Solving Linear Systems
Many calculations involve solving systems of linear equations. In many cases, you will find it convenient to write down the equations explicitly, and then solve them using
Solve.
In some cases, however, you may prefer to convert the system of linear equations into a matrix equation, and then apply matrix manipulation operations to solve it. This approach is often useful when the system of equations arises as part of a general algorithm, and you do not know in advance how many variables will be involved.
A system of linear equations can be stated in matrix form as
m.x=b, where
x is the vector of variables.
Note that if your system of equations is sparse, so that most of the entries in the matrix
m are zero, then it is best to represent the matrix as a
SparseArray object. As discussed in
"Sparse Arrays: Linear Algebra", you can convert from symbolic equations to
SparseArray objects using
CoefficientArrays. All the functions described here work on
SparseArray objects as well as ordinary matrices.
| LinearSolve[m,b] | a vector x which solves the matrix equation m.x b |
| NullSpace[m] | a list of linearly independent vectors whose linear combinations span all solutions to the matrix equation m.x0 |
| MatrixRank[m] | the number of linearly independent rows or columns of m |
| RowReduce[m] | a simplified form of m obtained by making linear combinations of rows |
Solving and analyzing linear systems.
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This gives two linear equations.
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You can use Solve directly to solve these equations.
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You can also get the vector of solutions by calling LinearSolve. The result is equivalent to the one you get from Solve.
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Another way to solve the equations is to invert the matrix m, and then multiply {a, b} by the inverse. This is not as efficient as using LinearSolve.
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RowReduce performs a version of Gaussian elimination and can also be used to solve the equations.
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If you have a square matrix
m with a nonzero determinant, then you can always find a unique solution to the matrix equation
m.x=b for any
b. If, however, the matrix
m has determinant zero, then there may be either no vector, or an infinite number of vectors
x which satisfy
m.x=b for a particular
b. This occurs when the linear equations embodied in
m are not independent.
When
m has determinant zero, it is nevertheless always possible to find nonzero vectors
x that satisfy
m.x=0. The set of vectors
x satisfying this equation form the
null space or
kernel of the matrix
m. Any of these vectors can be expressed as a linear combination of a particular set of basis vectors, which can be obtained using
NullSpace[m].
Here is a simple matrix, corresponding to two identical linear equations.
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The matrix has determinant zero.
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LinearSolve cannot find a solution to the equation m.x=b in this case.
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There is a single basis vector for the null space of m.
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Multiplying the basis vector for the null space by m gives the zero vector.
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There is only 1 linearly independent row in m.
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NullSpace and
MatrixRank have to determine whether particular combinations of matrix elements are zero. For approximate numerical matrices, the
Tolerance option can be used to specify how close to zero is considered good enough. For exact symbolic matrices, you may sometimes need to specify something like
ZeroTest->(FullSimplify[#]0&) to force more to be done to test whether symbolic expressions are zero.
Here is a simple symbolic matrix with determinant zero.
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The basis for the null space of m contains two vectors.
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Multiplying m by any linear combination of these vectors gives zero.
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An important feature of functions like
LinearSolve and
NullSpace is that they work with
rectangular, as well as
square, matrices.
When you represent a system of linear equations by a matrix equation of the form
m.x=b, the number of columns in
m gives the number of variables, and the number of rows gives the number of equations. There are a number of cases.
| number of equations less than the number of variables; no solutions or many solutions may exist |
| number of equations more than the number of variables; solutions may or may not exist |
| number of independent equations equal to the number of variables, and determinant nonzero; a unique solution exists |
| at least one solution exists |
| no solutions exist |
Classes of linear systems represented by rectangular matrices.
This asks for the solution to the inconsistent set of equations x=1 and x=0.
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This matrix represents two equations, for three variables.
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LinearSolve gives one of the possible solutions to this underdetermined set of equations.
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When a matrix represents an underdetermined system of equations, the matrix has a nontrivial null space. In this case, the null space is spanned by a single vector.
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If you take the solution you get from LinearSolve, and add any linear combination of the basis vectors for the null space, you still get a solution.
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The number of independent equations is the
rank of the matrix
MatrixRank[m]. The number of redundant equations is
Length[NullSpace[m]]. Note that the sum of these quantities is always equal to the number of columns in
m.
| LinearSolve[m] | generate a function for solving equations of the form m.x=b |
Generating LinearSolveFunction objects.
In some applications, you will want to solve equations of the form
m.x=b many times with the same
m, but different
b. You can do this efficiently in
Mathematica by using
LinearSolve[m] to create a single
LinearSolveFunction that you can apply to as many vectors as you want.
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You can apply this to a vector.
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You get the same result by giving the vector as an explicit second argument to LinearSolve.
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But you can apply f to any vector you want.
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| LeastSquares[m,b] | give a vector x that solves the least-squares problem m.xb |
Solving least-squares problems.
This linear system is inconsistent.
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LeastSquares finds a vector x that minimizes m.x-b in the least-squares sense.
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