From Wikipedia, the free encyclopedia
A linear system in three variables determines a collection of
planes. The intersection point is the solution.
In
mathematics, a
system of linear equations (or
linear system) is a collection of two or more
linear equations involving the same set of
variables.
[1] For example,
is a system of three equations in the three variables
x, y, z. A
solution to a linear system is an assignment of values to the variables such that all the equations are simultaneously satisfied. A
solution to the system above is given by
since it makes all three equations valid. The word "
system" indicates that the equations are to be considered collectively, rather than individually.
In mathematics, the theory of linear systems is the basis and a fundamental part of
linear algebra, a subject which is used in most parts of modern mathematics. Computational
algorithms for finding the solutions are an important part of
numerical linear algebra, and play a prominent role in
engineering,
physics,
chemistry,
computer science, and
economics. A
system of non-linear equations can often be
approximated by a linear system (see
linearization), a helpful technique when making a
mathematical model or
computer simulation of a relatively
complex system.
Very often, the coefficients of the equations are
real or
complex numbers
and the solutions are searched in the same set of numbers, but the
theory and the algorithms apply for coefficients and solutions in any
field. For solutions in an
integral domain like the
ring of the
integers, or in other
algebraic structures, other theories have been developed, see
Linear equation over a ring.
Integer linear programming is a collection of methods for finding the "best" integer solution (when there are many).
Gröbner basis theory provides algorithms when coefficients and unknowns are
polynomials. Also
tropical geometry is an example of linear algebra in a more exotic structure.
Elementary example
The simplest kind of linear system involves two equations and two variables:
One method for solving such a system is as follows. First, solve the top equation for
in terms of
:
Now substitute this expression for
x into the bottom equation:
This results in a single equation involving only the variable
. Solving gives
, and substituting this back into the equation for
yields
. This method generalizes to systems with additional variables (see "elimination of variables" below, or the article on
elementary algebra.)
General form
A general system of
m linear equations with
n unknowns can be written as
where
are the unknowns,
are the coefficients of the system, and
are the constant terms.
Often the coefficients and unknowns are
real or
complex numbers, but
integers and
rational numbers are also seen, as are polynomials and elements of an abstract
algebraic structure.
Vector equation
One extremely helpful view is that each unknown is a weight for a
column vector in a
linear combination.
This allows all the language and theory of
vector spaces (or more generally,
modules)
to be brought to bear. For example, the collection of all possible
linear combinations of the vectors on the left-hand side is called their
span,
and the equations have a solution just when the right-hand vector is
within that span. If every vector within that span has exactly one
expression as a linear combination of the given left-hand vectors, then
any solution is unique. In any event, the span has a
basis of
linearly independent vectors that do guarantee exactly one expression; and the number of vectors in that basis (its
dimension) cannot be larger than
m or
n, but it can be smaller. This is important because if we have
m independent vectors a solution is guaranteed regardless of the right-hand side, and otherwise not guaranteed.
Matrix equation
The vector equation is equivalent to a
matrix equation of the form
where
A is an
m×
n matrix,
x is a
column vector with
n entries, and
b is a column vector with
m entries.
The number of vectors in a basis for the span is now expressed as the
rank of the matrix.
Solution set
The solution set for the equations x − y = −1 and 3x + y = 9 is the single point (2, 3).
A
solution of a linear system is an assignment of values to the variables
x1, x2, ..., xn such that each of the equations is satisfied. The
set of all possible solutions is called the
solution set.
A linear system may behave in any one of three possible ways:
- The system has infinitely many solutions.
- The system has a single unique solution.
- The system has no solution.
Geometric interpretation
For a system involving two variables (
x and
y), each linear equation determines a
line on the
xy-
plane. Because a solution to a linear system must satisfy all of the equations, the solution set is the
intersection of these lines, and is hence either a line, a single point, or the
empty set.
For three variables, each linear equation determines a
plane in
three-dimensional space,
and the solution set is the intersection of these planes. Thus the
solution set may be a plane, a line, a single point, or the empty set.
