LU Matrix Factorization

Learn how to do LU matrix factorization of matrices using R, Rcpp, Armadillo, and Eigen.

What is LU factorization?

An LU factorization refers to the factorization of a square matrix 𝐴𝐴, with proper row and/or column orderings or permutations, into two factors:

  • A lower triangular matrix 𝐿𝐿
  • An upper triangular matrix π‘ˆπ‘ˆ

𝐴=πΏπ‘ˆπ΄ = πΏπ‘ˆ

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