NAG Library Routine Document
F07FHF (DPORFS)
1 Purpose
F07FHF (DPORFS) returns error bounds for the solution of a real symmetric positive definite system of linear equations with multiple right-hand sides, AX=B. It improves the solution by iterative refinement, in order to reduce the backward error as much as possible.
2 Specification
SUBROUTINE F07FHF ( |
UPLO, N, NRHS, A, LDA, AF, LDAF, B, LDB, X, LDX, FERR, BERR, WORK, IWORK, INFO) |
INTEGER |
N, NRHS, LDA, LDAF, LDB, LDX, IWORK(N), INFO |
REAL (KIND=nag_wp) |
A(LDA,*), AF(LDAF,*), B(LDB,*), X(LDX,*), FERR(NRHS), BERR(NRHS), WORK(3*N) |
CHARACTER(1) |
UPLO |
|
The routine may be called by its
LAPACK
name dporfs.
3 Description
F07FHF (DPORFS) returns the backward errors and estimated bounds on the forward errors for the solution of a real symmetric positive definite system of linear equations with multiple right-hand sides AX=B. The routine handles each right-hand side vector (stored as a column of the matrix B) independently, so we describe the function of F07FHF (DPORFS) in terms of a single right-hand side b and solution x.
Given a computed solution
x, the routine computes the
component-wise backward error
β. This is the size of the smallest relative perturbation in each element of
A and
b such that
x is the exact solution of a perturbed system
Then the routine estimates a bound for the
component-wise forward error in the computed solution, defined by:
where
x^ is the true solution.
For details of the method, see the
F07 Chapter Introduction.
4 References
Golub G H and Van Loan C F (1996)
Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
5 Parameters
- 1: UPLO – CHARACTER(1)Input
On entry: specifies whether the upper or lower triangular part of
A is stored and how
A is to be factorized.
- UPLO='U'
- The upper triangular part of A is stored and A is factorized as UTU, where U is upper triangular.
- UPLO='L'
- The lower triangular part of A is stored and A is factorized as LLT, where L is lower triangular.
Constraint:
UPLO='U' or 'L'.
- 2: N – INTEGERInput
On entry: n, the order of the matrix A.
Constraint:
N≥0.
- 3: NRHS – INTEGERInput
On entry: r, the number of right-hand sides.
Constraint:
NRHS≥0.
- 4: A(LDA,*) – REAL (KIND=nag_wp) arrayInput
-
Note: the second dimension of the array
A
must be at least
max1,N.
On entry: the
n by
n original symmetric positive definite matrix
A as supplied to
F07FDF (DPOTRF).
- 5: LDA – INTEGERInput
On entry: the first dimension of the array
A as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint:
LDA≥max1,N.
- 6: AF(LDAF,*) – REAL (KIND=nag_wp) arrayInput
-
Note: the second dimension of the array
AF
must be at least
max1,N.
On entry: the Cholesky factor of
A, as returned by
F07FDF (DPOTRF).
- 7: LDAF – INTEGERInput
On entry: the first dimension of the array
AF as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint:
LDAF≥max1,N.
- 8: B(LDB,*) – REAL (KIND=nag_wp) arrayInput
-
Note: the second dimension of the array
B
must be at least
max1,NRHS.
On entry: the n by r right-hand side matrix B.
- 9: LDB – INTEGERInput
On entry: the first dimension of the array
B as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint:
LDB≥max1,N.
- 10: X(LDX,*) – REAL (KIND=nag_wp) arrayInput/Output
-
Note: the second dimension of the array
X
must be at least
max1,NRHS.
On entry: the
n by
r solution matrix
X, as returned by
F07FEF (DPOTRS).
On exit: the improved solution matrix X.
- 11: LDX – INTEGERInput
On entry: the first dimension of the array
X as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint:
LDX≥max1,N.
- 12: FERR(NRHS) – REAL (KIND=nag_wp) arrayOutput
On exit: FERRj contains an estimated error bound for the jth solution vector, that is, the jth column of X, for j=1,2,…,r.
- 13: BERR(NRHS) – REAL (KIND=nag_wp) arrayOutput
On exit: BERRj contains the component-wise backward error bound β for the jth solution vector, that is, the jth column of X, for j=1,2,…,r.
- 14: WORK(3×N) – REAL (KIND=nag_wp) arrayWorkspace
- 15: IWORK(N) – INTEGER arrayWorkspace
- 16: INFO – INTEGEROutput
On exit:
INFO=0 unless the routine detects an error (see
Section 6).
6 Error Indicators and Warnings
Errors or warnings detected by the routine:
- INFO<0
If INFO=-i, the ith parameter had an illegal value. An explanatory message is output, and execution of the program is terminated.
7 Accuracy
The bounds returned in
FERR are not rigorous, because they are estimated, not computed exactly; but in practice they almost always overestimate the actual error.
8 Further Comments
For each right-hand side, computation of the backward error involves a minimum of 4n2 floating point operations. Each step of iterative refinement involves an additional 6n2 operations. At most five steps of iterative refinement are performed, but usually only one or two steps are required.
Estimating the forward error involves solving a number of systems of linear equations of the form Ax=b; the number is usually 4 or 5 and never more than 11. Each solution involves approximately 2n2 operations.
The complex analogue of this routine is
F07FVF (ZPORFS).
9 Example
This example solves the system of equations
AX=B using iterative refinement and to compute the forward and backward error bounds, where
Here
A is symmetric positive definite and must first be factorized by
F07FDF (DPOTRF).
9.1 Program Text
Program Text (f07fhfe.f90)
9.2 Program Data
Program Data (f07fhfe.d)
9.3 Program Results
Program Results (f07fhfe.r)