For example, as three parallel planes do not have a common point, the
solution set of their equations is empty; the solution set of the
equations of three planes intersecting at a point is single point; if
three planes pass through two points, their equations have at least two
common solutions; in fact the solution set is infinite and consists in
all the line passing through these points.
[2]
For
n variables, each linear equation determines a
hyperplane in
n-dimensional space. The solution set is the intersection of these hyperplanes, and is a
flat, which may have any dimension lower than
n.
General behavior
The solution set for two equations in three variables is, in general, a line.
In general, the behavior of a linear system is determined by the
relationship between the number of equations and the number of unknowns.
Here, "in general" means that a different behavior may occur for
specific values of the coefficients of the equations.
- In general, a system with fewer equations than unknowns has
infinitely many solutions, but it may have no solution. Such a system is
known as an underdetermined system.
- In general, a system with the same number of equations and unknowns has a single unique solution.
- In general, a system with more equations than unknowns has no solution. Such a system is also known as an overdetermined system.
In the first case, the
dimension of the solution set is, in general, equal to
n − m, where
n is the number of variables and
m is the number of equations.
The following pictures illustrate this trichotomy in the case of two variables:
|
|
|
One equation |
Two equations |
Three equations |
The first system has infinitely many solutions, namely all of the
points on the blue line. The second system has a single unique solution,
namely the intersection of the two lines. The third system has no
solutions, since the three lines share no common point.
It must be kept in mind that the pictures above show only the most
common case (the general case). It is possible for a system of two
equations and two unknowns to have no solution (if the two lines are
parallel), or for a system of three equations and two unknowns to be
solvable (if the three lines intersect at a single point).
A system of linear equations behave differently from the general case if the equations are
linearly dependent, or if it is
inconsistent and has no more equations than unknowns.
Properties
Independence
The equations of a linear system are
independent
if none of the equations can be derived algebraically from the others.
When the equations are independent, each equation contains new
information about the variables, and removing any of the equations
increases the size of the solution set. For linear equations, logical
independence is the same as
linear independence.
The equations x − 2y = −1, 3x + 5y = 8, and 4x + 3y = 7 are linearly dependent.
For example, the equations
are not independent — they are the same equation when scaled by a
factor of two, and they would produce identical graphs. This is an
example of equivalence in a system of linear equations.
For a more complicated example, the equations
are not independent, because the third equation is the sum of the
other two. Indeed, any one of these equations can be derived from the
other two, and any one of the equations can be removed without affecting
the solution set. The graphs of these equations are three lines that
intersect at a single point.
Consistency
The equations 3x + 2y = 6 and 3x + 2y = 12 are inconsistent.
A linear system is
inconsistent if it has no solution, and otherwise it is said to be
consistent. When the system is inconsistent, it is possible to derive a
contradiction from the equations, that may always be rewritten as the statement
0 = 1.
For example, the equations
are inconsistent. In fact, by subtracting the first equation from the
second one and multiplying both sides of the result by 1/6, we get
0 = 1. The graphs of these equations on the
xy-plane are a pair of
parallel lines.
It is possible for three linear equations to be inconsistent, even
though any two of them are consistent together. For example, the
equations
are inconsistent. Adding the first two equations together gives
3x + 2y = 2, which can be subtracted from the third equation to yield
0 = 1. Note that any two of these equations have a common solution. The same phenomenon can occur for any number of equations.
In general, inconsistencies occur if the left-hand sides of the
equations in a system are linearly dependent, and the constant terms do
not satisfy the dependence relation. A system of equations whose
left-hand sides are linearly independent is always consistent.
Putting it another way, according to the
Rouché–Capelli theorem, any system of equations (overdetermined or otherwise) is inconsistent if the
rank of the
augmented matrix is greater than the rank of the
coefficient matrix.
If, on the other hand, the ranks of these two matrices are equal, the
system must have at least one solution. The solution is unique if and
only if the rank equals the number of variables. Otherwise the general
solution has
k free parameters where
k is the difference
between the number of variables and the rank; hence in such a case there
are an infinitude of solutions. The rank of a system of equations (i.e.
the rank of the augmented matrix) can never be higher than [the number
of variables] + 1, which means that a system with any number of
equations can always be reduced to a system that has a number of
independent equations that is at most equal to [the number of variables] + 1.
