NAG Library Function Document

nag_herm_posdef_lin_solve (f04cdc)

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

1:    $\mathbf{order}$ – 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 $\mathbf{order}=\mathrm{Nag\_RowMajor}$. See Section 3.3.1.3 in How to Use the NAG Library and its Documentation for a more detailed explanation of the use of this argument.

Constraint: $\mathbf{order}=\mathrm{Nag\_RowMajor}$ or $\mathrm{Nag\_ColMajor}$.

2:    $\mathbf{uplo}$ – Nag_UploTypeInput

On entry: if $\mathbf{uplo}=\mathrm{Nag\_Upper}$, the upper triangle of the matrix $A$ is stored.

If $\mathbf{uplo}=\mathrm{Nag\_Lower}$, the lower triangle of the matrix $A$ is stored.

Constraint: $\mathbf{uplo}=\mathrm{Nag\_Upper}$ or $\mathrm{Nag\_Lower}$.

3:    $\mathbf{n}$ – IntegerInput

On entry: the number of linear equations $n$, i.e., the order of the matrix $A$.

Constraint: $\mathbf{n}\ge 0$.

4:    $\mathbf{nrhs}$ – IntegerInput

On entry: the number of right-hand sides $r$, i.e., the number of columns of the matrix $B$.

Constraint: $\mathbf{nrhs}\ge 0$.

5:    $\mathbf{a}\left[\mathit{dim}\right]$ – ComplexInput/Output

Note: the dimension, dim, of the array a must be at least $\max \left(1,\mathbf{pda}\times \mathbf{n}\right)$.

The $\left(i,j\right)$th element of the matrix $A$ is stored in

• $\mathbf{a}\left[\left(j-1\right)\times \mathbf{pda}+i-1\right]$ when $\mathbf{order}=\mathrm{Nag\_ColMajor}$;
• $\mathbf{a}\left[\left(i-1\right)\times \mathbf{pda}+j-1\right]$ when $\mathbf{order}=\mathrm{Nag\_RowMajor}$.

On entry: the $n$ by $n$ Hermitian matrix $A$.

If $\mathbf{uplo}=\mathrm{Nag\_Upper}$, the leading n by n upper triangular part of a contains the upper triangular part of the matrix $A$, and the strictly lower triangular part of a is not referenced.

If $\mathbf{uplo}=\mathrm{Nag\_Lower}$, the leading n by n lower triangular part of a contains the lower triangular part of the matrix $A$, and the strictly upper triangular part of a is not referenced.

On exit: if $\mathbf{fail}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, the factor $U$ or $L$ from the Cholesky factorization $A=U^{\mathrm{H}}U$ or $A=L{L}^{\mathrm{H}}$.

6:    $\mathbf{pda}$ – IntegerInput

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

Constraint: $\mathbf{pda}\ge \max \left(1,\mathbf{n}\right)$.

7:    $\mathbf{b}\left[\mathit{dim}\right]$ – ComplexInput/Output

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

• $\max \left(1,\mathbf{pdb}\times \mathbf{nrhs}\right)$ when $\mathbf{order}=\mathrm{Nag\_ColMajor}$;
• $\max \left(1,\mathbf{n}\times \mathbf{pdb}\right)$ when $\mathbf{order}=\mathrm{Nag\_RowMajor}$.

The $\left(i,j\right)$th element of the matrix $B$ is stored in

• $\mathbf{b}\left[\left(j-1\right)\times \mathbf{pdb}+i-1\right]$ when $\mathbf{order}=\mathrm{Nag\_ColMajor}$;
• $\mathbf{b}\left[\left(i-1\right)\times \mathbf{pdb}+j-1\right]$ when $\mathbf{order}=\mathrm{Nag\_RowMajor}$.

On entry: the $n$ by $r$ matrix of right-hand sides $B$.

On exit: if $\mathbf{fail}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, the $n$ by $r$ solution matrix $X$.

8:    $\mathbf{pdb}$ – IntegerInput

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

Constraints:

• if $\mathbf{order}=\mathrm{Nag\_ColMajor}$, $\mathbf{pdb}\ge \max \left(1,\mathbf{n}\right)$;
• if $\mathbf{order}=\mathrm{Nag\_RowMajor}$, $\mathbf{pdb}\ge \max \left(1,\mathbf{nrhs}\right)$.

9:    $\mathbf{rcond}$ – double *Output

On exit: if $\mathbf{fail}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, an estimate of the reciprocal of the condition number of the matrix $A$, computed as $\mathbf{rcond}=1/\left({‖A‖}_1{‖A^{-1}‖}_1\right)$.

10:  $\mathbf{errbnd}$ – double *Output

On exit: if $\mathbf{fail}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, an estimate of the forward error bound for a computed solution $\hat{x}$, such that ${‖\hat{x}-x‖}_1/{‖x‖}_1\le \mathbf{errbnd}$, where $\hat{x}$ is a column of the computed solution returned in the array b and $x$ is the corresponding column of the exact solution $X$. If rcond is less than machine precision, errbnd is returned as unity.

11:  $\mathbf{fail}$ – NagError *Input/Output

The NAG error argument (see Section 3.7 in How to Use the NAG Library and its Documentation).

6

Error Indicators and Warnings

NE_ALLOC_FAIL

Dynamic memory allocation failed.
The double allocatable memory required is n, and the Complex allocatable memory required is $2\times \mathbf{n}$. Allocation failed before the solution could be computed.
See Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.

NE_BAD_PARAM

On entry, argument $〈\mathit{\text{value}}〉$ had an illegal value.

NE_INT

On entry, $\mathbf{n}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{n}\ge 0$.

On entry, $\mathbf{nrhs}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{nrhs}\ge 0$.

On entry, $\mathbf{pda}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{pda}>0$.

On entry, $\mathbf{pdb}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{pdb}>0$.

NE_INT_2

On entry, $\mathbf{pda}=〈\mathit{\text{value}}〉$ and $\mathbf{n}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{pda}\ge \max \left(1,\mathbf{n}\right)$.

On entry, $\mathbf{pdb}=〈\mathit{\text{value}}〉$ and $\mathbf{n}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{pdb}\ge \max \left(1,\mathbf{n}\right)$.

On entry, $\mathbf{pdb}=〈\mathit{\text{value}}〉$ and $\mathbf{nrhs}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{pdb}\ge \max \left(1,\mathbf{nrhs}\right)$.

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 2.7.6 in How to Use the NAG Library and its Documentation for further information.

NE_NO_LICENCE

Your licence key may have expired or may not have been installed correctly.
See Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.

NE_POS_DEF

The principal minor of order $〈\mathit{\text{value}}〉$ of the matrix $A$ is not positive definite. The factorization has not been completed and the solution could not be computed.

NE_RCOND

A solution has been computed, but rcond is less than machine precision so that the matrix $A$ is numerically singular.

7

Accuracy

8

Parallelism and Performance

9

Further Comments

10

Example

10.1

Program Text

Program Text (f04cdce.c)

10.2

Program Data

Program Data (f04cdce.d)

10.3

Program Results

Program Results (f04cdce.r)