NAG Toolbox: nag_lapack_zhegvx (f08sp)

Purpose

Syntax

Description

References

Parameters

Compulsory Input Parameters

1:     $\mathrm{itype}$ – int64int32nag_int scalar

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:     $\mathrm{jobz}$ – string (length ≥ 1)

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:     $\mathrm{range}$ – string (length ≥ 1)

If $\mathbf{range}=\text{'A'}$, all eigenvalues will be found.

If $\mathbf{range}=\text{'V'}$, all eigenvalues in the half-open interval $\left(\mathbf{vl},\mathbf{vu}\right]$ will be found.

If $\mathbf{range}=\text{'I'}$, the ilth to iuth eigenvalues will be found.

Constraint: $\mathbf{range}=\text{'A'}$, $\text{'V'}$ or $\text{'I'}$.

4:     $\mathrm{uplo}$ – string (length ≥ 1)

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 $\text{'L'}$.

5:     $\mathrm{a}\left(\mathit{lda},:\right)$ – complex array

The first dimension of the array a must be at least $\max \left(1,\mathbf{n}\right)$.

The second dimension of the array a must be at least $\max \left(1,\mathbf{n}\right)$.

The $n$ by $n$ Hermitian 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.

6:     $\mathrm{b}\left(\mathit{ldb},:\right)$ – complex array

The first dimension of the array b must be at least $\max \left(1,\mathbf{n}\right)$.

The second dimension of the array b must be at least $\max \left(1,\mathbf{n}\right)$.

The $n$ by $n$ Hermitian 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.

7:     $\mathrm{vl}$ – double scalar

8:     $\mathrm{vu}$ – double scalar

If $\mathbf{range}=\text{'V'}$, the lower and upper bounds of the interval to be searched for eigenvalues.

If $\mathbf{range}=\text{'A'}$ or $\text{'I'}$, vl and vu are not referenced.

Constraint: if $\mathbf{range}=\text{'V'}$, $\mathbf{vl}<\mathbf{vu}$.

9:     $\mathrm{il}$ – int64int32nag_int scalar

10:   $\mathrm{iu}$ – int64int32nag_int scalar

If $\mathbf{range}=\text{'I'}$, the indices (in ascending order) of the smallest and largest eigenvalues to be returned.

If $\mathbf{range}=\text{'A'}$ or $\text{'V'}$, il and iu are not referenced.

Constraints:

• if $\mathbf{range}=\text{'I'}$ and $\mathbf{n}=0$, $\mathbf{il}=1$ and $\mathbf{iu}=0$;
• if $\mathbf{range}=\text{'I'}$ and $\mathbf{n}>0$, $1\le \mathbf{il}\le \mathbf{iu}\le \mathbf{n}$.

11:   $\mathrm{abstol}$ – double scalar

The absolute error tolerance for the eigenvalues. An approximate eigenvalue is accepted as converged when it is determined to lie in an interval $\left[a,b\right]$ of width less than or equal to

$$\mathbf{abstol}+\epsilon \max \left(\left|a\right|,\left|b\right|\right)\text{,}$$

where $\epsilon$ is the machine precision. If abstol is less than or equal to zero, then $\epsilon {‖T‖}_1$ will be used in its place, where $T$ is the tridiagonal matrix obtained by reducing $C$ to tridiagonal form. Eigenvalues will be computed most accurately when abstol is set to twice the underflow threshold $2\times \mathbf{x02am}\left( \right)$, not zero. If this function returns with $\mathbf{info}=\mathbf{1}\hspace{0.17em}\text{to}\hspace{0.17em}\mathbf{n}$, indicating that some eigenvectors did not converge, try setting abstol to $2\times \mathbf{x02am}\left( \right)$. See Demmel and Kahan (1990).

Optional Input Parameters

1:     $\mathrm{n}$ – int64int32nag_int scalar

Default: the first dimension of the arrays a, b and the second dimension of the arrays a, b. (An error is raised if these dimensions are not equal.)

$n$, the order of the matrices $A$ and $B$.

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

Output Parameters

1:     $\mathrm{a}\left(\mathit{lda},:\right)$ – complex array

The first dimension of the array a will be $\max \left(1,\mathbf{n}\right)$.

The second dimension of the array a will be $\max \left(1,\mathbf{n}\right)$.

The lower triangle (if $\mathbf{uplo}=\text{'L'}$) or the upper triangle (if $\mathbf{uplo}=\text{'U'}$) of a, including the diagonal, is overwritten.

2:     $\mathrm{b}\left(\mathit{ldb},:\right)$ – complex array

The first dimension of the array b will be $\max \left(1,\mathbf{n}\right)$.

The second dimension of the array b will be $\max \left(1,\mathbf{n}\right)$.

The triangular factor $U$ or $L$ from the Cholesky factorization $B=U^{\mathrm{H}}U$ or $B=L{L}^{\mathrm{H}}$.

3:     $\mathrm{m}$ – int64int32nag_int scalar

The total number of eigenvalues found. $0\le \mathbf{m}\le \mathbf{n}$.

If $\mathbf{range}=\text{'A'}$, $\mathbf{m}=\mathbf{n}$.

If $\mathbf{range}=\text{'I'}$, $\mathbf{m}=\mathbf{iu}-\mathbf{il}+1$.

4:     $\mathrm{w}\left(\mathbf{n}\right)$ – double array

The first m elements contain the selected eigenvalues in ascending order.

