TheoremComplete

LU Factorization Existence Theorem

Theorem5.1Existence and Uniqueness of LU Factorization

Let ARn×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,,n1k = 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=(An1crTann)A = \begin{pmatrix} A_{n-1} & c \\ r^T & a_{nn} \end{pmatrix} where An1A_{n-1} is (n1)×(n1)(n-1) \times (n-1). By hypothesis, det(An1)0\det(A_{n-1}) \neq 0 (it is a leading principal minor), so by induction An1=Ln1Un1A_{n-1} = L_{n-1} U_{n-1}.

Seek L=(Ln10T1)L = \begin{pmatrix} L_{n-1} & 0 \\ \ell^T & 1 \end{pmatrix}, U=(Un1u0unn)U = \begin{pmatrix} U_{n-1} & u \\ 0 & u_{nn} \end{pmatrix}.

Then LU=(Ln1Un1Ln1uTUn1Tu+unn)=(An1crTann)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: Ln1u=cL_{n-1} u = c, so u=Ln11cu = L_{n-1}^{-1} c (solvable since Ln1L_{n-1} is nonsingular); TUn1=rT\ell^T U_{n-1} = r^T, so T=rTUn11\ell^T = r^T U_{n-1}^{-1} (solvable since Un1U_{n-1} is nonsingular, as det(Un1)=det(An1)/det(Ln1)=det(An1)0\det(U_{n-1}) = \det(A_{n-1})/\det(L_{n-1}) = \det(A_{n-1}) \neq 0); and unn=annTuu_{nn} = a_{nn} - \ell^T u.

Uniqueness. Suppose A=L1U1=L2U2A = L_1 U_1 = L_2 U_2. Then L21L1=U2U11L_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 ukk0u_{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 ij1|\ell_{ij}| \leq 1, bounding the backward error to ALU^cnεmachLU^\|A - L\hat{U}\| \leq c_n \varepsilon_{\text{mach}} \|L\|\|\hat{U}\|. The growth factor ρn=maxuij/maxaij\rho_n = \max|u_{ij}| / \max|a_{ij}| satisfies ρn2n1\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.