is also positive definite. Eigenvalues and eigenvectors can be selected by specifying either all eigenvalues, a range of values or a range of indices for the desired eigenvalues.

2 Specification

Fortran Interface

Subroutine f08ubf (

jobz, range, uplo, n, ka, kb, ab, ldab, bb, ldbb, q, ldq, vl, vu, il, iu, abstol, m, w, z, ldz, work, iwork, jfail, info)

Integer, Intent (In)	::	n, ka, kb, ldab, ldbb, ldq, il, iu, ldz
Integer, Intent (Inout)	::	jfail(*)
Integer, Intent (Out)	::	m, iwork(5*n), info
Real (Kind=nag_wp), Intent (In)	::	vl, vu, abstol
Real (Kind=nag_wp), Intent (Inout)	::	ab(ldab,), bb(ldbb,), q(ldq,), z(ldz,)
Real (Kind=nag_wp), Intent (Out)	::	w(n), work(7*n)
Character (1), Intent (In)	::	jobz, range, uplo

C Header Interface

#include <nag.h>

void

f08ubf_ (const char *jobz, const char *range, const char *uplo, const Integer *n, const Integer *ka, const Integer *kb, double ab[], const Integer *ldab, double bb[], const Integer *ldbb, double q[], const Integer *ldq, const double *vl, const double *vu, const Integer *il, const Integer *iu, const double *abstol, Integer *m, double w[], double z[], const Integer *ldz, double work[], Integer iwork[], Integer jfail[], Integer *info, const Charlen length_jobz, const Charlen length_range, const Charlen length_uplo)

The routine may be called by the names f08ubf, nagf_lapackeig_dsbgvx or its LAPACK name dsbgvx.

3 Description

The generalized symmetric-definite band problem

A z = λ B z

is first reduced to a standard band symmetric problem

C x = λ x,

where

C

is a symmetric band matrix, using Wilkinson's modification to Crawford's algorithm (see Crawford (1973) and Wilkinson (1977)). The symmetric eigenvalue problem is then solved for the required eigenvalues and eigenvectors, and the eigenvectors are then backtransformed to the eigenvectors of the original problem.

The eigenvectors are normalized so that

z^{T} A z = λ and z^{T} B z = 1 .

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

Crawford C R (1973) Reduction of a band-symmetric generalized eigenvalue problem Comm. ACM 16 41–44

Demmel J W and Kahan W (1990) Accurate singular values of bidiagonal matrices SIAM J. Sci. Statist. Comput. 11 873–912

Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

Wilkinson J H (1977) Some recent advances in numerical linear algebra The State of the Art in Numerical Analysis (ed D A H Jacobs) Academic Press

5 Arguments

1: $jobz$ – Character(1) Input

On entry: indicates whether eigenvectors are computed.

$jobz ='N'$: Only eigenvalues are computed.
$jobz ='V'$: Eigenvalues and eigenvectors are computed.

Constraint:

jobz ='N'

'V'

2: $range$ – Character(1) Input

On entry: if

range ='A'

, all eigenvalues will be found.

range ='V'

, all eigenvalues in the half-open interval

(vl, vu]

will be found.

range ='I'

, the ilth to iuth eigenvalues will be found.

Constraint:

range ='A'

'V'

'I'

3: $uplo$ – Character(1) Input

On entry: if

uplo ='U'

, the upper triangles of

A

and

B

are stored.

uplo ='L'

, the lower triangles of

A

and

B

are stored.

Constraint:

uplo ='U'

'L'

4: $n$ – Integer Input

On entry:

n

, the order of the matrices

A

and

B

Constraint:

n \geq 0

5: $ka$ – Integer Input

On entry: if

uplo ='U'

, the number of superdiagonals,

k_{a}

, of the matrix

A

uplo ='L'

, the number of subdiagonals,

k_{a}

, of the matrix

A

Constraint:

ka \geq 0

6: $kb$ – Integer Input

On entry: if

uplo ='U'

, the number of superdiagonals,

k_{b}

, of the matrix

B

uplo ='L'

, the number of subdiagonals,

k_{b}

, of the matrix

B

Constraint:

ka \geq kb \geq 0

7: $ab (ldab *)$ – Real (Kind=nag_wp) array Input/Output

Note: the second dimension of the array ab must be at least

\max (1, n)

On entry: the upper or lower triangle of the

n

n

symmetric band matrix

A

The matrix is stored in rows

1

k_{a} + 1

, more precisely,

if $uplo ='U'$ , the elements of the upper triangle of $A$ within the band must be stored with element $A_{i j}$ in $ab (k_{a} + 1 + i - j, j) for \max (1, j - k_{a}) \leq i \leq j$ ;
if $uplo ='L'$ , the elements of the lower triangle of $A$ within the band must be stored with element $A_{i j}$ in $ab (1 + i - j, j) for j \leq i \leq \min (n, j + k_{a}) .$

On exit: the contents of ab are overwritten.

