NAG FL Interface
c05rcf (sys_deriv_expert)
1
Purpose
c05rcf is a comprehensive routine that finds a solution of a system of nonlinear equations by a modification of the Powell hybrid method. You must provide the Jacobian.
2
Specification
Fortran Interface
Subroutine c05rcf ( 
fcn, n, x, fvec, fjac, xtol, maxfev, mode, diag, factor, nprint, nfev, njev, r, qtf, iuser, ruser, ifail) 
Integer, Intent (In) 
:: 
n, maxfev, mode, nprint 
Integer, Intent (Inout) 
:: 
iuser(*), ifail 
Integer, Intent (Out) 
:: 
nfev, njev 
Real (Kind=nag_wp), Intent (In) 
:: 
xtol, factor 
Real (Kind=nag_wp), Intent (Inout) 
:: 
x(n), diag(n), ruser(*) 
Real (Kind=nag_wp), Intent (Out) 
:: 
fvec(n), fjac(n,n), r(n*(n+1)/2), qtf(n) 
External 
:: 
fcn 

C Header Interface
#include <nag.h>
void 
c05rcf_ ( void (NAG_CALL *fcn)(const Integer *n, const double x[], double fvec[], double fjac[], Integer iuser[], double ruser[], Integer *iflag), const Integer *n, double x[], double fvec[], double fjac[], const double *xtol, const Integer *maxfev, const Integer *mode, double diag[], const double *factor, const Integer *nprint, Integer *nfev, Integer *njev, double r[], double qtf[], Integer iuser[], double ruser[], Integer *ifail) 

C++ Header Interface
#include <nag.h> extern "C" {
void 
c05rcf_ ( void (NAG_CALL *fcn)(const Integer &n, const double x[], double fvec[], double fjac[], Integer iuser[], double ruser[], Integer &iflag), const Integer &n, double x[], double fvec[], double fjac[], const double &xtol, const Integer &maxfev, const Integer &mode, double diag[], const double &factor, const Integer &nprint, Integer &nfev, Integer &njev, double r[], double qtf[], Integer iuser[], double ruser[], Integer &ifail) 
}

The routine may be called by the names c05rcf or nagf_roots_sys_deriv_expert.
3
Description
The system of equations is defined as:
c05rcf is based on the MINPACK routine HYBRJ (see
Moré et al. (1980)). It chooses the correction at each step as a convex combination of the Newton and scaled gradient directions. The Jacobian is updated by the rank1 method of Broyden. At the starting point, the Jacobian is requested, but it is not asked for again until the rank1 method fails to produce satisfactory progress. For more details see
Powell (1970).
4
References
Moré J J, Garbow B S and Hillstrom K E (1980) User guide for MINPACK1 Technical Report ANL8074 Argonne National Laboratory
Powell M J D (1970) A hybrid method for nonlinear algebraic equations Numerical Methods for Nonlinear Algebraic Equations (ed P Rabinowitz) Gordon and Breach
5
Arguments

1:
$\mathbf{fcn}$ – Subroutine, supplied by the user.
External Procedure

Depending upon the value of
iflag,
fcn must either return the values of the functions
${f}_{i}$ at a point
$x$ or return the Jacobian at
$x$.
The specification of
fcn is:
Fortran Interface
Integer, Intent (In) 
:: 
n 
Integer, Intent (Inout) 
:: 
iuser(*), iflag 
Real (Kind=nag_wp), Intent (In) 
:: 
x(n) 
Real (Kind=nag_wp), Intent (Inout) 
:: 
fvec(n), fjac(n,n), ruser(*) 

C Header Interface
void 
fcn_ (const Integer *n, const double x[], double fvec[], double fjac[], Integer iuser[], double ruser[], Integer *iflag) 

C++ Header Interface
#include <nag.h> extern "C" {
void 
fcn_ (const Integer &n, const double x[], double fvec[], double fjac[], Integer iuser[], double ruser[], Integer &iflag) 
}


1:
$\mathbf{n}$ – Integer
Input

On entry: $n$, the number of equations.

