nag_dsysvx (f07mbc) (PDF version)
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f07 Chapter Introduction
NAG Library Manual

NAG Library Function Document

nag_dsysvx (f07mbc)

 Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_dsysvx (f07mbc) uses the diagonal pivoting factorization to compute the solution to a real system of linear equations
AX=B ,  
where A is an n by n symmetric matrix and X and B are n by r matrices. Error bounds on the solution and a condition estimate are also provided.

2  Specification

#include <nag.h>
#include <nagf07.h>
void  nag_dsysvx (Nag_OrderType order, Nag_FactoredFormType fact, Nag_UploType uplo, Integer n, Integer nrhs, const double a[], Integer pda, double af[], Integer pdaf, Integer ipiv[], const double b[], Integer pdb, double x[], Integer pdx, double *rcond, double ferr[], double berr[], NagError *fail)

3  Description

nag_dsysvx (f07mbc) performs the following steps:
1. If fact=Nag_NotFactored, the diagonal pivoting method is used to factor A. The form of the factorization is A=UDUT if uplo=Nag_Upper or A=LDLT if uplo=Nag_Lower, where U (or L) is a product of permutation and unit upper (lower) triangular matrices, and D is symmetric and block diagonal with 1 by 1 and 2 by 2 diagonal blocks.
2. If some dii=0, so that D is exactly singular, then the function returns with fail.errnum=i and fail.code= NE_SINGULAR. Otherwise, the factored form of A is used to estimate the condition number of the matrix A. If the reciprocal of the condition number is less than machine precision, fail.code= NE_SINGULAR_WP is returned as a warning, but the function still goes on to solve for X and compute error bounds as described below.
3. The system of equations is solved for X using the factored form of A.
4. Iterative refinement is applied to improve the computed solution matrix and to calculate error bounds and backward error estimates for it.

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
Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia

