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NAG Library Function Document

nag_real_symm_matrix_exp (f01edc)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

▸▿ 10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

1 Purpose

nag_real_symm_matrix_exp (f01edc) computes the matrix exponential,

e^{A}

, of a real symmetric

n

n

matrix

A

2 Specification

#include <nag.h>

#include <nagf01.h>

void	nag_real_symm_matrix_exp (Nag_OrderType order, Nag_UploType uplo, Integer n, double a[], Integer pda, NagError *fail)

3 Description

e^{A}

is computed using a spectral factorization of

A

A = Q D Q^{T},

where

D

is the diagonal matrix whose diagonal elements,

d_{i}

, are the eigenvalues of

A

, and

Q

is an orthogonal matrix whose columns are the eigenvectors of

A

e^{A}

is then given by

e^{A} = Q e^{D} Q^{T},

where

e^{D}

is the diagonal matrix whose

i

th diagonal element is

e^{d_{i}}

. See for example Section 4.5 of Higham (2008).

4 References

Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA

Moler C B and Van Loan C F (2003) Nineteen dubious ways to compute the exponential of a matrix, twenty-five years later SIAM Rev. 45 3–49

5 Arguments

1: $order$ – 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

order = Nag_RowMajor

. See Section 2.3.1.3 in How to Use the NAG Library and its Documentation for a more detailed explanation of the use of this argument.

Constraint:

order = Nag_RowMajor

Nag_ColMajor

2: $uplo$ – Nag_UploTypeInput

On entry: indicates whether the upper or lower triangular part of

A

is stored.

$uplo = Nag_Upper$: The upper triangular part of $A$ is stored.
$uplo = Nag_Lower$: The lower triangular part of $A$ is stored.

Constraint:

uplo = Nag_Upper

Nag_Lower

3: $n$ – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

4: $a [\dim]$ – doubleInput/Output

Note: the dimension, dim, of the array a must be at least

pda \times n

On entry: the

n

n

symmetric matrix

A

order = Nag_ColMajor

A_{i j}

is stored in

a [(j - 1) \times pda + i - 1]

order = Nag_RowMajor

A_{i j}

is stored in

a [(i - 1) \times pda + j - 1]

uplo = Nag_Upper

, the upper triangular part of

A

must be stored and the elements of the array below the diagonal are not referenced.

uplo = Nag_Lower

, the lower triangular part of

A

must be stored and the elements of the array above the diagonal are not referenced.

On exit: if

fail . code =

NE_NOERROR, the upper or lower triangular part of the

n

n

matrix exponential,

e^{A}

5: $pda$ – IntegerInput

On entry: the stride separating row or column elements (depending on the value of order) of the matrix

A

in the array a.

Constraint:

pda \geq \max (1, n)

6: $fail$ – NagError *Input/Output

The NAG error argument (see Section 2.7 in How to Use the NAG Library and its Documentation).

6 Error Indicators and Warnings

NE_ALLOC_FAIL: Dynamic memory allocation failed.
See Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
NE_BAD_PARAM: On entry, argument $〈value〉$ had an illegal value.
NE_CONVERGENCE: The computation of the spectral factorization failed to converge.
NE_INT: On entry, $n = 〈value〉$ .
Constraint: $n \geq 0$ .

On entry, $pda = 〈value〉$ .
Constraint: $pda > 0$ .
NE_INT_2: On entry, $pda = 〈value〉$ and $n = 〈value〉$ .
Constraint: $pda \geq n$ .
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 internal error occurred when computing the spectral factorization. Please contact NAG.

An unexpected error has been triggered by this function. Please contact NAG.
See Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
NE_NO_LICENCE: Your licence key may have expired or may not have been installed correctly.
See Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.

7 Accuracy

For a symmetric matrix

A

, the matrix

e^{A}

, has the relative condition number

κ (A) = {‖A‖}_{2},

which is the minimum possible for the matrix exponential and so the computed matrix exponential is guaranteed to be close to the exact matrix. See Section 10.2 of Higham (2008) for details and further discussion.

8 Parallelism and Performance

nag_real_symm_matrix_exp (f01edc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

nag_real_symm_matrix_exp (f01edc) 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.

9 Further Comments

The Integer allocatable memory required is n, and the double allocatable memory required is approximately

(n + nb + 4) \times n

, where nb is the block size required by nag_dsyev (f08fac).

The cost of the algorithm is

O (n^{3})

As well as the excellent book cited above, the classic reference for the computation of the matrix exponential is Moler and Van Loan (2003).

10 Example

This example finds the matrix exponential of the symmetric matrix

A = (\begin{matrix} 1 & 2 & 3 & 4 \\ 2 & 1 & 2 & 3 \\ 3 & 2 & 1 & 2 \\ 4 & 3 & 2 & 1 \end{matrix})

NAG Library Function Documentnag_real_symm_matrix_exp (f01edc)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

NAG Library Function Document

nag_real_symm_matrix_exp (f01edc)