void	f07mpc (Nag_OrderType order, Nag_FactoredFormType fact, Nag_UploType uplo, Integer n, Integer nrhs, const Complex a[], Integer pda, Complex af[], Integer pdaf, Integer ipiv[], const Complex b[], Integer pdb, Complex x[], Integer pdx, double rcond, double ferr[], double berr[], NagError fail)

The function may be called by the names: f07mpc, nag_lapacklin_zhesvx or nag_zhesvx.

3 Description

f07mpc performs the following steps:

1.If $fact = Nag_NotFactored$ , the diagonal pivoting method is used to factor $A$ . The form of the factorization is $A = U D U^{H}$ if $uplo = Nag_Upper$ or $A = L D L^{H}$ if $uplo = Nag_Lower$ , where $U$ (or $L$ ) is a product of permutation and unit upper (lower) triangular matrices, and $D$ is Hermitian and block diagonal with $1 \times 1$ and $2 \times 2$ diagonal blocks.
2.If some $d_{i i} = 0$ , so that $D$ is exactly singular, then the function returns with $fail . errnum = i$ and $fail . code =$ NE_SINGULAR. Otherwise, the factored form of $A$ is used to estimate the condition number of the matrix $A$ . If the reciprocal of the condition number is less than machine precision, $fail . code =$ NE_SINGULAR_WP is returned as a warning, but the function still goes on to solve for $X$ and compute error bounds as described below.
3.The system of equations is solved for $X$ using the factored form of $A$ .
4.Iterative refinement is applied to improve the computed solution matrix and to calculate error bounds and backward error estimates for it.

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

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

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: $fact$ – Nag_FactoredFormType Input

On entry: specifies whether or not the factorized form of the matrix

A

has been supplied.

$fact = Nag_Factored$: af and ipiv contain the factorized form of the matrix $A$ . af and ipiv will not be modified.
$fact = Nag_NotFactored$: The matrix $A$ will be copied to af and factorized.

Constraint:

fact = Nag_Factored

Nag_NotFactored

3: $uplo$ – Nag_UploType Input

On entry: if

uplo = Nag_Upper

, the upper triangle of

A

is stored.

uplo = Nag_Lower

, the lower triangle of

A

is stored.

Constraint:

uplo = Nag_Upper

Nag_Lower

4: $n$ – Integer Input

On entry:

n

, the number of linear equations, i.e., the order of the matrix

A

Constraint:

n \geq 0

5: $nrhs$ – Integer Input

On entry:

r

, the number of right-hand sides, i.e., the number of columns of the matrix

B

Constraint:

nrhs \geq 0

6: $a [\dim]$ – const Complex Input

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

\max (1, pda \times n)

On entry: the

n \times n

Hermitian matrix

A

order = Nag_ColMajor

A_{i j}

is stored in

a [(j - 1) \times pda + i - 1]

order = Nag_RowMajor

A_{i j}

is stored in

a [(i - 1) \times pda + j - 1]

uplo = Nag_Upper

, the upper triangular part of

A

must be stored and the elements of the array below the diagonal are not referenced.

uplo = Nag_Lower

, the lower triangular part of

A

must be stored and the elements of the array above the diagonal are not referenced.

7: $pda$ – Integer Input

On entry: the stride separating row or column elements (depending on the value of order) of the matrix

A

in the array a.

Constraint:

pda \geq \max (1, n)

8: $af [\dim]$ – Complex Input/Output

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

\max (1, pdaf \times n)

The

(i, j)

th element of the matrix is stored in

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

On entry: if

fact = Nag_Factored

, af contains the block diagonal matrix

D

and the multipliers used to obtain the factor

U

L

from the factorization

a = U D U^{H}

a = L D L^{H}

as computed by f07mrc.

On exit: if

fact = Nag_NotFactored

, af returns the block diagonal matrix

D

and the multipliers used to obtain the factor

U

L

from the factorization

a = U D U^{H}

a = L D L^{H}

9: $pdaf$ – Integer Input

On entry: the stride separating row or column elements (depending on the value of order) of the matrix

A

in the array af.

