NAG Library Function Document
nag_dsbgst (f08uec)
1 Purpose
nag_dsbgst (f08uec) reduces a real symmetric-definite generalized eigenproblem
to the standard form
, where
and
are band matrices,
is a real symmetric matrix, and
has been factorized by
nag_dpbstf (f08ufc).
2 Specification
#include <nag.h> |
#include <nagf08.h> |
void |
nag_dsbgst (Nag_OrderType order,
Nag_VectType vect,
Nag_UploType uplo,
Integer n,
Integer ka,
Integer kb,
double ab[],
Integer pdab,
const double bb[],
Integer pdbb,
double x[],
Integer pdx,
NagError *fail) |
|
3 Description
To reduce the real symmetric-definite generalized eigenproblem
to the standard form
, where
,
and
are banded, nag_dsbgst (f08uec) must be preceded by a call to
nag_dpbstf (f08ufc) which computes the split Cholesky factorization of the positive definite matrix
:
. The split Cholesky factorization, compared with the ordinary Cholesky factorization, allows the work to be approximately halved.
This function overwrites with , where and is a orthogonal matrix chosen (implicitly) to preserve the bandwidth of . The function also has an option to allow the accumulation of , and then, if is an eigenvector of , is an eigenvector of the original system.
4 References
Crawford C R (1973) Reduction of a band-symmetric generalized eigenvalue problem Comm. ACM 16 41–44
Kaufman L (1984) Banded eigenvalue solvers on vector machines ACM Trans. Math. Software 10 73–86
5 Arguments
- 1:
– Nag_OrderTypeInput
-
On entry: the
order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by
. See
Section 3.2.1.3 in the Essential Introduction for a more detailed explanation of the use of this argument.
Constraint:
or .
- 2:
– Nag_VectTypeInput
-
On entry: indicates whether
is to be returned.
- is not returned.
- is returned.
Constraint:
or .
- 3:
– Nag_UploTypeInput
-
On entry: indicates whether the upper or lower triangular part of
is stored.
- The upper triangular part of is stored.
- The lower triangular part of is stored.
Constraint:
or .
- 4:
– IntegerInput
-
On entry: , the order of the matrices and .
Constraint:
.
- 5:
– IntegerInput
-
On entry: if
, the number of superdiagonals,
, of the matrix
.
If , the number of subdiagonals, , of the matrix .
Constraint:
.
- 6:
– IntegerInput
-
On entry: if
, the number of superdiagonals,
, of the matrix
.
If , the number of subdiagonals, , of the matrix .
Constraint:
.
- 7:
– doubleInput/Output
-
Note: the dimension,
dim, of the array
ab
must be at least
.
On entry: the upper or lower triangle of the
by
symmetric band matrix
.
This is stored as a notional two-dimensional array with row elements or column elements stored contiguously. The storage of elements of
, depends on the
order and
uplo arguments as follows:
- if and ,
is stored in , for and ; - if and ,
is stored in , for and ; - if and ,
is stored in , for and ; - if and ,
is stored in , for and .
On exit: the upper or lower triangle of
ab is overwritten by the corresponding upper or lower triangle of
as specified by
uplo.
- 8:
– IntegerInput
On entry: the stride separating row or column elements (depending on the value of
order) of the matrix
in the array
ab.
Constraint:
.
- 9:
– const doubleInput
-
Note: the dimension,
dim, of the array
bb
must be at least
.
On entry: the banded split Cholesky factor of
as specified by
uplo,
n and
kb and returned by
nag_dpbstf (f08ufc).
- 10:
– IntegerInput
On entry: the stride separating row or column elements (depending on the value of
order) of the matrix in the array
bb.
Constraint:
.
- 11:
– doubleOutput
-
Note: the dimension,
dim, of the array
x
must be at least
- when
;
- when
.
The
th element of the matrix
is stored in
- when ;
- when .
On exit: the
by
matrix
, if
.
If
,
x is not referenced.
- 12:
– IntegerInput
-
On entry: the stride separating row or column elements (depending on the value of
order) in the array
x.
Constraints:
- if , ;
- if , .
- 13:
– NagError *Input/Output
-
The NAG error argument (see
Section 3.6 in the Essential Introduction).
6 Error Indicators and Warnings
- NE_ALLOC_FAIL
-
Dynamic memory allocation failed.
See
Section 3.2.1.2 in the Essential Introduction for further information.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_ENUM_INT_2
-
On entry, , and .
Constraint: if , ;
if , .
- NE_INT
-
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
- NE_INT_2
-
On entry, and .
Constraint: .
On entry, and .
Constraint: .
On entry, and .
Constraint: .
- NE_INTERNAL_ERROR
-
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
An unexpected error has been triggered by this function. Please contact
NAG.
See
Section 3.6.6 in the Essential Introduction for further information.
- NE_NO_LICENCE
-
Your licence key may have expired or may not have been installed correctly.
See
Section 3.6.5 in the Essential Introduction for further information.
7 Accuracy
Forming the reduced matrix is a stable procedure. However it involves implicit multiplication by . When nag_dsbgst (f08uec) is used as a step in the computation of eigenvalues and eigenvectors of the original problem, there may be a significant loss of accuracy if is ill-conditioned with respect to inversion.
8 Parallelism and Performance
nag_dsbgst (f08uec) is not threaded by NAG in any implementation.
nag_dsbgst (f08uec) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the
X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the
Users' Note for your implementation for any additional implementation-specific information.
The total number of floating-point operations is approximately , when , assuming ; there are an additional operations when .
The complex analogue of this function is
nag_zhbgst (f08usc).
10 Example
This example computes all the eigenvalues of
, where
Here
is symmetric,
is symmetric positive definite, and
and
are treated as band matrices.
must first be factorized by
nag_dpbstf (f08ufc). The program calls nag_dsbgst (f08uec) to reduce the problem to the standard form
, then
nag_dsbtrd (f08hec) to reduce
to tridiagonal form, and
nag_dsterf (f08jfc) to compute the eigenvalues.
10.1 Program Text
Program Text (f08uece.c)
10.2 Program Data
Program Data (f08uece.d)
10.3 Program Results
Program Results (f08uece.r)