NAG Library Routine Document
f01flf (complex_gen_matrix_fun_num)
1
Purpose
f01flf computes the matrix function, , of a complex by matrix . Numerical differentiation is used to evaluate the derivatives of when they are required.
2
Specification
Fortran Interface
Integer, Intent (In) | :: | n, lda | Integer, Intent (Inout) | :: | iuser(*), ifail | Integer, Intent (Out) | :: | iflag | Real (Kind=nag_wp), Intent (Inout) | :: | ruser(*) | Complex (Kind=nag_wp), Intent (Inout) | :: | a(lda,*) | External | :: | f |
|
C Header Interface
#include <nagmk26.h>
void |
f01flf_ (const Integer *n, Complex a[], const Integer *lda, void (NAG_CALL *f)(Integer *iflag, const Integer *nz, const Complex z[], Complex fz[], Integer iuser[], double ruser[]), Integer iuser[], double ruser[], Integer *iflag, Integer *ifail) |
|
3
Description
is computed using the Schur–Parlett algorithm described in
Higham (2008) and
Davies and Higham (2003). The coefficients of the Taylor series used in the algorithm are evaluated using the numerical differentiation algorithm of
Lyness and Moler (1967).
The scalar function
is supplied via subroutine
f which evaluates
at a number of points
.
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
Lyness J N and Moler C B (1967) Numerical differentiation of analytic functions SIAM J. Numer. Anal. 4(2) 202–210
5
Arguments
- 1: – IntegerInput
-
On entry: , the order of the matrix .
Constraint:
.
- 2: – Complex (Kind=nag_wp) arrayInput/Output
-
Note: the second dimension of the array
a
must be at least
.
On entry: the by matrix .
On exit: the by matrix, .
- 3: – IntegerInput
-
On entry: the first dimension of the array
a as declared in the (sub)program from which
f01flf is called.
Constraint:
.
- 4: – Subroutine, supplied by the user.External Procedure
-
The subroutine
f evaluates
at a number of points
.
The specification of
f is:
Fortran Interface
Integer, Intent (In) | :: | 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 (Integer *iflag, const Integer *nz, const Complex z[], Complex fz[], Integer iuser[], double ruser[]) |
|
- 1: – 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
; for instance
may not be defined. If
iflag is returned as nonzero then
f01flf will terminate the computation, with
.
- 2: – IntegerInput
-
On entry: , the number of function values required.
- 3: – Complex (Kind=nag_wp) arrayInput
-
On entry: the points at which the function is to be evaluated.
- 4: – Complex (Kind=nag_wp) arrayOutput
-
On exit: the function values.
should return the value , for .
- 5: – Integer arrayUser Workspace
- 6: – Real (Kind=nag_wp) arrayUser Workspace
-
f is called with the arguments
iuser and
ruser as supplied to
f01flf. 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
f01flf 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
f01flf. If your code inadvertently
does return any NaNs or infinities,
f01flf is likely to produce unexpected results.
- 5: – Integer arrayUser Workspace
- 6: – Real (Kind=nag_wp) arrayUser Workspace
-
iuser and
ruser are not used by
f01flf, but are passed directly to
f and may be used to pass information to this routine.
- 7: – IntegerOutput
-
On exit:
, unless
iflag has been set nonzero inside
f, in which case
iflag will be the value set and
ifail will be set to
.
- 8: – IntegerInput/Output
-
On entry:
ifail must be set to
,
. 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
is recommended. If the output of error messages is undesirable, then the value
is recommended. Otherwise, if you are not familiar with this argument, the recommended value is
.
When the value is used it is essential to test the value of ifail on exit.
On exit:
unless the routine detects an error or a warning has been flagged (see
Section 6).
6
Error Indicators and Warnings
If on entry
or
, explanatory error messages are output on the current error message unit (as defined by
x04aaf).
Errors or warnings detected by the routine:
-
A Taylor series failed to converge after terms. Further Taylor series coefficients can no longer reliably be obtained by numerical differentiation.
-
iflag has been set nonzero by the user.
-
There was an error whilst reordering the Schur form of .
Note: this failure should not occur and suggests that the routine has been called incorrectly.
-
The function was unable to compute the Schur decomposition of .
Note: this failure should not occur and suggests that the routine has been called incorrectly.
-
An unexpected internal error occurred. Please contact
NAG.
-
Input argument number is invalid.
-
On entry, argument
lda is invalid.
Constraint:
.
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.
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.
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
(for which
) Schur decomposition is diagonal and the algorithm reduces to evaluating
at the eigenvalues of
and then constructing
using the Schur vectors. See Section 9.4 of
Higham (2008) for further discussion of the Schur–Parlett algorithm, and
Lyness and Moler (1967) for a discussion of numerical differentiation.
8
Parallelism and Performance
f01flf 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.
f01flf 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.
The integer allocatable memory required is , and up to of
complex
allocatable memory is required.
The cost of the Schur–Parlett algorithm depends on the spectrum of
, but is roughly between
and
floating-point operations. There is an additional cost in numerically differentiating
, in order to obtain the Taylor series coefficients. If the derivatives of
are known analytically, then
f01fmf can be used to evaluate
more accurately. If
is complex Hermitian then it is recommended that
f01fff be used as it is more efficient and, in general, more accurate than
f01flf.
Note that must be analytic in the region of the complex plane containing the spectrum of .
For further information on matrix functions, see
Higham (2008).
If estimates of the condition number of the matrix function are required then
f01kbf should be used.
f01elf can be used to find the matrix function
for a real matrix
.
10
Example
This example finds
where
10.1
Program Text
Program Text (f01flfe.f90)
10.2
Program Data
Program Data (f01flfe.d)
10.3
Program Results
Program Results (f01flfe.r)