Constraint:

pdaf \geq \max (1, n)

10: $ipiv [\dim]$ – Integer Input/Output

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

\max (1, n)

On entry: if

fact = Nag_Factored

, ipiv contains details of the interchanges and the block structure of

D

, as determined by f07mrc.

if $ipiv [i - 1] = k > 0$ , $d_{i i}$ is a $1 \times 1$ pivot block and the $i$ th row and column of $A$ were interchanged with the $k$ th row and column;
if $uplo = Nag_Upper$ and $ipiv [i - 2] = ipiv [i - 1] = - l < 0$ , $(\begin{matrix} d_{i - 1, i - 1} & {\bar{d}}_{i, i - 1} \\ {\bar{d}}_{i, i - 1} & d_{i i} \end{matrix})$ is a $2 \times 2$ pivot block and the $(i - 1)$ th row and column of $A$ were interchanged with the $l$ th row and column;
if $uplo = Nag_Lower$ and $ipiv [i - 1] = ipiv [i] = - m < 0$ , $(\begin{matrix} d_{i i} & d_{i + 1, i} \\ d_{i + 1, i} & d_{i + 1, i + 1} \end{matrix})$ is a $2 \times 2$ pivot block and the $(i + 1)$ th row and column of $A$ were interchanged with the $m$ th row and column.

On exit: if

fact = Nag_NotFactored

, ipiv contains details of the interchanges and the block structure of

D

, as determined by f07mrc, as described above.

11: $b [\dim]$ – const Complex Input

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 \times r

right-hand side matrix

B

12: $pdb$ – 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 $order = Nag_RowMajor$ , $pdb \geq \max (1, nrhs)$ .

13: $x [\dim]$ – Complex Output

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

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

The

(i, j)

th element of the matrix

X

is stored in

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

On exit: if

fail . code =

NE_NOERROR or NE_SINGULAR_WP, the

n \times r

solution matrix

X

14: $pdx$ – Integer Input

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

Constraints:

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

15: $rcond$ – double * Output

On exit: the estimate of the reciprocal condition number of the matrix

A

. If

rcond = 0.0

, the matrix may be exactly singular. This condition is indicated by

fail . code =

NE_SINGULAR. Otherwise, if rcond is less than the machine precision, the matrix is singular to working precision. This condition is indicated by

fail . code =

NE_SINGULAR_WP.

16: $ferr [\dim]$ – double Output

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

\max (1, nrhs)

On exit: if

fail . code =

NE_NOERROR or NE_SINGULAR_WP, an estimate of the forward error bound for each computed solution vector, such that

{‖ {\hat{x}}_{j} - x_{j} ‖}_{\infty} / {‖ x_{j} ‖}_{\infty} \leq ferr [j - 1]

where

{\hat{x}}_{j}

is the

j

th column of the computed solution returned in the array x and

x_{j}

is the corresponding column of the exact solution

X

. The estimate is as reliable as the estimate for rcond, and is almost always a slight overestimate of the true error.

17: $berr [\dim]$ – double Output

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

\max (1, nrhs)

On exit: if

fail . code =

NE_NOERROR or NE_SINGULAR_WP, an estimate of the component-wise relative backward error of each computed solution vector

{\hat{x}}_{j}

(i.e., the smallest relative change in any element of

A

B

that makes

{\hat{x}}_{j}

an exact solution).

18: $fail$ – 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.
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, $pdaf = ⟨ value ⟩$ .
Constraint: $pdaf > 0$ .

On entry, $pdb = ⟨ value ⟩$ .
Constraint: $pdb > 0$ .

On entry, $pdx = ⟨ value ⟩$ .
Constraint: $pdx > 0$ .
NE_INT_2: On entry, $pda = ⟨ value ⟩$ and $n = ⟨ value ⟩$ .
Constraint: $pda \geq \max (1, n)$ .

On entry, $pdaf = ⟨ value ⟩$ and $n = ⟨ value ⟩$ .
Constraint: $pdaf \geq \max (1, n)$ .

