NAG Library Function Document

nag_dposv (f07fac)

 Contents

    1  Purpose
    7  Accuracy

1
Purpose

nag_dposv (f07fac) computes the solution to a real system of linear equations
AX=B ,  
where A is an n by n symmetric positive definite matrix and X and B are n by r matrices.

2
Specification

#include <nag.h>
#include <nagf07.h>
void  nag_dposv (Nag_OrderType order, Nag_UploType uplo, Integer n, Integer nrhs, double a[], Integer pda, double b[], Integer pdb, NagError *fail)

3
Description

nag_dposv (f07fac) uses the Cholesky decomposition to factor A as A=UTU if uplo=Nag_Upper or A=LLT if uplo=Nag_Lower, where U is an upper triangular matrix and L is a lower triangular matrix. The factored form of A is then used to solve the system of equations AX=B.

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:     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 or Nag_ColMajor.
2:     uplo Nag_UploTypeInput
On entry: if uplo=Nag_Upper, the upper triangle of A is stored.
If uplo=Nag_Lower, the lower triangle of A is stored.
Constraint: uplo=Nag_Upper or Nag_Lower.
3:     n IntegerInput
On entry: n, the number of linear equations, i.e., the order of the matrix A.
Constraint: n0.
4:     nrhs IntegerInput
On entry: r, the number of right-hand sides, i.e., the number of columns of the matrix B.
Constraint: nrhs0.
5:     a[dim] doubleInput/Output
Note: the dimension, dim, of the array a must be at least max1,pda×n.
On entry: the n by n symmetric matrix A.
If order=Nag_ColMajor, Aij is stored in a[j-1×pda+i-1].
If order=Nag_RowMajor, Aij is stored in a[i-1×pda+j-1].
If uplo=Nag_Upper, the upper triangular part of A must be stored and the elements of the array below the diagonal are not referenced.
If uplo=Nag_Lower, the lower triangular part of A must be stored and the elements of the array above the diagonal are not referenced.
On exit: if fail.code= NE_NOERROR, the factor U or L from the Cholesky factorization A=UTU or A=LLT.
6:     pda IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) of the matrix A in the array a.
Constraint: pdamax1,n.
7:     b[dim] doubleInput/Output
Note: the dimension, dim, of the array b must be at least
  • max1,pdb×nrhs when order=Nag_ColMajor;
  • max1,n×pdb when order=Nag_RowMajor.
The i,jth element of the matrix B is stored in
  • b[j-1×pdb+i-1] when order=Nag_ColMajor;
  • b[i-1×pdb+j-1] when order=Nag_RowMajor.
On entry: the n by r right-hand side matrix B.
On exit: if fail.code= NE_NOERROR, the n by 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, pdbmax1,n;
  • if order=Nag_RowMajor, pdbmax1,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: n0.
On entry, nrhs=value.
Constraint: nrhs0.
On entry, pda=value.
Constraint: pda>0.
On entry, pdb=value.
Constraint: pdb>0.
NE_INT_2
On entry, pda=value and n=value.
Constraint: pdamax1,n.
On entry, pdb=value and n=value.
Constraint: pdbmax1,n.
On entry, pdb=value and nrhs=value.
Constraint: pdbmax1,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_MAT_NOT_POS_DEF
The leading minor of order value of A is not positive definite, so the factorization could not be completed, and the solution has not been computed.
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.

7
Accuracy

The computed solution for a single right-hand side, x^ , satisfies an equation of the form
A+E x^=b ,  
where
E1 = Oε A1  
and ε  is the machine precision. An approximate error bound for the computed solution is given by
x^-x1 x1 κA E1 A1 ,  
where κA = A-11 A1 , 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.
nag_dposvx (f07fbc) is a comprehensive LAPACK driver that returns forward and backward error bounds and an estimate of the condition number. Alternatively, nag_real_sym_posdef_lin_solve (f04bdc) solves Ax=b  and returns a forward error bound and condition estimate. nag_real_sym_posdef_lin_solve (f04bdc) calls nag_dposv (f07fac) to solve the equations.

8
Parallelism and Performance

nag_dposv (f07fac) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_dposv (f07fac) 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.

9
Further Comments

The total number of floating-point operations is approximately 13 n3 + 2n2r , where r  is the number of right-hand sides.
The complex analogue of this function is nag_zposv (f07fnc).

10
Example

This example solves the equations
Ax=b ,  
where A  is the symmetric positive definite matrix
A = 4.16 -3.12 0.56 -0.10 -3.12 5.03 -0.83 1.18 0.56 -0.83 0.76 0.34 -0.10 1.18 0.34 1.18   and   b = 8.70 -13.35 1.89 -4.14 .  
Details of the Cholesky factorization of A  are also output.

10.1
Program Text

Program Text (f07face.c)

10.2
Program Data

Program Data (f07face.d)

10.3
Program Results

Program Results (f07face.r)

© The Numerical Algorithms Group Ltd, Oxford, UK. 2017