NAG Library Routine Document

F08UEF (DSBGST)

are banded, F08UEF (DSBGST) must be preceded by a call to F08UFF (DPBSTF) which computes the split Cholesky factorization of the positive definite matrix

B

B = S^{T} S

. The split Cholesky factorization, compared with the ordinary Cholesky factorization, allows the work to be approximately halved.

This routine overwrites

A

with

C = X^{T} A X

, where

X = S^{- 1} Q

and

Q

is a orthogonal matrix chosen (implicitly) to preserve the bandwidth of

A

. The routine also has an option to allow the accumulation of

X

, and then, if

z

is an eigenvector of

C

X z

is an eigenvector of the original system.

4 References

Crawford C R (1973) Reduction of a band-symmetric generalized eigenvalue problem Comm. ACM 16 41–44

Kaufman L (1984) Banded eigenvalue solvers on vector machines ACM Trans. Math. Software 10 73–86

5 Parameters

1: $VECT$ – CHARACTER(1)Input

On entry: indicates whether

X

is to be returned.

$VECT ='N'$: $X$ is not returned.
$VECT ='V'$: $X$ is returned.

Constraint:

VECT ='N'

'V'

2: $UPLO$ – CHARACTER(1)Input

On entry: indicates whether the upper or lower triangular part of

A

is stored.

$UPLO ='U'$: The upper triangular part of $A$ is stored.
$UPLO ='L'$: The lower triangular part of $A$ is stored.

Constraint:

UPLO ='U'

'L'

3: $N$ – INTEGERInput

On entry:

n

, the order of the matrices

A

and

B

Constraint:

N \geq 0

4: $KA$ – INTEGERInput

On entry: if

UPLO ='U'

, the number of superdiagonals,

k_{a}

, of the matrix

A

UPLO ='L'

, the number of subdiagonals,

k_{a}

, of the matrix

A

Constraint:

KA \geq 0

5: $KB$ – INTEGERInput

On entry: if

UPLO ='U'

, the number of superdiagonals,

k_{b}

, of the matrix

B

UPLO ='L'

, the number of subdiagonals,

k_{b}

, of the matrix

B

Constraint:

KA \geq KB \geq 0

6: $AB (LDAB *)$ – REAL (KIND=nag_wp) arrayInput/Output

Note: the second dimension of the array AB must be at least

\max (1, N)

On entry: the upper or lower triangle of the

n

n

symmetric band matrix

A

The matrix is stored in rows

1

k_{a} + 1

, more precisely,

if $UPLO ='U'$ , the elements of the upper triangle of $A$ within the band must be stored with element $A_{i j}$ in $AB (k_{a} + 1 + i - j, j) for \max (1, j - k_{a}) \leq i \leq j$ ;
if $UPLO ='L'$ , the elements of the lower triangle of $A$ within the band must be stored with element $A_{i j}$ in $AB (1 + i - j, j) for j \leq i \leq \min (n, j + k_{a}) .$

On exit: the upper or lower triangle of AB is overwritten by the corresponding upper or lower triangle of

C

as specified by UPLO.

7: $LDAB$ – INTEGERInput

On entry: the first dimension of the array AB as declared in the (sub)program from which F08UEF (DSBGST) is called.

Constraint:

LDAB \geq KA + 1

8: $BB (LDBB *)$ – REAL (KIND=nag_wp) arrayInput

Note: the second dimension of the array BB must be at least

\max (1, N)

On entry: the banded split Cholesky factor of

B

as specified by UPLO, N and KB and returned by F08UFF (DPBSTF).

9: $LDBB$ – INTEGERInput

On entry: the first dimension of the array BB as declared in the (sub)program from which F08UEF (DSBGST) is called.

Constraint:

LDBB \geq KB + 1

10: $X (LDX *)$ – REAL (KIND=nag_wp) arrayOutput

Note: the second dimension of the array X must be at least

\max (1, N)

VECT ='V'

and at least

1

VECT ='N'

On exit: the

n

n

matrix

X = S^{- 1} Q

, if

VECT ='V'

VECT ='N'

, X is not referenced.

11: $LDX$ – INTEGERInput

On entry: the first dimension of the array X as declared in the (sub)program from which F08UEF (DSBGST) is called.

Constraints:

if $VECT ='V'$ , $LDX \geq \max (1, N)$ ;
if $VECT ='N'$ , $LDX \geq 1$ .

12: $WORK (2 \times N)$ – REAL (KIND=nag_wp) arrayWorkspace

13: $INFO$ – 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.

7 Accuracy

Forming the reduced matrix

C

is a stable procedure. However it involves implicit multiplication by

B^{- 1}

. When F08UEF (DSBGST) is used as a step in the computation of eigenvalues and eigenvectors of the original problem, there may be a significant loss of accuracy if

B

is ill-conditioned with respect to inversion.

8 Parallelism and Performance

F08UEF (DSBGST) is not threaded by NAG in any implementation.

F08UEF (DSBGST) 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

6 n^{2} k_{B}

, when

VECT ='N'

, assuming

n ≫ k_{A}, k_{B}

; there are an additional

(3 / 2) n^{3} (k_{B} / k_{A})

operations when

VECT ='V'

The complex analogue of this routine is F08USF (ZHBGST).

10 Example

This example computes all the eigenvalues of

A z = λ B z

, where

A = (\begin{array}{r} 0.24 & 0.39 & 0.42 & 0.00 \\ 0.39 & - 0.11 & 0.79 & 0.63 \\ 0.42 & 0.79 & - 0.25 & 0.48 \\ 0.00 & 0.63 & 0.48 & - 0.03 \end{array}) and B = (\begin{array}{r} 2.07 & 0.95 & 0.00 & 0.00 \\ 0.95 & 1.69 & - 0.29 & 0.00 \\ 0.00 & - 0.29 & 0.65 & - 0.33 \\ 0.00 & 0.00 & - 0.33 & 1.17 \end{array}) .

Here

A

is symmetric,

B

is symmetric positive definite, and

A

and

B

are treated as band matrices.

B

must first be factorized by F08UFF (DPBSTF). The program calls F08UEF (DSBGST) to reduce the problem to the standard form

C y = λ y

, then F08HEF (DSBTRD) to reduce

C

to tridiagonal form, and F08JFF (DSTERF) to compute the eigenvalues.

NAG Library Routine DocumentF08UEF (DSBGST)

▸▿ 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

F08UEF (DSBGST)