NAG Library Routine Document

F01EQF

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

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

F01EQF computes the principal real power

A^{p}

, for arbitrary

p

, of a real

n

n

matrix

A

2 Specification

SUBROUTINE F01EQF (

N, A, LDA, P, IFAIL)

INTEGER	N, LDA, IFAIL
REAL (KIND=nag_wp)	A(LDA,*), P

3 Description

For a matrix

A

with no eigenvalues on the closed negative real line,

A^{p}

(

p \in ℝ

) can be defined as

A^{p} = \exp (p \log (A))

where

\log (A)

is the principal logarithm of

A

(the unique logarithm whose spectrum lies in the strip

\{z : - π < Im (z) < π\}

A^{p}

is computed using the real version of the Schur–Padé algorithm described in Higham and Lin (2011) and Higham and Lin (2013).

The real number

p

is expressed as

p = q + r

where

q \in (- 1, 1)

and

r \in ℤ

. Then

A^{p} = A^{q} A^{r}

. The integer power

A^{r}

is found using a combination of binary powering and, if necessary, matrix inversion. The fractional power

A^{q}

is computed, entirely in real arithmetic, using a real Schur decomposition and a Padé approximant.

4 References

Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA

Higham N J and Lin L (2011) A Schur–Padé algorithm for fractional powers of a matrix SIAM J. Matrix Anal. Appl. 32(3) 1056–1078

Higham N J and Lin L (2013) An improved Schur–Padé algorithm for fractional powers of a matrix and their Fréchet derivatives MIMS Eprint 2013.1 Manchester Institute for Mathematical Sciences, School of Mathematics, University of Manchester http://eprints.ma.man.ac.uk/

5 Parameters

1: $N$ – INTEGERInput: On entry: $n$ , the order of the matrix $A$ .

Constraint: $N \geq 0$ .
2: $A (LDA *)$ – REAL (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 $p$ th power, $A^{p}$ .
3: $LDA$ – INTEGERInput: On entry: the first dimension of the array A as declared in the (sub)program from which F01EQF is called.

Constraint: $LDA \geq N$ .
4: $P$ – REAL (KIND=nag_wp)Input: On entry: the required power of $A$ .
5: $IFAIL$ – 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

- 1

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

Errors or warnings detected by the routine:

$IFAIL = 1$: $A$ has eigenvalues on the negative real line. The principal $p$ th power is not defined. F01FQF can be used to find a complex, non-principal $p$ th power.

$IFAIL = 2$: $A$ is singular so the $p$ th power cannot be computed.

$IFAIL = 3$: $A^{p}$ has been computed using an IEEE double precision Padé approximant, although the arithmetic precision is higher than IEEE double precision.

$IFAIL = 4$: An unexpected internal error occurred. This failure should not occur and suggests that the routine has been called incorrectly.

$IFAIL = - 1$: On entry, $N = 〈value〉$ .
Constraint: $N \geq 0$ .

$IFAIL = - 3$: On entry, $LDA = 〈value〉$ and $N = 〈value〉$ .
Constraint: $LDA \geq N$ .

$IFAIL = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.8 in the Essential Introduction for further information.

$IFAIL = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 3.7 in the Essential Introduction for further information.

$IFAIL = - 999$: Dynamic memory allocation failed.
See Section 3.6 in the Essential Introduction for further information.

7 Accuracy

For positive integer

p

, the algorithm reduces to a sequence of matrix multiplications. For negative integer

p

, the algorithm consists of a combination of matrix inversion and matrix multiplications.

For a normal matrix

A

(for which

A^{T} A = A A^{T}

) and non-integer

p

, the Schur decomposition is diagonal and the algorithm reduces to evaluating powers of the eigenvalues of

A

and then constructing

A^{p}

using the Schur vectors. This should give a very accurate result. In general however, no error bounds are available for the algorithm.

8 Parallelism and Performance

F01EQF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

F01EQF 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 routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

The cost of the algorithm is

O (n^{3})

. The exact cost depends on the matrix

A

but if

p \in (- 1, 1)

then the cost is independent of

p

O (4 \times n^{2})

of real allocatable memory is required by the routine.

If estimates of the condition number of

A^{p}

are required then F01JEF should be used.

10 Example

This example finds

A^{p}

where

p = 0.2

and

A = (\begin{array}{r} 3 & 3 & 2 & 1 \\ 3 & 1 & 0 & 2 \\ 1 & 1 & 4 & 3 \\ 3 & 0 & 3 & 1 \end{array}) .

NAG Library Routine DocumentF01EQF

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

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 Routine Document

F01EQF