if $job = 1$ , the discrete convolution of $x$ and $y$ , defined by
$z_{k} = \sum_{j = 0}^{n - 1} x_{j} y_{k - j} = \sum_{j = 0}^{n - 1} x_{k - j} y_{j};$
if $job = 2$ , the discrete correlation of $x$ and $y$ defined by
$w_{k} = \sum_{j = 0}^{n - 1} x_{j} y_{k + j} .$

Here

x

and

y

are real vectors, assumed to be periodic, with period

n

, i.e.,

x_{j} = x_{j \pm n} = x_{j \pm 2 n} = \dots

;

z

and

w

are then also periodic with period

n

Note: this usage of the terms ‘convolution’ and ‘correlation’ is taken from Brigham (1974). The term ‘convolution’ is sometimes used to denote both these computations.

\hat{x}

\hat{y}

\hat{z}

and

\hat{w}

are the discrete Fourier transforms of these sequences, i.e.,

{\hat{x}}_{k} = \frac{1}{\sqrt{n}} \sum_{j = 0}^{n - 1} x_{j} \times \exp (- i \frac{2 π j k}{n}), etc.,

then

{\hat{z}}_{k} = \sqrt{n} . {\hat{x}}_{k} {\hat{y}}_{k}

and

{\hat{w}}_{k} = \sqrt{n} . {\bar{\hat{x}}}_{k} {\hat{y}}_{k}

(the bar denoting complex conjugate).

This routine calls the same auxiliary routines as c06paf to compute discrete Fourier transforms.

4 References

Brigham E O (1974) The Fast Fourier Transform Prentice–Hall

5 Arguments

1: $job$ – Integer Input

On entry: the computation to be performed.

$job = 1$: $z_{k} = \sum_{j = 0}^{n - 1} x_{j} y_{k - j}$ (convolution);
$job = 2$: $w_{k} = \sum_{j = 0}^{n - 1} x_{j} y_{k + j}$ (correlation).

Constraint:

job = 1

2

2: $x (n)$ – Real (Kind=nag_wp) array Input/Output

On entry: the elements of one period of the vector

x

. If x is declared with bounds

(0 : n - 1)

in the subroutine from which c06fkf is called,

x (j)

must contain

x_{j}

, for

j = 0, 1, \dots, n - 1

On exit: the corresponding elements of the discrete convolution or correlation.

3: $y (n)$ – Real (Kind=nag_wp) array Input/Output

On entry: the elements of one period of the vector

y

. If y is declared with bounds

(0 : n - 1)

in the subroutine from which c06fkf is called,

y (j)

must contain

y_{j}

, for

j = 0, 1, \dots, n - 1

On exit: the discrete Fourier transform of the convolution or correlation returned in the array x; the transform is stored in Hermitian form; if the components of the transform

z_{k}

are written as

a_{k} + i b_{k}

, then for

0 \leq k \leq n / 2

a_{k}

is contained in

y (k)

, and for

1 \leq k \leq n / 2 - 1

b_{k}

is contained in

y (n - k)

. (See also Section 2.1.2 in the C06 Chapter Introduction.)

4: $n$ – Integer Input

On entry:

n

, the number of values in one period of the vectors x and y.

Constraint:

n > 1

5: $work (n)$ – Real (Kind=nag_wp) array Workspace

6: $ifail$ – Integer Input/Output

On entry: ifail must be set to

0

- 1

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

1

is recommended. If message printing is undesirable, then the value

1

is recommended. Otherwise, the value

0

is recommended. When the value $- 1$ or $1$ is used it is essential to test the value of ifail on exit.

On exit:

ifail = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

ifail = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by x04aaf).

Errors or warnings detected by the routine:

$ifail = 3$: On entry, $n = 〈value〉$ .
Constraint: $n > 1$ .

$ifail = 4$: On entry, $job = 〈value〉$ .
Constraint: $job = 1$ or $2$ .

$ifail = - 99$: 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.

$ifail = - 399$: 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.

$ifail = - 999$: Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

The results should be accurate to within a small multiple of the machine precision.

8 Parallelism and Performance

c06fkf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

c06fkf 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 time taken is approximately proportional to

n \times \log (n)

, but also depends on the factorization of

n

. c06fkf is faster if the only prime factors of

n

are

2

3

5

; and fastest of all if

n

is a power of

2

10 Example

This example reads in the elements of one period of two real vectors

x

and

y

, and prints their discrete convolution and correlation (as computed by c06fkf). In realistic computations the number of data values would be much larger.

c06fk: FL CL CPP AD

NAG FL Interfacec06fkf (convcorr_​real)

▸▿ 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
c06fkf (convcorr_real)