f01emf (PDF version)

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F01 (matop) Chapter Introduction

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NAG Library Routine Document

f01emf (real_gen_matrix_fun_usd)

▸▿ 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

1

Purpose

f01emf computes the matrix function,

f (A)

, of a real

n

by

n

matrix

A

, using analytical derivatives of

f

you have supplied.

2

Specification

Fortran Interface

Subroutine f01emf (

n, a, lda, f, iuser, ruser, iflag, imnorm, ifail)

Integer, Intent (In)	::	n, lda
Integer, Intent (Inout)	::	iuser(*), ifail
Integer, Intent (Out)	::	iflag
Real (Kind=nag_wp), Intent (Inout)	::	a(lda,), ruser()
Real (Kind=nag_wp), Intent (Out)	::	imnorm
External	::	f

C Header Interface

#include nagmk26.h

void	f01emf_ ( const Integer n, double a[], const Integer lda, void (NAG_CALL f)( const Integer m, Integer iflag, const Integer nz, const Complex z[], Complex fz[], Integer iuser[], double ruser[]), Integer iuser[], double ruser[], Integer iflag, double imnorm, Integer *ifail)

3

Description

f (A)

is computed using the Schur–Parlett algorithm described in Higham (2008) and Davies and Higham (2003).

The scalar function

f

, and the derivatives of

f

, are returned by the subroutine f which, given an integer

m

, should evaluate

f^{(m)} (z_{i})

at a number of (generally complex) points

z_{i}

, for

i = 1, 2, \dots, n_{z}

. For any

z

on the real line,

f (z)

must also be real. f01emf is therefore appropriate for functions that can be evaluated on the complex plane and whose derivatives, of arbitrary order, can also be evaluated on the complex plane.

4

References

Davies P I and Higham N J (2003) A Schur–Parlett algorithm for computing matrix functions. SIAM J. Matrix Anal. Appl. 25(2) 464–485

Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA

5

Arguments

1: $n$ – IntegerInput

On entry:

n

, the order of the matrix

A

.

Constraint:

n \geq 0

.

2: $a (lda *)$ – Real (Kind=nag_wp) arrayInput/Output

Note: the second dimension of the array a must be at least

n

.

On entry: the

n

by

n

matrix

A

.

On exit: the

n

by

n

matrix,

f (A)

.

3: $lda$ – IntegerInput

On entry: the first dimension of the array a as declared in the (sub)program from which f01emf is called.

Constraint:

lda \geq n

.

4: $f$ – Subroutine, supplied by the user.External Procedure

Given an integer

m

, the subroutine f evaluates

f^{(m)} (z_{i})

at a number of points

z_{i}

.

The specification of f is:

Fortran Interface

Subroutine f (

m, iflag, nz, z, fz, iuser, ruser)

Integer, Intent (In)	::	m, nz
Integer, Intent (Inout)	::	iflag, iuser(*)
Real (Kind=nag_wp), Intent (Inout)	::	ruser(*)
Complex (Kind=nag_wp), Intent (In)	::	z(nz)
Complex (Kind=nag_wp), Intent (Out)	::	fz(nz)

C Header Interface

#include nagmk26.h

void	f ( const Integer m, Integer iflag, const Integer *nz, const Complex z[], Complex fz[], Integer iuser[], double ruser[])

1: $m$ – IntegerInput: On entry: the order, $m$ , of the derivative required.
If $m = 0$ , $f (z_{i})$ should be returned. For $m > 0$ , $f^{(m)} (z_{i})$ should be returned.
2: $iflag$ – IntegerInput/Output: On entry: iflag will be zero.

On exit: iflag should either be unchanged from its entry value of zero, or may be set nonzero to indicate that there is a problem in evaluating the function $f (z)$ ; for instance $f (z_{i})$ may not be defined for a particular $z_{i}$ . If iflag is returned as nonzero then f01emf will terminate the computation, with $ifail = 2$ .
3: $nz$ – IntegerInput: On entry: $n_{z}$ , the number of function or derivative values required.
4: $z (nz)$ – Complex (Kind=nag_wp) arrayInput: On entry: the $n_{z}$ points $z_{1}, z_{2}, \dots, z_{n_{z}}$ at which the function $f$ is to be evaluated.
5: $fz (nz)$ – Complex (Kind=nag_wp) arrayOutput: On exit: the $n_{z}$ function or derivative values. $fz (i)$ should return the value $f^{(m)} (z_{i})$ , for $i = 1, 2, \dots, n_{z}$ . If $z_{i}$ lies on the real line, then so must $f^{(m)} (z_{i})$ .
6: $iuser (*)$ – Integer arrayUser Workspace
7: $ruser (*)$ – Real (Kind=nag_wp) arrayUser Workspace: f is called with the arguments iuser and ruser as supplied to f01emf. You should use the arrays iuser and ruser to supply information to f.

f must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which f01emf is called. Arguments denoted as Input must not be changed by this procedure.

