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NAG Library Function Document

nag_sparse_herm_precon_ichol_solve (f11jpc)

▸▿ 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

9.1 Timing

▸▿ 10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

1 Purpose

nag_sparse_herm_precon_ichol_solve (f11jpc) solves a system of complex linear equations involving the incomplete Cholesky preconditioning matrix generated by nag_sparse_herm_chol_fac (f11jnc).

2 Specification

#include <nag.h>

#include <nagf11.h>

void	nag_sparse_herm_precon_ichol_solve (Integer n, const Complex a[], Integer la, const Integer irow[], const Integer icol[], const Integer ipiv[], const Integer istr[], Nag_SparseSym_CheckData check, const Complex y[], Complex x[], NagError *fail)

3 Description

nag_sparse_herm_precon_ichol_solve (f11jpc) solves a system of linear equations

M x = y

involving the preconditioning matrix

M = P L D L^{H} P^{T}

, corresponding to an incomplete Cholesky decomposition of a complex sparse Hermitian matrix stored in symmetric coordinate storage (SCS) format (see Section 2.1.2 in the f11 Chapter Introduction), as generated by nag_sparse_herm_chol_fac (f11jnc).

In the above decomposition

L

is a complex lower triangular sparse matrix with unit diagonal,

D

is a real diagonal matrix and

P

is a permutation matrix.

L

and

D

are supplied to nag_sparse_herm_precon_ichol_solve (f11jpc) through the matrix

C = L + D^{- 1} - I

which is a lower triangular

n

n

complex sparse matrix, stored in SCS format, as returned by nag_sparse_herm_chol_fac (f11jnc). The permutation matrix

P

is returned from nag_sparse_herm_chol_fac (f11jnc) via the array ipiv.

nag_sparse_herm_precon_ichol_solve (f11jpc) may also be used in combination with nag_sparse_herm_chol_fac (f11jnc) to solve a sparse complex Hermitian positive definite system of linear equations directly (see nag_sparse_herm_chol_fac (f11jnc)). This is illustrated in Section 10.

4 References

None.

5 Arguments

1: $n$ – IntegerInput

On entry:

n

, the order of the matrix

M

. This must be the same value as was supplied in the preceding call to nag_sparse_herm_chol_fac (f11jnc).

Constraint:

n \geq 1

2: $a [la]$ – const ComplexInput

On entry: the values returned in the array a by a previous call to nag_sparse_herm_chol_fac (f11jnc).

3: $la$ – IntegerInput

On entry: the dimension of the arrays a, irow and icol. This must be the same value supplied in the preceding call to nag_sparse_herm_chol_fac (f11jnc).

4: $irow [la]$ – const IntegerInput

5: $icol [la]$ – const IntegerInput

6: $ipiv [n]$ – const IntegerInput

7: $istr [n + 1]$ – const IntegerInput

On entry: the values returned in arrays irow, icol, ipiv and istr by a previous call to nag_sparse_herm_chol_fac (f11jnc).

8: $check$ – Nag_SparseSym_CheckDataInput

On entry: specifies whether or not the input data should be checked.

$check = Nag_SparseSym_Check$: Checks are carried out on the values of n, irow, icol, ipiv and istr.
$check = Nag_SparseSym_NoCheck$: None of these checks are carried out.

Constraint:

check = Nag_SparseSym_Check

Nag_SparseSym_NoCheck

9: $y [n]$ – const ComplexInput

On entry: the right-hand side vector

y

10: $x [n]$ – ComplexOutput

On exit: the solution vector

x

11: $fail$ – 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: $n \geq 1$ .
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_INVALID_ROWCOL_PIVOT: Check that a, irow, icol, ipiv and istr have not been corrupted between calls to nag_sparse_herm_chol_fac (f11jnc) and nag_sparse_herm_precon_ichol_solve (f11jpc).
NE_INVALID_SCS: Check that a, irow, icol, ipiv and istr have not been corrupted between calls to nag_sparse_herm_chol_fac (f11jnc) and nag_sparse_herm_precon_ichol_solve (f11jpc).
NE_INVALID_SCS_PRECOND: Check that a, irow, icol, ipiv and istr have not been corrupted between calls to nag_sparse_herm_chol_fac (f11jnc) and nag_sparse_herm_precon_ichol_solve (f11jpc).
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_NOT_STRICTLY_INCREASING: Check that a, irow, icol, ipiv and istr have not been corrupted between calls to nag_sparse_herm_chol_fac (f11jnc) and nag_sparse_herm_precon_ichol_solve (f11jpc).

7 Accuracy

The computed solution

x

is the exact solution of a perturbed system of equations

(M + δ M) x = y

, where

|δ M| \leq c (n) ε P |L| |D| |L^{H}| P^{T},

c (n)

is a modest linear function of

n

, and

ε

is the machine precision.

8 Parallelism and Performance

nag_sparse_herm_precon_ichol_solve (f11jpc) is not threaded in any implementation.

9 Further Comments

9.1 Timing

The time taken for a call to nag_sparse_herm_precon_ichol_solve (f11jpc) is proportional to the value of nnzc returned from nag_sparse_herm_chol_fac (f11jnc).

10 Example

This example reads in a complex sparse Hermitian positive definite matrix

A

and a vector

y

. It then calls nag_sparse_herm_chol_fac (f11jnc), with

lfill = - 1

and

dtol = 0.0

, to compute the complete Cholesky decomposition of

A

A = P L D L^{H} P^{T} .

Finally it calls nag_sparse_herm_precon_ichol_solve (f11jpc) to solve the system

P L D L^{H} P^{T} x = y .

NAG Library Function Documentnag_sparse_herm_precon_ichol_solve (f11jpc)