NAG Library Function Document

nag_dsysvx (f07mbc)

void	nag_dsysvx (Nag_OrderType order, Nag_FactoredFormType fact, Nag_UploType uplo, Integer n, Integer nrhs, const double a[], Integer pda, double af[], Integer pdaf, Integer ipiv[], const double b[], Integer pdb, double x[], Integer pdx, double rcond, double ferr[], double berr[], NagError fail)

3 Description

nag_dsysvx (f07mbc) performs the following steps:

1.	If $fact = Nag_NotFactored$ , the diagonal pivoting method is used to factor $A$ . The form of the factorization is $A = U D U^{T}$ if $uplo = Nag_Upper$ or $A = L D L^{T}$ if $uplo = Nag_Lower$ , where $U$ (or $L$ ) is a product of permutation and unit upper (lower) triangular matrices, and $D$ is symmetric and block diagonal with $1$ by $1$ and $2$ by $2$ diagonal blocks.
2.	If some $d_{i i} = 0$ , so that $D$ is exactly singular, then the function returns with $fail . errnum = i$ and $fail . code =$ NE_SINGULAR. Otherwise, the factored form of $A$ is used to estimate the condition number of the matrix $A$ . If the reciprocal of the condition number is less than machine precision, $fail . code =$ NE_SINGULAR_WP is returned as a warning, but the function still goes on to solve for $X$ and compute error bounds as described below.
3.	The system of equations is solved for $X$ using the factored form of $A$ .
4.	Iterative refinement is applied to improve the computed solution matrix and to calculate error bounds and backward error estimates for it.

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

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

Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia

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: fact – Nag_FactoredFormTypeInput

On entry: specifies whether or not the factorized form of the matrix

A

has been supplied.

$fact = Nag_Factored$: af and ipiv contain the factorized form of the matrix $A$ . af and ipiv will not be modified.
$fact = Nag_NotFactored$: The matrix $A$ will be copied to af and factorized.

Constraint:

fact = Nag_Factored

Nag_NotFactored

3: uplo – Nag_UploTypeInput

On entry: if

uplo = Nag_Upper

, the upper triangle of

A

is stored.

uplo = Nag_Lower

, the lower triangle of

A

is stored.

Constraint:

uplo = Nag_Upper

Nag_Lower

4: n – IntegerInput

On entry:

n

, the number of linear equations, i.e., the order of the matrix

A

Constraint:

n \geq 0

5: 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

6: a[ $\dim$ ] – const doubleInput

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

\max (1, pda \times n)

On entry: the

n

n

symmetric matrix

A

order = Nag_ColMajor

A_{i j}

is stored in

a [(j - 1) \times pda + i - 1]

order = Nag_RowMajor

A_{i j}

is stored in

a [(i - 1) \times pda + j - 1]

uplo = Nag_Upper

, the upper triangular part of

A

must be stored and the elements of the array below the diagonal are not referenced.

uplo = Nag_Lower

, the lower triangular part of

A

must be stored and the elements of the array above the diagonal are not referenced.

7: pda – IntegerInput

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

A

in the array a.

Constraint:

pda \geq \max (1, n)

8: af[ $\dim$ ] – doubleInput/Output

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

\max (1, pdaf \times n)

The

(i, j)

th element of the matrix is stored in

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

On entry: if

fact = Nag_Factored

, af contains the block diagonal matrix

D

and the multipliers used to obtain the factor

U

L

from the factorization

a = U D U^{T}

a = L D L^{T}

as computed by nag_dsytrf (f07mdc).

On exit: if

fact = Nag_NotFactored

, af returns the block diagonal matrix

D

and the multipliers used to obtain the factor

U

L

from the factorization

a = U D U^{T}

a = L D L^{T}

9: pdaf – IntegerInput

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

Constraint:

pdaf \geq \max (1, n)

10: ipiv[ $\dim$ ] – IntegerInput/Output

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

\max (1, n)

On entry: if

fact = Nag_Factored

, ipiv contains details of the interchanges and the block structure of

D

, as determined by nag_dsytrf (f07mdc).

if $ipiv [i - 1] = k > 0$ , $d_{i i}$ is a $1$ by $1$ pivot block and the $i$ th row and column of $A$ were interchanged with the $k$ th row and column;
if $uplo = Nag_Upper$ and $ipiv [i - 2] = ipiv [i - 1] = - l < 0$ , $(\begin{matrix} d_{i - 1, i - 1} & {\bar{d}}_{i, i - 1} \\ {\bar{d}}_{i, i - 1} & d_{i i} \end{matrix})$ is a $2$ by $2$ pivot block and the $(i - 1)$ th row and column of $A$ were interchanged with the $l$ th row and column;
if $uplo = Nag_Lower$ and $ipiv [i - 1] = ipiv [i] = - m < 0$ , $(\begin{matrix} d_{i i} & d_{i + 1, i} \\ d_{i + 1, i} & d_{i + 1, i + 1} \end{matrix})$ is a $2$ by $2$ pivot block and the $(i + 1)$ th row and column of $A$ were interchanged with the $m$ th row and column.

