NAG Library Function Document

nag_dptrfs (f07jhc)

matrices, using the modified Cholesky factorization returned by nag_dpttrf (f07jdc) and an initial solution returned by nag_dpttrs (f07jec). Iterative refinement is used to reduce the backward error as much as possible.

2 Specification

#include <nag.h>

#include <nagf07.h>

void	nag_dptrfs (Nag_OrderType order, Integer n, Integer nrhs, const double d[], const double e[], const double df[], const double ef[], const double b[], Integer pdb, double x[], Integer pdx, double ferr[], double berr[], NagError *fail)

3 Description

nag_dptrfs (f07jhc) should normally be preceded by calls to nag_dpttrf (f07jdc) and nag_dpttrs (f07jec). nag_dpttrf (f07jdc) computes a modified Cholesky factorization of the matrix

A

A = L D L^{T},

where

L

is a unit lower bidiagonal matrix and

D

is a diagonal matrix, with positive diagonal elements. nag_dpttrs (f07jec) then utilizes the factorization to compute a solution,

\hat{X}

, to the required equations. Letting

\hat{x}

denote a column of

\hat{X}

, nag_dptrfs (f07jhc) computes a component-wise backward error,

β

, the smallest relative perturbation in each element of

A

and

b

such that

\hat{x}

is the exact solution of a perturbed system

(A + E) \hat{x} = b + f, with |e_{i j}| \leq β |a_{i j}|, and |f_{j}| \leq β |b_{j}| .

The function also estimates a bound for the component-wise forward error in the computed solution defined by

\max |x_{i} - \hat{x_{i}}| / \max |\hat{x_{i}}|

, where

x

is the corresponding column of the exact solution,

X

Note that the modified Cholesky factorization of

A

can also be expressed as

A = U^{T} D U,

where

U

is unit upper bidiagonal.

4 References

Anderson E, Bai Z, Bischof C, Blackford S, Demmel J, Dongarra J J, Du Croz J J, Greenbaum A, Hammarling S, McKenney A and Sorensen D (1999) LAPACK Users' Guide (3rd Edition) SIAM, Philadelphia http://www.netlib.org/lapack/lug

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: n – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

3: nrhs – IntegerInput

On entry:

r

, the number of right-hand sides, i.e., the number of columns of the matrix

B

Constraint:

nrhs \geq 0

4: d[ $\dim$ ] – const doubleInput

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

\max (1, n)

On entry: must contain the

n

diagonal elements of the matrix of

A

5: e[ $\dim$ ] – const doubleInput

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

\max (1, n - 1)

On entry: must contain the

(n - 1)

subdiagonal elements of the matrix

A

6: df[ $\dim$ ] – const doubleInput

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

\max (1, n)

On entry: must contain the

n

diagonal elements of the diagonal matrix

D

from the

L D L^{T}

factorization of

A

7: ef[ $\dim$ ] – const doubleInput

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

\max (1, n)

On entry: must contain the

(n - 1)

subdiagonal elements of the unit bidiagonal matrix

L

from the

L D L^{T}

factorization of

A

8: b[ $\dim$ ] – const doubleInput

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

matrix of right-hand sides

B

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: x[ $\dim$ ] – doubleInput/Output

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

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

The

(i, j)

th element of the matrix

X

is stored in

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

On entry: the

n

r

initial solution matrix

X

On exit: the

n

r

refined solution matrix

X

11: pdx – IntegerInput

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

Constraints:

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

12: ferr[nrhs] – doubleOutput

On exit: estimate of the forward error bound for each computed solution vector, such that

{‖{\hat{x}}_{j} - x_{j}‖}_{\infty} / {‖{\hat{x}}_{j}‖}_{\infty} \leq ferr [j - 1]

, where

{\hat{x}}_{j}

is the

j

th column of the computed solution returned in the array x and

x_{j}

is the corresponding column of the exact solution

X

. The estimate is almost always a slight overestimate of the true error.

13: berr[nrhs] – doubleOutput

On exit: estimate of the component-wise relative backward error of each computed solution vector

{\hat{x}}_{j}

(i.e., the smallest relative change in any element of

A

B

that makes

{\hat{x}}_{j}

an exact solution).

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

The computed solution for a single right-hand side,

\hat{x}

, satisfies an equation of the form

(A + E) \hat{x} = b,

where

{‖E‖}_{\infty} = O (ε) {‖A‖}_{\infty}

and

ε

is the machine precision. An approximate error bound for the computed solution is given by

\frac{{‖\hat{x} - x‖}_{\infty}}{{‖x‖}_{\infty}} \leq κ (A) \frac{{‖E‖}_{\infty}}{{‖A‖}_{\infty}},

where

κ (A) = {‖A^{- 1}‖}_{\infty} {‖A‖}_{\infty}

, the condition number of

A

with respect to the solution of the linear equations. See Section 4.4 of Anderson et al. (1999) for further details.

Function nag_dptcon (f07jgc) can be used to compute the condition number of

A

8 Parallelism and Performance

nag_dptrfs (f07jhc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

nag_dptrfs (f07jhc) 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 required to solve the equations

A X = B

is proportional to

n r

. At most five steps of iterative refinement are performed, but usually only one or two steps are required.

The complex analogue of this function is nag_zptrfs (f07jvc).

10 Example

This example solves the equations

A X = B,

where

A

is the symmetric positive definite tridiagonal matrix

A = (\begin{matrix} 4.0 & - 2.0 & 0 & 0 & 0 \\ - 2.0 & 10.0 & - 6.0 & 0 & 0 \\ 0 & - 6.0 & 29.0 & 15.0 & 0 \\ 0 & 0 & 15.0 & 25.0 & 8.0 \\ 0 & 0 & 0 & 8.0 & 5.0 \end{matrix}) and B = (\begin{matrix} 6.0 & 10.0 \\ 9.0 & 4.0 \\ 2.0 & 9.0 \\ 14.0 & 65.0 \\ 7.0 & 23.0 \end{matrix}) .

Estimates for the backward errors and forward errors are also output.

NAG Library Function Documentnag_dptrfs (f07jhc)

+− 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_dptrfs (f07jhc)