8: $ldab$ – Integer Input

On entry: the first dimension of the array ab as declared in the (sub)program from which f08ubf is called.

Constraint:

ldab \geq ka + 1

9: $bb (ldbb *)$ – Real (Kind=nag_wp) array Input/Output

Note: the second dimension of the array bb must be at least

\max (1, n)

On entry: the upper or lower triangle of the

n

n

symmetric positive definite band matrix

B

The matrix is stored in rows

1

k_{b} + 1

, more precisely,

if $uplo ='U'$ , the elements of the upper triangle of $B$ within the band must be stored with element $B_{i j}$ in $bb (k_{b} + 1 + i - j, j) for \max (1, j - k_{b}) \leq i \leq j$ ;
if $uplo ='L'$ , the elements of the lower triangle of $B$ within the band must be stored with element $B_{i j}$ in $bb (1 + i - j, j) for j \leq i \leq \min (n, j + k_{b}) .$

On exit: the factor

S

from the split Cholesky factorization

B = S^{T} S

, as returned by f08uff.

10: $ldbb$ – Integer Input

On entry: the first dimension of the array bb as declared in the (sub)program from which f08ubf is called.

Constraint:

ldbb \geq kb + 1

11: $q (ldq *)$ – Real (Kind=nag_wp) array Output

Note: the second dimension of the array q must be at least

\max (1, n)

jobz ='V'

, and at least

1

otherwise.

On exit: if

jobz ='V'

, the

n

n

matrix,

Q

used in the reduction of the standard form, i.e.,

C x = λ x

, from symmetric banded to tridiagonal form.

jobz ='N'

, q is not referenced.

12: $ldq$ – Integer Input

On entry: the first dimension of the array q as declared in the (sub)program from which f08ubf is called.

Constraints:

if $jobz ='V'$ , $ldq \geq \max (1, n)$ ;
otherwise $ldq \geq 1$ .

13: $vl$ – Real (Kind=nag_wp) Input

14: $vu$ – Real (Kind=nag_wp) Input

On entry: if

range ='V'

, the lower and upper bounds of the interval to be searched for eigenvalues.

range ='A'

'I'

, vl and vu are not referenced.

Constraint: if

range ='V'

vl < vu

15: $il$ – Integer Input

16: $iu$ – Integer Input

On entry: if

range ='I'

, il and iu specify the indices (in ascending order) of the smallest and largest eigenvalues to be returned, respectively.

range ='A'

'V'

, il and iu are not referenced.

Constraints:

if $range ='I'$ and $n = 0$ , $il = 1$ and $iu = 0$ ;
if $range ='I'$ and $n > 0$ , $1 \leq il \leq iu \leq n$ .

17: $abstol$ – Real (Kind=nag_wp) Input

On entry: the absolute error tolerance for the eigenvalues. An approximate eigenvalue is accepted as converged when it is determined to lie in an interval

[a, b]

of width less than or equal to

abstol + ε \max (|a|, |b|),

where

ε

is the machine precision. If abstol is less than or equal to zero, then

ε {‖T‖}_{1}

will be used in its place, where

T

is the tridiagonal matrix obtained by reducing

C

to tridiagonal form. Eigenvalues will be computed most accurately when abstol is set to twice the underflow threshold

2 \times x02amf ()

, not zero. If this routine returns with

info = 1, \dots, n

, indicating that some eigenvectors did not converge, try setting abstol to

2 \times x02amf ()

. See Demmel and Kahan (1990).

18: $m$ – Integer Output

On exit: the total number of eigenvalues found.

0 \leq m \leq n

range ='A'

m = n

range ='I'

m = iu - il + 1

19: $w (n)$ – Real (Kind=nag_wp) array Output

On exit: the eigenvalues in ascending order.

