void	nag_dpftrs (Nag_OrderType order, Nag_RFP_Store transr, Nag_UploType uplo, Integer n, Integer nrhs, const double ar[], double b[], Integer pdb, NagError *fail)

3 Description

nag_dpftrs (f07wec) is used to solve a real symmetric positive definite system of linear equations

A X = B

, the function must be preceded by a call to nag_dpftrf (f07wdc) which computes the Cholesky factorization of

A

, stored in RFP format. The RFP storage format is described in Section 3.3.3 in the f07 Chapter Introduction. The solution

X

is computed by forward and backward substitution.

uplo = Nag_Upper

A = U^{T} U

, where

U

is upper triangular; the solution

X

is computed by solving

U^{T} Y = B

and then

U X = Y

uplo = Nag_Lower

A = L L^{T}

, where

L

is lower triangular; the solution

X

is computed by solving

L Y = B

and then

L^{T} X = Y

4 References

Gustavson F G, Waśniewski J, Dongarra J J and Langou J (2010) Rectangular full packed format for Cholesky's algorithm: factorization, solution, and inversion ACM Trans. Math. Software 37, 2

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: $transr$ – Nag_RFP_StoreInput

On entry: specifies whether the RFP representation of

A

is normal or transposed.

$transr = Nag_RFP_Normal$: The matrix $A$ is stored in normal RFP format.
$transr = Nag_RFP_Trans$: The matrix $A$ is stored in transposed RFP format.

Constraint:

transr = Nag_RFP_Normal

Nag_RFP_Trans

3: $uplo$ – Nag_UploTypeInput

On entry: specifies how

A

has been factorized.

$uplo = Nag_Upper$: $A = U^{T} U$ , where $U$ is upper triangular.
$uplo = Nag_Lower$: $A = L L^{T}$ , where $L$ is lower triangular.

Constraint:

uplo = Nag_Upper

Nag_Lower

4: $n$ – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

5: $nrhs$ – IntegerInput

On entry:

r

, the number of right-hand sides.

Constraint:

nrhs \geq 0

6: $ar [n \times (n + 1) / 2]$ – const doubleInput

On entry: the Cholesky factorization of

A

stored in RFP format, as returned by nag_dpftrf (f07wdc).

7: $b [\dim]$ – doubleInput/Output

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

right-hand side matrix

B

On exit: the

n

r

solution matrix

X

8: $pdb$ – 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 $order = Nag_RowMajor$ , $pdb \geq \max (1, nrhs)$ .

9: $fail$ – 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: $nrhs \geq 0$ .
NE_INT_2: On entry, $pdb = 〈value〉$ and $n = 〈value〉$ .
Constraint: $pdb \geq \max (1, n)$ .

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

For each right-hand side vector

b

, the computed solution

x

is the exact solution of a perturbed system of equations

(A + E) x = b

, where

if $uplo = Nag_Upper$ , $|E| \leq c (n) ε |U^{T}| |U|$ ;
if $uplo = Nag_Lower$ , $|E| \leq c (n) ε |L| |L^{T}|$ ,

c (n)

is a modest linear function of

n

, and

ε

is the machine precision.

\hat{x}

is the true solution, then the computed solution

x

satisfies a forward error bound of the form

\frac{{‖x - \hat{x}‖}_{\infty}}{{‖x‖}_{\infty}} \leq c (n) cond (A, x) ε

where

cond (A, x) = {‖|A^{- 1}| |A| |x|‖}_{\infty} / {‖x‖}_{\infty} \leq cond (A) = {‖|A^{- 1}| |A|‖}_{\infty} \leq κ_{\infty} (A)

and

κ_{\infty} (A)

is the condition number when using the

\infty

-norm.

Note that

cond (A, x)

can be much smaller than

cond (A)

8 Parallelism and Performance

nag_dpftrs (f07wec) 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 is approximately

2 n^{2} r

The complex analogue of this function is nag_zpftrs (f07wsc).

10 Example

This example solves the system of equations

A X = B

, where

A = (\begin{matrix} 4.16 & - 3.12 & 0.56 & - 0.10 \\ - 3.12 & 5.03 & - 0.83 & 1.18 \\ 0.56 & - 0.83 & 0.76 & 0.34 \\ - 0.10 & 1.18 & 0.34 & 1.18 \end{matrix}) and B = (\begin{matrix} 8.70 & 8.30 \\ - 13.35 & 2.13 \\ 1.89 & 1.61 \\ - 4.14 & 5.00 \end{matrix}) .

Here

A

is symmetric positive definite, stored in RFP format, and must first be factorized by nag_dpftrf (f07wdc).

NAG Library Function Documentnag_dpftrs (f07wec)

▸▿ 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_dpftrs (f07wec)