Equivalence
Two linear systems using the same set of variables are
equivalent
if each of the equations in the second system can be derived
algebraically from the equations in the first system, and vice versa. Two systems are equivalent if either both are inconsistent or each
equation of each of them is a linear combination of the equations of the
other one. It follows that two linear systems are equivalent if and
only if they have the same solution set.
Solving a linear system
There are several
algorithms for
solving a system of linear equations.
Describing the solution
When
the solution set is finite, it is reduced to a single element. In this
case, the unique solution is described by a sequence of equations whose
left-hand sides are the names of the unknowns and right-hand sides are
the corresponding values, for example
. When an order on the unknowns has been fixed, for example the
alphabetical order the solution may be described as a
vector of values, like
for the previous example.
To describe a set with an infinite number of solutions, typically some of the variables are designated as
free (or
independent, or as
parameters), meaning that they are allowed to take any value, while the remaining variables are
dependent on the values of the free variables.
For example, consider the following system:
The solution set to this system can be described by the following equations:
Here
z is the free variable, while
x and
y are dependent on
z. Any point in the solution set can be obtained by first choosing a value for
z, and then computing the corresponding values for
x and
y.
Each free variable gives the solution space one
degree of freedom, the number of which is equal to the
dimension
of the solution set. For example, the solution set for the above
equation is a line, since a point in the solution set can be chosen by
specifying the value of the parameter
z. An infinite solution of higher order may describe a plane, or higher-dimensional set.
Different choices for the free variables may lead to different
descriptions of the same solution set. For example, the solution to the
above equations can alternatively be described as follows:
Here
x is the free variable, and
y and
z are dependent.
Elimination of variables
The
simplest method for solving a system of linear equations is to
repeatedly eliminate variables. This method can be described as follows:
- In the first equation, solve for one of the variables in terms of the others.
- Substitute this expression into the remaining equations. This yields
a system of equations with one fewer equation and one fewer unknown.
- Repeat until the system is reduced to a single linear equation.
- Solve this equation, and then back-substitute until the entire solution is found.
For example, consider the following system:
Solving the first equation for
x gives
x = 5 + 2z − 3y, and plugging this into the second and third equation yields
Solving the first of these equations for
y yields
y = 2 + 3z, and plugging this into the second equation yields
z = 2. We now have:
Substituting
z = 2 into the second equation gives
y = 8, and substituting
z = 2 and
y = 8 into the first equation yields
x = −15. Therefore, the solution set is the single point
(x, y, z) = (−15, 8, 2).
Row reduction
In
row reduction (also known as
Gaussian elimination), the linear system is represented as an
augmented matrix:
This matrix is then modified using
elementary row operations until it reaches
reduced row echelon form. There are three types of elementary row operations:
- Type 1: Swap the positions of two rows.
- Type 2: Multiply a row by a nonzero scalar.
- Type 3: Add to one row a scalar multiple of another.
Because these operations are reversible, the augmented matrix
produced always represents a linear system that is equivalent to the
original.
There are several specific algorithms to row-reduce an augmented matrix, the simplest of which are
Gaussian elimination and
Gauss-Jordan elimination. The following computation shows Gauss-Jordan elimination applied to the matrix above:
The last matrix is in reduced row echelon form, and represents the system
x = −15,
y = 8,
z = 2.
A comparison with the example in the previous section on the algebraic
elimination of variables shows that these two methods are in fact the
same; the difference lies in how the computations are written down.
Cramer's rule
Cramer's rule is an explicit formula for the solution of a system of linear equations, with each variable given by a quotient of two
determinants. For example, the solution to the system
is given by
For each variable, the denominator is the determinant of the matrix
of coefficients, while the numerator is the determinant of a matrix in
which one column has been replaced by the vector of constant terms.
Though Cramer's rule is important theoretically, it has little
practical value for large matrices, since the computation of large
determinants is somewhat cumbersome. (Indeed, large determinants are
most easily computed using row reduction.) Further, Cramer's rule has
very poor numerical properties, making it unsuitable for solving even
small systems reliably, unless the operations are performed in rational
arithmetic with unbounded precision.
