℓT1)L = \begin{pmatrix} L_{n-1} & 0 \\ \ell^T & 1 \end{pmatrix}, U=(Un−1u0unn)U = \begin{pmatrix} U_{n-1} & u \\ 0 & u_{nn} \end{pmatrix}.

Then LU=(Ln−1Un−1Ln−1uℓTUn−1ℓTu+unn)=(An−1crTann)LU = \begin{pmatrix} L_{n-1}U_{n-1} & L_{n-1}u \\ \ell^T U_{n-1} & \ell^T u + u_{nn} \end{pmatrix} = \begin{pmatrix} A_{n-1} & c \\ r^T & a_{nn} \end{pmatrix}.

This gives: Ln−1u=cL_{n-1} u = c, so u=Ln−1−1cu = L_{n-1}^{-1} c (solvable since Ln−1L_{n-1} is nonsingular); ℓTUn−1=rT\ell^T U_{n-1} = r^T, so ℓT=rTUn−1−1\ell^T = r^T U_{n-1}^{-1} (solvable since Un−1U_{n-1} is nonsingular, as det⁡(Un−1)=det⁡(An−1)/det⁡(Ln−1)=det⁡(An−1)≠0\det(U_{n-1}) = \det(A_{n-1})/\det(L_{n-1}) = \det(A_{n-1}) \neq 0); and unn=ann−ℓTuu_{nn} = a_{nn} - \ell^T u.

Uniqueness. Suppose A=L1U1=L2U2A = L_1 U_1 = L_2 U_2. Then L2−1L1=U2U1−1L_2^{-1} L_1 = U_2 U_1^{-1}. The left side is unit lower triangular and the right side is upper triangular. A matrix that is simultaneously unit lower and upper triangular must be II. Hence L1=L2L_1 = L_2 and U1=U2U_1 = U_2.

Necessity. If A=LUA = LU exists, then A[1:k,1:k]=L[1:k,1:k]⋅U[1:k,1:k]A[1:k, 1:k] = L[1:k, 1:k] \cdot U[1:k, 1:k], so det⁡(A[1:k,1:k])=det⁡(L[1:k,1:k])⋅det⁡(U[1:k,1:k])=∏i=1kuii\det(A[1:k, 1:k]) = \det(L[1:k, 1:k]) \cdot \det(U[1:k, 1:k]) = \prod_{i=1}^k u_{ii}. For the factorization to succeed, we need each ukk≠0u_{kk} \neq 0 during elimination, which requires det⁡(A[1:k,1:k])≠0\det(A[1:k,1:k]) \neq 0.

Pivoted factorization. If AA is nonsingular but has a zero leading principal minor, there exists a row permutation PP (constructed by partial pivoting during Gaussian elimination) such that all leading principal minors of PAPA are nonzero. □\square

■

RemarkPractical Significance

Even when AA has all nonzero leading principal minors, unpivoted LU can be unstable if some minors are small. Partial pivoting ensures ∣ℓij∣≤1|\ell_{ij}| \leq 1, bounding the backward error to ∥A−LU^∥≤cnεmach∥L∥∥U^∥\|A - L\hat{U}\| \leq c_n \varepsilon_{\text{mach}} \|L\|\|\hat{U}\|. The growth factor ρn=max⁡∣uij∣/max⁡∣aij∣\rho_n = \max|u_{ij}| / \max|a_{ij}| satisfies ρn≤2n−1\rho_n \leq 2^{n-1} with partial pivoting, though values exceeding O(n)O(n) are essentially never observed in practice.

ExampleMatrix Requiring Pivoting

A=(0111)A = \begin{pmatrix} 0 & 1 \\ 1 & 1 \end{pmatrix} has det⁡(A[1:1,1:1])=0\det(A[1:1,1:1]) = 0, so A=LUA = LU does not exist. With row permutation P=(0110)P = \begin{pmatrix} 0 & 1 \\ 1 & 0 \end{pmatrix}: PA=(1101)=LUPA = \begin{pmatrix} 1 & 1 \\ 0 & 1 \end{pmatrix} = LU with L=IL = I, U=PAU = PA.