NAG Library Routine Document

F11MHF

INTEGER	N, ICOLZP(), IROWIX(), IPRM(7N), IL(), IU(*), NRHS, LDB, LDX, IFAIL
REAL (KIND=nag_wp)	A(), LVAL(), UVAL(), B(LDB,), X(LDX,*), FERR(NRHS), BERR(NRHS)
CHARACTER(1)	TRANS

3 Description

F11MHF returns the backward errors and estimated bounds on the forward errors for the solution of a real system of linear equations with multiple right-hand sides

A X = B

A^{T} X = B

. The routine handles each right-hand side vector (stored as a column of the matrix

B

) independently, so we describe the function of F11MHF in terms of a single right-hand side

b

and solution

x

Given a computed solution

x

, the routine computes the component-wise backward error

β

. This is the size of the smallest relative perturbation in each element of

A

and

b

such that if

x

is the exact solution of a perturbed system:

\begin{matrix} (A + δ A) x = b + δ b \\ then |δ a_{i j}| \leq β |a_{i j}| and |δ b_{i}| \leq β |b_{i}| . \end{matrix}

Then the routine estimates a bound for the component-wise forward error in the computed solution, defined by:

\max_{i}^{} |x_{i} - {\hat{x}}_{i}| / \max_{i}^{} |x_{i}|

where

\hat{x}

is the true solution.

The routine uses the

L U

factorization

P_{r} A P_{c} = L U

computed by F11MEF and the solution computed by F11MFF.

4 References

Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

5 Parameters

1: $TRANS$ – CHARACTER(1)Input

On entry: specifies whether

A X = B

A^{T} X = B

is solved.

$TRANS ='N'$: $A X = B$ is solved.
$TRANS ='T'$: $A^{T} X = B$ is solved.

Constraint:

TRANS ='N'

'T'

2: $N$ – INTEGERInput

On entry:

n

, the order of the matrix

A

Constraint:

N \geq 0

3: $ICOLZP (*)$ – INTEGER arrayInput

Note: the dimension of the array ICOLZP must be at least

N + 1

On entry:

ICOLZP (i)

contains the index in

A

of the start of a new column. See Section 2.1.3 in the F11 Chapter Introduction.

4: $IROWIX (*)$ – INTEGER arrayInput

Note: the dimension of the array IROWIX must be at least

ICOLZP (N + 1) - 1

, the number of nonzeros of the sparse matrix

A

On entry: the row index array of sparse matrix

A

5: $A (*)$ – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array A must be at least

ICOLZP (N + 1) - 1

, the number of nonzeros of the sparse matrix

A

On entry: the array of nonzero values in the sparse matrix

A

6: $IPRM (7 \times N)$ – INTEGER arrayInput

On entry: the column permutation which defines

P_{c}

, the row permutation which defines

P_{r}

, plus associated data structures as computed by F11MEF.

7: $IL (*)$ – INTEGER arrayInput

Note: the dimension of the array IL must be at least as large as the dimension of the array of the same name in F11MEF.

On entry: records the sparsity pattern of matrix

L

as computed by F11MEF.

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

Note: the dimension of the array LVAL must be at least as large as the dimension of the array of the same name in F11MEF.

On entry: records the nonzero values of matrix

L

and some nonzero values of matrix

U

as computed by F11MEF.

9: $IU (*)$ – INTEGER arrayInput

Note: the dimension of the array IU must be at least as large as the dimension of the array of the same name in F11MEF.

On entry: records the sparsity pattern of matrix

U

as computed by F11MEF.

10: $UVAL (*)$ – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array UVAL must be at least as large as the dimension of the array of the same name in F11MEF.

On entry: records some nonzero values of matrix

U

as computed by F11MEF.

11: $NRHS$ – INTEGERInput

On entry:

nrhs

, the number of right-hand sides in

B

Constraint:

NRHS \geq 0

12: $B (LDB *)$ – REAL (KIND=nag_wp) arrayInput

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

\max (1, NRHS)

On entry: the

n

nrhs

right-hand side matrix

B

13: $LDB$ – INTEGERInput

On entry: the first dimension of the array B as declared in the (sub)program from which F11MHF is called.

Constraint:

LDB \geq \max (1, N)

14: $X (LDX *)$ – REAL (KIND=nag_wp) arrayInput/Output

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

\max (1, NRHS)

On entry: the

n

nrhs

solution matrix

X

, as returned by F11MFF.

On exit: the

n

nrhs

improved solution matrix

X

15: $LDX$ – INTEGERInput

On entry: the first dimension of the array X as declared in the (sub)program from which F11MHF is called.

Constraint:

LDX \geq \max (1, N)

16: $FERR (NRHS)$ – REAL (KIND=nag_wp) arrayOutput

On exit:

FERR (j)

contains an estimated error bound for the

j

th solution vector, that is, the

j

th column of

X

, for

j = 1, 2, \dots, nrhs

17: $BERR (NRHS)$ – REAL (KIND=nag_wp) arrayOutput

On exit:

BERR (j)

contains the component-wise backward error bound

β

for the

j

th solution vector, that is, the

j

th column of

X

, for

j = 1, 2, \dots, nrhs

18: $IFAIL$ – 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:

$IFAIL = 1$

On entry,	$TRANS \neq'N'$ or $'T'$ ,
or	$N < 0$ ,
or	$NRHS < 0$ ,
or	$LDB < \max (1, N)$ ,
or	$LDX < \max (1, N)$ .

$IFAIL = 2$: Ill-defined row permutation in array $IPRM$ . Internal checks have revealed that the $IPRM$ array is corrupted.

$IFAIL = 3$: Ill-defined column permutations in array $IPRM$ . Internal checks have revealed that the $IPRM$ array is corrupted.

$IFAIL = 301$: Unable to allocate required internal workspace.

$IFAIL = - 99$: 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 bounds returned in FERR are not rigorous, because they are estimated, not computed exactly; but in practice they almost always overestimate the actual error.

8 Parallelism and Performance

F11MHF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

F11MHF 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

At most five steps of iterative refinement are performed, but usually only one or two steps are required.

Estimating the forward error involves solving a number of systems of linear equations of the form

A x = b

A^{T} x = b

;

10 Example

This example solves the system of equations

A X = B

using iterative refinement and to compute the forward and backward error bounds, where

A = (\begin{matrix} 2.00 & 1.00 & 0 & 0 & 0 \\ 0 & 0 & 1.00 & - 1.00 & 0 \\ 4.00 & 0 & 1.00 & 0 & 1.00 \\ 0 & 0 & 0 & 1.00 & 2.00 \\ 0 & - 2.00 & 0 & 0 & 3.00 \end{matrix}) and B = (\begin{matrix} 1.56 & 3.12 \\ - 0.25 & - 0.50 \\ 3.60 & 7.20 \\ 1.33 & 2.66 \\ 0.52 & 1.04 \end{matrix}) .

Here

A

is nonsymmetric and must first be factorized by F11MEF.

NAG Library Routine DocumentF11MHF

▸▿ 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

F11MHF