Linear Equation Algorithms¶
We want to solve the linear equation \(Ax = b\) for \(x\) given \(A \in \mathbb{R}^{n \times n}\) and \(b \in \mathbb{R}^n\). As we stated in the previous section, we will not discuss the details of the algorithms but focus on the practical issues when solving linear equations.
Basic Facts of Linear Equation Solvers¶
Time Complexity. The time complexity of solving a linear equation is generally \(O(n^3)\).
Sensitivity. The sensitivity of solving a linear equation depends on the condition number of the matrix \(A\).
Definition(Condition Number of Matrix). The condition number of a matrix \(A\) is defined as:
Theorem(Sensitivity of Linear Equation Solver). Suppose \(A \in \mathbb{R}^{n \times n}\) is non-singular, \(b \in \mathbb{R}^n\) is non-zero, and \(\delta A \in \mathbb{R}^{n \times n}\) satisfies \(\|A^{-1}\| \|\delta A\| < 1\). If \(x\) and \(x + \delta x\) are solutions to the linear systems:
then the following holds:
Algorithms to Solve Linear Equations¶
We will only give a high-level overview of the algorithms to solve linear equations. The linear solvers are so well-developed now that for the most time, it is efficient enough to use the built-in functions in the programming languages.
The most important philosophy in designing a numerical linear algebra algorithm is to reduce the general problem into several simpler problems. And the most common way to do this is to use different kinds of matrix decompositions. For linear equations, it is easy to solve a linear equation \(Lx = b\) if \(L\) is a lower triangular matrix or \(Ux = b\) if \(U\) is an upper triangular matrix. Therefore, we aims to decompose the matrix \(A\) into a product of triangular matrices.
LU Decomposition \(PA = LU\). Any invertible matrix \(A\) can be decomposed into a product of a lower triangular matrix \(L\) and an upper triangular matrix \(U\). However, to avoid the numerical instability, the LU decomposition is computed by Gaussian elimination with partial pivoting to get \(PA = LU\), where \(P\) is a permutation matrix. We then solve the linear equation \(Ax = b\) by solving \(Ly = Pb\) and \(Ux = y\). In Python, the standard numpy.linalg.solve or scipy.linalg.solve function solves the linear equation by this method.
Cholesky Decomposition \(A = LL^T\). Any symmetric positive definite matrix \(A\) can be decomposed into a product of a lower triangular matrix \(L\) and its transpose \(L^T\). We then solve the linear equation \(Ax = b\) by solving \(Ly = b\) and \(L^Tx = y\).
The LU decomposition needs approximately \(2n^3/3\) operations, while the Cholesky decomposition needs approximately \(n^3/3\) operations. Therefore, if \(A\) is positive definite, we should use the Cholesky decomposition. Also note that the time complexity of solving a triangular linear equation is \(O(n^2)\). So for linear equations, matrix decompositions are bottlenecks of the performance.
However, you do not need to implement the Cholesky decomposition by yourself. The linalg.solve function
has a built-in assume_a parameter:
- assume_a = 'gen' - General matrix (default)
- assume_a = 'sym' - Symmetric matrix
- assume_a = 'pos' - Symmetric positive definite
The following code compares the running time of the standard linalg.solve function and the Cholesky decomposition method.
