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NAG Toolbox

NAG Toolbox: nag_lapack_dsbgvd (f08uc)

 Contents

    1  Purpose
    2  Syntax
    7  Accuracy
    9  Example

Purpose

nag_lapack_dsbgvd (f08uc) computes all the eigenvalues and, optionally, the eigenvectors of a real generalized symmetric-definite banded eigenproblem, of the form
Az=λBz ,  
where A and B are symmetric and banded, and B is also positive definite. If eigenvectors are desired, it uses a divide-and-conquer algorithm.

Syntax

[ab, bb, w, z, info] = f08uc(jobz, uplo, ka, kb, ab, bb, 'n', n)
[ab, bb, w, z, info] = nag_lapack_dsbgvd(jobz, uplo, ka, kb, ab, bb, 'n', n)

Description

The generalized symmetric-definite band problem
Az = λ Bz  
is first reduced to a standard band symmetric problem
Cx = λx ,  
where C is a symmetric band matrix, using Wilkinson's modification to Crawford's algorithm (see Crawford (1973) and Wilkinson (1977)). The symmetric eigenvalue problem is then solved for the eigenvalues and the eigenvectors, if required, which are then backtransformed to the eigenvectors of the original problem.
The eigenvectors are normalized so that the matrix of eigenvectors, Z, satisfies
ZT A Z = Λ   and   ZT B Z = I ,  
where Λ  is the diagonal matrix whose diagonal elements are the eigenvalues.

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
Crawford C R (1973) Reduction of a band-symmetric generalized eigenvalue problem Comm. ACM 16 41–44
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
Wilkinson J H (1977) Some recent advances in numerical linear algebra The State of the Art in Numerical Analysis (ed D A H Jacobs) Academic Press

Parameters

Compulsory Input Parameters

1:     jobz – string (length ≥ 1)
Indicates whether eigenvectors are computed.
jobz='N'
Only eigenvalues are computed.
jobz='V'
Eigenvalues and eigenvectors are computed.
Constraint: jobz='N' or 'V'.
2:     uplo – string (length ≥ 1)
If uplo='U', the upper triangles of A and B are stored.
If uplo='L', the lower triangles of A and B are stored.
Constraint: uplo='U' or 'L'.
3:     ka int64int32nag_int scalar
If uplo='U', the number of superdiagonals, ka, of the matrix A.
If uplo='L', the number of subdiagonals, ka, of the matrix A.
Constraint: ka0.
4:     kb int64int32nag_int scalar
If uplo='U', the number of superdiagonals, kb, of the matrix B.
If uplo='L', the number of subdiagonals, kb, of the matrix B.
Constraint: kakb0.
5:     abldab: – double array
The first dimension of the array ab must be at least ka+1.
The second dimension of the array ab must be at least max1,n.
The upper or lower triangle of the n by n symmetric band matrix A.
The matrix is stored in rows 1 to ka+1, more precisely,
  • if uplo='U', the elements of the upper triangle of A within the band must be stored with element Aij in abka+1+i-jj​ for ​max1,j-kaij;
  • if uplo='L', the elements of the lower triangle of A within the band must be stored with element Aij in ab1+i-jj​ for ​jiminn,j+ka.
6:     bbldbb: – double array
The first dimension of the array bb must be at least kb+1.
The second dimension of the array bb must be at least max1,n.
The upper or lower triangle of the n by n symmetric band matrix B.
The matrix is stored in rows 1 to kb+1, more precisely,
  • if uplo='U', the elements of the upper triangle of B within the band must be stored with element Bij in bbkb+1+i-jj​ for ​max1,j-kbij;
  • if uplo='L', the elements of the lower triangle of B within the band must be stored with element Bij in bb1+i-jj​ for ​jiminn,j+kb.

Optional Input Parameters

1:     n int64int32nag_int scalar
Default: the second dimension of the arrays ab, bb. (An error is raised if these dimensions are not equal.)
n, the order of the matrices A and B.
Constraint: n0.

Output Parameters

1:     abldab: – double array
The first dimension of the array ab will be ka+1.
The second dimension of the array ab will be max1,n.
The contents of ab are overwritten.
2:     bbldbb: – double array
The first dimension of the array bb will be kb+1.
The second dimension of the array bb will be max1,n.
The factor S from the split Cholesky factorization B=STS, as returned by nag_lapack_dpbstf (f08uf).
3:     wn – double array
The eigenvalues in ascending order.
4:     zldz: – double array
The first dimension, ldz, of the array z will be
  • if jobz='V', ldz= max1,n ;
  • otherwise ldz=1.
The second dimension of the array z will be max1,n if jobz='V' and 1 otherwise.
If jobz='V', z contains the matrix Z of eigenvectors, with the ith column of Z holding the eigenvector associated with wi. The eigenvectors are normalized so that ZTBZ=I.
If jobz='N', z is not referenced.
5:     info int64int32nag_int scalar
info=0 unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

   info=-i
If info=-i, parameter i had an illegal value on entry. The parameters are numbered as follows:
1: jobz, 2: uplo, 3: n, 4: ka, 5: kb, 6: ab, 7: ldab, 8: bb, 9: ldbb, 10: w, 11: z, 12: ldz, 13: work, 14: lwork, 15: iwork, 16: liwork, 17: info.
It is possible that info refers to a parameter that is omitted from the MATLAB interface. This usually indicates that an error in one of the other input parameters has caused an incorrect value to be inferred.
   info>0
If info=i and in, the algorithm failed to converge; i off-diagonal elements of an intermediate tridiagonal form did not converge to zero.
If info=i and i>n, if info=n+i, for 1in, then nag_lapack_dpbstf (f08uf) returned info=i: B is not positive definite. The factorization of B could not be completed and no eigenvalues or eigenvectors were computed.

Accuracy

If B is ill-conditioned with respect to inversion, then the error bounds for the computed eigenvalues and vectors may be large, although when the diagonal elements of B differ widely in magnitude the eigenvalues and eigenvectors may be less sensitive than the condition of B would suggest. See Section 4.10 of Anderson et al. (1999) for details of the error bounds.

Further Comments

The total number of floating-point operations is proportional to n3  if jobz='V' and, assuming that nka , is approximately proportional to n2 ka  otherwise.
The complex analogue of this function is nag_lapack_zhbgvd (f08uq).

Example

This example finds all the eigenvalues of the generalized band symmetric eigenproblem Az = λ Bz , where
A = 0.24 0.39 0.42 0.00 0.39 -0.11 0.79 0.63 0.42 0.79 -0.25 0.48 0.00 0.63 0.48 -0.03   and   B = 2.07 0.95 0.00 0.00 0.95 1.69 -0.29 0.00 0.00 -0.29 0.65 -0.33 0.00 0.00 -0.33 1.17 .  
function f08uc_example


fprintf('f08uc example results\n\n');

% Symmetric banded matrices A and B stored in symmetric banded format
uplo = 'U';
ka = int64(2);
ab = [0,     0,     0.42,  0.63;
      0,     0.39,  0.79,  0.48;
      0.24, -0.11, -0.25, -0.03];
kb = int64(1);
bb = [0,     0.95, -0.29, -0.33;
      2.07,  1.69,  0.65,  1.17];

% Eigenvalues only of Ax = lmbda Bx
jobz = 'No vectors';
[~, ~, w, ~, info] = f08uc( ...
			    jobz, uplo, ka, kb, ab, bb);

disp('Eigenvalues');
disp(w');


f08uc example results

Eigenvalues
   -0.8305   -0.6401    0.0992    1.8525


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