NAG Library Routine Document

F07JHF (DPTRFS)

matrices, using the modified Cholesky factorization returned by F07JDF (DPTTRF) and an initial solution returned by F07JEF (DPTTRS). Iterative refinement is used to reduce the backward error as much as possible.

2 Specification

SUBROUTINE F07JHF (

N, NRHS, D, E, DF, EF, B, LDB, X, LDX, FERR, BERR, WORK, INFO)

INTEGER	N, NRHS, LDB, LDX, INFO
REAL (KIND=nag_wp)	D(), E(), DF(), EF(), B(LDB,), X(LDX,), FERR(NRHS), BERR(NRHS), WORK(2*N)

The routine may be called by its LAPACK name dptrfs.

3 Description

F07JHF (DPTRFS) should normally be preceded by calls to F07JDF (DPTTRF) and F07JEF (DPTTRS). F07JDF (DPTTRF) computes a modified Cholesky factorization of the matrix

A

A = L D L^{T},

where

L

is a unit lower bidiagonal matrix and

D

is a diagonal matrix, with positive diagonal elements. F07JEF (DPTTRS) then utilizes the factorization to compute a solution,

\hat{X}

, to the required equations. Letting

\hat{x}

denote a column of

\hat{X}

, F07JHF (DPTRFS) 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 routine 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

Note that the modified Cholesky factorization of

A

can also be expressed as

A = U^{T} D U,

where

U

is unit upper bidiagonal.

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 Parameters

1: N – INTEGERInput: On entry: $n$ , the order of the matrix $A$ .
Constraint: $N \geq 0$ .
2: NRHS – INTEGERInput: On entry: $r$ , the number of right-hand sides, i.e., the number of columns of the matrix $B$ .
Constraint: $NRHS \geq 0$ .
3: D( $*$ ) – REAL (KIND=nag_wp) arrayInput: Note: the dimension of the array D must be at least $\max (1, N)$ .
On entry: must contain the $n$ diagonal elements of the matrix of $A$ .
4: E( $*$ ) – REAL (KIND=nag_wp) arrayInput: Note: the dimension of the array E must be at least $\max (1, N - 1)$ .
On entry: must contain the $(n - 1)$ subdiagonal elements of the matrix $A$ .
5: DF( $*$ ) – REAL (KIND=nag_wp) arrayInput: Note: the dimension of the array DF must be at least $\max (1, N)$ .
On entry: must contain the $n$ diagonal elements of the diagonal matrix $D$ from the $L D L^{T}$ factorization of $A$ .
6: EF( $*$ ) – REAL (KIND=nag_wp) arrayInput: Note: the dimension of the array EF must be at least $\max (1, N)$ .
On entry: must contain the $(n - 1)$ subdiagonal elements of the unit bidiagonal matrix $L$ from the $L D L^{T}$ factorization of $A$ .
7: B(LDB, $*$ ) – REAL (KIND=nag_wp) arrayInput: Note: the second dimension of the array B must be at least $\max (1, NRHS)$ .
On entry: the $n$ by $r$ matrix of right-hand sides $B$ .
8: LDB – INTEGERInput: On entry: the first dimension of the array B as declared in the (sub)program from which F07JHF (DPTRFS) is called.
Constraint: $LDB \geq \max (1, N)$ .
9: X(LDX, $*$ ) – REAL (KIND=nag_wp) arrayInput/Output: Note: the second dimension of the array X must be at least $\max (1, NRHS)$ .
On entry: the $n$ by $r$ initial solution matrix $X$ .

On exit: the $n$ by $r$ refined solution matrix $X$ .
10: LDX – INTEGERInput: On entry: the first dimension of the array X as declared in the (sub)program from which F07JHF (DPTRFS) is called.
Constraint: $LDX \geq \max (1, N)$ .
11: FERR(NRHS) – REAL (KIND=nag_wp) arrayOutput: On exit: estimate of the forward error bound for each computed solution vector, such that ${‖{\hat{x}}_{j} - x_{j}‖}_{\infty} / {‖{\hat{x}}_{j}‖}_{\infty} \leq FERR (j)$ , 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.
12: BERR(NRHS) – REAL (KIND=nag_wp) arrayOutput: 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 $A$ or $B$ that makes ${\hat{x}}_{j}$ an exact solution).
13: WORK( $2 \times N$ ) – REAL (KIND=nag_wp) arrayWorkspace
14: INFO – INTEGEROutput: On exit: $INFO = 0$ unless the routine detects an error (see Section 6).

6 Error Indicators and Warnings

Errors or warnings detected by the routine:

$INFO < 0$: If $INFO = - i$ , the $i$ th argument had an illegal value. An explanatory message is output, and execution of the program is terminated.

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.

Routine F07JGF (DPTCON) can be used to compute the condition number of

A

8 Further Comments

The total number of floating point operations required to solve the equations

A 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 routine is F07JVF (ZPTRFS).

9 Example

This example solves the equations

A X = B,

where

A

is the symmetric positive definite tridiagonal matrix

A = (\begin{matrix} 4.0 & - 2.0 & 0 & 0 & 0 \\ - 2.0 & 10.0 & - 6.0 & 0 & 0 \\ 0 & - 6.0 & 29.0 & 15.0 & 0 \\ 0 & 0 & 15.0 & 25.0 & 8.0 \\ 0 & 0 & 0 & 8.0 & 5.0 \end{matrix}) and B = (\begin{matrix} 6.0 & 10.0 \\ 9.0 & 4.0 \\ 2.0 & 9.0 \\ 14.0 & 65.0 \\ 7.0 & 23.0 \end{matrix}) .

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

NAG Library Routine DocumentF07JHF (DPTRFS)

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

NAG Library Routine Document

F07JHF (DPTRFS)