NAG CL Interface
e02gcc (glin_linf)
1
Purpose
e02gcc calculates an solution to an over-determined system of linear equations.
2
Specification
void |
e02gcc (Nag_OrderType order,
Integer m,
Integer n,
double a[],
double b[],
double tol,
double *relerr,
double x[],
double *resmax,
Integer *rank,
Integer *iter,
NagError *fail) |
|
The function may be called by the names: e02gcc, nag_fit_glin_linf or nag_linf_fit.
3
Description
Given a matrix
with
rows and
columns
and a vector
with
elements, the function calculates an
solution to the over-determined system of equations
That is to say, it calculates a vector
, with
elements, which minimizes the
norm of the residuals (the absolutely largest residual)
where the residuals
are given by
Here is the element in row and column of , is the th element of and the th element of . The matrix need not be of full rank. The solution is not unique in this case, and may not be unique even if is of full rank.
Alternatively, in applications where a complete minimization of the
norm is not necessary, you may obtain an approximate solution, usually in shorter time, by giving an appropriate value to the argument
relerr.
Typically in applications to data fitting, data consisting of
points with coordinates
is to be approximated in the
norm by a linear combination of known functions
,
This is equivalent to finding an
solution to the over-determined system of equations
Thus if, for each value of and the element of the matrix above is set equal to the value of and is set equal to , the solution vector will contain the required values of the . Note that the independent variable above can, instead, be a vector of several independent variables (this includes the case where each is a function of a different variable, or set of variables).
The algorithm is a modification of the simplex method of linear programming applied to the dual formation of the
problem (see
Barrodale and Phillips (1974) and
Barrodale and Phillips (1975)). The modifications are designed to improve the efficiency and stability of the simplex method for this particular application.
4
References
Barrodale I and Phillips C (1974) An improved algorithm for discrete Chebyshev linear approximation Proc. 4th Manitoba Conf. Numerical Mathematics 177–190 University of Manitoba, Canada
Barrodale I and Phillips C (1975) Solution of an overdetermined system of linear equations in the Chebyshev norm [F4] (Algorithm 495) ACM Trans. Math. Software 1(3) 264–270
5
Arguments
-
1:
– Nag_OrderType
Input
-
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
. See
Section 3.1.3 in the Introduction to the NAG Library CL Interface for a more detailed explanation of the use of this argument.
Constraint:
or .
-
2:
– Integer
Input
-
On entry: the number of equations, (the number of rows of the matrix ).
Constraint:
.
-
3:
– Integer
Input
-
On entry: the number of unknowns, (the number of columns of the matrix ).
Constraint:
.
-
4:
– double
Input/Output
-
Note: the dimension,
dim, of the array
a
must be at least
.
where
appears in this document, it refers to the array element
- when ;
- when .
On entry:
must contain
, the element in the
th row and
th column of the matrix
, for
and
, (that is, the
transpose of the matrix). The remaining elements need not be set. Preferably, the columns of the matrix
(rows of the argument
a) should be scaled before entry: see
Section 7.
On exit: contains the last simplex tableau.
-
5:
– double
Input/Output
-
On entry: must contain , the th element of the vector , for .
On exit: the
th residual
corresponding to the solution vector
, for
. Note however that these residuals may contain few significant figures, especially when
resmax is within one or two orders of magnitude of
tol. Indeed if
, the elements
may all be set to zero. It is therefore often advisable to compute the residuals directly.
-
6:
– double
Input
-
On entry: a threshold below which numbers are regarded as zero. The recommended threshold value is
, where
is the
machine precision. If
on entry, the recommended value is used within the function. If premature termination occurs, a larger value for
tol may result in a valid solution.
Suggested value:
.
-
7:
– double *
Input/Output
-
On entry: must be set to a bound on the relative error acceptable in the maximum residual at the solution.
If
, the
solution is computed, and
relerr is set to
on exit.
If
, the function obtains instead an approximate solution for which the largest residual is less than
times that of the
solution; on exit,
relerr contains a smaller value such that the above bound still applies. (The usual result of this option, say with
, is a saving in the number of simplex iterations).
On exit: is altered as described above.
-
8:
– double
Output
-
On exit: if an optimal but not necessarily unique solution is found,
contains the
th element of the solution vector
, for
. Whether this is an
solution or an approximation to one, depends on the value of
relerr on entry.
-
9:
– double *
Output
-
On exit: if an optimal but not necessarily unique solution is found,
resmax contains the absolute value of the largest residual(s) for the solution vector
. (See
b.)
-
10:
– Integer *
Output
-
On exit: if an optimal but not necessarily unique solution is found,
rank contains the computed rank of the matrix
.
-
11:
– Integer *
Output
-
On exit: if an optimal but not necessarily unique solution is found,
iter contains the number of iterations taken by the simplex method.
-
12:
– NagError *
Input/Output
-
The NAG error argument (see
Section 7 in the Introduction to the NAG Library CL Interface).
6
Error Indicators and Warnings
- NE_ALLOC_FAIL
-
Dynamic memory allocation failed.
See
Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_INT
-
On entry, .
Constraint: .
- NE_INT_2
-
On entry, and .
Constraint: .
- 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.
See
Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
- NE_NO_LICENCE
-
Your licence key may have expired or may not have been installed correctly.
See
Section 8 in the Introduction to the NAG Library CL Interface for further information.
- NE_NON_UNIQUE
-
An optimal solution has been obtained, but may not be unique.
- NE_TERMINATION_FAILURE
-
Premature termination due to rounding errors. Try using larger value of
tol:
.
7
Accuracy
Experience suggests that the computational accuracy of the solution is comparable with the accuracy that could be obtained by applying Gaussian elimination with partial pivoting to the equations which have residuals of largest absolute value. The accuracy therefore varies with the conditioning of the problem, but has been found generally very satisfactory in practice.
8
Parallelism and Performance
e02gcc is not threaded in any implementation.
The effects of and on the time and on the number of iterations in the simplex method vary from problem to problem, but typically the number of iterations is a small multiple of and the total time is approximately proportional to .
It is recommended that, before the function is entered, the columns of the matrix
are scaled so that the largest element in each column is of the order of unity. This should improve the conditioning of the matrix, and also enable the argument
tol to perform its correct function. The solution
obtained will then, of course, relate to the scaled form of the matrix. Thus if the scaling is such that, for each
, the elements of the
th column are multiplied by the constant
, the element
of the solution vector
must be multiplied by
if it is desired to recover the solution corresponding to the original matrix
.
10
Example
This example approximates a set of data by a curve of the form
where
,
and
are unknown. Given values
at
points
we may form the over-determined set of equations for
,
and
e02gcc is used to solve these in the sense.
10.1
Program Text
10.2
Program Data
10.3
Program Results