F01FMF (PDF version)

F01 Chapter Contents

F01 Chapter Introduction

NAG Library Manual

NAG Library Routine Document

F01FMF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

F01FMF computes the matrix function,

f (A)

, of a complex

n

by

n

matrix

A

, using analytical derivatives of

f

you have supplied.

2 Specification

SUBROUTINE F01FMF (

N, A, LDA, F, IUSER, RUSER, IFLAG, IFAIL)

INTEGER	N, LDA, IUSER(*), IFLAG, IFAIL
REAL (KIND=nag_wp)	RUSER(*)
COMPLEX (KIND=nag_wp)	A(LDA,*)
EXTERNAL	F

3 Description

f (A)

is computed using the Schur–Parlett algorithm described in Higham (2008) and Davies and Higham (2003).

The scalar function

f

, and the derivatives of

f

, are returned by the subroutine F which, given an integer

m

, should evaluate

f^{(m)} (z_{i})

at a number of points

z_{i}

, for

i = 1, 2, \dots, n_{z}

, on the complex plane. F01FMF is therefore appropriate for functions that can be evaluated on the complex plane and whose derivatives, of arbitrary order, can also be evaluated on the complex plane.

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

5 Parameters

1: N – INTEGERInput

On entry:

n

, the order of the matrix

A

.

Constraint:

N \geq 0

.

2: A(LDA, $*$ ) – COMPLEX (KIND=nag_wp) arrayInput/Output

Note: the second dimension of the array A must be at least

N

.

On entry: the

n

by

n

matrix

A

.

On exit: the

n

by

n

matrix,

f (A)

.

3: LDA – INTEGERInput

On entry: the first dimension of the array A as declared in the (sub)program from which F01FMF is called.

Constraint:

LDA \geq \max (1, N)

.

4: F – SUBROUTINE, supplied by the user.External Procedure

Given an integer

m

, the subroutine F evaluates

f^{(m)} (z_{i})

at a number of points

z_{i}

.

The specification of F is:

SUBROUTINE F (

M, IFLAG, NZ, Z, FZ, IUSER, RUSER)

INTEGER	M, IFLAG, NZ, IUSER(*)
REAL (KIND=nag_wp)	RUSER(*)
COMPLEX (KIND=nag_wp)	Z(NZ), FZ(NZ)

1: M – INTEGERInput: On entry: the order, $m$ , of the derivative required.
If $M = 0$ , $f (z_{i})$ should be returned. For $M > 0$ , $f^{(m)} (z_{i})$ should be returned.
2: IFLAG – INTEGERInput/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 $f (z)$ ; for instance $f (z_{i})$ may not be defined for a particular $z_{i}$ . If IFLAG is returned as nonzero then F01FMF will terminate the computation, with $IFAIL = 2$ .
3: NZ – INTEGERInput: On entry: $n_{z}$ , the number of function or derivative values required.
4: Z(NZ) – COMPLEX (KIND=nag_wp) arrayInput: On entry: the $n_{z}$ points $z_{1}, z_{2}, \dots, z_{n_{z}}$ at which the function $f$ is to be evaluated.
5: FZ(NZ) – COMPLEX (KIND=nag_wp) arrayOutput: On exit: the $n_{z}$ function or derivative values. $FZ (i)$ should return the value $f^{(m)} (z_{i})$ , for $i = 1, 2, \dots, n_{z}$ .
6: IUSER( $*$ ) – INTEGER arrayUser Workspace
7: RUSER( $*$ ) – REAL (KIND=nag_wp) arrayUser Workspace: F is called with the parameters IUSER and RUSER as supplied to F01FMF. You are free to use the arrays IUSER and RUSER to supply information to F as an alternative to using COMMON global variables.

F must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which F01FMF is called. Parameters denoted as Input must not be changed by this procedure.

5: IUSER( $*$ ) – INTEGER arrayUser Workspace

6: RUSER( $*$ ) – REAL (KIND=nag_wp) arrayUser Workspace

IUSER and RUSER are not used by F01FMF, but are passed directly to F and may be used to pass information to this routine as an alternative to using COMMON global variables.

7: IFLAG – INTEGEROutput

On exit:

IFLAG = 0

, unless IFLAG has been set nonzero inside F, in which case IFLAG will be the value set and IFAIL will be set to

IFAIL = 2

.

8: IFAIL – INTEGERInput/Output

On entry: IFAIL must be set to

0

,

- 1 ​ or ​ 1

. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of IFAIL on exit.

On exit:

IFAIL = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

IFAIL = 0

or

- 1

, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

$IFAIL = 1$: A Taylor series failed to converge.

$IFAIL = 2$: IFLAG has been set nonzero by the user.

$IFAIL = 3$: There was an error whilst reordering the Schur form of $A$ .
Note: this failure should not occur and suggests that the routine has been called incorrectly.

$IFAIL = 4$: The routine was unable to compute the Schur decomposition of $A$ .
Note: this failure should not occur and suggests that the routine has been called incorrectly.

$IFAIL = 5$: An unexpected internal error occurred. Please contact NAG.

$IFAIL = - 1$: Input argument number $⟨value⟩$ is invalid.

$IFAIL = - 3$: On entry, parameter LDA is invalid.
Constraint: $LDA \geq N$ .

$IFAIL = - 999$: Allocation of memory failed.

7 Accuracy

For a normal matrix

A

(for which

A^{H} A = A A^{H}

), the Schur decomposition is diagonal and the algorithm reduces to evaluating

f

at the eigenvalues of

A

and then constructing

f (A)

using the Schur vectors. This should give a very accurate result. In general, however, no error bounds are available for the algorithm. See Section 9.4 of Higham (2008) for further discussion of the Schur–Parlett algorithm.

8 Further Comments

Up to

6 n^{2}

of complex allocatable memory is required.

The cost of the Schur–Parlett algorithm depends on the spectrum of

A

, but is roughly between

28 n^{3}

and

n^{4} / 3

floating point operations. There is an additional cost in evaluating

f

and its derivatives. If the derivatives of

f

are not known analytically, then F01FLF can be used to evaluate

f (A)

using numerical differentiation. If

A

is complex Hermitian then it is recommended that F01FFF be used as it is more efficient and, in general, more accurate than F01FMF.

Note that

f

must be analytic in the region of the complex plane containing the spectrum of

A

.

For further information on matrix functions, see Higham (2008).

If estimates of the condition number of the matrix function are required then F01KCF should be used.

F01EMF can be used to find the matrix function

f (A)

for a real matrix

A

.

9 Example

This example finds the

e^{3 A}

where

A = (\begin{array}{r} 1.0 + 0.0 i & 0.0 + 0.0 i & 1.0 + 0.0 i & 0.0 + 2.0 i \\ 0.0 + 1.0 i & 1.0 + 0.0 i & - 1.0 + 0.0 i & 1.0 + 0.0 i \\ - 1.0 + 0.0 i & 0.0 + 1.0 i & 0.0 + 1.0 i & 0.0 + 1.0 i \\ 1.0 + 1.0 i & 0.0 + 2.0 i & - 1.0 + 0.0 i & 0.0 + 1.0 i \end{array}) .

9.1 Program Text

Program Text (f01fmfe.f90)

9.2 Program Data

Program Data (f01fmfe.d)

9.3 Program Results

Program Results (f01fmfe.r)

F01FMF (PDF version)

F01 Chapter Contents

F01 Chapter Introduction

NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012