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Numerical methods challenge: Day 28

During October (2017) I will write a program per day for some well-known numerical methods in both Python and Julia. It is intended to be an exercise then don't expect the code to be good enough for real use. Also, I should mention that I have almost no experience with Julia, so it probably won't be idiomatic Julia but more Python-like Julia.

LU factorization

Today we have LU decomposition. That is a factorization of a matrix into a lower (L) and upper (U) matrix. Basically it stores de steps of a Gauss elimination in matrices.

Following are the codes

Python

from __future__ import division, print_function
import numpy as np


def LU(mat):
    m, _ = mat.shape
    mat = mat.copy()
    for col in range(0, m - 1):
        for row in range(col + 1, m):
            if mat[row, col] != 0.0:
                lam = mat[row, col]/mat[col, col]
                mat[row, col + 1:m] = mat[row, col + 1:m] -\
                                      lam * mat[col, col + 1:m]
                mat[row, col] = lam
    return mat


A = np.array([
    [1, 1, 0, 3],
    [2, 1, -1, 1],
    [3, -1, -1, 2],
    [-1, 2, 3, -1]], dtype=float)
B = LU(A)

Julia

function LU(mat)
    m, _ = size(mat)
    mat = copy(mat)
    for col = 1:m - 2
        for row = col + 1:m
            if mat[row, col] != 0.0
                lam = mat[row, col]/mat[col, col]
                mat[row, col + 1:m] = mat[row, col + 1:m] -
                                      lam * mat[col, col + 1:m]
                mat[row, col] = lam
            end
        end
    end
    return mat
end


A = [1.0 1.0 0.0 3.0;
    2.0 1.0 -1.0 1.0;
    3.0 -1.0 -1.0 2.0;
    -1.0 2.0 3.0 -1.0]
B = LU(A)

As an example we have the matrix

\begin{equation*} A = \begin{bmatrix} 1 &1 &0 &3\\ 2 &1 &-1 &1\\ 3 &-1 &-1 &2\\ -1 &2 &3 &-1 \end{bmatrix} = \begin{bmatrix} 1 &1 &0 &0\\ 2 &1 &0 &0\\ 3 &4 &1 &2\\ -1 &-3 &0 &1 \end{bmatrix} \begin{bmatrix} 1 &1 &0 &3\\ 0 &-1 &-1 &-5\\ 0 &0 &3 &13\\ 0 &0 &0 &-13 \end{bmatrix} \end{equation*}

And, the answer of both codes is

[[  1.,   1.,   0.,   3.],
 [  2.,  -1.,  -1.,  -5.],
 [  3.,   4.,   3.,  13.],
 [ -1.,  -3.,   0., -13.]]

Comparison Python/Julia

Regarding number of lines we have: 23 in Python and 22 in Julia. The comparison in execution time is done with %timeit magic command in IPython and @benchmark in Julia.

For Python:

%timeit LU(np.random.rand(10, 10))

with result

1000 loops, best of 3: 303 µs per loop

For Julia:

@benchmark LU(rand(10, 10))

with result

BenchmarkTools.Trial:
  memory estimate:  29.25 KiB
  allocs estimate:  310
  --------------
  minimum time:     9.993 μs (0.00% GC)
  median time:      11.725 μs (0.00% GC)
  mean time:        14.943 μs (15.90% GC)
  maximum time:     3.285 ms (95.64% GC)
  --------------
  samples:          10000
  evals/sample:     1

In this case, we can say that the Python code is roughly 30 times slower than Julia code.

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