NAG Library Function Document

nag_dsbgv (f08uac)

 Contents

    1  Purpose
    7  Accuracy

1
Purpose

nag_dsbgv (f08uac) 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.

2
Specification

#include <nag.h>
#include <nagf08.h>
void  nag_dsbgv (Nag_OrderType order, Nag_JobType job, Nag_UploType uplo, Integer n, Integer ka, Integer kb, double ab[], Integer pdab, double bb[], Integer pdbb, double w[], double z[], Integer pdz, NagError *fail)

3
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.

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
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

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:     job Nag_JobTypeInput
On entry: indicates whether eigenvectors are computed.
job=Nag_EigVals
Only eigenvalues are computed.
job=Nag_DoBoth
Eigenvalues and eigenvectors are computed.
Constraint: job=Nag_EigVals or Nag_DoBoth.
3:     uplo Nag_UploTypeInput
On entry: if uplo=Nag_Upper, the upper triangles of A and B are stored.
If uplo=Nag_Lower, the lower triangles of A and B are stored.
Constraint: uplo=Nag_Upper or Nag_Lower.
4:     n IntegerInput
On entry: n, the order of the matrices A and B.
Constraint: n0.
5:     ka IntegerInput
On entry: if uplo=Nag_Upper, the number of superdiagonals, ka, of the matrix A.
If uplo=Nag_Lower, the number of subdiagonals, ka, of the matrix A.
Constraint: ka0.
6:     kb IntegerInput
On entry: if uplo=Nag_Upper, the number of superdiagonals, kb, of the matrix B.
If uplo=Nag_Lower, the number of subdiagonals, kb, of the matrix B.
Constraint: kakb0.
7:     ab[dim] doubleInput/Output
Note: the dimension, dim, of the array ab must be at least max1,pdab×n.
On entry: the upper or lower triangle of the n by n symmetric band matrix A.
This is stored as a notional two-dimensional array with row elements or column elements stored contiguously. The storage of elements of Aij, depends on the order and uplo arguments as follows:
  • if order=Nag_ColMajor and uplo=Nag_Upper,
              Aij is stored in ab[ka+i-j+j-1×pdab], for j=1,,n and i=max1,j-ka,,j;
  • if order=Nag_ColMajor and uplo=Nag_Lower,
              Aij is stored in ab[i-j+j-1×pdab], for j=1,,n and i=j,,minn,j+ka;
  • if order=Nag_RowMajor and uplo=Nag_Upper,
              Aij is stored in ab[j-i+i-1×pdab], for i=1,,n and j=i,,minn,i+ka;
  • if order=Nag_RowMajor and uplo=Nag_Lower,
              Aij is stored in ab[ka+j-i+i-1×pdab], for i=1,,n and j=max1,i-ka,,i.
On exit: the contents of ab are overwritten.
8:     pdab IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) of the matrix A in the array ab.
Constraint: pdabka+1.
9:     bb[dim] doubleInput/Output
Note: the dimension, dim, of the array bb must be at least max1,pdbb×n.
On entry: the upper or lower triangle of the n by n symmetric band matrix B.
This is stored as a notional two-dimensional array with row elements or column elements stored contiguously. The storage of elements of Bij, depends on the order and uplo arguments as follows:
  • if order=Nag_ColMajor and uplo=Nag_Upper,
              Bij is stored in bb[kb+i-j+j-1×pdbb], for j=1,,n and i=max1,j-kb,,j;
  • if order=Nag_ColMajor and uplo=Nag_Lower,
              Bij is stored in bb[i-j+j-1×pdbb], for j=1,,n and i=j,,minn,j+kb;
  • if order=Nag_RowMajor and uplo=Nag_Upper,
              Bij is stored in bb[j-i+i-1×pdbb], for i=1,,n and j=i,,minn,i+kb;
  • if order=Nag_RowMajor and uplo=Nag_Lower,
              Bij is stored in bb[kb+j-i+i-1×pdbb], for i=1,,n and j=max1,i-kb,,i.
On exit: the factor S from the split Cholesky factorization B=STS, as returned by nag_dpbstf (f08ufc).
10:   pdbb IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) of the matrix B in the array bb.
Constraint: pdbbkb+1.
11:   w[n] doubleOutput
On exit: the eigenvalues in ascending order.
12:   z[dim] doubleOutput
Note: the dimension, dim, of the array z must be at least
  • max1,pdz×n when job=Nag_DoBoth;
  • 1 otherwise.
The i,jth element of the matrix Z is stored in
  • z[j-1×pdz+i-1] when order=Nag_ColMajor;
  • z[i-1×pdz+j-1] when order=Nag_RowMajor.
On exit: if job=Nag_DoBoth, z contains the matrix Z of eigenvectors, with the ith column of Z holding the eigenvector associated with w[i-1]. The eigenvectors are normalized so that ZTBZ=I.
If job=Nag_EigVals, z is not referenced.
13:   pdz IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array z.
Constraints:
  • if job=Nag_DoBoth, pdz max1,n ;
  • otherwise pdz1.
14:   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_CONVERGENCE
The algorithm failed to converge; value off-diagonal elements of an intermediate tridiagonal form did not converge to zero.
NE_ENUM_INT_2
On entry, job=value, pdz=value and n=value.
Constraint: if job=Nag_DoBoth, pdz max1,n ;
otherwise pdz1.
NE_INT
On entry, ka=value.
Constraint: ka0.
On entry, n=value.
Constraint: n0.
On entry, pdab=value.
Constraint: pdab>0.
On entry, pdbb=value.
Constraint: pdbb>0.
On entry, pdz=value.
Constraint: pdz>0.
NE_INT_2
On entry, ka=value and kb=value.
Constraint: kakb0.
On entry, pdab=value and ka=value.
Constraint: pdabka+1.
On entry, pdbb=value and kb=value.
Constraint: pdbbkb+1.
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
If fail.errnum=n+value, for 1valuen, then nag_dpbstf (f08ufc) returned fail.errnum=value: B is not positive definite. The factorization of B could not be completed and no eigenvalues or eigenvectors were 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

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.

8
Parallelism and Performance

nag_dsbgv (f08uac) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_dsbgv (f08uac) 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 proportional to n3  if job=Nag_DoBoth and, assuming that nka , is approximately proportional to n2 ka  otherwise.
The complex analogue of this function is nag_zhbgv (f08unc).

10
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 .  

10.1
Program Text

Program Text (f08uace.c)

10.2
Program Data

Program Data (f08uace.d)

10.3
Program Results

Program Results (f08uace.r)

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