NAG Library Function Document

nag_sparse_nherm_sol (f11dsc)

▸▿ 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

1 Purpose

nag_sparse_nherm_sol (f11dsc) solves a complex sparse non-Hermitian system of linear equations, represented in coordinate storage format, using a restarted generalized minimal residual (RGMRES), conjugate gradient squared (CGS), stabilized bi-conjugate gradient (Bi-CGSTAB), or transpose-free quasi-minimal residual (TFQMR) method, without preconditioning, with Jacobi, or with SSOR preconditioning.

2 Specification

#include <nag.h>

#include <nagf11.h>

void

nag_sparse_nherm_sol (Nag_SparseNsym_Method method, Nag_SparseNsym_PrecType precon, Integer n, Integer nnz, const Complex a[], const Integer irow[], const Integer icol[], double omega, const Complex b[], Integer m, double tol, Integer maxitn, Complex x[], double *rnorm, Integer *itn, NagError *fail)

3 Description

nag_sparse_nherm_sol (f11dsc) solves a complex sparse non-Hermitian system of linear equations:

A x = b,

using an RGMRES (see Saad and Schultz (1986)), CGS (see Sonneveld (1989)), Bi-CGSTAB(

ℓ

) (see Van der Vorst (1989) and Sleijpen and Fokkema (1993)), or TFQMR (see Freund and Nachtigal (1991) and Freund (1993)) method.

nag_sparse_nherm_sol (f11dsc) allows the following choices for the preconditioner:

– no preconditioning;
– Jacobi preconditioning (see Young (1971));
– symmetric successive-over-relaxation (SSOR) preconditioning (see Young (1971)).

For incomplete

L U

(ILU) preconditioning see nag_sparse_nherm_fac_sol (f11dqc).

The matrix

A

is represented in coordinate storage (CS) format (see Section 2.1.1 in the f11 Chapter Introduction) in the arrays a, irow and icol. The array a holds the nonzero entries in the matrix, while irow and icol hold the corresponding row and column indices.

nag_sparse_nherm_sol (f11dsc) is a Black Box function which calls nag_sparse_nherm_basic_setup (f11brc), nag_sparse_nherm_basic_solver (f11bsc) and nag_sparse_nherm_basic_diagnostic (f11btc). If you wish to use an alternative storage scheme, preconditioner, or termination criterion, or require additional diagnostic information, you should call these underlying functions directly.

4 References

Freund R W (1993) A transpose-free quasi-minimal residual algorithm for non-Hermitian linear systems SIAM J. Sci. Comput. 14 470–482

Freund R W and Nachtigal N (1991) QMR: a Quasi-Minimal Residual Method for Non-Hermitian Linear Systems Numer. Math. 60 315–339

Saad Y and Schultz M (1986) GMRES: a generalized minimal residual algorithm for solving nonsymmetric linear systems SIAM J. Sci. Statist. Comput. 7 856–869

Sleijpen G L G and Fokkema D R (1993) BiCGSTAB

(ℓ)

for linear equations involving matrices with complex spectrum ETNA 1 11–32

Sonneveld P (1989) CGS, a fast Lanczos-type solver for nonsymmetric linear systems SIAM J. Sci. Statist. Comput. 10 36–52

Van der Vorst H (1989) Bi-CGSTAB, a fast and smoothly converging variant of Bi-CG for the solution of nonsymmetric linear systems SIAM J. Sci. Statist. Comput. 13 631–644

Young D (1971) Iterative Solution of Large Linear Systems Academic Press, New York

5 Arguments

1: $method$ – Nag_SparseNsym_MethodInput

On entry: specifies the iterative method to be used.

$method = Nag_SparseNsym_RGMRES$: Restarted generalized minimum residual method.
$method = Nag_SparseNsym_CGS$: Conjugate gradient squared method.
$method = Nag_SparseNsym_BiCGSTAB$: Bi-conjugate gradient stabilized ( $ℓ$ ) method.
$method = Nag_SparseNsym_TFQMR$: Transpose-free quasi-minimal residual method.

