NAG Library Chapter Introduction

1Scope of the Chapter

This chapter is concerned with the calculation of determinants of square matrices.

2Background to the Problems

The functions in this chapter compute the determinant of a square matrix $A$. The matrix is assumed to have first been decomposed into triangular factors
 $A=LU ,$
using functions from Chapter f07.
If $A$ is positive definite, then $U={L}^{\mathrm{T}}$, and the determinant is the product of the squares of the diagonal elements of $L$. Otherwise, the functions in this chapter use the Dolittle form of the $LU$ decomposition, where $L$ has unit elements on its diagonal. The determinant is then the product of the diagonal elements of $U$, taking account of possible sign changes due to row interchanges.
To avoid overflow or underflow in the computation of the determinant, some scaling is associated with each multiplication in the product of the relevant diagonal elements. The final value is represented by
 $det⁡A=d×2id$
where $id$ is an integer and
 $116≤d<1 .$
For complex valued determinants the real and imaginary parts are scaled separately.

3Recommendations on Choice and Use of Available Functions

It is extremely wasteful of computer time and storage to use an inappropriate function, for example to use a function requiring a complex matrix when $A$ is real. Most programmers will know whether their matrix is real or complex, but may be less certain whether or not a real symmetric matrix $A$ is positive definite, i.e., all eigenvalues of $A>0$. A real symmetric matrix $A$ not known to be positive definite must be treated as a general real matrix.

4Decision Trees

Tree 1

 Is $A$ a real matrix? Is $A$ a symmetric positive definite matrix? Is $A$ a banded matrix? f07hdc and f03bhc yes yes yes no no no f07fdc and f03bfc f07adc and f03bac f07arc and f03bnc
Note: if at any stage the answer to a question is ‘Don't know’ this should be read as ‘No’.

5Functionality Index

 Determinants of factorized matrices,
 complex matrix nag_det_complex_gen (f03bnc)
 real matrix nag_det_real_gen (f03bac)
 real symmetric band positive definite matrix nag_det_real_band_sym (f03bhc)
 real symmetric positive definite matrix nag_det_real_sym (f03bfc)

None.

7Functions Withdrawn or Scheduled for Withdrawal

The following lists all those functions that have been withdrawn since Mark 23 of the Library or are scheduled for withdrawal at one of the next two marks.
 WithdrawnFunction Mark ofWithdrawal Replacement Function(s) nag_real_cholesky (f03aec) 25 nag_dpotrf (f07fdc) and nag_det_real_sym (f03bfc) nag_real_lu (f03afc) 25 nag_dgetrf (f07adc) and nag_det_real_gen (f03bac) nag_complex_lu (f03ahc) 25 nag_zgetrf (f07arc) and nag_det_complex_gen (f03bnc)
Fox L (1964) An Introduction to Numerical Linear Algebra Oxford University Press
Wilkinson J H and Reinsch C (1971) Handbook for Automatic Computation II, Linear Algebra Springer–Verlag
© The Numerical Algorithms Group Ltd, Oxford, UK. 2017