NAG Library Function Document

nag_dpbtrs (f07hec)

void	nag_dpbtrs (Nag_OrderType order, Nag_UploType uplo, Integer n, Integer kd, Integer nrhs, const double ab[], Integer pdab, double b[], Integer pdb, NagError *fail)

3 Description

nag_dpbtrs (f07hec) is used to solve a real symmetric positive definite band system of linear equations

A X = B

, the function must be preceded by a call to nag_dpbtrf (f07hdc) which computes the Cholesky factorization of

A

. The solution

X

is computed by forward and backward substitution.

uplo = Nag_Upper

A = U^{T} U

, where

U

is upper triangular; the solution

X

is computed by solving

U^{T} Y = B

and then

U X = Y

uplo = Nag_Lower

A = L L^{T}

, where

L

is lower triangular; the solution

X

is computed by solving

L Y = B

and then

L^{T} X = Y

4 References

Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

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: uplo – Nag_UploTypeInput

On entry: specifies how

A

has been factorized.

$uplo = Nag_Upper$: $A = U^{T} U$ , where $U$ is upper triangular.
$uplo = Nag_Lower$: $A = L L^{T}$ , where $L$ is lower triangular.

Constraint:

uplo = Nag_Upper

Nag_Lower

3: n – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

4: kd – IntegerInput

On entry:

k_{d}

, the number of superdiagonals or subdiagonals of the matrix

A

Constraint:

kd \geq 0

5: nrhs – IntegerInput

On entry:

r

, the number of right-hand sides.

Constraint:

nrhs \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 Cholesky factor of

A

, as returned by nag_dpbtrf (f07hdc).

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 kd + 1

8: b[ $\dim$ ] – doubleInput/Output

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

$\max (1, pdb \times nrhs)$ when $order = Nag_ColMajor$ ;
$\max (1, n \times pdb)$ when $order = Nag_RowMajor$ .

The

(i, j)

th element of the matrix

B

is stored in

$b [(j - 1) \times pdb + i - 1]$ when $order = Nag_ColMajor$ ;
$b [(i - 1) \times pdb + j - 1]$ when $order = Nag_RowMajor$ .

On entry: the

n

r

right-hand side matrix

B

On exit: the

n

r

solution matrix

X

9: pdb – IntegerInput

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

Constraints:

if $order = Nag_ColMajor$ , $pdb \geq \max (1, n)$ ;
if $order = Nag_RowMajor$ , $pdb \geq \max (1, nrhs)$ .

10: 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, $kd = ⟨value⟩$ .
Constraint: $kd \geq 0$ .
On entry, $n = ⟨value⟩$ .
Constraint: $n \geq 0$ .
On entry, $nrhs = ⟨value⟩$ .
Constraint: $nrhs \geq 0$ .
On entry, $pdab = ⟨value⟩$ .
Constraint: $pdab > 0$ .
On entry, $pdb = ⟨value⟩$ .
Constraint: $pdb > 0$ .
NE_INT_2: On entry, $pdab = ⟨value⟩$ and $kd = ⟨value⟩$ .
Constraint: $pdab \geq kd + 1$ .
On entry, $pdb = ⟨value⟩$ and $n = ⟨value⟩$ .
Constraint: $pdb \geq \max (1, n)$ .
On entry, $pdb = ⟨value⟩$ and $nrhs = ⟨value⟩$ .
Constraint: $pdb \geq \max (1, nrhs)$ .
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.

7 Accuracy

For each right-hand side vector

b

, the computed solution

x

is the exact solution of a perturbed system of equations

(A + E) x = b

, where

if $uplo = Nag_Upper$ , $|E| \leq c (k + 1) ε |U^{T}| |U|$ ;
if $uplo = Nag_Lower$ , $|E| \leq c (k + 1) ε |L| |L^{T}|$ ,

c (k + 1)

is a modest linear function of

k + 1

, and

ε

is the machine precision.

\hat{x}

is the true solution, then the computed solution

x

satisfies a forward error bound of the form

\frac{{‖x - \hat{x}‖}_{\infty}}{{‖x‖}_{\infty}} \leq c (k + 1) cond (A, x) ε

where

cond (A, x) = {‖|A^{- 1}| |A| |x|‖}_{\infty} / {‖x‖}_{\infty} \leq cond (A) = {‖|A^{- 1}| |A|‖}_{\infty} \leq κ_{\infty} (A)

. Note that

cond (A, x)

can be much smaller than

cond (A)

Forward and backward error bounds can be computed by calling nag_dpbrfs (f07hhc), and an estimate for

κ_{\infty} (A)

(

= κ_{1} (A)

) can be obtained by calling nag_dpbcon (f07hgc).

8 Parallelism and Performance

nag_dpbtrs (f07hec) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

nag_dpbtrs (f07hec) 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

The total number of floating-point operations is approximately

4 n k r

, assuming

n ≫ k

This function may be followed by a call to nag_dpbrfs (f07hhc) to refine the solution and return an error estimate.

The complex analogue of this function is nag_zpbtrs (f07hsc).

10 Example

This example solves the system of equations

A X = B

, where

A = (\begin{matrix} 5.49 & 2.68 & 0.00 & 0.00 \\ 2.68 & 5.63 & - 2.39 & 0.00 \\ 0.00 & - 2.39 & 2.60 & - 2.22 \\ 0.00 & 0.00 & - 2.22 & 5.17 \end{matrix}) and B = (\begin{matrix} 22.09 & 5.10 \\ 9.31 & 30.81 \\ - 5.24 & - 25.82 \\ 11.83 & 22.90 \end{matrix}) .

Here

A

is symmetric and positive definite, and is treated as a band matrix, which must first be factorized by nag_dpbtrf (f07hdc).

NAG Library Function Documentnag_dpbtrs (f07hec)

+− 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_dpbtrs (f07hec)