2:
$\mathbf{x}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Input

On entry: the components of the point $x$ at which the functions or the Jacobian must be evaluated.

3:
$\mathbf{fvec}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Input/Output

On entry: if
${\mathbf{iflag}}=0$ or
$2$,
fvec contains the function values
${f}_{i}\left(x\right)$ and must not be changed.
On exit: if
${\mathbf{iflag}}=1$ on entry,
fvec must contain the function values
${f}_{i}\left(x\right)$.

4:
$\mathbf{fjac}\left({\mathbf{n}},{\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Input/Output

On entry: if
${\mathbf{iflag}}=0$,
${\mathbf{fjac}}\left(\mathit{i},\mathit{j}\right)$ contains the value of
$\frac{\partial {f}_{\mathit{i}}}{\partial {x}_{\mathit{j}}}$ at the point
$x$, for
$\mathit{i}=1,2,\dots ,n$ and
$\mathit{j}=1,2,\dots ,n$. When
${\mathbf{iflag}}=0$ or
$1$,
fjac must not be changed.
On exit: if
${\mathbf{iflag}}=2$ on entry,
${\mathbf{fjac}}\left(\mathit{i},\mathit{j}\right)$ must contain the value of
$\frac{\partial {f}_{\mathit{i}}}{\partial {x}_{\mathit{j}}}$ at the point
$x$, for
$\mathit{i}=1,2,\dots ,n$ and
$\mathit{j}=1,2,\dots ,n$, (unless
iflag is set to a negative value by
fcn).

5:
$\mathbf{iuser}\left(*\right)$ – Integer array
User Workspace

6:
$\mathbf{ruser}\left(*\right)$ – Real (Kind=nag_wp) array
User Workspace

fcn is called with the arguments
iuser and
ruser as supplied to
c05rcf. You should use the arrays
iuser and
ruser to supply information to
fcn.

7:
$\mathbf{iflag}$ – Integer
Input/Output

On entry:
${\mathbf{iflag}}=0$,
$1$ or
$2$.
 ${\mathbf{iflag}}=0$
 x, fvec and fjac are available for printing (see nprint).
 ${\mathbf{iflag}}=1$
 fvec is to be updated.
 ${\mathbf{iflag}}=2$
 fjac is to be updated.
On exit: in general,
iflag should not be reset by
fcn. If, however, you wish to terminate execution (perhaps because some illegal point
x has been reached),
iflag should be set to a negative integer value.
fcn must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which
c05rcf is called. Arguments denoted as
Input must
not be changed by this procedure.
Note: fcn should not return floatingpoint NaN (Not a Number) or infinity values, since these are not handled by
c05rcf. If your code inadvertently
does return any NaNs or infinities,
c05rcf is likely to produce unexpected results.

2:
$\mathbf{n}$ – Integer
Input

On entry: $n$, the number of equations.
Constraint:
${\mathbf{n}}>0$.

3:
$\mathbf{x}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Input/Output

On entry: an initial guess at the solution vector.
On exit: the final estimate of the solution vector.

4:
$\mathbf{fvec}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Output

On exit: the function values at the final point returned in
x.

5:
$\mathbf{fjac}\left({\mathbf{n}},{\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Output

On exit: the orthogonal matrix $Q$ produced by the $QR$ factorization of the final approximate Jacobian.

6:
$\mathbf{xtol}$ – Real (Kind=nag_wp)
Input

On entry: the accuracy in
x to which the solution is required.
Suggested value:
$\sqrt{\epsilon}$, where
$\epsilon $ is the
machine precision returned by
x02ajf.
Constraint:
${\mathbf{xtol}}\ge 0.0$.

7:
$\mathbf{maxfev}$ – Integer
Input

On entry: the maximum number of calls to
fcn with
${\mathbf{iflag}}\ne 0$.
c05rcf will exit with
${\mathbf{ifail}}={\mathbf{2}}$, if, at the end of an iteration, the number of calls to
fcn exceeds
maxfev.
Suggested value:
${\mathbf{maxfev}}=100\times \left({\mathbf{n}}+1\right)$.
Constraint:
${\mathbf{maxfev}}>0$.