[citation needed]
Matrix solution
If the equation system is expressed in the matrix form
, the entire solution set can also be expressed in matrix form. If the matrix
A is square (has
m rows and
n=
m columns) and has full rank (all
m rows are independent), then the system has a unique solution given by
where
is the
inverse of
A. More generally, regardless of whether
m=
n or not and regardless of the rank of
A, all solutions (if any exist) are given using the
Moore-Penrose pseudoinverse of
A, denoted
, as follows:
where
is a vector of free parameters that ranges over all possible
n×1 vectors. A necessary and sufficient condition for any solution(s) to exist is that the potential solution obtained using
satisfy
— that is, that
If this condition does not hold, the equation system is inconsistent
and has no solution. If the condition holds, the system is consistent
and at least one solution exists. For example, in the above-mentioned
case in which
A is square and of full rank,
simply equals
and the general solution equation simplifies to
as previously stated, where
has completely dropped out of the solution, leaving only a single solution. In other cases, though,
remains and hence an infinitude of potential values of the free parameter vector
give an infinitude of solutions of the equation.
Other methods
While systems of three or four equations can be readily solved by hand (see
Cracovian),
computers are often used for larger systems. The standard algorithm for
solving a system of linear equations is based on Gaussian elimination
with some modifications. Firstly, it is essential to avoid division by
small numbers, which may lead to inaccurate results. This can be done by
reordering the equations if necessary, a process known as
pivoting. Secondly, the algorithm does not exactly do Gaussian elimination, but it computes the
LU decomposition of the matrix
A. This is mostly an organizational tool, but it is much quicker if one has to solve several systems with the same matrix
A but different vectors
b.
If the matrix
A has some special structure, this can be exploited to obtain faster or more accurate algorithms. For instance, systems with a
symmetric positive definite matrix can be solved twice as fast with the
Cholesky decomposition.
Levinson recursion is a fast method for
Toeplitz matrices. Special methods exist also for matrices with many zero elements (so-called
sparse matrices), which appear often in applications.
A completely different approach is often taken for very large
systems, which would otherwise take too much time or memory. The idea is
to start with an initial approximation to the solution (which does not
have to be accurate at all), and to change this approximation in several
steps to bring it closer to the true solution. Once the approximation
is sufficiently accurate, this is taken to be the solution to the
system. This leads to the class of
iterative methods.
There is also a
quantum algorithm for linear systems of equations.
[3]
Homogeneous systems
A system of linear equations is
homogeneous if all of the constant terms are zero:
A homogeneous system is equivalent to a matrix equation of the form
where
A is an
m × n matrix,
x is a column vector with
n entries, and
0 is the
zero vector with
m entries.
Solution set
Every homogeneous system has at least one solution, known as the
zero solution (or
trivial solution), which is obtained by assigning the value of zero to each of the variables. If the system has a non-singular matrix (
det(
A) ≠ 0) then it is also the only solution. If the system has a
singular matrix then there is a solution set with an infinite number of solutions. This solution set has the following additional properties:
- If u and v are two vectors representing solutions to a homogeneous system, then the vector sum u + v is also a solution to the system.
- If u is a vector representing a solution to a homogeneous system, and r is any scalar, then ru is also a solution to the system.
These are exactly the properties required for the solution set to be a
linear subspace of
Rn. In particular, the solution set to a homogeneous system is the same as the
null space of the corresponding matrix
A. Numerical solutions to a homogeneous system can be found with a
singular value decomposition.
Relation to nonhomogeneous systems
There
is a close relationship between the solutions to a linear system and
the solutions to the corresponding homogeneous system:
Specifically, if
p is any specific solution to the linear system
Ax = b, then the entire solution set can be described as
Geometrically, this says that the solution set for
Ax = b is a
translation of the solution set for
Ax = 0. Specifically, the
flat for the first system can be obtained by translating the
linear subspace for the homogeneous system by the vector
p.
This reasoning only applies if the system
Ax = b has at least one solution. This occurs if and only if the vector
b lies in the
image of the
linear transformation A.