The function may be called by the names: f07cpc, nag_lapacklin_zgtsvx or nag_zgtsvx.
3Description
f07cpc performs the following steps:
1.If , the decomposition is used to factor the matrix as , where is a product of permutation and unit lower bidiagonal matrices and is upper triangular with nonzeros in only the main diagonal and first two superdiagonals.
2.If some , so that is exactly singular, then the function returns with . Otherwise, the factored form of is used to estimate the condition number of the matrix . If the reciprocal of the condition number is less than machine precision, NE_SINGULAR_WP is returned as a warning, but the function still goes on to solve for and compute error bounds as described below.
3.The system of equations is solved for using the factored form of .
4.Iterative refinement is applied to improve the computed solution matrix and to calculate error bounds and backward error estimates for it.
4References
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
5Arguments
1: – Nag_OrderTypeInput
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 . 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:
or .
2: – Nag_FactoredFormTypeInput
On entry: specifies whether or not the factorized form of the matrix has been supplied.
The matrix will be copied to dlf, df and duf and factorized.
Constraint:
or .
3: – Nag_TransTypeInput
On entry: specifies the form of the system of equations.
(No transpose).
(Transpose).
(Conjugate transpose).
Constraint:
, or .
4: – IntegerInput
On entry: , the order of the matrix .
Constraint:
.
5: – IntegerInput
On entry: , the number of right-hand sides, i.e., the number of columns of the matrix .
Constraint:
.
6: – const ComplexInput
Note: the dimension, dim, of the array dl
must be at least
.
On entry: the subdiagonal elements of .
7: – const ComplexInput
Note: the dimension, dim, of the array d
must be at least
.
On entry: the diagonal elements of .
8: – const ComplexInput
Note: the dimension, dim, of the array du
must be at least
.
On entry: the superdiagonal elements of .
9: – ComplexInput/Output
Note: the dimension, dim, of the array dlf
must be at least
.
On entry: if , dlf contains the multipliers that define the matrix from the factorization of .
On exit: if , dlf contains the multipliers that define the matrix from the factorization of .
10: – ComplexInput/Output
Note: the dimension, dim, of the array df
must be at least
.
On entry: if , df contains the diagonal elements of the upper triangular matrix from the factorization of .
On exit: if , df contains the diagonal elements of the upper triangular matrix from the factorization of .
11: – ComplexInput/Output
Note: the dimension, dim, of the array duf
must be at least
.
On entry: if , duf contains the elements of the first superdiagonal of .
On exit: if , duf contains the elements of the first superdiagonal of .
12: – ComplexInput/Output
Note: the dimension, dim, of the array du2
must be at least
.
On entry: if , du2 contains the () elements of the second superdiagonal of .
On exit: if , du2 contains the () elements of the second superdiagonal of .
13: – IntegerInput/Output
Note: the dimension, dim, of the array ipiv
must be at least
.
On entry: if , ipiv contains the pivot indices from the factorization of .
On exit: if , ipiv contains the pivot indices from the factorization of ; row of the matrix was interchanged with row . will always be either or ; indicates a row interchange was not required.
14: – const ComplexInput
Note: the dimension, dim, of the array b
must be at least
when
;
when
.
The th element of the matrix is stored in
when ;
when .
On entry: the right-hand side matrix .
15: – IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array b.
Constraints:
if ,
;
if , .
16: – ComplexOutput
Note: the dimension, dim, of the array x
must be at least
when
;
when
.
The th element of the matrix is stored in
when ;
when .
On exit: if NE_NOERROR or NE_SINGULAR_WP, the solution matrix .
17: – IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array x.
Constraints:
if ,
;
if , .
18: – double *Output
On exit: the estimate of the reciprocal condition number of the matrix . If , the matrix may be exactly singular. This condition is indicated by NE_SINGULAR. Otherwise, if rcond is less than the machine precision, the matrix is singular to working precision. This condition is indicated by NE_SINGULAR_WP.
19: – doubleOutput
On exit: if NE_NOERROR or NE_SINGULAR_WP, an estimate of the forward error bound for each computed solution vector, such that where is the th column of the computed solution returned in the array x and is the corresponding column of the exact solution . The estimate is as reliable as the estimate for rcond, and is almost always a slight overestimate of the true error.
20: – doubleOutput
On exit: if NE_NOERROR or NE_SINGULAR_WP, an estimate of the component-wise relative backward error of each computed solution vector (i.e., the smallest relative change in any element of or that makes an exact solution).
21: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error 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_INT
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, . Constraint: .
On entry, . Constraint: .
NE_INT_2
On entry, and .
Constraint: .
On entry, and .
Constraint: .
On entry, and .
Constraint: .
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.
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 of the diagonal is exactly zero.
The factorization has been completed, but the factor
is exactly singular, so the solution and error bounds could not be computed.
is returned.
Element of the diagonal is exactly zero.
The factorization has not been completed, but the factor is exactly
singular, so the solution and error bounds could not be computed.
is returned.
NE_SINGULAR_WP
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.
7Accuracy
For each right-hand side vector , the computed solution is the exact solution of a perturbed system of equations , where
is a modest linear function of , and is the machine precision. See Section 9.3 of Higham (2002) for further details.
If is the true solution, then the computed solution satisfies a forward error bound of the form
where
.
If is the th column of , then is returned in and a bound on is returned in . See Section 4.4 of Anderson et al. (1999) for further details.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
f07cpc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f07cpc 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.
9Further Comments
The total number of floating-point operations required to solve the equations is proportional to .
The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization. The solution is then refined, and the errors estimated, using iterative refinement.
In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of Higham (2002) for further details.