NAG Library Routine Document
f07krf (zpstrf)
1
Purpose
f07krf (zpstrf) computes the Cholesky factorization with complete pivoting of a complex Hermitian positive semidefinite matrix.
2
Specification
Fortran Interface
Integer, Intent (In) | :: | n, lda | Integer, Intent (Out) | :: | piv(n), rank, info | Real (Kind=nag_wp), Intent (In) | :: | tol | Real (Kind=nag_wp), Intent (Out) | :: | work(2*n) | Complex (Kind=nag_wp), Intent (Inout) | :: | a(lda,*) | Character (1), Intent (In) | :: | uplo |
|
The routine may be called by its
LAPACK
name zpstrf.
3
Description
f07krf (zpstrf) forms the Cholesky factorization of a complex Hermitian positive semidefinite matrix either as if or if , where is a permutation matrix, is an upper triangular matrix and is lower triangular.
This algorithm does not attempt to check that is positive semidefinite.
4
References
Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia
Lucas C (2004) LAPACK-style codes for Level 2 and 3 pivoted Cholesky factorizations
LAPACK Working Note No. 161. Technical Report CS-04-522 Department of Computer Science, University of Tennessee, 107 Ayres Hall, Knoxville, TN 37996-1301, USA
http://www.netlib.org/lapack/lawnspdf/lawn161.pdf
5
Arguments
- 1: – Character(1)Input
-
On entry: 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.
Constraint:
or .
- 2: – IntegerInput
-
On entry: , the order of the matrix .
Constraint:
.
- 3: – Complex (Kind=nag_wp) arrayInput/Output
-
Note: the second dimension of the array
a
must be at least
.
On entry: the
by
Hermitian positive semidefinite 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.
On exit: if
, the first
rank rows of the upper triangle of
are overwritten with the nonzero elements of the Cholesky factor
, and the remaining rows of the triangle are destroyed.
If
, the first
rank columns of the lower triangle of
are overwritten with the nonzero elements of the Cholesky factor
, and the remaining columns of the triangle are destroyed.
- 4: – IntegerInput
-
On entry: the first dimension of the array
a as declared in the (sub)program from which
f07krf (zpstrf) is called.
Constraint:
.
- 5: – Integer arrayOutput
-
On exit:
piv is such that the nonzero entries of
are
, for
.
- 6: – IntegerOutput
-
On exit: the computed rank of given by the number of steps the algorithm completed.
- 7: – Real (Kind=nag_wp)Input
-
On entry: user defined tolerance. If , will be used. The algorithm terminates at the th step if the th step pivot .
- 8: – Real (Kind=nag_wp) arrayWorkspace
-
- 9: – IntegerOutput
On exit:
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 matrix
is not positive definite. It is either positive semidefinite with computed rank as returned in
rank and less than
, or it may be indefinite, see
Section 9.
7
Accuracy
If
and
, the computed Cholesky factor
and permutation matrix
satisfy the following upper bound
where
is a modest linear function of
,
is
machine precision, and
So there is no guarantee of stability of the algorithm for large and , although is generally small in practice.
8
Parallelism and Performance
f07krf (zpstrf) 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 real floating-point operations is approximately , where is the computed rank of .
This algorithm does not attempt to check that
is positive semidefinite, and in particular the rank detection criterion in the algorithm is based on
being positive semidefinite. If there is doubt over semidefiniteness then you should use the indefinite factorization
f07mrf (zhetrf). See
Lucas (2004) for further information.
The real analogue of this routine is
f07kdf (dpstrf).
10
Example
This example computes the Cholesky factorization of the matrix
, where
10.1
Program Text
Program Text (f07krfe.f90)
10.2
Program Data
Program Data (f07krfe.d)
10.3
Program Results
Program Results (f07krfe.r)