8:
$\mathbf{mode}$ – Integer
Input

On entry: indicates whether or not you have provided scaling factors in
diag.
If
${\mathbf{mode}}=2$, the scaling must have been specified in
diag.
Otherwise, if ${\mathbf{mode}}=1$, the variables will be scaled internally.
Constraint:
${\mathbf{mode}}=1$ or $2$.

9:
$\mathbf{diag}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Input/Output

On entry: if
${\mathbf{mode}}=2$,
diag must contain multiplicative scale factors for the variables.
If
${\mathbf{mode}}=1$,
diag need not be set.
Constraint:
if ${\mathbf{mode}}=2$, ${\mathbf{diag}}\left(\mathit{i}\right)>0.0$, for $\mathit{i}=1,2,\dots ,n$.
On exit: the scale factors actually used (computed internally if ${\mathbf{mode}}=1$).

10:
$\mathbf{factor}$ – Real (Kind=nag_wp)
Input

On entry: a quantity to be used in determining the initial step bound. In most cases,
factor should lie between
$0.1$ and
$100.0$. (The step bound is
${\mathbf{factor}}\times {\Vert {\mathbf{diag}}\times {\mathbf{x}}\Vert}_{2}$ if this is nonzero; otherwise the bound is
factor.)
Suggested value:
${\mathbf{factor}}=100.0$.
Constraint:
${\mathbf{factor}}>0.0$.

11:
$\mathbf{nprint}$ – Integer
Input

On entry: indicates whether (and how often) special calls to
fcn, with
iflag set to
$0$, are to be made for printing purposes.
 ${\mathbf{nprint}}\le 0$
 No calls are made.
 ${\mathbf{nprint}}>0$
 fcn is called at the beginning of the first iteration, every nprint iterations thereafter and immediately before the return from c05rcf.

12:
$\mathbf{nfev}$ – Integer
Output

On exit: the number of calls made to
fcn to evaluate the functions.

13:
$\mathbf{njev}$ – Integer
Output

On exit: the number of calls made to
fcn to evaluate the Jacobian.

14:
$\mathbf{r}\left({\mathbf{n}}\times \left({\mathbf{n}}+1\right)/2\right)$ – Real (Kind=nag_wp) array
Output

On exit: the upper triangular matrix $R$ produced by the $QR$ factorization of the final approximate Jacobian, stored rowwise.

15:
$\mathbf{qtf}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) array
Output

On exit: the vector ${Q}^{\mathrm{T}}f$.

16:
$\mathbf{iuser}\left(*\right)$ – Integer array
User Workspace

17:
$\mathbf{ruser}\left(*\right)$ – Real (Kind=nag_wp) array
User Workspace

iuser and
ruser are not used by
c05rcf, but are passed directly to
fcn and may be used to pass information to this routine.

18:
$\mathbf{ifail}$ – Integer
Input/Output

On entry:
ifail must be set to
$0$,
$1$ or
$1$ to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of $0$ causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of $1$ means that an error message is printed while a value of $1$ means that it is not.
If halting is not appropriate, the value
$1$ or
$1$ is recommended. If message printing is undesirable, then the value
$1$ is recommended. Otherwise, the value
$0$ is recommended.
When the value $\mathbf{1}$ or $\mathbf{1}$ is used it is essential to test the value of ifail on exit.
On exit:
${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6
Error Indicators and Warnings
If on entry
${\mathbf{ifail}}=0$ or
$1$, explanatory error messages are output on the current error message unit (as defined by
x04aaf).
Errors or warnings detected by the routine:
 ${\mathbf{ifail}}=2$

There have been at least
maxfev calls to
fcn:
${\mathbf{maxfev}}=\u2329\mathit{\text{value}}\u232a$. Consider restarting the calculation from the final point held in
x.
 ${\mathbf{ifail}}=3$

No further improvement in the solution is possible.
xtol is too small:
${\mathbf{xtol}}=\u2329\mathit{\text{value}}\u232a$.
 ${\mathbf{ifail}}=4$

