NAG Library Routine Document

F07CGF (DGTCON)

F07CGF (DGTCON) should be preceded by a call to F07CDF (DGTTRF), which 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. F07CGF (DGTCON) then utilizes the factorization to estimate either

{‖A^{- 1}‖}_{1}

{‖A^{- 1}‖}_{\infty}

, from which the estimate of the reciprocal of the condition number of

A

1 / κ (A)

is computed as either

1 / κ_{1} (A) = 1 / ({‖A‖}_{1} {‖A^{- 1}‖}_{1})

1 / κ_{\infty} (A) = 1 / ({‖A‖}_{\infty} {‖A^{- 1}‖}_{\infty}) .

1 / κ (A)

is returned, rather than

κ (A)

, since when

A

is singular

κ (A)

is infinite.

Note that

κ_{\infty} (A) = κ_{1} (A^{T})

4 References

Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia

5 Parameters

1: NORM – CHARACTER(1)Input

On entry: specifies the norm to be used to estimate

κ (A)

$NORM ='1'$ or $'O'$: Estimate $κ_{1} (A)$ .
$NORM ='I'$: Estimate $κ_{\infty} (A)$ .

Constraint:

NORM ='1'

'O'

'I'

2: N – INTEGERInput

On entry:

n

, the order of the matrix

A

Constraint:

N \geq 0

3: DL( $*$ ) – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array DL 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

4: 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 upper triangular matrix

U

from the

L U

factorization of

A

5: DU( $*$ ) – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array DU must be at least

\max (1, N - 1)

On entry: must contain the

(n - 1)

elements of the first superdiagonal of

U

6: DU2( $*$ ) – REAL (KIND=nag_wp) arrayInput

Note: the dimension 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

7: IPIV( $*$ ) – INTEGER arrayInput

Note: the dimension 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)

, and

IPIV (i)

must always be either

i

(i + 1)

IPIV (i) = i

indicating that a row interchange was not performed.

8: ANORM – REAL (KIND=nag_wp)Input

On entry: if

NORM ='1'

'O'

, the

1

-norm of the original matrix

A

NORM ='I'

, the

\infty

-norm of the original matrix

A

ANORM may be computed by calling F06RNF with the same value for the parameter NORM.

ANORM must be computed either before calling F07CDF (DGTTRF) or else from a copy of the original matrix

A

(see Section 9).

Constraint:

ANORM \geq 0.0

9: RCOND – REAL (KIND=nag_wp)Output

On exit: contains an estimate of the reciprocal condition number.

10: WORK( $2 \times N$ ) – REAL (KIND=nag_wp) arrayWorkspace

11: IWORK(N) – INTEGER arrayWorkspace

12: 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

In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of Higham (2002) for further details.

8 Further Comments

The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization. The total number of floating point operations required to perform a solve is proportional to

n

The complex analogue of this routine is F07CUF (ZGTCON).

9 Example

This example estimates the condition number in the

1

-norm of the tridiagonal matrix

A

given by

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}) .

NAG Library Routine DocumentF07CGF (DGTCON)

+− 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

F07CGF (DGTCON)