NAG Library Routine Document

F08SAF (DSYGV)

which is solved for the eigenvalues and, optionally, the eigenvectors; the eigenvectors are then backtransformed to give the eigenvectors of the original problem.

For the problem

A z = λ B z

, the eigenvectors are normalized so that the matrix of eigenvectors,

z

, satisfies

Z^{T} A Z = Λ and Z^{T} B Z = I,

where

Λ

is the diagonal matrix whose diagonal elements are the eigenvalues. For the problem

A B z = λ z

we correspondingly have

Z^{- 1} A Z^{- T} = Λ and Z^{T} B Z = I,

and for

B A z = λ z

we have

Z^{T} A Z = Λ and Z^{T} B^{- 1} Z = I .

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

5 Parameters

1: ITYPE – INTEGERInput

On entry: specifies the problem type to be solved.

$ITYPE = 1$: $A z = λ B z$ .
$ITYPE = 2$: $A B z = λ z$ .
$ITYPE = 3$: $B A z = λ z$ .

Constraint:

ITYPE = 1

2

3

2: JOBZ – CHARACTER(1)Input

On entry: indicates whether eigenvectors are computed.

$JOBZ ='N'$: Only eigenvalues are computed.
$JOBZ ='V'$: Eigenvalues and eigenvectors are computed.

Constraint:

JOBZ ='N'

'V'

3: UPLO – CHARACTER(1)Input

On entry: if

UPLO ='U'

, the upper triangles of

A

and

B

are stored.

UPLO ='L'

, the lower triangles of

A

and

B

are stored.

Constraint:

UPLO ='U'

'L'

4: N – INTEGERInput

On entry:

n

, the order of the matrices

A

and

B

Constraint:

N \geq 0

5: A(LDA, $*$ ) – REAL (KIND=nag_wp) arrayInput/Output

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

\max (1, N)

On entry: the

n

n

symmetric matrix

A

If $UPLO ='U'$ , the upper triangular part of $A$ must be stored and the elements of the array below the diagonal are not referenced.
If $UPLO ='L'$ , the lower triangular part of $A$ must be stored and the elements of the array above the diagonal are not referenced.

On exit: if

JOBZ ='V'

, A contains the matrix

Z

of eigenvectors. The eigenvectors are normalized as follows:

if $ITYPE = 1$ or $2$ , $Z^{T} B Z = I$ ;
if $ITYPE = 3$ , $Z^{T} B^{- 1} Z = I$ .

JOBZ ='N'

, the upper triangle (if

UPLO ='U'

) or the lower triangle (if

UPLO ='L'

) of A, including the diagonal, is overwritten.

6: LDA – INTEGERInput

On entry: the first dimension of the array A as declared in the (sub)program from which F08SAF (DSYGV) is called.

Constraint:

LDA \geq \max (1, N)

7: B(LDB, $*$ ) – REAL (KIND=nag_wp) arrayInput/Output

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

\max (1, N)

On entry: the

n

n

symmetric positive definite matrix

B

If $UPLO ='U'$ , the upper triangular part of $B$ must be stored and the elements of the array below the diagonal are not referenced.
If $UPLO ='L'$ , the lower triangular part of $B$ must be stored and the elements of the array above the diagonal are not referenced.

On exit: if

0 \leq INFO \leq N

, the part of B containing the matrix is overwritten by the triangular factor

U

L

from the Cholesky factorization

B = U^{T} U

B = L L^{T}

8: LDB – INTEGERInput

On entry: the first dimension of the array B as declared in the (sub)program from which F08SAF (DSYGV) is called.

Constraint:

LDB \geq \max (1, N)

9: W(N) – REAL (KIND=nag_wp) arrayOutput

On exit: the eigenvalues in ascending order.

10: WORK( $\max (1, LWORK)$ ) – REAL (KIND=nag_wp) arrayWorkspace

On exit: if

INFO = 0

WORK (1)

contains the minimum value of LWORK required for optimal performance.

11: LWORK – INTEGERInput

On entry: the dimension of the array WORK as declared in the (sub)program from which F08SAF (DSYGV) is called.

LWORK = - 1

, a workspace query is assumed; the routine only calculates the optimal size of the WORK array, returns this value as the first entry of the WORK array, and no error message related to LWORK is issued.

Suggested value: for optimal performance,

LWORK \geq (nb + 2) \times N

, where

nb

is the optimal block size for F08FEF (DSYTRD).

Constraint:

LWORK \geq \max (1, 3 \times N - 1)

12: INFO – INTEGEROutput

On exit:

INFO = 0

unless the routine detects an error (see Section 6).

6 Error Indicators and Warnings

Errors or warnings detected by the routine:

$INFO < 0$: If $INFO = - i$ , argument $i$ had an illegal value. An explanatory message is output, and execution of the program is terminated.

$INFO = 1 to N$: If $INFO = i$ , F08FAF (DSYEV) failed to converge; $i$ $i$ off-diagonal elements of an intermediate tridiagonal form did not converge to zero.

$INFO > N$: F07FDF (DPOTRF) returned an error code; i.e., if $INFO = N + i$ , for $1 \leq i \leq N$ , then the leading minor of order $i$ of $B$ is not positive definite. The factorization of $B$ could not be completed and no eigenvalues or eigenvectors were computed.

7 Accuracy

B

is ill-conditioned with respect to inversion, then the error bounds for the computed eigenvalues and vectors may be large, although when the diagonal elements of

B

differ widely in magnitude the eigenvalues and eigenvectors may be less sensitive than the condition of

B

would suggest. See Section 4.10 of Anderson et al. (1999) for details of the error bounds.

The example program below illustrates the computation of approximate error bounds.

8 Further Comments

The total number of floating point operations is proportional to

n^{3}

The complex analogue of this routine is F08SNF (ZHEGV).

9 Example

This example finds all the eigenvalues and eigenvectors of the generalized symmetric eigenproblem

A z = λ B z

, where

A = (\begin{array}{r} 0.24 & 0.39 & 0.42 & - 0.16 \\ 0.39 & - 0.11 & 0.79 & 0.63 \\ 0.42 & 0.79 & - 0.25 & 0.48 \\ - 0.16 & 0.63 & 0.48 & - 0.03 \end{array}) and B = (\begin{matrix} 4.16 & - 3.12 & 0.56 & - 0.10 \\ - 3.12 & 5.03 & - 0.83 & 1.09 \\ 0.56 & - 0.83 & 0.76 & 0.34 \\ - 0.10 & 1.09 & 0.34 & 1.18 \end{matrix}),

together with and estimate of the condition number of

B

, and approximate error bounds for the computed eigenvalues and eigenvectors.

The example program for F08SCF (DSYGVD) illustrates solving a generalized symmetric eigenproblem of the form

A B z = λ z

NAG Library Routine DocumentF08SAF (DSYGV)

+− 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

NAG Library Routine Document

F08SAF (DSYGV)