The iteration is not making good progress, as measured by the improvement from the last
$\u2329\mathit{\text{value}}\u232a$ Jacobian evaluations. This failure exit may indicate that the system does not have a zero, or that the solution is very close to the origin (see
Section 7). Otherwise, rerunning
c05rcf from a different starting point may avoid the region of difficulty.
 ${\mathbf{ifail}}=5$

The iteration is not making good progress, as measured by the improvement from the last
$\u2329\mathit{\text{value}}\u232a$ iterations. This failure exit may indicate that the system does not have a zero, or that the solution is very close to the origin (see
Section 7). Otherwise, rerunning
c05rcf from a different starting point may avoid the region of difficulty.
 ${\mathbf{ifail}}=6$

iflag was set negative in
fcn.
${\mathbf{iflag}}=\u2329\mathit{\text{value}}\u232a$.
 ${\mathbf{ifail}}=11$

On entry, ${\mathbf{n}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{n}}>0$.
 ${\mathbf{ifail}}=12$

On entry, ${\mathbf{xtol}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{xtol}}\ge 0.0$.
 ${\mathbf{ifail}}=13$

On entry, ${\mathbf{mode}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{mode}}=1$ or $2$.
 ${\mathbf{ifail}}=14$

On entry, ${\mathbf{factor}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{factor}}>0.0$.
 ${\mathbf{ifail}}=15$

On entry,
${\mathbf{mode}}=2$ and
diag contained a nonpositive element.
 ${\mathbf{ifail}}=18$

On entry, ${\mathbf{maxfev}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{maxfev}}>0$.
 ${\mathbf{ifail}}=99$
An unexpected error has been triggered by this routine. Please
contact
NAG.
See
Section 7 in the Introduction to the NAG Library FL Interface for further information.
 ${\mathbf{ifail}}=399$
Your licence key may have expired or may not have been installed correctly.
See
Section 8 in the Introduction to the NAG Library FL Interface for further information.
 ${\mathbf{ifail}}=999$
Dynamic memory allocation failed.
See
Section 9 in the Introduction to the NAG Library FL Interface for further information.
7
Accuracy
If
$\hat{x}$ is the true solution and
$D$ denotes the diagonal matrix whose entries are defined by the array
diag, then
c05rcf tries to ensure that
If this condition is satisfied with
${\mathbf{xtol}}={10}^{k}$, then the larger components of
$Dx$ have
$k$ significant decimal digits. There is a danger that the smaller components of
$Dx$ may have large relative errors, but the fast rate of convergence of
c05rcf usually obviates this possibility.
If
xtol is less than
machine precision and the above test is satisfied with the
machine precision in place of
xtol, then the routine exits with
${\mathbf{ifail}}={\mathbf{3}}$.
Note: this convergence test is based purely on relative error, and may not indicate convergence if the solution is very close to the origin.
The convergence test assumes that the functions and the Jacobian are coded consistently and that the functions are reasonably well behaved. If these conditions are not satisfied, then
c05rcf may incorrectly indicate convergence. The coding of the Jacobian can be checked using
c05zdf. If the Jacobian is coded correctly, then the validity of the answer can be checked by rerunning
c05rcf with a lower value for
xtol.
8
Parallelism and Performance
c05rcf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
c05rcf 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 implementationspecific information.
Local workspace arrays of fixed lengths are allocated internally by c05rcf. The total size of these arrays amounts to $4\times n$ real elements.
The time required by c05rcf to solve a given problem depends on $n$, the behaviour of the functions, the accuracy requested and the starting point. The number of arithmetic operations executed by c05rcf is approximately $11.5\times {n}^{2}$ to process each evaluation of the functions and approximately $1.3\times {n}^{3}$ to process each evaluation of the Jacobian. The timing of c05rcf is strongly influenced by the time spent evaluating the functions.
Ideally the problem should be scaled so that, at the solution, the function values are of comparable magnitude.
10
Example
This example determines the values
${x}_{1},\dots ,{x}_{9}$ which satisfy the tridiagonal equations:
10.1
Program Text
10.2
Program Data
None.
10.3
Program Results