nag_dptsvx (f07jbc) (PDF version)
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f07 Chapter Introduction
NAG C Library Manual

NAG Library Function Document

nag_dptsvx (f07jbc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_dptsvx (f07jbc) uses the factorization
A=LDLT
to compute the solution to a real system of linear equations
AX=B ,
where A is an n by n symmetric positive definite tridiagonal 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_dptsvx (Nag_OrderType order, Nag_FactoredFormType fact, Integer n, Integer nrhs, const double d[], const double e[], double df[], double ef[], const double b[], Integer pdb, double x[], Integer pdx, double *rcond, double ferr[], double berr[], NagError *fail)

3  Description

nag_dptsvx (f07jbc) performs the following steps:
  1. If fact=Nag_NotFactored, the matrix A is factorized as A=LDLT, where L is a unit lower bidiagonal matrix and D is diagonal. The factorization can also be regarded as having the form A=UTDU.
  2. If the leading i by i principal minor is not positive definite, then the function returns with fail.errnum=i and fail.code= NE_MAT_NOT_POS_DEF. 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:     orderNag_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 3.2.1.3 in the Essential Introduction for a more detailed explanation of the use of this argument.
Constraint: order=Nag_RowMajor or Nag_ColMajor.
2:     factNag_FactoredFormTypeInput
On entry: specifies whether or not the factorized form of the matrix A has been supplied.
fact=Nag_Factored
df and ef contain the factorized form of the matrix A. df and ef will not be modified.
fact=Nag_NotFactored
The matrix A will be copied to df and ef and factorized.
Constraint: fact=Nag_Factored or Nag_NotFactored.
3:     nIntegerInput
On entry: n, the order of the matrix A.
Constraint: n0.
4:     nrhsIntegerInput
On entry: r, the number of right-hand sides, i.e., the number of columns of the matrix B.
Constraint: nrhs0.
5:     d[dim]const doubleInput
Note: the dimension, dim, of the array d must be at least max1,n.
On entry: the n diagonal elements of the tridiagonal matrix A.
6:     e[dim]const doubleInput
Note: the dimension, dim, of the array e must be at least max1,n-1.
On entry: the n-1 subdiagonal elements of the tridiagonal matrix A.
7:     df[dim]doubleInput/Output
Note: the dimension, dim, of the array df must be at least max1,n.
On entry: if fact=Nag_Factored, df must contain the n diagonal elements of the diagonal matrix D from the LDLT factorization of A.
On exit: if fact=Nag_NotFactored, df contains the n diagonal elements of the diagonal matrix D from the LDLT factorization of A.
8:     ef[dim]doubleInput/Output
Note: the dimension, dim, of the array ef must be at least max1,n-1.
On entry: if fact=Nag_Factored, ef must contain the n-1 subdiagonal elements of the unit bidiagonal factor L from the LDLT factorization of A.
On exit: if fact=Nag_NotFactored, ef contains the n-1 subdiagonal elements of the unit bidiagonal factor L from the LDLT factorization of A.
9:     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.
10:   pdbIntegerInput
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.
11:   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.
12:   pdxIntegerInput
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.
13:   rconddouble *Output
On exit: the reciprocal condition number of the matrix A. If rcond is less than the machine precision (in particular, if rcond=0.0), the matrix is singular to working precision. This condition is indicated by a return code of fail.code= NE_SINGULAR_WP.
14:   ferr[nrhs]doubleOutput
On exit: the forward error bound for each solution vector x^j (the jth column of the solution matrix X). If xj is the true solution corresponding to x^j, ferr[j-1] is an estimated upper bound for the magnitude of the largest element in (x^j-xj) divided by the magnitude of the largest element in x^j.
15:   berr[nrhs]doubleOutput
On exit: the component-wise relative backward error of each solution vector x^j (i.e., the smallest relative change in any element of A or B that makes x^j an exact solution).
16:   failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
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, pdb=value.
Constraint: pdb>0.
On entry, pdx=value.
Constraint: pdx>0.
NE_INT_2
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.
NE_MAT_NOT_POS_DEF
The leading minor of order value of A is not positive definite, so the factorization could not be completed, and the solution has not been 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
E c n ε R RT , where ​ R = L D12 ,
cn is a modest linear function of n, and ε is the machine precision. See Section 10.1 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  Further Comments

The number of floating point operations required for the factorization, and for the estimation of the condition number of A  is proportional to n . The number of floating point operations required for the solution of the equations, and for the estimation of the forward and backward error is proportional to nr , where r  is the number of right-hand sides.
The condition estimation is based upon Equation (15.11) of Higham (2002). For further details of the error estimation, see Section 4.4 of Anderson et al. (1999).
The complex analogue of this function is nag_zptsvx (f07jpc).

9  Example

This example solves the equations
AX=B ,
where A  is the symmetric positive definite tridiagonal matrix
A = 4.0 -2.0 0 0 0 -2.0 10.0 -6.0 0 0 0 -6.0 29.0 15.0 0 0 0 15.0 25.0 8.0 0 0 0 8.0 5.0
and
B = 6.0 10.0 9.0 4.0 2.0 9.0 14.0 65.0 7.0 23.0 .
Error estimates for the solutions and an estimate of the reciprocal of the condition number of A  are also output.

9.1  Program Text

Program Text (f07jbce.c)

9.2  Program Data

Program Data (f07jbce.d)

9.3  Program Results

Program Results (f07jbce.r)


nag_dptsvx (f07jbc) (PDF version)
f07 Chapter Contents
f07 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012