NAG Library Function Document
nag_matop_real_gen_matrix_fun_num (f01elc)
1 Purpose
nag_matop_real_gen_matrix_fun_num (f01elc) computes the matrix function, , of a real by matrix . Numerical differentiation is used to evaluate the derivatives of when they are required.
2 Specification
#include <nag.h> |
#include <nagf01.h> |
void |
nag_matop_real_gen_matrix_fun_num (Integer n,
double a[],
Integer pda,
void |
(*f)(Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm),
|
|
Nag_Comm *comm, Integer *iflag,
double *imnorm,
NagError *fail) |
|
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 function
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:
n – IntegerInput
On entry: , the order of the matrix .
Constraint:
.
- 2:
a[] – doubleInput/Output
-
Note: the dimension,
dim, of the array
a
must be at least
.
The th element of the matrix is stored in .
On entry: the by matrix .
On exit: the by matrix, .
- 3:
pda – IntegerInput
-
On entry: the stride separating matrix row elements in the array
a.
Constraint:
.
- 4:
f – function, supplied by the userExternal Function
The function
f evaluates
at a number of points
.
The specification of
f is:
void |
f (Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm)
|
|
- 1:
iflag – Integer *Input/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 nag_matop_real_gen_matrix_fun_num (f01elc) will terminate the computation, with
NE_USER_STOP.
- 2:
nz – IntegerInput
On entry: , the number of function values required.
- 3:
z[nz] – const ComplexInput
On entry: the points at which the function is to be evaluated.
- 4:
fz[nz] – ComplexOutput
On exit: the function values.
should return the value , for . If lies on the real line, then so must .
- 5:
comm – Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
f.
- user – double *
- iuser – Integer *
- p – Pointer
The type Pointer will be
void *. Before calling nag_matop_real_gen_matrix_fun_num (f01elc) you may allocate memory and initialize these pointers with various quantities for use by
f when called from nag_matop_real_gen_matrix_fun_num (f01elc) (see
Section 3.2.1.1 in the Essential Introduction).
- 5:
comm – Nag_Comm *Communication Structure
-
The NAG communication argument (see
Section 3.2.1.1 in the Essential Introduction).
- 6:
iflag – Integer *Output
On exit:
, unless
iflag has been set nonzero inside
f, in which case
iflag will be the value set and
fail will be set to
NE_USER_STOP.
- 7:
imnorm – double *Output
On exit: if
has complex eigenvalues, nag_matop_real_gen_matrix_fun_num (f01elc) will use complex arithmetic to compute
. The imaginary part is discarded at the end of the computation, because it will theoretically vanish.
imnorm contains the
-norm of the imaginary part, which should be used to check that the routine has given a reliable answer.
If
a has real eigenvalues, nag_matop_real_gen_matrix_fun_num (f01elc) uses real arithmetic and
.
- 8:
fail – NagError *Input/Output
-
The NAG error argument (see
Section 3.6 in the Essential Introduction).
6 Error Indicators and Warnings
- NE_ALLOC_FAIL
-
Allocation of memory failed.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_CONVERGENCE
-
A Taylor series failed to converge after terms. Further Taylor series coefficients can no longer reliably be obtained by numerical differentiation.
- NE_INT
-
On entry, .
Constraint: .
- NE_INT_2
-
On entry, and .
Constraint: .
- NE_INTERNAL_ERROR
-
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
An unexpected internal error occurred when ordering the eigenvalues of
. Please contact
NAG.
The function was unable to compute the Schur decomposition of .
Note: this failure should not occur and suggests that the function has been called incorrectly.
There was an error whilst reordering the Schur form of .
Note: this failure should not occur and suggests that the function has been called incorrectly.
- NE_USER_STOP
-
iflag has been set nonzero by the user.
7 Accuracy
For a normal matrix
(for which
) the 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
nag_matop_real_gen_matrix_fun_num (f01elc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_matop_real_gen_matrix_fun_num (f01elc) 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.
In these implementations, this may make calls to the user supplied functions from within an OpenMP parallel region. Thus OpenMP directives
within the user functions should be avoided, unless you are using the same OpenMP runtime library (which normally means using the same compiler) as that used to build your NAG Library implementation, as listed in the Installers' Note.
You must also ensure that you use the NAG communication argument
comm in a thread safe manner, which is best achieved by only using it to supply read-only data to the user functions.
Please consult the
Users' Note for your implementation for any additional implementation-specific information.
The Integer allocatable memory required is . If has real eigenvalues then up to of double allocatable memory may be required. If has complex eigenvalues then up to of Complex allocatable memory may be 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
nag_matop_real_gen_matrix_fun_usd (f01emc) can be used to evaluate
more accurately. If
is real symmetric then it is recommended that
nag_matop_real_symm_matrix_fun (f01efc) be used as it is more efficient and, in general, more accurate than nag_matop_real_gen_matrix_fun_num (f01elc).
For any on the real line, must be real. must also be complex analytic on the spectrum of . These conditions ensure that is real for real .
For further information on matrix functions, see
Higham (2008).
If estimates of the condition number of the matrix function are required then
nag_matop_real_gen_matrix_cond_num (f01jbc) should be used.
nag_matop_complex_gen_matrix_fun_num (f01flc) can be used to find the matrix function
for a complex matrix
.
10 Example
This example finds
where
10.1 Program Text
Program Text (f01elce.c)
10.2 Program Data
Program Data (f01elce.d)
10.3 Program Results
Program Results (f01elce.r)