NAG CL Interface
f01jcc (real_gen_matrix_cond_usd)
1
Purpose
f01jcc computes an estimate of the absolute condition number of a matrix function at a real by matrix in the -norm, using analytical derivatives of you have supplied.
2
Specification
void |
f01jcc (Integer n,
double a[],
Integer pda,
void |
(*f)(Integer m,
Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm),
|
|
Nag_Comm *comm, Integer *iflag,
double *conda,
double *norma,
double *normfa,
NagError *fail) |
|
The function may be called by the names: f01jcc or nag_matop_real_gen_matrix_cond_usd.
3
Description
The absolute condition number of
at
,
is given by the norm of the Fréchet derivative of
,
, which is defined by
where
is the Fréchet derivative in the direction
.
is linear in
and can therefore be written as
where the
operator stacks the columns of a matrix into one vector, so that
is
.
f01jcc computes an estimate
such that
, where
. The relative condition number can then be computed via
The algorithm used to find
is detailed in Section 3.4 of
Higham (2008).
The function
, and the derivatives of
, are returned by function
f which, given an integer
, evaluates
at a number of (generally complex) points
, for
. For any
on the real line,
must also be real.
f01jcc is therefore appropriate for functions that can be evaluated on the complex plane and whose derivatives, of arbitrary order, can also be evaluated on the complex plane.
4
References
Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA
5
Arguments
-
1:
– Integer
Input
-
On entry: , the order of the matrix .
Constraint:
.
-
2:
– double
Input/Output
-
Note: the dimension,
dim, of the array
a
must be at least
.
The th element of the matrix is stored in .
On entry: the by matrix .
On exit: the by matrix, .
-
3:
– Integer
Input
-
On entry: the stride separating matrix row elements in the array
a.
Constraint:
.
-
4:
– function, supplied by the user
External Function
-
Given an integer
, the function
f evaluates
at a number of points
.
The specification of
f is:
void |
f (Integer m,
Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm)
|
|
-
1:
– Integer
Input
-
On entry: the order,
, of the derivative required.
If , should be returned. For , should be returned.
-
2:
– Integer *
Input/Output
-
On entry:
iflag will be zero.
On exit:
iflag should either be unchanged from its entry value of zero, or may be set nonzero to indicate that there is a problem in evaluating the function
; for instance
may not be defined. If
iflag is returned as nonzero then
f01jcc will terminate the computation, with
NE_USER_STOP.
-
3:
– Integer
Input
-
On entry: , the number of function or derivative values required.
-
4:
– const Complex
Input
-
On entry: the points at which the function is to be evaluated.
-
5:
– Complex
Output
-
On exit: the function or derivative values.
should return the value , for . If lies on the real line, then so must .
-
6:
– Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
f.
- user – double *
- iuser – Integer *
- p – Pointer
The type Pointer will be
void *. Before calling
f01jcc you may allocate memory and initialize these pointers with various quantities for use by
f when called from
f01jcc (see
Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: f should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by
f01jcc. If your code inadvertently
does return any NaNs or infinities,
f01jcc is likely to produce unexpected results.
-
5:
– Nag_Comm *
-
The NAG communication argument (see
Section 3.1.1 in the Introduction to the NAG Library CL Interface).
-
6:
– Integer *
Output
-
On exit:
, unless
iflag has been set nonzero inside
f, in which case
iflag will be the value set and
fail will be set to
NE_USER_STOP.
-
7:
– double *
Output
-
On exit: an estimate of the absolute condition number of at .
-
8:
– double *
Output
-
On exit: the -norm of .
-
9:
– double *
Output
-
On exit: the -norm of .
-
10:
– 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.
An internal error occurred when estimating the norm of the Fréchet derivative of
at
. Please contact
NAG.
An internal error occurred when evaluating the matrix function
. You can investigate further by calling
f01emc with the matrix
and the function
.
- 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_USER_STOP
-
iflag has been set nonzero by the user-supplied function.
7
Accuracy
f01jcc uses the norm estimation routine
f04ydc to estimate a quantity
, where
and
. For further details on the accuracy of norm estimation, see the documentation for
f04ydc.
8
Parallelism and Performance
f01jcc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library. In these implementations, this function may make calls to the user-supplied functions from within an OpenMP parallel region. Thus OpenMP pragmas within the user functions can only be used if you are compiling the user-supplied function and linking the executable in accordance with the instructions in the
Users' Note for your implementation. You must also ensure that you use the NAG communication argument
comm in a thread safe manner, which is best achieved by only using it to supply read-only data to the user functions.
f01jcc 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.
The matrix function is computed using the underlying matrix function routine
f01emc. Approximately
of real allocatable memory is required by the routine, in addition to the memory used by the underlying matrix function routine.
If only is required, without an estimate of the condition number, then it is far more efficient to use the underlying matrix function routine directly.
The complex analogue of this function is
f01kcc.
10
Example
This example estimates the absolute and relative condition numbers of the matrix function
where
10.1
Program Text
10.2
Program Data
10.3
Program Results