20: $z (ldz *)$ – Real (Kind=nag_wp) array Output

Note: the second dimension of the array z must be at least

\max (1, m)

jobz ='V'

, and at least

1

otherwise.

On exit: if

jobz ='V'

, then

if $info = 0$ , the first m columns of $Z$ contain the eigenvectors corresponding to the selected eigenvalues, with the $i$ th column of $Z$ holding the eigenvector associated with $w (i)$ . The eigenvectors are normalized so that $Z^{T} B Z = I$ ;
if an eigenvector fails to converge ( $info = 1, \dots, n$ ), then that column of $Z$ contains the latest approximation to the eigenvector, and the index of the eigenvector is returned in jfail.

jobz ='N'

, z is not referenced.

Note: you must ensure that at least

\max (1, m)

columns are supplied in the array z; if

range ='V'

, the exact value of m is not known in advance and an upper bound of at least n must be used.

21: $ldz$ – Integer Input

On entry: the first dimension of the array z as declared in the (sub)program from which f08ubf is called.

Constraints:

if $jobz ='V'$ , $ldz \geq \max (1, n)$ ;
otherwise $ldz \geq 1$ .

22: $work (7 \times n)$ – Real (Kind=nag_wp) array Workspace

23: $iwork (5 \times n)$ – Integer array Workspace

24: $jfail (*)$ – Integer array Output

Note: the dimension of the array jfail must be at least

\max (1, n)

On exit: if

jobz ='V'

, then

if $info = 0$ , the first m elements of jfail are zero;
if $info = 1, \dots, n$ , the first info elements of jfail contains the indices of the eigenvectors that failed to converge.

jobz ='N'

, jfail is not referenced.

25: $info$ – Integer Output

On exit:

info = 0

unless the routine detects an error (see Section 6).

6 Error Indicators and Warnings

$info < 0$: If $info = - i$ , argument $i$ had an illegal value. An explanatory message is output, and execution of the program is terminated.

$info = 1, \dots, n$: The algorithm failed to converge; $〈value〉$ eigenvectors did not converge. Their indices are stored in array jfail.

$info > n$: If $info = n + 〈value〉$ , for $1 \leq 〈value〉 \leq n$ , f08uff returned $info = 〈value〉$ : $B$ is not positive definite. The factorization of $B$ could not be completed and no eigenvalues or eigenvectors were computed.

7 Accuracy

B

is ill-conditioned with respect to inversion, then the error bounds for the computed eigenvalues and vectors may be large, although when the diagonal elements of

B

differ widely in magnitude the eigenvalues and eigenvectors may be less sensitive than the condition of

B

would suggest. See Section 4.10 of Anderson et al. (1999) for details of the error bounds.

8 Parallelism and Performance

f08ubf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

f08ubf 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.

9 Further Comments

The total number of floating-point operations is proportional to

n^{3}

jobz ='V'

and

range ='A'

, and assuming that

n ≫ k_{a}

, is approximately proportional to

n^{2} k_{a}

jobz ='N'

. Otherwise the number of floating-point operations depends upon the number of eigenvectors computed.

The complex analogue of this routine is f08upf.

10 Example

This example finds the eigenvalues in the half-open interval

(0.0, 1.0]

, and corresponding eigenvectors, of the generalized band symmetric eigenproblem

A z = λ B z

, where

A = (\begin{array}{r} 0.24 & 0.39 & 0.42 & 0 \\ 0.39 & - 0.11 & 0.79 & 0.63 \\ 0.42 & 0.79 & - 0.25 & 0.48 \\ 0 & 0.63 & 0.48 & - 0.03 \end{array}) and B = (\begin{array}{r} 2.07 & 0.95 & 0 & 0 \\ 0.95 & 1.69 & - 0.29 & 0 \\ 0 & - 0.29 & 0.65 & - 0.33 \\ 0 & 0 & - 0.33 & 1.17 \end{array}) .

Interfaces: FL CL AD

NAG FL Interface Introduction

F08 (Lapackeig) Chapter Contents

F08 (Lapackeig) Chapter Introduction

f08ub: FL CL AD

NAG FL Interfacef08ubf (dsbgvx)

▸▿ 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 FL Interface
f08ubf (dsbgvx)