nag_real_cholesky_solve_mult_rhs (f04agc) calculates the approximate solution of a set of real symmetric positive definite linear equations with multiple right-hand sides,
has been factorized by nag_real_cholesky (f03aec)
To solve a set of real linear equations
is symmetric positive definite, nag_real_cholesky_solve_mult_rhs (f04agc) must be preceded by a call to nag_real_cholesky (f03aec)
which computes a Cholesky factorization of
is lower triangular. The columns
of the solution
are found by forward and backward substitution in
is a column of the right-hand sides.
The accuracy of the computed solutions depends on the conditioning of the original matrix. For a detailed error analysis see page 39 of Wilkinson and Reinsch (1971)
The time taken by nag_real_cholesky_solve_mult_rhs (f04agc) is approximately proportional to .
The function may be called with the same actual array supplied for arguments b
, in which case the solution vectors will overwrite the right-hand sides.
This example solves the set of linear equations