Constraint:

method = Nag_SparseNsym_RGMRES

Nag_SparseNsym_CGS

Nag_SparseNsym_BiCGSTAB

Nag_SparseNsym_TFQMR

2: $precon$ – Nag_SparseNsym_PrecTypeInput

On entry: specifies the type of preconditioning to be used.

$precon = Nag_SparseNsym_NoPrec$: No preconditioning.
$precon = Nag_SparseNsym_JacPrec$: Jacobi.
$precon = Nag_SparseNsym_SSORPrec$: Symmetric successive-over-relaxation (SSOR).

Constraint:

precon = Nag_SparseNsym_NoPrec

Nag_SparseNsym_JacPrec

Nag_SparseNsym_SSORPrec

3: $n$ – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 1

4: $nnz$ – IntegerInput

On entry: the number of nonzero elements in the matrix

A

Constraint:

1 \leq nnz \leq n^{2}

5: $a [nnz]$ – const ComplexInput

On entry: the nonzero elements of the matrix

A

, ordered by increasing row index, and by increasing column index within each row. Multiple entries for the same row and column indices are not permitted. The function nag_sparse_nherm_sort (f11znc) may be used to order the elements in this way.

6: $irow [nnz]$ – const IntegerInput

7: $icol [nnz]$ – const IntegerInput

On entry: the row and column indices of the nonzero elements supplied in a.

Constraints:

irow and icol must satisfy the following constraints (which may be imposed by a call to nag_sparse_nherm_sort (f11znc)):

$1 \leq irow [i] \leq n$ and $1 \leq icol [i] \leq n$ , for $i = 0, 1, \dots, nnz - 1$ ;
either $irow [i - 1] < irow [i]$ or both $irow [i - 1] = irow [i]$ and $icol [i - 1] < icol [i]$ , for $i = 1, 2, \dots, nnz - 1$ .

8: $omega$ – doubleInput

On entry: if

precon = Nag_SparseNsym_SSORPrec

, omega is the relaxation parameter

ω

to be used in the SSOR method. Otherwise omega need not be initialized and is not referenced.

Constraint:

0.0 < omega < 2.0

9: $b [n]$ – const ComplexInput

On entry: the right-hand side vector

b

10: $m$ – IntegerInput

On entry: if

method = Nag_SparseNsym_RGMRES

, m is the dimension of the restart subspace.

method = Nag_SparseNsym_BiCGSTAB

, m is the order

ℓ

of the polynomial Bi-CGSTAB method.

Otherwise, m is not referenced.

Constraints:

if $method = Nag_SparseNsym_RGMRES$ , $0 < m \leq \min (n, 50)$ ;
if $method = Nag_SparseNsym_BiCGSTAB$ , $0 < m \leq \min (n, 10)$ .

11: $tol$ – doubleInput

On entry: the required tolerance. Let

x_{k}

denote the approximate solution at iteration

k

, and

r_{k}

the corresponding residual. The algorithm is considered to have converged at iteration

k

{‖r_{k}‖}_{\infty} \leq τ \times ({‖b‖}_{\infty} + {‖A‖}_{\infty} {‖x_{k}‖}_{\infty}) .

tol \leq 0.0

τ = \max (\sqrt{ε}, 10 ε, \sqrt{n} ε)

is used, where

ε

is the machine precision. Otherwise

τ = \max (tol, 10 ε, \sqrt{n} ε)

is used.

Constraint:

tol < 1.0

12: $maxitn$ – IntegerInput

On entry: the maximum number of iterations allowed.

Constraint:

maxitn \geq 1

13: $x [n]$ – ComplexInput/Output

On entry: an initial approximation to the solution vector

x

On exit: an improved approximation to the solution vector

x

14: $rnorm$ – double *Output

On exit: the final value of the residual norm

{‖r_{k}‖}_{\infty}

, where

k

is the output value of itn.

15: $itn$ – Integer *Output

On exit: the number of iterations carried out.

16: $fail$ – NagError *Input/Output

The NAG error argument (see Section 3.6 in the Essential Introduction).

