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NAG Library Function Document

nag_dgtsv (f07cac)

▸▿ 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

1

Purpose

nag_dgtsv (f07cac) computes the solution to a real system of linear equations

A X = B,

where

A

is an

n

n

tridiagonal matrix and

X

and

B

are

n

r

matrices.

2

Specification

#include <nag.h>

#include <nagf07.h>

void	nag_dgtsv (Nag_OrderType order, Integer n, Integer nrhs, double dl[], double d[], double du[], double b[], Integer pdb, NagError *fail)

3

Description

nag_dgtsv (f07cac) uses Gaussian elimination with partial pivoting and row interchanges to solve the equations

A X = B

. The matrix

A

is factorized as

A = P L U

, where

P

is a permutation matrix,

L

is unit lower triangular with at most one nonzero subdiagonal element per column, and

U

is an upper triangular band matrix, with two superdiagonals.

Note that equations

A^{T} X = B

may be solved by interchanging the order of the arguments du and dl.

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

5

Arguments

1: $order$ – 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

order = 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:

order = Nag_RowMajor

Nag_ColMajor

2: $n$ – IntegerInput

On entry:

n

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

A

Constraint:

n \geq 0

3: $nrhs$ – IntegerInput

On entry:

r

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

B

Constraint:

nrhs \geq 0

4: $dl [\dim]$ – doubleInput/Output

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

\max (1, n - 1)

On entry: must contain the

(n - 1)

subdiagonal elements of the matrix

A

On exit: if no constraints are violated, dl is overwritten by the (

n - 2

) elements of the second superdiagonal of the upper triangular matrix

U

from the

L U

factorization of

A

, in

dl [0], dl [1], \dots, dl [n - 3]

5: $d [\dim]$ – doubleInput/Output

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

\max (1, n)

On entry: must contain the

n

diagonal elements of the matrix

A

On exit: if no constraints are violated, d is overwritten by the

n

diagonal elements of the upper triangular matrix

U

from the

L U

factorization of

A

6: $du [\dim]$ – doubleInput/Output

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

\max (1, n - 1)

On entry: must contain the

(n - 1)

superdiagonal elements of the matrix

A

On exit: if no constraints are violated, du is overwritten by the

(n - 1)

elements of the first superdiagonal of

U

7: $b [\dim]$ – doubleInput/Output

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

r

right-hand side matrix

B

On exit: if

fail . code =

NE_NOERROR, the

n

r

solution matrix

X

8: $pdb$ – IntegerInput

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

9: $fail$ – 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.
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 $〈value〉$ had an illegal value.
NE_INT: On entry, $n = 〈value〉$ .
Constraint: $n \geq 0$ .

On entry, $nrhs = 〈value〉$ .
Constraint: $nrhs \geq 0$ .

On entry, $pdb = 〈value〉$ .
Constraint: $pdb > 0$ .
NE_INT_2: On entry, $pdb = 〈value〉$ and $n = 〈value〉$ .
Constraint: $pdb \geq \max (1, n)$ .

On entry, $pdb = 〈value〉$ and $nrhs = 〈value〉$ .
Constraint: $pdb \geq \max (1, nrhs)$ .
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_SINGULAR: Element $〈value〉$ of the diagonal is exactly zero, and the solution has not been computed. The factorization has not been completed unless $n = 〈value〉$ .

7

Accuracy

The computed solution for a single right-hand side,

\hat{x}

, satisfies an equation of the form

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

where

{‖E‖}_{1} = O (ε) {‖A‖}_{1}

and

ε

is the machine precision. An approximate error bound for the computed solution is given by

\frac{{‖\hat{x} - x‖}_{1}}{{‖x‖}_{1}} \leq κ (A) \frac{{‖E‖}_{1}}{{‖A‖}_{1}},

where

κ (A) = {‖A^{- 1}‖}_{1} {‖A‖}_{1}

, the condition number of

A

with respect to the solution of the linear equations. See Section 4.4 of Anderson et al. (1999) for further details.

Alternatives to nag_dgtsv (f07cac), which return condition and error estimates are nag_real_tridiag_lin_solve (f04bcc) and nag_dgtsvx (f07cbc).

8

Parallelism and Performance

nag_dgtsv (f07cac) is not threaded in any implementation.

9

Further Comments

The total number of floating-point operations required to solve the equations

A X = B

is proportional to

n r

The complex analogue of this function is nag_zgtsv (f07cnc).

10

Example

This example solves the equations

A x = b,

where

A

is the tridiagonal matrix

A = (\begin{array}{r} 3.0 & 2.1 & 0 & 0 & 0 \\ 3.4 & 2.3 & - 1.0 & 0 & 0 \\ 0 & 3.6 & - 5.0 & 1.9 & 0 \\ 0 & 0 & 7.0 & - 0.9 & 8.0 \\ 0 & 0 & 0 & - 6.0 & 7.1 \end{array}) and b = (\begin{matrix} 2.7 \\ - 0.5 \\ 2.6 \\ 0.6 \\ 2.7 \end{matrix}) .

NAG Library Function Document

nag_dgtsv (f07cac)

▸▿ 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

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