factorization returned by nag_dgttrf (f07cdc) and an initial solution returned by nag_dgttrs (f07cec). Iterative refinement is used to reduce the backward error as much as possible.

2 Specification

#include <nag.h>

#include <nagf07.h>

void

nag_dgtrfs (Nag_OrderType order, Nag_TransType trans, Integer n, Integer nrhs, const double dl[], const double d[], const double du[], const double dlf[], const double df[], const double duf[], const double du2[], const Integer ipiv[], const double b[], Integer pdb, double x[], Integer pdx, double ferr[], double berr[], NagError *fail)

3 Description

nag_dgtrfs (f07chc) should normally be preceded by calls to nag_dgttrf (f07cdc) and nag_dgttrs (f07cec). nag_dgttrf (f07cdc) uses Gaussian elimination with partial pivoting and row interchanges to factorize the matrix

A

A = P L U,

where

P

is a permutation matrix,

L

is unit lower triangular with at most one nonzero subdiagonal element in each column, and

U

is an upper triangular band matrix, with two superdiagonals. nag_dgttrs (f07cec) then utilizes the factorization to compute a solution,

\hat{X}

, to the required equations. Letting

\hat{x}

denote a column of

\hat{X}

, nag_dgtrfs (f07chc) computes a component-wise backward error,

β

, the smallest relative perturbation in each element of

A

and

b

such that

\hat{x}

is the exact solution of a perturbed system

(A + E) \hat{x} = b + f, with |e_{i j}| \leq β |a_{i j}|, and |f_{j}| \leq β |b_{j}| .

The function also estimates a bound for the component-wise forward error in the computed solution defined by

\max |x_{i} - \hat{x_{i}}| / \max |\hat{x_{i}}|

, where

x

is the corresponding column of the exact solution,

X

4 References

Anderson E, Bai Z, Bischof C, Blackford S, Demmel J, Dongarra J J, Du Croz J J, Greenbaum A, Hammarling S, McKenney A and Sorensen D (1999) LAPACK Users' Guide (3rd Edition) SIAM, Philadelphia http://www.netlib.org/lapack/lug

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: $trans$ – Nag_TransTypeInput

On entry: specifies the equations to be solved as follows:

$trans = Nag_NoTrans$: Solve $A X = B$ for $X$ .
$trans = Nag_Trans$ or $Nag_ConjTrans$: Solve $A^{T} X = B$ for $X$ .

Constraint:

trans = Nag_NoTrans

Nag_Trans

Nag_ConjTrans

3: $n$ – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

4: $nrhs$ – IntegerInput

On entry:

r

, the number of right-hand sides, i.e., the number of columns of the matrix

B

Constraint:

nrhs \geq 0

5: $dl [\dim]$ – const doubleInput

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

\max (1, n - 1)

On entry: must contain the

(n - 1)

subdiagonal elements of the matrix

A

6: $d [\dim]$ – const doubleInput

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

\max (1, n)

On entry: must contain the

n

diagonal elements of the matrix

A

7: $du [\dim]$ – const doubleInput

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

\max (1, n - 1)

On entry: must contain the

(n - 1)

superdiagonal elements of the matrix

A

8: $dlf [\dim]$ – const doubleInput

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

\max (1, n - 1)

On entry: must contain the

(n - 1)

multipliers that define the matrix

L

of the

L U

factorization of

A

9: $df [\dim]$ – const doubleInput

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

\max (1, n)

On entry: must contain the

n

diagonal elements of the upper triangular matrix

U

from the

L U

factorization of

A

10: $duf [\dim]$ – const doubleInput

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

\max (1, n - 1)

On entry: must contain the

(n - 1)

elements of the first superdiagonal of

U

11: $du2 [\dim]$ – const doubleInput

Note: the dimension, dim, of the array du2 must be at least

\max (1, n - 2)

On entry: must contain the

(n - 2)

elements of the second superdiagonal of

U

12: $ipiv [\dim]$ – const IntegerInput

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

\max (1, n)

On entry: must contain the

n

pivot indices that define the permutation matrix

P

. At the

i

th step, row

i

of the matrix was interchanged with row

ipiv [i - 1]

, and

ipiv [i - 1]

must always be either

i

(i + 1)

ipiv [i - 1] = i

indicating that a row interchange was not performed.

13: $b [\dim]$ – const doubleInput

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

$\max (1, pdb \times nrhs)$ when $order = Nag_ColMajor$ ;
$\max (1, n \times pdb)$ when $order = Nag_RowMajor$ .

The

(i, j)

th element of the matrix

B

is stored in

$b [(j - 1) \times pdb + i - 1]$ when $order = Nag_ColMajor$ ;
$b [(i - 1) \times pdb + j - 1]$ when $order = Nag_RowMajor$ .

On entry: the

n

r

matrix of right-hand sides

B

14: $pdb$ – IntegerInput

On entry: the stride separating row or column elements (depending on the value of order) in the array b.

