void	nag_dpbcon (Nag_OrderType order, Nag_UploType uplo, Integer n, Integer kd, const double ab[], Integer pdab, double anorm, double rcond, NagError fail)

3 Description

nag_dpbcon (f07hgc) estimates the condition number (in the

1

-norm) of a real symmetric positive definite band matrix

A

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

Since

A

is symmetric,

κ_{1} (A) = κ_{\infty} (A) = {‖A‖}_{\infty} {‖A^{- 1}‖}_{\infty}

Because

κ_{1} (A)

is infinite if

A

is singular, the function actually returns an estimate of the reciprocal of

κ_{1} (A)

The function should be preceded by a call to nag_dsb_norm (f16rec) to compute

{‖A‖}_{1}

and a call to nag_dpbtrf (f07hdc) to compute the Cholesky factorization of

A

. The function then uses Higham's implementation of Hager's method (see Higham (1988)) to estimate

{‖A^{- 1}‖}_{1}

4 References

Higham N J (1988) FORTRAN codes for estimating the one-norm of a real or complex matrix, with applications to condition estimation ACM Trans. Math. Software 14 381–396

5 Arguments

1: $order$ – Nag_OrderTypeInput

On entry: the order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by

order = Nag_RowMajor

. See Section 2.3.1.3 in How to Use the NAG Library and its Documentation for a more detailed explanation of the use of this argument.

Constraint:

order = Nag_RowMajor

Nag_ColMajor

2: $uplo$ – Nag_UploTypeInput

On entry: specifies how

A

has been factorized.

$uplo = Nag_Upper$: $A = U^{T} U$ , where $U$ is upper triangular.
$uplo = Nag_Lower$: $A = L L^{T}$ , where $L$ is lower triangular.

Constraint:

uplo = Nag_Upper

Nag_Lower

3: $n$ – IntegerInput

On entry:

n

, the order of the matrix

A

Constraint:

n \geq 0

4: $kd$ – IntegerInput

On entry:

k_{d}

, the number of superdiagonals or subdiagonals of the matrix

A

Constraint:

kd \geq 0

5: $ab [\dim]$ – const doubleInput

Note: the dimension, dim, of the array ab must be at least

\max (1, pdab \times n)

On entry: the Cholesky factor of

A

, as returned by nag_dpbtrf (f07hdc).

6: $pdab$ – IntegerInput

On entry: the stride separating row or column elements (depending on the value of order) of the matrix in the array ab.

Constraint:

pdab \geq kd + 1

7: $anorm$ – doubleInput

On entry: the

1

-norm of the original matrix

A

, which may be computed by calling nag_dsb_norm (f16rec) with its argument

norm = Nag_OneNorm

. anorm must be computed either before calling nag_dpbtrf (f07hdc) or else from a copy of the original matrix

A

Constraint:

anorm \geq 0.0

8: $rcond$ – double *Output

On exit: an estimate of the reciprocal of the condition number of

A

. rcond is set to zero if exact singularity is detected or the estimate underflows. If rcond is less than machine precision,

A

is singular to working precision.

9: $fail$ – NagError *Input/Output

The NAG error argument (see Section 2.7 in How to Use the NAG Library and its Documentation).

6 Error Indicators and Warnings

NE_ALLOC_FAIL: Dynamic memory allocation failed.
See Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
NE_BAD_PARAM: On entry, argument $〈value〉$ had an illegal value.
NE_INT: On entry, $kd = 〈value〉$ .
Constraint: $kd \geq 0$ .

On entry, $n = 〈value〉$ .
Constraint: $n \geq 0$ .

On entry, $pdab = 〈value〉$ .
Constraint: $pdab > 0$ .
NE_INT_2: On entry, $pdab = 〈value〉$ and $kd = 〈value〉$ .
Constraint: $pdab \geq kd + 1$ .
NE_INTERNAL_ERROR: An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.

An unexpected error has been triggered by this function. Please contact NAG.
See Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
NE_NO_LICENCE: Your licence key may have expired or may not have been installed correctly.
See Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
NE_REAL: On entry, $anorm = 〈value〉$ .
Constraint: $anorm \geq 0.0$ .

7 Accuracy

The computed estimate rcond is never less than the true value

ρ

, and in practice is nearly always less than

10 ρ

, although examples can be constructed where rcond is much larger.

8 Parallelism and Performance

nag_dpbcon (f07hgc) 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 function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

A call to nag_dpbcon (f07hgc) involves solving a number of systems of linear equations of the form

A x = b

; the number is usually

4

5

and never more than

11

. Each solution involves approximately

4 n k

floating-point operations (assuming

n ≫ k

) but takes considerably longer than a call to nag_dpbtrs (f07hec) with one right-hand side, because extra care is taken to avoid overflow when

A

is approximately singular.

The complex analogue of this function is nag_zpbcon (f07huc).

10 Example

This example estimates the condition number in the

1

-norm (or

\infty

-norm) of the matrix

A

, where

A = (\begin{matrix} 5.49 & 2.68 & 0.00 & 0.00 \\ 2.68 & 5.63 & - 2.39 & 0.00 \\ 0.00 & - 2.39 & 2.60 & - 2.22 \\ 0.00 & 0.00 & - 2.22 & 5.17 \end{matrix}) .

Here

A

is symmetric and positive definite, and is treated as a band matrix, which must first be factorized by nag_dpbtrf (f07hdc). The true condition number in the

1

-norm is

74.15

NAG Library Function Documentnag_dpbcon (f07hgc)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

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 Function Document

nag_dpbcon (f07hgc)