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

On entry, $pdb = ⟨ value ⟩$ and $nrhs = ⟨ value ⟩$ .
Constraint: $pdb \geq \max (1, nrhs)$ .

On entry, $pdx = ⟨ value ⟩$ and $n = ⟨ value ⟩$ .
Constraint: $pdx \geq \max (1, n)$ .

On entry, $pdx = ⟨ value ⟩$ and $nrhs = ⟨ value ⟩$ .
Constraint: $pdx \geq \max (1, nrhs)$ .
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_SINGULAR: Element $⟨ value ⟩$ of the diagonal is exactly zero. The factorization has been completed, but the factor $D$ is exactly singular, so the solution and error bounds could not be computed. $rcond = 0.0$ is returned.
NE_SINGULAR_WP: $D$ is nonsingular, but rcond is less than machine precision, meaning that the matrix is singular to working precision. Nevertheless, the solution and error bounds are computed because there are a number of situations where the computed solution can be more accurate than the value of rcond would suggest.

7 Accuracy

For each right-hand side vector

b

, the computed solution

\hat{x}

is the exact solution of a perturbed system of equations

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

, where

{‖ E ‖}_{1} = O (ε) {‖ A ‖}_{1},

where

ε

is the machine precision. See Chapter 11 of Higham (2002) for further details.

\hat{x}

is the true solution, then the computed solution

x

satisfies a forward error bound of the form

\frac{{‖ x - \hat{x} ‖}_{\infty}}{{‖ \hat{x} ‖}_{\infty}} \leq w_{c} cond (A, \hat{x}, b)

where

cond (A, \hat{x}, b) = {‖ | A^{- 1} | (| A | | \hat{x} | + | b |) ‖}_{\infty} / {‖ \hat{x} ‖}_{\infty} \leq cond (A) = {‖ | A^{- 1} | | A | ‖}_{\infty} \leq κ_{\infty} (A)

. If

\hat{x}

is the

j

th column of

X

, then

w_{c}

is returned in

berr [j - 1]

and a bound on

{‖ x - \hat{x} ‖}_{\infty} / {‖ \hat{x} ‖}_{\infty}

is returned in

ferr [j - 1]

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

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.

f07mpc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

f07mpc 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 factorization of

A

requires approximately

\frac{4}{3} n^{3}

floating-point operations.

For each right-hand side, computation of the backward error involves a minimum of

16 n^{2}

floating-point operations. Each step of iterative refinement involves an additional

24 n^{2}

operations. At most five steps of iterative refinement are performed, but usually only one or two steps are required. Estimating the forward error involves solving a number of systems of equations of the form

A x = b

; the number is usually

4

5

and never more than

11

. Each solution involves approximately

8 n^{2}

operations.

The real analogue of this function is f07mbc. The complex symmetric analogue of this function is f07npc.

10 Example

This example solves the equations

A X = B,

where

A

is the Hermitian matrix

A = (\begin{array}{r} - 1.84 & 0.11 - 0.11 i & - 1.78 - 1.18 i & 3.91 - 1.50 i \\ 0.11 + 0.11 i & - 4.63 & - 1.84 + 0.03 i & 2.21 + 0.21 i \\ - 1.78 + 1.18 i & - 1.84 - 0.03 i & - 8.87 & 1.58 - 0.90 i \\ 3.91 + 1.50 i & 2.21 - 0.21 i & 1.58 + 0.90 i & - 1.36 \end{array})

and

B = (\begin{array}{r} 2.98 - 10.18 i & 28.68 - 39.89 i \\ - 9.58 + 3.88 i & - 24.79 - 8.40 i \\ - 0.77 - 16.05 i & 4.23 - 70.02 i \\ 7.79 + 5.48 i & - 35.39 + 18.01 i \end{array}) .

Error estimates for the solutions, and an estimate of the reciprocal of the condition number of the matrix

A

are also output.

f07mp: FL CL CPP AD PY MB

NAG CL Interfacef07mpc (zhesvx)

▸▿ 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
f07mpc (zhesvx)