LU decomposition with partial pivoting Matlab

BRabbit27 picture BRabbit27 · Mar 8, 2013 · Viewed 27.2k times · Source

I am trying to implement my own LU decomposition with partial pivoting. My code is below and apparently is working fine, but for some matrices it gives different results when comparing with the built-in [L, U, P] = lu(A) function in matlab

Can anyone spot where is it wrong?

function [L, U, P] = lu_decomposition_pivot(A)
    n = size(A,1);
    Ak = A;
    L = zeros(n);
    U = zeros(n);
    P = eye(n);
    for k = 1:n-1
        for i = k+1:n
            [~,r] = max(abs(Ak(:,k)));

            Ak([k r],:) = Ak([r k],:);
            P([k r],:) = P([r k],:);

            L(i,k) = Ak(i,k) / Ak(k,k);
            for j = k+1:n
                U(k,j-1) = Ak(k,j-1);
                Ak(i,j) = Ak(i,j) - L(i,k)*Ak(k,j);
            end
        end
    end
    L(1:n+1:end) = 1;
    U(:,end) = Ak(:,end);
return

Here are the two matrices I've tested with. The first one is correct, whereas the second has some elements inverted.

A = [1 2 0; 2 4 8; 3 -1 2];

A = [0.8443 0.1707 0.3111;
     0.1948 0.2277 0.9234;
     0.2259 0.4357 0.4302];

UPDATE

I have checked my code and corrected some bugs, but still there's something missing with the partial pivoting. In the first column the last two rows are always inverted (compared with the result of lu() in matlab)

function [L, U, P] = lu_decomposition_pivot(A)
    n = size(A,1);
    Ak = A;
    L = eye(n);
    U = zeros(n);
    P = eye(n);
    for k = 1:n-1
        [~,r] = max(abs(Ak(k:end,k)));
        r = n-(n-k+1)+r;
        Ak([k r],:) = Ak([r k],:);
        P([k r],:) = P([r k],:);
        for i = k+1:n
            L(i,k) = Ak(i,k) / Ak(k,k);
            for j = 1:n
                U(k,j) = Ak(k,j);
                Ak(i,j) = Ak(i,j) - L(i,k)*Ak(k,j);
            end
        end
    end
    U(:,end) = Ak(:,end);
return

Answer

BRabbit27 picture BRabbit27 · Mar 9, 2013

I forgot that If there was a swap in matrix P I had to swap also the matrix L. So just add the next line after after swapping P and everything will work excellent.

L([k r],:) = L([r k],:);