NAG Library Routine Document

F08SCF (DSYGVD)

1  Purpose

2  Specification

3  Description

4  References

5  Parameters

1:     ITYPE – INTEGERInput

On entry: specifies the problem type to be solved.

$\mathbf{ITYPE}=1$

$Az=\lambda Bz$.

$\mathbf{ITYPE}=2$

$ABz=\lambda z$.

$\mathbf{ITYPE}=3$

$BAz=\lambda z$.

Constraint: $\mathbf{ITYPE}=1$, $2$ or $3$.

2:     JOBZ – CHARACTER(1)Input

On entry: indicates whether eigenvectors are computed.

$\mathbf{JOBZ}=\text{'N'}$

Only eigenvalues are computed.

$\mathbf{JOBZ}=\text{'V'}$

Eigenvalues and eigenvectors are computed.

Constraint: $\mathbf{JOBZ}=\text{'N'}$ or $\text{'V'}$.

3:     UPLO – CHARACTER(1)Input

On entry: if $\mathbf{UPLO}=\text{'U'}$, the upper triangles of $A$ and $B$ are stored.

If $\mathbf{UPLO}=\text{'L'}$, the lower triangles of $A$ and $B$ are stored.

Constraint: $\mathbf{UPLO}=\text{'U'}$ or $\text{'L'}$.

4:     N – INTEGERInput

On entry: $n$, the order of the matrices $A$ and $B$.

Constraint: $\mathbf{N}\ge 0$.

5:     A(LDA,$*$) – REAL (KIND=nag_wp) arrayInput/Output

Note: the second dimension of the array A must be at least $\max \left(1,\mathbf{N}\right)$.

On entry: the $n$ by $n$ symmetric matrix $A$.

• If $\mathbf{UPLO}=\text{'U'}$, the upper triangular part of $A$ must be stored and the elements of the array below the diagonal are not referenced.
• If $\mathbf{UPLO}=\text{'L'}$, the lower triangular part of $A$ must be stored and the elements of the array above the diagonal are not referenced.

On exit: if $\mathbf{JOBZ}=\text{'V'}$, A contains the matrix $Z$ of eigenvectors. The eigenvectors are normalized as follows:

• if $\mathbf{ITYPE}=1$ or $2$, $Z^{\mathrm{T}}BZ=I$;
• if $\mathbf{ITYPE}=3$, $Z^{\mathrm{T}}{B}^{-1}Z=I$.

If $\mathbf{JOBZ}=\text{'N'}$, the upper triangle (if $\mathbf{UPLO}=\text{'U'}$) or the lower triangle (if $\mathbf{UPLO}=\text{'L'}$) of A, including the diagonal, is overwritten.

6:     LDA – INTEGERInput

On entry: the first dimension of the array A as declared in the (sub)program from which F08SCF (DSYGVD) is called.

Constraint: $\mathbf{LDA}\ge \max \left(1,\mathbf{N}\right)$.

7:     B(LDB,$*$) – REAL (KIND=nag_wp) arrayInput/Output

Note: the second dimension of the array B must be at least $\max \left(1,\mathbf{N}\right)$.

On entry: the $n$ by $n$ symmetric matrix $B$.

• If $\mathbf{UPLO}=\text{'U'}$, the upper triangular part of $B$ must be stored and the elements of the array below the diagonal are not referenced.
• If $\mathbf{UPLO}=\text{'L'}$, the lower triangular part of $B$ must be stored and the elements of the array above the diagonal are not referenced.

On exit: the triangular factor $U$ or $L$ from the Cholesky factorization $B=U^{\mathrm{T}}U$ or $B=L{L}^{\mathrm{T}}$.

8:     LDB – INTEGERInput

On entry: the first dimension of the array B as declared in the (sub)program from which F08SCF (DSYGVD) is called.

Constraint: $\mathbf{LDB}\ge \max \left(1,\mathbf{N}\right)$.