Constraints:

if $order = Nag_ColMajor$ , $pdb \geq \max (1, n)$ ;
if $order = Nag_RowMajor$ , $pdb \geq \max (1, nrhs)$ .

15: $x [\dim]$ – doubleInput/Output

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

$\max (1, pdx \times nrhs)$ when $order = Nag_ColMajor$ ;
$\max (1, n \times pdx)$ when $order = Nag_RowMajor$ .

The

(i, j)

th element of the matrix

X

is stored in

$x [(j - 1) \times pdx + i - 1]$ when $order = Nag_ColMajor$ ;
$x [(i - 1) \times pdx + j - 1]$ when $order = Nag_RowMajor$ .

On entry: the

n

r

initial solution matrix

X

On exit: the

n

r

refined solution matrix

X

16: $pdx$ – IntegerInput

On entry: the stride separating row or column elements (depending on the value of order) in the array x.

Constraints:

if $order = Nag_ColMajor$ , $pdx \geq \max (1, n)$ ;
if $order = Nag_RowMajor$ , $pdx \geq \max (1, nrhs)$ .

17: $ferr [nrhs]$ – doubleOutput

On exit: estimate of the forward error bound for each computed solution vector, such that

{‖{\hat{x}}_{j} - x_{j}‖}_{\infty} / {‖{\hat{x}}_{j}‖}_{\infty} \leq ferr [j - 1]

, where

{\hat{x}}_{j}

is the

j

th column of the computed solution returned in the array x and

x_{j}

is the corresponding column of the exact solution

X

. The estimate is almost always a slight overestimate of the true error.

18: $berr [nrhs]$ – doubleOutput

On exit: estimate of the component-wise relative backward error of each computed solution vector

{\hat{x}}_{j}

(i.e., the smallest relative change in any element of

A

B

that makes

{\hat{x}}_{j}

an exact solution).

19: $fail$ – 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_INT: On entry, $n = 〈value〉$ .
Constraint: $n \geq 0$ .

On entry, $nrhs = 〈value〉$ .
Constraint: $nrhs \geq 0$ .

On entry, $pdb = 〈value〉$ .
Constraint: $pdb > 0$ .

On entry, $pdx = 〈value〉$ .
Constraint: $pdx > 0$ .
NE_INT_2: On entry, $pdb = 〈value〉$ and $n = 〈value〉$ .
Constraint: $pdb \geq \max (1, n)$ .

On entry, $pdb = 〈value〉$ and $nrhs = 〈value〉$ .
Constraint: $pdb \geq \max (1, nrhs)$ .

On entry, $pdx = 〈value〉$ and $n = 〈value〉$ .
Constraint: $pdx \geq \max (1, n)$ .

On entry, $pdx = 〈value〉$ and $nrhs = 〈value〉$ .
Constraint: $pdx \geq \max (1, nrhs)$ .
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 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

The computed solution for a single right-hand side,

\hat{x}

, satisfies an equation of the form

(A + E) \hat{x} = b,

where

{‖E‖}_{\infty} = O (ε) {‖A‖}_{\infty}

and

ε

is the machine precision. An approximate error bound for the computed solution is given by

\frac{{‖\hat{x} - x‖}_{\infty}}{{‖x‖}_{\infty}} \leq κ (A) \frac{{‖E‖}_{\infty}}{{‖A‖}_{\infty}},

where

κ (A) = {‖A^{- 1}‖}_{\infty} {‖A‖}_{\infty}

, the condition number of

A

with respect to the solution of the linear equations. See Section 4.4 of Anderson et al. (1999) for further details.

Function nag_dgtcon (f07cgc) can be used to estimate the condition number of

A

8 Parallelism and Performance

nag_dgtrfs (f07chc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

nag_dgtrfs (f07chc) 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 total number of floating-point operations required to solve the equations

A X = B

A^{T} X = B

is proportional to

n r

. At most five steps of iterative refinement are performed, but usually only one or two steps are required.

The complex analogue of this function is nag_zgtrfs (f07cvc).

10 Example

This example solves the equations

A X = B,

where

A

is the tridiagonal matrix

A = (\begin{array}{r} 3.0 & 2.1 & 0 & 0 & 0 \\ 3.4 & 2.3 & - 1.0 & 0 & 0 \\ 0 & 3.6 & - 5.0 & 1.9 & 0 \\ 0 & 0 & 7.0 & - 0.9 & 8.0 \\ 0 & 0 & 0 & - 6.0 & 7.1 \end{array}) and B = (\begin{matrix} 2.7 & 6.6 \\ - 0.5 & 10.8 \\ 2.6 & - 3.2 \\ 0.6 & - 11.2 \\ 2.7 & 19.1 \end{matrix}) .

Estimates for the backward errors and forward errors are also output.

NAG Library Function Documentnag_dgtrfs (f07chc)

▸▿ 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_dgtrfs (f07chc)