Note: f should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by f01emf. If your code inadvertently does return any NaNs or infinities, f01emf is likely to produce unexpected results.

5: $iuser (*)$ – Integer arrayUser Workspace

6: $ruser (*)$ – Real (Kind=nag_wp) arrayUser Workspace

iuser and ruser are not used by f01emf, but are passed directly to f and may be used to pass information to this routine.

7: $iflag$ – IntegerOutput

On exit:

iflag = 0

, unless iflag has been set nonzero inside f, in which case iflag will be the value set and ifail will be set to

ifail = 2

.

8: $imnorm$ – Real (Kind=nag_wp)Output

On exit: if

A

has complex eigenvalues, f01emf will use complex arithmetic to compute

f (A)

. The imaginary part is discarded at the end of the computation, because it will theoretically vanish. imnorm contains the

1

-norm of the imaginary part, which should be used to check that the routine has given a reliable answer.

If

A

has real eigenvalues, f01emf uses real arithmetic and

imnorm = 0

.

9: $ifail$ – IntegerInput/Output

On entry: ifail must be set to

0

,

- 1 ​ or ​ 1

. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this argument, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of ifail on exit.

On exit:

ifail = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6

Error Indicators and Warnings

If on entry

ifail = 0

or

- 1

, explanatory error messages are output on the current error message unit (as defined by x04aaf).

Errors or warnings detected by the routine:

$ifail = 1$: A Taylor series failed to converge.

$ifail = 2$: iflag has been set nonzero by the user.

$ifail = 3$: There was an error whilst reordering the Schur form of $A$ .
Note: this failure should not occur and suggests that the routine has been called incorrectly.

$ifail = 4$: The routine was unable to compute the Schur decomposition of $A$ .
Note: this failure should not occur and suggests that the routine has been called incorrectly.

$ifail = 5$: An unexpected internal error occurred. Please contact NAG.

$ifail = - 1$: Input argument number $〈value〉$ is invalid.

$ifail = - 3$: On entry, argument lda is invalid.
Constraint: $lda \geq n$ .

$ifail = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.9 in How to Use the NAG Library and its Documentation for further information.

$ifail = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 3.8 in How to Use the NAG Library and its Documentation for further information.

$ifail = - 999$: Dynamic memory allocation failed.
See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7

Accuracy

For a normal matrix

A

(for which

A^{T} A = A A^{T}

), the Schur decomposition is diagonal and the algorithm reduces to evaluating

f

at the eigenvalues of

A

and then constructing

f (A)

using the Schur vectors. This should give a very accurate result. In general, however, no error bounds are available for the algorithm. See Section 9.4 of Higham (2008) for further discussion of the Schur–Parlett algorithm.

8

Parallelism and Performance

f01emf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library. In these implementations, this routine may make calls to the user-supplied functions from within an OpenMP parallel region. Thus OpenMP directives within the user functions can only be used if you are compiling the user-supplied function and linking the executable in accordance with the instructions in the Users' Note for your implementation. The user workspace arrays iuser and ruser are classified as OpenMP shared memory and use of iuser and ruser has to take account of this in order to preserve thread safety whenever information is written back to either of these arrays. If at all possible, it is recommended that these arrays are only used to supply read-only data to the user functions when a multithreaded implementation is being used.

f01emf 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 routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9

Further Comments

If

A

has real eigenvalues then up to

6 n^{2}

of real allocatable memory may be required. If

A

has complex eigenvalues then up to

6 n^{2}

of complex allocatable memory may be required.

The cost of the Schur–Parlett algorithm depends on the spectrum of

A

, but is roughly between

28 n^{3}

and

n^{4} / 3

floating-point operations. There is an additional cost in evaluating

f

and its derivatives. If the derivatives of

f

are not known analytically, then f01elf can be used to evaluate

f (A)

using numerical differentiation. If

A

is real symmetric then it is recommended that f01eff be used as it is more efficient and, in general, more accurate than f01emf.

For any

z

on the real line,

f (z)

must be real.

f

must also be complex analytic on the spectrum of

A

. These conditions ensure that

f (A)

is real for real

A

.

For further information on matrix functions, see Higham (2008).

If estimates of the condition number of the matrix function are required then f01jcf should be used.

f01fmf can be used to find the matrix function

f (A)

for a complex matrix

A

.

10

Example

This example finds the

e^{2 A}

where

A = (\begin{array}{r} 1 & 0 & - 2 & 1 \\ - 1 & 2 & 0 & 1 \\ 2 & 0 & 1 & 0 \\ 1 & 0 & - 1 & 2 \end{array}) .

10.1

Program Text

Program Text (f01emfe.f90)

10.2

Program Data

Program Data (f01emfe.d)

10.3

Program Results

Program Results (f01emfe.r)

f01emf (PDF version)

F01 (matop) Chapter Contents

F01 (matop) Chapter Introduction

NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2017