NAG CL Interface
f01elc (real_gen_matrix_fun_num)
1
Purpose
f01elc computes the matrix function, , of a real by matrix . Numerical differentiation is used to evaluate the derivatives of when they are required.
2
Specification
void |
f01elc (Integer n,
double a[],
Integer pda,
void |
(*f)(Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm),
|
|
Nag_Comm *comm, Integer *iflag,
double *imnorm,
NagError *fail) |
|
The function may be called by the names: f01elc or nag_matop_real_gen_matrix_fun_num.
3
Description
is computed using the Schur–Parlett algorithm described in
Higham (2008) and
Davies and Higham (2003). The coefficients of the Taylor series used in the algorithm are evaluated using the numerical differentiation algorithm of
Lyness and Moler (1967).
The scalar function
is supplied via function
f which evaluates
at a number of points
.
4
References
Davies P I and Higham N J (2003) A Schur–Parlett algorithm for computing matrix functions SIAM J. Matrix Anal. Appl. 25(2) 464–485
Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA
Lyness J N and Moler C B (1967) Numerical differentiation of analytic functions SIAM J. Numer. Anal. 4(2) 202–210
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
-
The function
f evaluates
at a number of points
.
The specification of
f is:
void |
f (Integer *iflag,
Integer nz,
const Complex z[],
Complex fz[],
Nag_Comm *comm)
|
|
-
1:
– 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
f01elc will terminate the computation, with
NE_USER_STOP.
-
2:
– Integer
Input
-
On entry: , the number of function values required.
-
3:
– const Complex
Input
-
On entry: the points at which the function is to be evaluated.
-
4:
– Complex
Output
-
On exit: the function values.
should return the value , for . If lies on the real line, then so must .
-
5:
– 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
f01elc you may allocate memory and initialize these pointers with various quantities for use by
f when called from
f01elc (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
f01elc. If your code inadvertently
does return any NaNs or infinities,
f01elc 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: if
has complex eigenvalues,
f01elc will use complex arithmetic to compute
. The imaginary part is discarded at the end of the computation, because it will theoretically vanish.
imnorm contains the
-norm of the imaginary part, which should be used to check that the routine has given a reliable answer.
If
a has real eigenvalues,
f01elc uses real arithmetic and
.
-
8:
– 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_CONVERGENCE
-
A Taylor series failed to converge after terms. Further Taylor series coefficients can no longer reliably be obtained by numerical differentiation.
- 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 unexpected internal error occurred when ordering the eigenvalues of
. Please contact
NAG.
The function was unable to compute the Schur decomposition of .
Note: this failure should not occur and suggests that the function has been called incorrectly.
There was an error whilst reordering the Schur form of .
Note: this failure should not occur and suggests that the function has been called incorrectly.
- 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
-
Termination requested in
f.
7
Accuracy
For a normal matrix
(for which
) the Schur decomposition is diagonal and the algorithm reduces to evaluating
at the eigenvalues of
and then constructing
using the Schur vectors. See Section 9.4 of
Higham (2008) for further discussion of the Schur–Parlett algorithm, and
Lyness and Moler (1967) for a discussion of numerical differentiation.
8
Parallelism and Performance
f01elc 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.
f01elc 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 Integer allocatable memory required is . If has real eigenvalues then up to of double allocatable memory may be required. If has complex eigenvalues then up to of Complex allocatable memory may be required.
The cost of the Schur–Parlett algorithm depends on the spectrum of
, but is roughly between
and
floating-point operations. There is an additional cost in numerically differentiating
, in order to obtain the Taylor series coefficients. If the derivatives of
are known analytically, then
f01emc can be used to evaluate
more accurately. If
is real symmetric then it is recommended that
f01efc be used as it is more efficient and, in general, more accurate than
f01elc.
For any on the real line, must be real. must also be complex analytic on the spectrum of . These conditions ensure that is real for real .
For further information on matrix functions, see
Higham (2008).
If estimates of the condition number of the matrix function are required then
f01jbc should be used.
f01flc can be used to find the matrix function
for a complex matrix
.
10
Example
This example finds
where
10.1
Program Text
10.2
Program Data
10.3
Program Results