Gaussian elimination

Gaussian elimination applies elementary row operations to reduce a linear system to triangular form. Dense elimination uses $O(n^3)$ arithmetic operations.

Gaussian elimination solves a linear system by removing one unknown from later equations at each step. Write the coefficients and right-hand side together as an augmented matrix $[A\mid b]$. Apply the same elementary row operations to both parts until the coefficients form a row echelon form; for a square invertible matrix, this gives an upper triangular matrix system. Then back substitution recovers the unknowns from the last equation upward. The useful simplification is that each successive equation involves fewer unknowns, while the set of solutions stays the same.

Why do elementary row operations preserve solutions? Interchanging equations changes only their order. Multiplying an equation by a nonzero scalar can be undone by division. Replacing equation $i$ by itself plus $c$ times equation $j$, with $i\ne j$, can be undone by adding $-c$ times the unchanged equation $j$. Equivalently, an elementary matrix $E$ is an invertible matrix, so $Ax=b$ if and only if $EAx=Eb$. Applying an operation to $A$ without also applying it to $b$ loses this equivalence.

At step $k$, choose a nonzero pivot element $a_{kk}$ after any row interchange. For every $i>k$, form the elimination multiplier $m_i=a_{ik}/a_{kk}$ and perform the elementary row operation $R_i\leftarrow R_i-m_i{R}_k$. Its coefficient in column $k$ becomes $a_{ik}-(a_{ik}/a_{kk})a_{kk}=0$ in exact arithmetic. Later operations combine rows that already have zeros in earlier columns, so those zeros survive. If an active column has no nonzero candidate, general row echelon form reduction skips it; a square invertible matrix always has a candidate at each step with suitable row interchanges. Partial pivoting also considers roundoff error when selecting the candidate.^[ref]

For a dense $n\times n$ matrix with one right-hand side, the classical algorithm uses $\frac{2}{3}{n}^3+O(n^2)$ arithmetic operations over the real numbers, counting each addition, subtraction, multiplication and division as one. At step $k$, the coefficient update has $(n-k{)}^2$ entries, each costing one multiplication and one subtraction; the elimination multipliers, right-hand-side updates and back substitution contribute lower-order terms. Searching for partial pivoting adds $O(n^2)$ comparisons, and storing the dense coefficients uses $O(n^2)$ space. These assumptions exclude the different storage and work patterns of sparse Gaussian elimination; the exact loop counts appear in LU factorization and solve costs. Here $O$ denotes Big O notation.

Recording the same steps as an LU decomposition makes Reusing LU factors for multiple right-hand sides possible. This is useful whenever the coefficients stay fixed while the forcing vector changes: the expensive elimination is done once. The choice of pivot element matters even when the linear system is well conditioned, as Tiny-pivot roundoff in Gaussian elimination demonstrates.