void	f04bdc (Nag_OrderType order, Nag_UploType uplo, Integer n, Integer nrhs, double a[], Integer pda, double b[], Integer pdb, double rcond, double errbnd, NagError *fail)

The function may be called by the names: f04bdc, nag_linsys_real_posdef_solve or nag_real_sym_posdef_lin_solve.

3 Description

The Cholesky factorization is used to factor

A

A = U^{T} U

, if

uplo = Nag_Upper

, or

A = L L^{T}

, if

uplo = Nag_Lower

, where

U

is an upper triangular matrix and

L

is a lower triangular matrix. The factored form of

A

is then used to solve the system of equations

A X = B

4 References

Anderson E, Bai Z, Bischof C, Blackford S, Demmel J, Dongarra J J, Du Croz J J, Greenbaum A, Hammarling S, McKenney A and Sorensen D (1999) LAPACK Users' Guide (3rd Edition) SIAM, Philadelphia https://www.netlib.org/lapack/lug

Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia

5 Arguments

1: $order$ – 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

order = Nag_RowMajor

. 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:

order = Nag_RowMajor

Nag_ColMajor

2: $uplo$ – Nag_UploType Input

On entry: if

uplo = Nag_Upper

, the upper triangle of the matrix

A

is stored.

uplo = Nag_Lower

, the lower triangle of the matrix

A

is stored.

Constraint:

uplo = Nag_Upper

Nag_Lower

3: $n$ – Integer Input

On entry: the number of linear equations

n

, i.e., the order of the matrix

A

Constraint:

n \geq 0

4: $nrhs$ – Integer Input

On entry: the number of right-hand sides

r

, i.e., the number of columns of the matrix

B

Constraint:

nrhs \geq 0

5: $a [\dim]$ – double Input/Output

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

\max (1, pda \times n)

The

(i, j)

th element of the matrix

A

is stored in

$a [(j - 1) \times pda + i - 1]$ when $order = Nag_ColMajor$ ;
$a [(i - 1) \times pda + j - 1]$ when $order = Nag_RowMajor$ .

On entry: the

n

n

symmetric matrix

A

uplo = Nag_Upper

, the leading n by n upper triangular part of a contains the upper triangular part of the matrix

A

, and the strictly lower triangular part of a is not referenced.

uplo = Nag_Lower

, the leading n by n lower triangular part of a contains the lower triangular part of the matrix

A

, and the strictly upper triangular part of a is not referenced.

On exit: if

fail . code =

NE_NOERROR or NE_RCOND, the factor

U

L

from the Cholesky factorization

A = U^{T} U

A = L L^{T}

6: $pda$ – Integer Input

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

Constraint:

pda \geq \max (1, n)

7: $b [\dim]$ – double Input/Output

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

$\max (1, pdb \times nrhs)$ when $order = Nag_ColMajor$ ;
$\max (1, n \times pdb)$ when $order = Nag_RowMajor$ .

The

(i, j)

th element of the matrix

B

is stored in

$b [(j - 1) \times pdb + i - 1]$ when $order = Nag_ColMajor$ ;
$b [(i - 1) \times pdb + j - 1]$ when $order = Nag_RowMajor$ .

On entry: the

n

r

matrix of right-hand sides

B

On exit: if

fail . code =

NE_NOERROR or NE_RCOND, the

n

r

solution matrix

X

8: $pdb$ – Integer Input

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

Constraints:

if $order = Nag_ColMajor$ , $pdb \geq \max (1, n)$ ;
if $order = Nag_RowMajor$ , $pdb \geq \max (1, nrhs)$ .

9: $rcond$ – double * Output

On exit: if

fail . code =

NE_NOERROR or NE_RCOND, an estimate of the reciprocal of the condition number of the matrix

A

, computed as

rcond = 1 / ({‖A‖}_{1} {‖A^{- 1}‖}_{1})

10: $errbnd$ – double * Output

On exit: if

fail . code =

NE_NOERROR or NE_RCOND, an estimate of the forward error bound for a computed solution

\hat{x}

, such that

{‖\hat{x} - x‖}_{1} / {‖x‖}_{1} \leq errbnd

, where

\hat{x}

is a column of the computed solution returned in the array b and

x

is the corresponding column of the exact solution

X

. If rcond is less than machine precision, errbnd is returned as unity.

11: $fail$ – 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.
The Integer allocatable memory required is n, and the double allocatable memory required is $3 \times n$ . Allocation failed before the solution could be computed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
NE_BAD_PARAM: On entry, argument $〈value〉$ had an illegal value.
NE_INT: On entry, $n = 〈value〉$ .
Constraint: $n \geq 0$ .

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

On entry, $pda = 〈value〉$ .
Constraint: $pda > 0$ .

On entry, $pdb = 〈value〉$ .
Constraint: $pdb > 0$ .
NE_INT_2: On entry, $pda = 〈value〉$ and $n = 〈value〉$ .
Constraint: $pda \geq \max (1, n)$ .

On entry, $pdb = 〈value〉$ and $n = 〈value〉$ .
Constraint: $pdb \geq \max (1, n)$ .

On entry, $pdb = 〈value〉$ and $nrhs = 〈value〉$ .
Constraint: $pdb \geq \max (1, nrhs)$ .
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_POS_DEF: The principal minor of order $〈value〉$ of the matrix $A$ is not positive definite. The factorization has not been completed and the solution could not be computed.
NE_RCOND: A solution has been computed, but rcond is less than machine precision so that the matrix $A$ is numerically singular.

7 Accuracy

The computed solution for a single right-hand side,

\hat{x}

, satisfies an equation of the form

(A + E) \hat{x} = b,

where

{‖E‖}_{1} = O (ε) {‖A‖}_{1}

and

ε

is the machine precision. An approximate error bound for the computed solution is given by

\frac{{‖\hat{x} - x‖}_{1}}{{‖x‖}_{1}} \leq κ (A) \frac{{‖E‖}_{1}}{{‖A‖}_{1}},

where

κ (A) = {‖A^{- 1}‖}_{1} {‖A‖}_{1}

, the condition number of

A

with respect to the solution of the linear equations. f04bdc uses the approximation

{‖E‖}_{1} = ε {‖A‖}_{1}

to estimate errbnd. See Section 4.4 of Anderson et al. (1999) for further details.

8 Parallelism and Performance

f04bdc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

f04bdc 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

The total number of floating-point operations required to solve the equations

A X = B

is proportional to

(\frac{1}{3} n^{3} + n^{2} r)

. The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization.

In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of Higham (2002) for further details.

The complex analogue of f04bdc is f04cdc.

10 Example

This example solves the equations

A X = B,

where

A

is the symmetric positive definite matrix

A = (\begin{matrix} 4.16 & - 3.12 & 0.56 & - 0.10 \\ - 3.12 & 5.03 & - 0.83 & 1.18 \\ 0.56 & - 0.83 & 0.76 & 0.34 \\ - 0.10 & 1.18 & 0.34 & 1.18 \end{matrix}) and B = (\begin{matrix} 8.70 & 8.30 \\ - 13.35 & 2.13 \\ 1.89 & 1.61 \\ - 4.14 & 5.00 \end{matrix}) .

An estimate of the condition number of

A

and an approximate error bound for the computed solutions are also printed.

Interfaces: FL CL AD

NAG CL Interface Introduction

F04 (Linsys) Chapter Contents

F04 (Linsys) Chapter Introduction

f04bd: FL CL AD

NAG CL Interfacef04bdc (real_​posdef_​solve)

▸▿ 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 CL Interface
f04bdc (real_posdef_solve)