9:     W(N) – REAL (KIND=nag_wp) arrayOutput

On exit: the eigenvalues in ascending order.

10:   WORK($\max \left(1,\mathbf{LWORK}\right)$) – REAL (KIND=nag_wp) arrayWorkspace

On exit: if $\mathbf{INFO}=\mathbf{0}$, $\mathbf{WORK}\left(1\right)$ contains the minimum value of LWORK required for optimal performance.

11:   LWORK – INTEGERInput

On entry: the dimension of the array WORK as declared in the (sub)program from which F08SCF (DSYGVD) is called.

If $\mathbf{LWORK}=-1$, a workspace query is assumed; the routine only calculates the optimal size of the WORK array and the minimum size of the IWORK array, returns these values as the first entries of the WORK and IWORK arrays, and no error message related to LWORK or LIWORK is issued.

Suggested value: for optimal performance, LWORK should usually be larger than the minimum, try increasing by $\mathit{nb}\times \mathbf{N}$, where $\mathit{nb}$ is the optimal block size.

Constraints:

• if $\mathbf{N}\le 1$, $\mathbf{LWORK}\ge 1$;
• if $\mathbf{JOBZ}=\text{'N'}$ and $\mathbf{N}>1$, $\mathbf{LWORK}\ge 2\times \mathbf{N}+1$;
• if $\mathbf{JOBZ}=\text{'V'}$ and $\mathbf{N}>1$, $\mathbf{LWORK}\ge 1+6\times \mathbf{N}+2\times {\mathbf{N}}^2$.

12:   IWORK($\max \left(1,\mathbf{LIWORK}\right)$) – INTEGER arrayWorkspace

On exit: if $\mathbf{INFO}=\mathbf{0}$, $\mathbf{IWORK}\left(1\right)$ returns the minimum LIWORK.

13:   LIWORK – INTEGERInput

On entry: the dimension of the array IWORK as declared in the (sub)program from which F08SCF (DSYGVD) is called.

If $\mathbf{LIWORK}=-1$, a workspace query is assumed; the routine only calculates the optimal size of the WORK array and the minimum size of the IWORK array, returns these values as the first entries of the WORK and IWORK arrays, and no error message related to LWORK or LIWORK is issued.

Constraints:

• if $\mathbf{N}\le 1$, $\mathbf{LIWORK}\ge 1$;
• if $\mathbf{JOBZ}=\text{'N'}$ and $\mathbf{N}>1$, $\mathbf{LIWORK}\ge 1$;
• if $\mathbf{JOBZ}=\text{'V'}$ and $\mathbf{N}>1$, $\mathbf{LIWORK}\ge 3+5\times \mathbf{N}$.

14:   INFO – INTEGEROutput

On exit: $\mathbf{INFO}=0$ unless the routine detects an error (see Section 6).

6  Error Indicators and Warnings

$\mathbf{INFO}<0$

If $\mathbf{INFO}=-i$, argument $i$ had an illegal value. An explanatory message is output, and execution of the program is terminated.

$\mathbf{INFO}=1\text{ to }\mathbf{N}$

If $\mathbf{INFO}=i$, F08FCF (DSYEVD) failed to converge; $i$ $i$ off-diagonal elements of an intermediate tridiagonal form did not converge to zero.

$\mathbf{INFO}>\mathbf{N}$

F07FDF (DPOTRF) returned an error code; i.e., if $\mathbf{INFO}=\mathbf{N}+i$, for $1\le i\le \mathbf{N}$, then the leading minor of order $i$ of $B$ is not positive definite. The factorization of $B$ could not be completed and no eigenvalues or eigenvectors were computed.

7  Accuracy

8  Further Comments

9  Example

9.1  Program Text

Program Text (f08scfe.f90)

9.2  Program Data

Program Data (f08scfe.d)

9.3  Program Results

Program Results (f08scfe.r)