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 2.3.1.3 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:     fact Nag_FactoredFormTypeInput
On entry: specifies whether or not the factorized form of the matrix A has been supplied.
fact=Nag_Factored
af and ipiv contain the factorized form of the matrix A. af and ipiv will not be modified.
fact=Nag_NotFactored
The matrix A will be copied to af and factorized.
Constraint: fact=Nag_Factored or Nag_NotFactored.
3:     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.
4:     n IntegerInput
On entry: n, the number of linear equations, i.e., the order of the matrix A.
Constraint: n0.
5:     nrhs IntegerInput
On entry: r, the number of right-hand sides, i.e., the number of columns of the matrix B.
Constraint: nrhs0.
6:     a[dim] const doubleInput
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.
7:     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.
8:     af[dim] doubleInput/Output
Note: the dimension, dim, of the array af must be at least max1,pdaf×n.
The i,jth element of the matrix is stored in
  • af[j-1×pdaf+i-1] when order=Nag_ColMajor;
  • af[i-1×pdaf+j-1] when order=Nag_RowMajor.
On entry: if fact=Nag_Factored, af contains the block diagonal matrix D and the multipliers used to obtain the factor U or L from the factorization a=UDUT or a=LDLT as computed by nag_dsytrf (f07mdc).
On exit: if fact=Nag_NotFactored, af returns the block diagonal matrix D and the multipliers used to obtain the factor U or L from the factorization a=UDUT or a=LDLT.
9:     pdaf IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array af.
Constraint: pdafmax1,n.
10:   ipiv[dim] IntegerInput/Output
Note: the dimension, dim, of the array ipiv must be at least max1,n.
On entry: if fact=Nag_Factored, ipiv contains details of the interchanges and the block structure of D, as determined by nag_dsytrf (f07mdc).
  • if ipiv[i-1]=k>0, dii is a 1 by 1 pivot block and the ith row and column of A were interchanged with the kth row and column;
  • if uplo=Nag_Upper and ipiv[i-2]=ipiv[i-1]=-l<0, di-1,i-1d-i,i-1 d-i,i-1dii  is a 2 by 2 pivot block and the i-1th row and column of A were interchanged with the lth row and column;
  • if uplo=Nag_Lower and ipiv[i-1]=ipiv[i]=-m<0, diidi+1,idi+1,idi+1,i+1 is a 2 by 2 pivot block and the i+1th row and column of A were interchanged with the mth row and column.
On exit: if fact=Nag_NotFactored, ipiv contains details of the interchanges and the block structure of D, as determined by nag_dsytrf (f07mdc), as described above.
11:   b[dim] const doubleInput
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.
12:   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.
13:   x[dim] doubleOutput
Note: the dimension, dim, of the array x must be at least
  • max1,pdx×nrhs when order=Nag_ColMajor;
  • max1,n×pdx when order=Nag_RowMajor.
The i,jth element of the matrix X is stored in
  • x[j-1×pdx+i-1] when order=Nag_ColMajor;
  • x[i-1×pdx+j-1] when order=Nag_RowMajor.
On exit: if fail.code= NE_NOERROR or NE_SINGULAR_WP, the n by r solution matrix X.
14:   pdx IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array x.
Constraints:
  • if order=Nag_ColMajor, pdxmax1,n;
  • if order=Nag_RowMajor, pdxmax1,nrhs.
15:   rcond double *Output
On exit: the estimate of the reciprocal condition number of the matrix A. If rcond=0.0, the matrix may be exactly singular. This condition is indicated by fail.code= NE_SINGULAR. Otherwise, if rcond is less than the machine precision, the matrix is singular to working precision. This condition is indicated by fail.code= NE_SINGULAR_WP.
16:   ferr[dim] doubleOutput
Note: the dimension, dim, of the array ferr must be at least max1,nrhs.
On exit: if fail.code= NE_NOERROR or NE_SINGULAR_WP, an estimate of the forward error bound for each computed solution vector, such that x^j-xj/xjferr[j-1] where x^j is the jth column of the computed solution returned in the array x and xj is the corresponding column of the exact solution X. The estimate is as reliable as the estimate for rcond, and is almost always a slight overestimate of the true error.
17:   berr[dim] doubleOutput
Note: the dimension, dim, of the array berr must be at least max1,nrhs.
On exit: if fail.code= NE_NOERROR or NE_SINGULAR_WP, an estimate of the component-wise relative backward error of each computed solution vector x^j (i.e., the smallest relative change in any element of A or B that makes x^j an exact solution).
18:   fail NagError *Input/Output
The NAG error argument (see Section 2.7 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, pdaf=value.
Constraint: pdaf>0.
On entry, pdb=value.
Constraint: pdb>0.
On entry, pdx=value.
Constraint: pdx>0.
NE_INT_2
On entry, pda=value and n=value.
Constraint: pdamax1,n.
On entry, pdaf=value and n=value.
Constraint: pdafmax1,n.
On entry, pdb=value and n=value.
Constraint: pdbmax1,n.
On entry, pdb=value and nrhs=value.
Constraint: pdbmax1,nrhs.
On entry, pdx=value and n=value.
Constraint: pdxmax1,n.
On entry, pdx=value and nrhs=value.
Constraint: pdxmax1,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.
An unexpected error has been triggered by this function. Please contact NAG.
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. The factorization has been completed, but the factor D is exactly singular, so the solution and error bounds could not be computed. rcond=0.0 is returned.
NE_SINGULAR_WP
D is nonsingular, but rcond is less than machine precision, meaning that the matrix is singular to working precision. Nevertheless, the solution and error bounds are computed because there are a number of situations where the computed solution can be more accurate than the value of rcond would suggest.

7  Accuracy

For each right-hand side vector b, the computed solution x^ is the exact solution of a perturbed system of equations A+Ex^=b, where
E1 = Oε A1 ,  
where ε is the machine precision. See Chapter 11 of Higham (2002) for further details.
If x^ is the true solution, then the computed solution x satisfies a forward error bound of the form
x-x^ x^ wc condA,x^,b  
where condA,x^,b = A-1 A x^ + b / x^ condA = A-1 A κ A. If x^  is the j th column of X , then wc  is returned in berr[j-1]  and a bound on x - x^ / x^  is returned in ferr[j-1] . See Section 4.4 of Anderson et al. (1999) for further details.

8  Parallelism and Performance

nag_dsysvx (f07mbc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_dsysvx (f07mbc) 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 factorization of A  requires approximately 13 n3  floating-point operations.
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 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 analogues of this function are nag_zhesvx (f07mpc) for Hermitian matrices, and nag_zsysvx (f07npc) for symmetric matrices.

10  Example

This example solves the equations
AX=B ,  
where A  is the symmetric matrix
A = -1.81 2.06 0.63 -1.15 2.06 1.15 1.87 4.20 0.63 1.87 -0.21 3.87 -1.15 4.20 3.87 2.07   and   B = 0.96 3.93 6.07 19.25 8.38 9.90 9.50 27.85 .  
Error estimates for the solutions, and an estimate of the reciprocal of the condition number of the matrix A  are also output.

10.1  Program Text

Program Text (f07mbce.c)

10.2  Program Data

Program Data (f07mbce.d)

10.3  Program Results

Program Results (f07mbce.r)


nag_dsysvx (f07mbc) (PDF version)
f07 Chapter Contents
f07 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2016