NAG Library Routine Document

F04BAF

▸▿ 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

F04BAF computes the solution to a real system of linear equations

A X = B

, where

A

is an

n

n

matrix and

X

and

B

are

n

r

matrices. An estimate of the condition number of

A

and an error bound for the computed solution are also returned.

2 Specification

SUBROUTINE F04BAF (

N, NRHS, A, LDA, IPIV, B, LDB, RCOND, ERRBND, IFAIL)

INTEGER	N, NRHS, LDA, IPIV(N), LDB, IFAIL
REAL (KIND=nag_wp)	A(LDA,), B(LDB,), RCOND, ERRBND

3 Description

The

L U

decomposition with partial pivoting and row interchanges is used to factor

A

A = P L U

, where

P

is a permutation matrix,

L

is unit lower triangular, and

U

is upper triangular. The factored form of

A

is then used to solve the system of equations

A X = B

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

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

5 Parameters

1: $N$ – INTEGERInput: On entry: the number of linear equations $n$ , i.e., the order of the matrix $A$ .

Constraint: $N \geq 0$ .
2: $NRHS$ – INTEGERInput: On entry: the number of right-hand sides $r$ , i.e., the number of columns of the matrix $B$ .

Constraint: $NRHS \geq 0$ .
3: $A (LDA *)$ – REAL (KIND=nag_wp) arrayInput/Output: Note: the second dimension of the array A must be at least $\max (1, N)$ .

On entry: the $n$ by $n$ coefficient matrix $A$ .

On exit: if $IFAIL \geq 0$ , the factors $L$ and $U$ from the factorization $A = P L U$ . The unit diagonal elements of $L$ are not stored.
4: $LDA$ – INTEGERInput: On entry: the first dimension of the array A as declared in the (sub)program from which F04BAF is called.

Constraint: $LDA \geq \max (1, N)$ .
5: $IPIV (N)$ – INTEGER arrayOutput: On exit: if $IFAIL \geq 0$ , the pivot indices that define the permutation matrix $P$ ; at the $i$ th step row $i$ of the matrix was interchanged with row $IPIV (i)$ . $IPIV (i) = i$ indicates a row interchange was not required.
6: $B (LDB *)$ – REAL (KIND=nag_wp) arrayInput/Output: Note: the second dimension of the array B must be at least $\max (1, NRHS)$ .

On entry: the $n$ by $r$ matrix of right-hand sides $B$ .

On exit: if $IFAIL = 0$ or $N + 1$ , the $n$ by $r$ solution matrix $X$ .
7: $LDB$ – INTEGERInput: On entry: the first dimension of the array B as declared in the (sub)program from which F04BAF is called.

Constraint: $LDB \geq \max (1, N)$ .
8: $RCOND$ – REAL (KIND=nag_wp)Output: On exit: if no constraints are violated, an estimate of the reciprocal of the condition number of the matrix $A$ , computed as $RCOND = 1 / ({‖A‖}_{1} {‖A^{- 1}‖}_{1})$ .
9: $ERRBND$ – REAL (KIND=nag_wp)Output: On exit: if $IFAIL = 0$ or $N + 1$ , an estimate of the forward error bound for a computed solution $\hat{x}$ , such that ${‖\hat{x} - x‖}_{1} / {‖x‖}_{1} \leq ERRBND$ , where $\hat{x}$ is a column of the computed solution returned in the array B and $x$ is the corresponding column of the exact solution $X$ . If RCOND is less than machine precision, then ERRBND is returned as unity.
10: $IFAIL$ – 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:

$IFAIL < 0 and IFAIL \neq - 999$: If $IFAIL = - i$ , the $i$ th argument had an illegal value.

$IFAIL > 0 and IFAIL \leq N$: If $IFAIL = i$ , $u_{i i}$ is exactly zero. The factorization has been completed, but the factor $U$ is exactly singular, so the solution could not be computed.

$IFAIL = N + 1$: RCOND is less than machine precision, so that the matrix $A$ is numerically singular. A solution to the equations $A X = B$ has nevertheless been computed.

$IFAIL = - 99$: 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

The computed solution for a single right-hand side,

\hat{x}

, satisfies an equation of the form

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

where

{‖E‖}_{1} = O (ε) {‖A‖}_{1}

and

ε

is the machine precision. An approximate error bound for the computed solution is given by

\frac{{‖\hat{x} - x‖}_{1}}{{‖x‖}_{1}} \leq κ (A) \frac{{‖E‖}_{1}}{{‖A‖}_{1}},

where

κ (A) = {‖A^{- 1}‖}_{1} {‖A‖}_{1}

, the condition number of

A

with respect to the solution of the linear equations. F04BAF uses the approximation

{‖E‖}_{1} = ε {‖A‖}_{1}

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

8 Parallelism and Performance

F04BAF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

F04BAF 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 integer allocatable memory required is N, and the real allocatable memory required is

4 \times N

. In this case the factorization and the solution

X

have been computed, but RCOND and ERRBND have not been computed.

The total number of floating-point operations required to solve the equations

A X = B

is proportional to

(\frac{2}{3} n^{3} + n^{2} r)

. The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization.

In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of Higham (2002) for further details.

The complex analogue of F04BAF is F04CAF.

10 Example

This example solves the equations

A X = B,

where

A = (\begin{matrix} 1.80 & 2.88 & 2.05 & - 0.89 \\ 5.25 & - 2.95 & - 0.95 & - 3.80 \\ 1.58 & - 2.69 & - 2.90 & - 1.04 \\ - 1.11 & - 0.66 & - 0.59 & 0.80 \end{matrix}) and B = (\begin{matrix} 9.52 & 18.47 \\ 24.35 & 2.25 \\ 0.77 & - 13.28 \\ - 6.22 & - 6.21 \end{matrix}) .

An estimate of the condition number of

A

and an approximate error bound for the computed solutions are also printed.

NAG Library Routine DocumentF04BAF

▸▿ 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

F04BAF