NAG Library Function Document

nag_dgbcon (f07bgc)

void	nag_dgbcon (Nag_OrderType order, Nag_NormType norm, Integer n, Integer kl, Integer ku, const double ab[], Integer pdab, const Integer ipiv[], double anorm, double rcond, NagError fail)

3 Description

nag_dgbcon (f07bgc) estimates the condition number of a real band matrix

A

, in either the

1

-norm or the

\infty

-norm:

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

Note that

κ_{\infty} (A) = κ_{1} (A^{T})

Because the condition number is infinite if

A

is singular, the function actually returns an estimate of the reciprocal of the condition number.

The function should be preceded by a call to nag_dgb_norm (f16rbc) to compute

{‖A‖}_{1}

{‖A‖}_{\infty}

, and a call to nag_dgbtrf (f07bdc) to compute the

L U

factorization of

A

. The function then uses Higham's implementation of Hager's method (see Higham (1988)) to estimate

{‖A^{- 1}‖}_{1}

{‖A^{- 1}‖}_{\infty}

4 References

Higham N J (1988) FORTRAN codes for estimating the one-norm of a real or complex matrix, with applications to condition estimation ACM Trans. Math. Software 14 381–396

5 Arguments

1: order – Nag_OrderTypeInput

On entry: the order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by

order = Nag_RowMajor

. See Section 3.2.1.3 in the Essential Introduction for a more detailed explanation of the use of this argument.

Constraint:

order = Nag_RowMajor

Nag_ColMajor

2: norm – Nag_NormTypeInput

On entry: indicates whether

κ_{1} (A)

κ_{\infty} (A)

is estimated.

$norm = Nag_OneNorm$: $κ_{1} (A)$ is estimated.
$norm = Nag_InfNorm$: $κ_{\infty} (A)$ is estimated.

Constraint:

norm = Nag_OneNorm

Nag_InfNorm

3: n – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

4: kl – IntegerInput

On entry:

k_{l}

, the number of subdiagonals within the band of the matrix

A

Constraint:

kl \geq 0

5: ku – IntegerInput

On entry:

k_{u}

, the number of superdiagonals within the band of the matrix

A

Constraint:

ku \geq 0

6: ab[ $\dim$ ] – const doubleInput

Note: the dimension, dim, of the array ab must be at least

\max (1, pdab \times n)

On entry: the

L U

factorization of

A

, as returned by nag_dgbtrf (f07bdc).

7: pdab – IntegerInput

On entry: the stride separating row or column elements (depending on the value of order) of the matrix in the array ab.

Constraint:

pdab \geq 2 \times kl + ku + 1

8: ipiv[ $\dim$ ] – const IntegerInput

Note: the dimension, dim, of the array ipiv must be at least

\max (1, n)

On entry: the pivot indices, as returned by nag_dgbtrf (f07bdc).

9: anorm – doubleInput

On entry: if

norm = Nag_OneNorm

, the

1

-norm of the original matrix

A

norm = Nag_InfNorm

, the

\infty

-norm of the original matrix

A

anorm may be computed by calling nag_dgb_norm (f16rbc) with the same value for the argument norm.

anorm must be computed either before calling nag_dgbtrf (f07bdc) or else from a copy of the original matrix

A

(see Section 10).

Constraint:

anorm \geq 0.0

10: rcond – double *Output

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

A

. rcond is set to zero if exact singularity is detected or the estimate underflows. If rcond is less than machine precision,

A

is singular to working precision.

11: fail – NagError *Input/Output

The NAG error argument (see Section 3.6 in the Essential Introduction).

6 Error Indicators and Warnings

NE_ALLOC_FAIL: Dynamic memory allocation failed.
NE_BAD_PARAM: On entry, argument $⟨value⟩$ had an illegal value.
NE_INT: On entry, $kl = ⟨value⟩$ .
Constraint: $kl \geq 0$ .
On entry, $ku = ⟨value⟩$ .
Constraint: $ku \geq 0$ .
On entry, $n = ⟨value⟩$ .
Constraint: $n \geq 0$ .
On entry, $pdab = ⟨value⟩$ .
Constraint: $pdab > 0$ .
NE_INT_3: On entry, $pdab = ⟨value⟩$ , $kl = ⟨value⟩$ and $ku = ⟨value⟩$ .
Constraint: $pdab \geq 2 \times kl + ku + 1$ .
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.
NE_REAL: On entry, $anorm = ⟨value⟩$ .
Constraint: $anorm \geq 0.0$ .

7 Accuracy

The computed estimate rcond is never less than the true value

ρ

, and in practice is nearly always less than

10 ρ

, although examples can be constructed where rcond is much larger.

8 Parallelism and Performance

nag_dgbcon (f07bgc) is not threaded by NAG in any implementation.

nag_dgbcon (f07bgc) 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 Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

A call to nag_dgbcon (f07bgc) involves solving a number of systems of linear equations of the form

A x = b

A^{T} x = b

; the number is usually

4

5

and never more than

11

. Each solution involves approximately

2 n (2 k_{l} + k_{u})

floating-point operations (assuming

n ≫ k_{l}

and

n ≫ k_{u}

) but takes considerably longer than a call to nag_dgbtrs (f07bec) with one right-hand side, because extra care is taken to avoid overflow when

A

is approximately singular.

The complex analogue of this function is nag_zgbcon (f07buc).

10 Example

This example estimates the condition number in the

1

-norm of the matrix

A

, where

A = (\begin{matrix} - 0.23 & 2.54 & - 3.66 & 0.00 \\ - 6.98 & 2.46 & - 2.73 & - 2.13 \\ 0.00 & 2.56 & 2.46 & 4.07 \\ 0.00 & 0.00 & - 4.78 & - 3.82 \end{matrix}) .

Here

A

is nonsymmetric and is treated as a band matrix, which must first be factorized by nag_dgbtrf (f07bdc). The true condition number in the

1

-norm is

56.40

NAG Library Function Documentnag_dgbcon (f07bgc)

+− 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

NAG Library Function Document

nag_dgbcon (f07bgc)