NAG Library Routine Document
F07FDF (DPOTRF) computes the Cholesky factorization of a real symmetric positive definite matrix.
||N, LDA, INFO
The routine may be called by its
F07FDF (DPOTRF) forms the Cholesky factorization of a real symmetric positive definite matrix either as if or if , where is an upper triangular matrix and is lower triangular.
Demmel J W (1989) On floating-point errors in Cholesky LAPACK Working Note No. 14
University of Tennessee, Knoxville http://www.netlib.org/lapack/lawnspdf/lawn14.pdf
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
- 1: – CHARACTER(1)Input
: specifies whether the upper or lower triangular part of
is stored and how
is to be factorized.
- The upper triangular part of is stored and is factorized as , where is upper triangular.
- The lower triangular part of is stored and is factorized as , where is lower triangular.
- 2: – INTEGERInput
On entry: , the order of the matrix .
- 3: – REAL (KIND=nag_wp) arrayInput/Output
the second dimension of the array A
must be at least
symmetric positive definite matrix
- If , the upper triangular part of must be stored and the elements of the array below the diagonal are not referenced.
- If , the lower triangular part of must be stored and the elements of the array above the diagonal are not referenced.
: the upper or lower triangle of
is overwritten by the Cholesky factor
as specified by UPLO
- 4: – INTEGERInput
: the first dimension of the array A
as declared in the (sub)program from which F07FDF (DPOTRF) is called.
- 5: – INTEGEROutput
unless the routine detects an error (see Section 6
6 Error Indicators and Warnings
If , argument had an illegal value. An explanatory message is output, and execution of the program is terminated.
The leading minor of order
is not positive definite
and the factorization could not be completed. Hence
is not positive definite. This may indicate an error in forming the
. To factorize a symmetric matrix which is not
positive definite, call F07MDF (DSYTRF)
, the computed factor
is the exact factor of a perturbed matrix
is a modest linear function of
is the machine precision
, a similar statement holds for the computed factor
. It follows that
8 Parallelism and Performance
F07FDF (DPOTRF) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
F07FDF (DPOTRF) 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.
The total number of floating-point operations is approximately .
A call to F07FDF (DPOTRF) may be followed by calls to the routines:
The complex analogue of this routine is F07FRF (ZPOTRF)
This example computes the Cholesky factorization of the matrix
10.1 Program Text
Program Text (f07fdfe.f90)
10.2 Program Data
Program Data (f07fdfe.d)
10.3 Program Results
Program Results (f07fdfe.r)