6 Error Indicators and Warnings

NE_ACCURACY: The required accuracy could not be obtained. However, a reasonable accuracy may have been achieved.
NE_ALG_FAIL: Algorithmic breakdown. A solution is returned, although it is possible that it is completely inaccurate.
NE_ALLOC_FAIL: Dynamic memory allocation failed.
See Section 3.2.1.2 in the Essential Introduction for further information.
NE_BAD_PARAM: On entry, argument $〈value〉$ had an illegal value.
NE_CONVERGENCE: The solution has not converged after $〈value〉$ iterations.
NE_ENUM_INT_2: On entry, $m = 〈value〉$ and $n = 〈value〉$ .
Constraint: $0 < m \leq \min (n, 〈value〉)$ .

On entry, $method = 〈value〉$ , $n = 〈value〉$ and $m = 〈value〉$ .
Constraint: if $method = Nag_SparseNsym_BiCGSTAB$ , $0 < m \leq \min (n, 10)$ .

On entry, $method = 〈value〉$ , $n = 〈value〉$ and $m = 〈value〉$ .
Constraint: if $method = Nag_SparseNsym_RGMRES$ , $0 < m \leq \min (n, 50)$ .
NE_INT: On entry, $maxitn = 〈value〉$ .
Constraint: $maxitn \geq 1$

On entry, $n = 〈value〉$ .
Constraint: $n \geq 1$ .

On entry, $nnz = 〈value〉$ .
Constraint: $nnz \geq 1$ .
NE_INT_2: On entry, $nnz = 〈value〉$ and $n = 〈value〉$ .
Constraint: $1 \leq nnz \leq n^{2}$ .
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.

An unexpected error has been triggered by this function. Please contact NAG.
See Section 3.6.6 in the Essential Introduction for further information.
NE_INVALID_CS: On entry, $i = 〈value〉$ , $icol [i - 1] = 〈value〉$ and $n = 〈value〉$ .
Constraint: $icol [i - 1] \geq 1$ and $icol [i - 1] \leq n$ .

On entry, $i = 〈value〉$ , $irow [i - 1] = 〈value〉$ and $n = 〈value〉$ .
Constraint: $irow [i - 1] \geq 1$ and $irow [i - 1] \leq n$ .
NE_NO_LICENCE: Your licence key may have expired or may not have been installed correctly.
See Section 3.6.5 in the Essential Introduction for further information.
NE_NOT_STRICTLY_INCREASING: On entry, $a [i - 1]$ is out of order: $i = 〈value〉$ .

On entry, the location ( $irow [I - 1], icol [I - 1]$ ) is a duplicate: $I = 〈value〉$ .
NE_REAL: On entry, $omega = 〈value〉$ .
Constraint: $0.0 < omega < 2.0$

On entry, $tol = 〈value〉$ .
Constraint: $tol < 1.0$ .
NE_ZERO_DIAG_ELEM: The matrix $A$ has a zero diagonal entry in row $〈value〉$ .

The matrix $A$ has no diagonal entry in row $〈value〉$ .

7 Accuracy

On successful termination, the final residual

r_{k} = b - A x_{k}

, where

k = itn

, satisfies the termination criterion

{‖r_{k}‖}_{\infty} \leq τ \times ({‖b‖}_{\infty} + {‖A‖}_{\infty} {‖x_{k}‖}_{\infty}) .

The value of the final residual norm is returned in rnorm.

8 Parallelism and Performance

nag_sparse_nherm_sol (f11dsc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

nag_sparse_nherm_sol (f11dsc) 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 X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

The time taken by nag_sparse_nherm_sol (f11dsc) for each iteration is roughly proportional to nnz.

The number of iterations required to achieve a prescribed accuracy cannot easily be determined a priori, as it can depend dramatically on the conditioning and spectrum of the preconditioned coefficient matrix

\bar{A} = M^{- 1} A

, for some preconditioning matrix

M

10 Example

This example solves a complex sparse non-Hermitian system of equations using the CGS method, with no preconditioning.

NAG Library Function Documentnag_sparse_nherm_sol (f11dsc)

▸▿ 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_sparse_nherm_sol (f11dsc)