On exit: if

fact = Nag_NotFactored

, ipiv contains details of the interchanges and the block structure of

D

, as determined by nag_dsytrf (f07mdc), as described above.

11: 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

right-hand side matrix

B

12: 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 $order = Nag_RowMajor$ , $pdb \geq \max (1, nrhs)$ .

13: x[ $\dim$ ] – doubleOutput

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 exit: if

fail . code =

NE_NOERROR or NE_SINGULAR_WP, the

n

r

solution matrix

X

14: 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 $order = Nag_RowMajor$ , $pdx \geq \max (1, nrhs)$ .

15: rcond – double *Output

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

A

. If

rcond = 0.0

, the matrix may be exactly singular. This condition is indicated by

fail . code =

NE_SINGULAR. Otherwise, if rcond is less than the machine precision, the matrix is singular to working precision. This condition is indicated by

fail . code =

NE_SINGULAR_WP.

16: ferr[ $\dim$ ] – doubleOutput

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

\max (1, nrhs)

On exit: if

fail . code =

NE_NOERROR or NE_SINGULAR_WP, an estimate of the forward error bound for each computed solution vector, such that

{‖{\hat{x}}_{j} - x_{j}‖}_{\infty} / {‖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 as reliable as the estimate for rcond, and is almost always a slight overestimate of the true error.

17: berr[ $\dim$ ] – doubleOutput

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

\max (1, nrhs)

On exit: if

fail . code =

NE_NOERROR or NE_SINGULAR_WP, an 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).

18: 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, $pda = ⟨value⟩$ .
Constraint: $pda > 0$ .
On entry, $pdaf = ⟨value⟩$ .
Constraint: $pdaf > 0$ .
On entry, $pdb = ⟨value⟩$ .
Constraint: $pdb > 0$ .
On entry, $pdx = ⟨value⟩$ .
Constraint: $pdx > 0$ .
NE_INT_2: On entry, $pda = ⟨value⟩$ and $n = ⟨value⟩$ .
Constraint: $pda \geq \max (1, n)$ .
On entry, $pdaf = ⟨value⟩$ and $n = ⟨value⟩$ .
Constraint: $pdaf \geq \max (1, n)$ .
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.
NE_SINGULAR: $D (⟨value⟩, ⟨value⟩)$ is exactly zero. The factorization has been completed, but the factor $D$ is exactly singular, so the solution and error bounds could not be computed. $rcond = 0.0$ is returned.
NE_SINGULAR_WP: $D$ is nonsingular, but rcond is less than machine precision, meaning that the matrix is singular to working precision. Nevertheless, the solution and error bounds are computed because there are a number of situations where the computed solution can be more accurate than the value of rcond would suggest.

7 Accuracy

For each right-hand side vector

b

, the computed solution

\hat{x}

is the exact solution of a perturbed system of equations

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

, where

{‖E‖}_{1} = O (ε) {‖A‖}_{1},

where

ε

is the machine precision. See Chapter 11 of Higham (2002) for further details.

\hat{x}

is the true solution, then the computed solution

x

satisfies a forward error bound of the form

\frac{{‖x - \hat{x}‖}_{\infty}}{{‖\hat{x}‖}_{\infty}} \leq w_{c} cond (A, \hat{x}, b)

where

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

. If

\hat{x}

is the

j

th column of

X

, then

w_{c}

is returned in

berr [j - 1]

and a bound on

{‖x - \hat{x}‖}_{\infty} / {‖\hat{x}‖}_{\infty}

is returned in

ferr [j - 1]

. See Section 4.4 of Anderson et al. (1999) for further details.

8 Parallelism and Performance

nag_dsysvx (f07mbc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

nag_dsysvx (f07mbc) 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 factorization of

A

requires approximately

\frac{1}{3} n^{3}

floating-point operations.

For each right-hand side, computation of the backward error involves a minimum of

4 n^{2}

floating-point operations. Each step of iterative refinement involves an additional

6 n^{2}

operations. At most five steps of iterative refinement are performed, but usually only one or two steps are required. Estimating the forward error involves solving a number of systems of equations of the form

A x = b

; the number is usually

4

5

and never more than

11

. Each solution involves approximately

2 n^{2}

operations.

The complex analogues of this function are nag_zhesvx (f07mpc) for Hermitian matrices, and nag_zsysvx (f07npc) for symmetric matrices.

10 Example

This example solves the equations

A X = B,

where

A

is the symmetric matrix

A = (\begin{matrix} - 1.81 & 2.06 & 0.63 & - 1.15 \\ 2.06 & 1.15 & 1.87 & 4.20 \\ 0.63 & 1.87 & - 0.21 & 3.87 \\ - 1.15 & 4.20 & 3.87 & 2.07 \end{matrix}) and B = (\begin{matrix} 0.96 & 3.93 \\ 6.07 & 19.25 \\ 8.38 & 9.90 \\ 9.50 & 27.85 \end{matrix}) .

Error estimates for the solutions, and an estimate of the reciprocal of the condition number of the matrix

A

are also output.

NAG Library Function Documentnag_dsysvx (f07mbc)

+− 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_dsysvx (f07mbc)