5:     $\mathrm{z}\left(\mathit{ldz},:\right)$ – complex array

The first dimension, $\mathit{ldz}$, of the array z will be

• if $\mathbf{jobz}=\text{'V'}$, $\mathit{ldz}=\max \left(1,\mathbf{n}\right)$;
• otherwise $\mathit{ldz}=1$.

The second dimension of the array z will be $\max \left(1,\mathbf{m}\right)$ if $\mathbf{jobz}=\text{'V'}$ and $1$ otherwise.

If $\mathbf{jobz}=\text{'V'}$, then

• if $\mathbf{info}=\mathbf{0}$, the first m columns of $Z$ contain the orthonormal eigenvectors of the matrix $A$ corresponding to the selected eigenvalues, with the $i$th column of $Z$ holding the eigenvector associated with $\mathbf{w}\left(i\right)$. The eigenvectors are normalized as follows:
  • if $\mathbf{itype}=1$ or $2$, $Z^{\mathrm{H}}BZ=I$;
  • if $\mathbf{itype}=3$, $Z^{\mathrm{H}}{B}^{-1}Z=I$;
• if an eigenvector fails to converge ($\mathbf{info}=\mathbf{1}\hspace{0.17em}\text{to}\hspace{0.17em}\mathbf{n}$), then that column of $Z$ contains the latest approximation to the eigenvector, and the index of the eigenvector is returned in jfail.

If $\mathbf{jobz}=\text{'N'}$, z is not referenced.

6:     $\mathrm{jfail}\left(:\right)$ – int64int32nag_int array

The dimension of the array jfail will be $\max \left(1,\mathbf{n}\right)$

If $\mathbf{jobz}=\text{'V'}$, then

• if $\mathbf{info}=\mathbf{0}$, the first m elements of jfail are zero;
• if $\mathbf{info}=\mathbf{1}\hspace{0.17em}\text{to}\hspace{0.17em}\mathbf{n}$, jfail contains the indices of the eigenvectors that failed to converge.

If $\mathbf{jobz}=\text{'N'}$, jfail is not referenced.

7:     $\mathrm{info}$ – int64int32nag_int scalar

$\mathbf{info}=0$ unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

Cases prefixed with W are classified as warnings and do not generate an error of type NAG:error_n. See nag_issue_warnings.

   $\mathbf{info}=-i$

If $\mathbf{info}=-i$, parameter $i$ had an illegal value on entry. The parameters are numbered as follows:

1: itype, 2: jobz, 3: range, 4: uplo, 5: n, 6: a, 7: lda, 8: b, 9: ldb, 10: vl, 11: vu, 12: il, 13: iu, 14: abstol, 15: m, 16: w, 17: z, 18: ldz, 19: work, 20: lwork, 21: rwork, 22: iwork, 23: jfail, 24: info.

It is possible that info refers to a parameter that is omitted from the MATLAB interface. This usually indicates that an error in one of the other input parameters has caused an incorrect value to be inferred.

W  $\mathbf{info}=1\hspace{0.17em}\text{to}\hspace{0.17em}\mathbf{n}$

If $\mathbf{info}=i$, nag_lapack_zheevx (f08fp) failed to converge; $i$ eigenvectors failed to converge. Their indices are stored in array jfail.

   $\mathbf{info}>\mathbf{n}$

nag_lapack_zpotrf (f07fr) 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.

Accuracy

Further Comments

Example

Open in the MATLAB editor: f08sp_example

function f08sp_example


fprintf('f08sp example results\n\n');

% Upper triangular parts of Hermitian matrix A and positive definite matrix B
uplo = 'Upper';
n = 4;
a = [-7.36 + 0i,  0.77 - 0.43i, -0.64 - 0.92i,  3.01 - 6.97i;
      0    + 0i,  3.49 + 0i,     2.19 + 4.45i,  1.90 + 3.73i;
      0    + 0i,  0    + 0i,     0.12 + 0i,     2.88 - 3.17i;
      0    + 0i,  0    + 0i,     0    + 0i,    -2.54 + 0i];
b = [ 3.23 + 0i,  1.51 - 1.92i,  1.90 + 0.84i,  0.42 + 2.5i;
      0    + 0i,  3.58 + 0i,    -0.23 + 1.11i, -1.18 + 1.37i;
      0    + 0i,  0    + 0i,     4.09 + 0i,     2.33 - 0.14i;
      0    + 0i,  0    + 0i,     0    + 0i,     4.29 + 0i];

% Generalized eigenvalues and eigenvectors for problem Az = lambda Bz
% selecting eigenvalues in the range [-3,3].
itype = int64(1);
jobz  = 'Vectors';
range = 'Values in range';
uplo  = 'Upper';
vl = -3;         vu = 3;
il = int64(0); iu = int64(0);
abstol = 0;

[~, ~, m, w, Z, jfail, info] = ...
f08sp( ...
       itype, jobz, range, uplo, a, b, vl, vu, il, iu, abstol);

% Normalize: largest elements are real (preserving Z^HBZ = I)
for i = 1:m
  [~,k] = max(abs(real(Z(:,i)))+abs(imag(Z(:,i))));
  Z(:,i) = Z(:,i)*conj(Z(k,i))/abs(Z(k,i));
end

disp('Eigenvalues');
disp(w(1:m)');
disp('Eigenvectors');
disp(Z);

f08sp example results

Eigenvalues
   -2.9936    0.5047

Eigenvectors
  -0.6626 + 0.2258i   0.6462 + 0.0000i
  -0.1164 - 0.0178i   0.1216 - 0.4788i
   0.9098 + 0.0000i  -0.1344 - 0.3059i
  -0.6120 - 0.5348i   0.2924 + 0.5987i