NAG Library Routine Document

F07WJF (DPFTRI)

▸▿ 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

F07WJF (DPFTRI) computes the inverse of a real symmetric positive definite matrix using the Cholesky factorization computed by F07WDF (DPFTRF) stored in Rectangular Full Packed (RFP) format.

2 Specification

SUBROUTINE F07WJF (

TRANSR, UPLO, N, AR, INFO)

INTEGER	N, INFO
REAL (KIND=nag_wp)	AR(N*(N+1)/2)
CHARACTER(1)	TRANSR, UPLO

The routine may be called by its LAPACK name dpftri.

3 Description

F07WJF (DPFTRI) is used to compute the inverse of a real symmetric positive definite matrix

A

, stored in RFP format. The RFP storage format is described in Section 3.3.3 in the F07 Chapter Introduction. The routine must be preceded by a call to F07WDF (DPFTRF), which computes the Cholesky factorization of

A

UPLO ='U'

A = U^{T} U

and

A^{- 1}

is computed by first inverting

U

and then forming

(U^{- 1}) U^{- T}

UPLO ='L'

A = L L^{T}

and

A^{- 1}

is computed by first inverting

L

and then forming

L^{- T} (L^{- 1})

4 References

Du Croz J J and Higham N J (1992) Stability of methods for matrix inversion IMA J. Numer. Anal. 12 1–19

Gustavson F G, Waśniewski J, Dongarra J J and Langou J (2010) Rectangular full packed format for Cholesky's algorithm: factorization, solution, and inversion ACM Trans. Math. Software 37, 2

5 Parameters

1: $TRANSR$ – CHARACTER(1)Input

On entry: specifies whether the RFP representation of

A

is normal or transposed.

$TRANSR ='N'$: The matrix $A$ is stored in normal RFP format.
$TRANSR ='T'$: The matrix $A$ is stored in transposed RFP format.

Constraint:

TRANSR ='N'

'T'

2: $UPLO$ – CHARACTER(1)Input

On entry: specifies how

A

has been factorized.

$UPLO ='U'$: $A = U^{T} U$ , where $U$ is upper triangular.
$UPLO ='L'$: $A = L L^{T}$ , where $L$ is lower triangular.

Constraint:

UPLO ='U'

'L'

3: $N$ – INTEGERInput

On entry:

n

, the order of the matrix

A

Constraint:

N \geq 0

4: $AR (N \times (N + 1) / 2)$ – REAL (KIND=nag_wp) arrayInput/Output

On entry: the Cholesky factorization of

A

stored in RFP format, as returned by F07WDF (DPFTRF).

On exit: the factorization is overwritten by the

n

n

matrix

A^{- 1}

stored in RFP format.

5: $INFO$ – INTEGEROutput

On exit:

INFO = 0

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

6 Error Indicators and Warnings

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

$INFO > 0$: The leading minor of order $〈value〉$ is not positive definite and the factorization could not be completed. Hence $A$ itself is not positive definite. This may indicate an error in forming the matrix $A$ . There is no routine specifically designed to invert a symmetric matrix stored in RFP format which is not positive definite; the matrix must be treated as a full symmetric matrix, by calling F07MJF (DSYTRI).

7 Accuracy

The computed inverse

X

satisfies

{‖X A - I‖}_{2} \leq c (n) ε κ_{2} (A) and {‖A X - I‖}_{2} \leq c (n) ε κ_{2} (A),

where

c (n)

is a modest function of

n

ε

is the machine precision and

κ_{2} (A)

is the condition number of

A

defined by

κ_{2} (A) = {‖A‖}_{2} {‖A^{- 1}‖}_{2} .

8 Parallelism and Performance

F07WJF (DPFTRI) is not threaded by NAG in any implementation.

F07WJF (DPFTRI) 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 total number of floating-point operations is approximately

\frac{2}{3} n^{3}

The complex analogue of this routine is F07WWF (ZPFTRI).

10 Example

This example computes the inverse of the matrix

A

, where

A = (\begin{matrix} 4.16 & - 3.12 & 0.56 & - 0.10 \\ - 3.12 & 5.03 & - 0.83 & 1.18 \\ 0.56 & - 0.83 & 0.76 & 0.34 \\ - 0.10 & 1.18 & 0.34 & 1.18 \end{matrix}) .

Here

A

is symmetric positive definite, stored in RFP format, and must first be factorized by F07WDF (DPFTRF).

NAG Library Routine DocumentF07WJF (DPFTRI)

▸▿ 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

F07WJF (DPFTRI)