NAG Library Function Document
nag_dgeesx (f08pbc)
1
Purpose
nag_dgeesx (f08pbc) computes the eigenvalues, the real Schur form , and, optionally, the matrix of Schur vectors for an by real nonsymmetric matrix .
2
Specification
#include <nag.h> |
#include <nagf08.h> |
void |
nag_dgeesx (Nag_OrderType order,
Nag_JobType jobvs,
Nag_SortEigValsType sort,
Nag_RCondType sense,
Integer n,
double a[],
Integer pda,
Integer *sdim,
double wr[],
double wi[],
double vs[],
Integer pdvs,
double *rconde,
double *rcondv,
NagError *fail) |
|
3
Description
The real Schur factorization of
is given by
where
, the matrix of Schur vectors, is orthogonal and
is the real Schur form. A matrix is in real Schur form if it is upper quasi-triangular with
by
and
by
blocks.
by
blocks will be standardized in the form
where
. The eigenvalues of such a block are
.
Optionally,
nag_dgeesx (f08pbc) also orders the eigenvalues on the diagonal of the real Schur form so that selected eigenvalues are at the top left; computes a reciprocal condition number for the average of the selected eigenvalues (
rconde); and computes a reciprocal condition number for the right invariant subspace corresponding to the selected eigenvalues (
rcondv). The leading columns of
form an orthonormal basis for this invariant subspace.
For further explanation of the reciprocal condition numbers
rconde and
rcondv, see Section 4.8 of
Anderson et al. (1999) (where these quantities are called
and
respectively).
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
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
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:
– Nag_JobTypeInput
-
On entry: if
, Schur vectors are not computed.
If , Schur vectors are computed.
Constraint:
or .
- 3:
– Nag_SortEigValsTypeInput
-
On entry: specifies whether or not to order the eigenvalues on the diagonal of the Schur form.
- Eigenvalues are not ordered.
- Eigenvalues are ordered (see select).
Constraint:
or .
- 4:
– function, supplied by the userExternal Function
-
If
,
select is used to select eigenvalues to sort to the top left of the Schur form.
If
,
select is not referenced and
nag_dgeesx (f08pbc) may be specified as NULLFN.
An eigenvalue is selected if is Nag_TRUE. If either one of a complex conjugate pair of eigenvalues is selected, then both are. Note that a selected complex eigenvalue may no longer satisfy after ordering, since ordering may change the value of complex eigenvalues (especially if the eigenvalue is ill-conditioned); in this case is set to .
The specification of
select is:
Nag_Boolean |
select (double wr,
double wi)
|
|
- 1:
– doubleInput
- 2:
– doubleInput
-
On entry: the real and imaginary parts of the eigenvalue.
- 5:
– Nag_RCondTypeInput
-
On entry: determines which reciprocal condition numbers are computed.
- None are computed.
- Computed for average of selected eigenvalues only.
- Computed for selected right invariant subspace only.
- Computed for both.
If , or , .
Constraint:
, , or .
- 6:
– IntegerInput
-
On entry: , the order of the matrix .
Constraint:
.
- 7:
– doubleInput/Output
-
Note: the dimension,
dim, of the array
a
must be at least
.
The
th element of the matrix
is stored in
- when ;
- when .
On entry: the by matrix .
On exit:
a is overwritten by its real Schur form
.
- 8:
– IntegerInput
-
On entry: the stride separating row or column elements (depending on the value of
order) in the array
a.
Constraint:
.
- 9:
– Integer *Output
-
On exit: if
,
.
If
,
number of eigenvalues (after sorting) for which
select is Nag_TRUE. (Complex conjugate pairs for which
select is Nag_TRUE for either eigenvalue count as
.)
- 10:
– doubleOutput
-
Note: the dimension,
dim, of the array
wr
must be at least
.
On exit: see the description of
wi.
- 11:
– doubleOutput
-
Note: the dimension,
dim, of the array
wi
must be at least
.
On exit:
wr and
wi contain the real and imaginary parts, respectively, of the computed eigenvalues in the same order that they appear on the diagonal of the output Schur form
. Complex conjugate pairs of eigenvalues will appear consecutively with the eigenvalue having the positive imaginary part first.
- 12:
– doubleOutput
-
Note: the dimension,
dim, of the array
vs
must be at least
- when
;
- otherwise.
The
th element of the
th vector is stored in
- when ;
- when .
On exit: if
,
vs contains the orthogonal matrix
of Schur vectors.
If
,
vs is not referenced.
- 13:
– IntegerInput
-
On entry: the stride used in the array
vs.
Constraints:
- if , ;
- otherwise .
- 14:
– double *Output
-
On exit: if
or
, contains the reciprocal condition number for the average of the selected eigenvalues.
If
or
,
rconde is not referenced.
- 15:
– double *Output
-
On exit: if
or
,
rcondv contains the reciprocal condition number for the selected right invariant subspace.
If
or
,
rcondv is not referenced.
- 16:
– 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 had an illegal value.
- NE_CONVERGENCE
-
The algorithm failed to compute all the eigenvalues.
- NE_ENUM_INT_2
-
On entry, , and .
Constraint: if , ;
otherwise .
- NE_INT
-
On entry, .
Constraint: .
On entry, .
Constraint: .
On entry, .
Constraint: .
- NE_INT_2
-
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_SCHUR_REORDER
-
The eigenvalues could not be reordered because some eigenvalues were too close to separate (the problem is very ill-conditioned).
- NE_SCHUR_REORDER_SELECT
-
After reordering, roundoff changed values of some complex eigenvalues so that leading eigenvalues in the Schur form no longer satisfy . This could also be caused by underflow due to scaling.
7
Accuracy
The computed Schur factorization satisfies
where
and
is the
machine precision. See Section 4.8 of
Anderson et al. (1999) for further details.
8
Parallelism and Performance
nag_dgeesx (f08pbc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_dgeesx (f08pbc) 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 is proportional to .
The complex analogue of this function is
nag_zgeesx (f08ppc).
10
Example
This example finds the Schur factorization of the matrix
such that the real positive eigenvalues of
are the top left diagonal elements of the Schur form,
. Estimates of the condition numbers for the selected eigenvalue cluster and corresponding invariant subspace are also returned.
10.1
Program Text
Program Text (f08pbce.c)
10.2
Program Data
Program Data (f08pbce.d)
10.3
Program Results
Program Results (f08pbce.r)