NAG Library Function Document
nag_herm_posdef_tridiag_lin_solve (f04cgc)
1
Purpose
nag_herm_posdef_tridiag_lin_solve (f04cgc) computes the solution to a complex system of linear equations , where is an by Hermitian positive definite tridiagonal matrix and and are by matrices. An estimate of the condition number of and an error bound for the computed solution are also returned.
2
Specification
#include <nag.h> |
#include <nagf04.h> |
void |
nag_herm_posdef_tridiag_lin_solve (Nag_OrderType order,
Integer n,
Integer nrhs,
double d[],
Complex e[],
Complex b[],
Integer pdb,
double *rcond,
double *errbnd,
NagError *fail) |
|
3
Description
is factorized as , where is a unit lower bidiagonal matrix and is a real diagonal matrix, and the factored form of is then used to solve the system of equations.
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
http://www.netlib.org/lapack/lug
Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia
5
Arguments
- 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 3.3.1.3 in How to Use the NAG Library and its Documentation for a more detailed explanation of the use of this argument.
Constraint:
or .
- 2:
– IntegerInput
-
On entry: the number of linear equations , i.e., the order of the matrix .
Constraint:
.
- 3:
– IntegerInput
-
On entry: the number of right-hand sides , i.e., the number of columns of the matrix .
Constraint:
.
- 4:
– doubleInput/Output
-
Note: the dimension,
dim, of the array
d
must be at least
.
On entry: must contain the diagonal elements of the tridiagonal matrix .
On exit: if
NE_NOERROR or
NE_RCOND,
d is overwritten by the
diagonal elements of the diagonal matrix
from the
factorization of
.
- 5:
– ComplexInput/Output
-
Note: the dimension,
dim, of the array
e
must be at least
.
On entry: must contain the subdiagonal elements of the tridiagonal matrix .
On exit: if
NE_NOERROR or
NE_RCOND,
e is overwritten by the
subdiagonal elements of the unit lower bidiagonal matrix
from the
factorization of
. (
e can also be regarded as the conjugate of the superdiagonal of the unit upper bidiagonal factor
from the
factorization of
.)
- 6:
– ComplexInput/Output
-
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 by matrix of right-hand sides .
On exit: if
NE_NOERROR or
NE_RCOND, the
by
solution matrix
.
- 7:
– IntegerInput
-
On entry: the stride separating row or column elements (depending on the value of
order) in the array
b.
Constraints:
- if ,
;
- if , .
- 8:
– double *Output
-
On exit: if
NE_NOERROR or
NE_RCOND, an estimate of the reciprocal of the condition number of the matrix
, computed as
.
- 9:
– double *Output
-
On exit: if
NE_NOERROR or
NE_RCOND, an estimate of the forward error bound for a computed solution
, such that
, where
is a column of the computed solution returned in the array
b and
is the corresponding column of the exact solution
. If
rcond is less than
machine precision,
errbnd is returned as unity.
- 10:
– 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. In this case the factorization and the solution
have been computed, but
rcond and
errbnd have not been 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 had an illegal value.
- NE_INT
-
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
- NE_INT_2
-
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 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 of the matrix 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
is numerically singular.
7
Accuracy
The computed solution for a single right-hand side,
, satisfies an equation of the form
where
and
is the
machine precision. An approximate error bound for the computed solution is given by
where
, the condition number of
with respect to the solution of the linear equations.
nag_herm_posdef_tridiag_lin_solve (f04cgc) uses the approximation
to estimate
errbnd. See Section 4.4 of
Anderson et al. (1999)
for further details.
8
Parallelism and Performance
nag_herm_posdef_tridiag_lin_solve (f04cgc) 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.
The total number of floating-point operations required to solve the equations is proportional to . The condition number estimation requires floating-point operations.
See Section 15.3 of
Higham (2002) for further details on computing the condition number of tridiagonal matrices.
The real analogue of
nag_herm_posdef_tridiag_lin_solve (f04cgc) is
nag_real_sym_posdef_tridiag_lin_solve (f04bgc).
10
Example
This example solves the equations
where
is the Hermitian positive definite tridiagonal matrix
and
An estimate of the condition number of and an approximate error bound for the computed solutions are also printed.
10.1
Program Text
Program Text (f04cgce.c)
10.2
Program Data
Program Data (f04cgce.d)
10.3
Program Results
Program Results (f04cgce.r)