import numpy as np
from scipy import linalg
import time
# Create a symmetric positive definite matrix
n = 5000
np.random.seed(0)
X = np.random.rand(n, n)
A = np.dot(X, X.T) # Also a sample covariance matrix
b = np.random.rand(n)
# Time np.linalg.solve()
start_time = time.time()
x1 = linalg.solve(A, b)
linalg_time = time.time() - start_time
# Use positive definite argument
start_time = time.time()
x3 = linalg.solve(A, b, assume_a='pos')
solve_pos_time = time.time() - start_time
# Use symmetric argument
start_time = time.time()
x4 = linalg.solve(A, b, assume_a='sym')
solve_sym_time = time.time() - start_time
# Manual Cholesky decomposition
start_time = time.time()
L = linalg.cholesky(A)
y = linalg.solve_triangular(L, b, lower=True) # Forward substitution
x2 = linalg.solve_triangular(L.T, y, lower=False) # Backward substitution
cholesky_time = time.time() - start_time
# Print results
print(f'General solve Time: {linalg_time:.6f} seconds') # 0.669566 seconds
print(f'Symmetric solve Time: {solve_sym_time:.6f} seconds') # 1.184631 seconds
print(f'Symmetric positive definite solve Time: {solve_pos_time:.6f} seconds') # 0.468433 seconds
print(f'Manual Cholesky Decomposition Time: {cholesky_time:.6f} seconds') # 0.369518 seconds
The manual Cholesky decomposition is slightly faster than the linalg.solve function with the assume_a='pos' argument. For most time, we do not need to implement the Cholesky decomposition by ourselves. You can refer to the scipy documentation for more details.
Note
Both scipy and numpy have the linalg module. However, the scipy.linalg module has more functions like lu, cholesky, solve_triangular, etc.
Tips for Solving Linear Equations¶
Tip 1. Never use inv(A) @ B. Always use solve(A, B). Most of the time inv(A) is not numerically stable.
Tip 2. Even if you need to solve the linear equation \(Ax = b\) for multiple \(b\) vectors, e.g., in iterative optimization algorithms, you should not save inv(A). Instead, you should save the LU decomposition of \(A\) (or Cholesky decomposition if \(A\) is positive definite) and solve the triangular linear equations in the iterations. The time complexity of solving a triangular linear equation is \(O(n^2)\), same as matrix multiplication.
import numpy as np
from scipy.linalg import lu, solve_triangular
A = np.random.rand(100, 100)
b = np.random.rand(100)
# Perform LU decomposition with partial pivoting
P, L, U = lu(A)
# Solve Ly = Pb using forward substitution
y = solve_triangular(L, P@b, lower=True)
x = solve_triangular(U, y)
Tip 3. When \(A\) is low rank plus a diagonal matrix, we can use the Woodbury matrix identity to speed up the computation.
Woodbury Matrix Identity.
If \(A = D + UV \in \mathbb{R}^{n \times n}\) with \(D\) is a diagonal matrix and \(U, V \in \mathbb{R}^{n \times k}\), then directly computing the inverse of \(A\) is \(O(n^3)\). However, using the Woodbury matrix identity, we only need to solve the linear equation of the matrix \(I + VD^{-1}U\) which is only \(k\) by \(k\). The overall time complexity using the Woodbury matrix identity reduces to \(O(k^3+k^2n)\).
For example, when solving a ridge regression
we can use the Woodbury matrix identity to speed up the computation when the dimension is much larger than the sample size.
Stability of LU Decomposition¶
Sometimes we may say the LU decomposition of \(A\) is \(A = LU\). However, the naive LU decomposition is not numerically stable.
In fact, the LU decomposition in linalg.lu will return three matrices P, L, U = lu(A). It applies the Gaussian elimination with partial pivoting to get a matrix factorization \(PA = LU\), where \(P\) is a permutation matrix corresponding to
row re-ordering during partial pivoting.
For example, consider what happens when we factor the following matrix without pivoting:
When \(\epsilon\) is small, \(u_{22}\) is large and we may round \(u_{22} = 1-\epsilon^{-1}\) to \(-\epsilon^{-1}\), then we have
that is, a rounding error in the (huge) \(u_{22}\) entry causes a complete loss of information about the \(a_{22}\) component. This is why the naive LU decomposition is not numerically stable.
Notice that the condition number of \(A\) is \(\kappa(A) \approx 2.618\) when \(\epsilon \rightarrow 0\), so the linear equation is a well-conditioned problem. Therefore, the stability is determined by the algorithm not the problem.
To avoid the numerical instability, we should swap the rows of \(A\):
Even if we round off \(\epsilon\) to zero in \(L\) and \(U\), we still have
This idea leads to the algorithm of Gaussian elimination with partial pivoting, which we will not discuss in detail. You can read the textbook on numerical linear algebra for more details.