NAG Library Function Document
nag_matop_real_gen_matrix_cond_usd (f01jcc)
1 Purpose
nag_matop_real_gen_matrix_cond_usd (f01jcc) computes an estimate of the absolute condition number of a matrix function at a real by matrix in the -norm, using analytical derivatives of you have supplied.
2 Specification
#include <nag.h> |
#include <nagf01.h> |
void |
nag_matop_real_gen_matrix_cond_usd (Integer n,
double a[],
Integer pda,
void |
(*f)(Integer m,
Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm),
|
|
Nag_Comm *comm, Integer *iflag,
double *conda,
double *norma,
double *normfa,
NagError *fail) |
|
3 Description
The absolute condition number of
at
,
is given by the norm of the Fréchet derivative of
,
, which is defined by
where
is the Fréchet derivative in the direction
.
is linear in
and can therefore be written as
where the
operator stacks the columns of a matrix into one vector, so that
is
. nag_matop_real_gen_matrix_cond_usd (f01jcc) computes an estimate
such that
, where
. The relative condition number can then be computed via
The algorithm used to find
is detailed in Section 3.4 of
Higham (2008).
The function
, and the derivatives of
, are returned by function
f which, given an integer
, evaluates
at a number of (generally complex) points
, for
. For any
on the real line,
must also be real. nag_matop_real_gen_matrix_cond_usd (f01jcc) is therefore appropriate for functions that can be evaluated on the complex plane and whose derivatives, of arbitrary order, can also be evaluated on the complex plane.
4 References
Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA
5 Arguments
- 1:
– IntegerInput
-
On entry: , the order of the matrix .
Constraint:
.
- 2:
– doubleInput/Output
-
Note: the dimension,
dim, of the array
a
must be at least
.
The th element of the matrix is stored in .
On entry: the by matrix .
On exit: the by matrix, .
- 3:
– IntegerInput
-
On entry: the stride separating matrix row elements in the array
a.
Constraint:
.
- 4:
– function, supplied by the userExternal Function
-
Given an integer
, the function
f evaluates
at a number of points
.
The specification of
f is:
void |
f (Integer m,
Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm)
|
|
- 1:
– IntegerInput
-
On entry: the order,
, of the derivative required.
If , should be returned. For , should be returned.
- 2:
– Integer *Input/Output
-
On entry:
iflag will be zero.
On exit:
iflag should either be unchanged from its entry value of zero, or may be set nonzero to indicate that there is a problem in evaluating the function
; for instance
may not be defined. If
iflag is returned as nonzero then nag_matop_real_gen_matrix_cond_usd (f01jcc) will terminate the computation, with
NE_USER_STOP.
- 3:
– IntegerInput
-
On entry: , the number of function or derivative values required.
- 4:
– const ComplexInput
-
On entry: the points at which the function is to be evaluated.
- 5:
– ComplexOutput
-
On exit: the function or derivative values.
should return the value , for . If lies on the real line, then so must .
- 6:
– Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
f.
- user – double *
- iuser – Integer *
- p – Pointer
The type Pointer will be
void *. Before calling nag_matop_real_gen_matrix_cond_usd (f01jcc) you may allocate memory and initialize these pointers with various quantities for use by
f when called from nag_matop_real_gen_matrix_cond_usd (f01jcc) (see
Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
- 5:
– Nag_Comm *
-
The NAG communication argument (see
Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
- 6:
– Integer *Output
-
On exit:
, unless
iflag has been set nonzero inside
f, in which case
iflag will be the value set and
fail will be set to
NE_USER_STOP.
- 7:
– double *Output
-
On exit: an estimate of the absolute condition number of at .
- 8:
– double *Output
-
On exit: the -norm of .
- 9:
– double *Output
-
On exit: the -norm of .
- 10:
– 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 had an illegal value.
- NE_INT
-
On entry, .
Constraint: .
- NE_INT_2
-
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 internal error occurred when estimating the norm of the Fréchet derivative of
at
. Please contact
NAG.
An internal error occurred when evaluating the matrix function
. You can investigate further by calling
nag_matop_real_gen_matrix_fun_usd (f01emc) with the matrix
and the function
.
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.
- NE_USER_STOP
-
iflag has been set nonzero by the user-supplied function.
7 Accuracy
nag_matop_real_gen_matrix_cond_usd (f01jcc) uses the norm estimation routine
nag_linsys_real_gen_norm_rcomm (f04ydc) to estimate a quantity
, where
and
. For further details on the accuracy of norm estimation, see the documentation for
nag_linsys_real_gen_norm_rcomm (f04ydc).
8 Parallelism and Performance
nag_matop_real_gen_matrix_cond_usd (f01jcc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library. In these implementations, this function may make calls to the user-supplied functions from within an OpenMP parallel region. Thus OpenMP pragmas within the user functions can only be used if you are compiling the user-supplied function and linking the executable in accordance with the instructions in the
Users' Note for your implementation. You must also ensure that you use the NAG communication argument
comm in a thread safe manner, which is best achieved by only using it to supply read-only data to the user functions.
nag_matop_real_gen_matrix_cond_usd (f01jcc) 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 matrix function is computed using the underlying matrix function routine
nag_matop_real_gen_matrix_fun_usd (f01emc). Approximately
of real allocatable memory is required by the routine, in addition to the memory used by the underlying matrix function routine.
If only is required, without an estimate of the condition number, then it is far more efficient to use the underlying matrix function routine directly.
10 Example
This example estimates the absolute and relative condition numbers of the matrix function
where
10.1 Program Text
Program Text (f01jcce.c)
10.2 Program Data
Program Data (f01jcce.d)
10.3 Program Results
Program Results (f01jcce.r)