f01 Chapter Contents
f01 Chapter Introduction
NAG Library Manual

NAG Library Function Documentnag_matop_complex_gen_matrix_fun_num (f01flc)

1  Purpose

nag_matop_complex_gen_matrix_fun_num (f01flc) computes the matrix function, $f\left(A\right)$, of a complex $n$ by $n$ matrix $A$. Numerical differentiation is used to evaluate the derivatives of $f$ when they are required.

2  Specification

 #include #include
void  nag_matop_complex_gen_matrix_fun_num (Integer n, Complex a[], Integer pda,
 void (*f)(Integer *iflag, Integer nz, const Complex z[], Complex fz[], Nag_Comm *comm),
Nag_Comm *comm, Integer *iflag, NagError *fail)

3  Description

$f\left(A\right)$ is computed using the Schur–Parlett algorithm described in Higham (2008) and Davies and Higham (2003). The coefficients of the Taylor series used in the algorithm are evaluated using the numerical differentiation algorithm of Lyness and Moler (1967).
The scalar function $f$ is supplied via function f which evaluates $f\left({z}_{i}\right)$ at a number of points ${z}_{i}$.

4  References

Davies P I and Higham N J (2003) A Schur–Parlett algorithm for computing matrix functions. SIAM J. Matrix Anal. Appl. 25(2) 464–485
Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA
Lyness J N and Moler C B (1967) Numerical differentiation of analytic functions SIAM J. Numer. Anal. 4(2) 202–210

5  Arguments

1:     nIntegerInput
On entry: $n$, the order of the matrix $A$.
Constraint: ${\mathbf{n}}\ge 0$.
2:     a[$\mathit{dim}$]ComplexInput/Output
Note: the dimension, dim, of the array a must be at least ${\mathbf{pda}}×{\mathbf{n}}$.
The $\left(i,j\right)$th element of the matrix $A$ is stored in ${\mathbf{a}}\left[\left(j-1\right)×{\mathbf{pda}}+i-1\right]$.
On entry: the $n$ by $n$ matrix $A$.
On exit: the $n$ by $n$ matrix, $f\left(A\right)$.
3:     pdaIntegerInput
On entry: the stride separating matrix row elements in the array a.
Constraint: ${\mathbf{pda}}\ge {\mathbf{n}}$.
4:     ffunction, supplied by the userExternal Function
The function f evaluates $f\left({z}_{i}\right)$ at a number of points ${z}_{i}$.
The specification of f is:
 void f (Integer *iflag, Integer nz, const Complex z[], Complex fz[], Nag_Comm *comm)
1:     iflagInteger *Input/Output
On entry: iflag will be zero.
On exit: iflag should either be unchanged from its entry value of zero, or may be set nonzero to indicate that there is a problem in evaluating the function $f\left({z}_{i}\right)$; for instance $f\left({z}_{i}\right)$ may not be defined. If iflag is returned as nonzero then nag_matop_complex_gen_matrix_fun_num (f01flc) will terminate the computation, with ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
2:     nzIntegerInput
On entry: ${n}_{z}$, the number of function values required.
3:     z[nz]const ComplexInput
On entry: the ${n}_{z}$ points ${z}_{1},{z}_{2},\dots ,{z}_{{n}_{z}}$ at which the function $f$ is to be evaluated.
4:     fz[nz]ComplexOutput
On exit: the ${n}_{z}$ function values. ${\mathbf{fz}}\left[\mathit{i}-1\right]$ should return the value $f\left({z}_{\mathit{i}}\right)$, for $\mathit{i}=1,2,\dots ,{n}_{z}$.
5:     commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to f.
userdouble *
iuserInteger *
pPointer
The type Pointer will be void *. Before calling nag_matop_complex_gen_matrix_fun_num (f01flc) you may allocate memory and initialize these pointers with various quantities for use by f when called from nag_matop_complex_gen_matrix_fun_num (f01flc) (see Section 3.2.1.1 in the Essential Introduction).
5:     commNag_Comm *Communication Structure
The NAG communication argument (see Section 3.2.1.1 in the Essential Introduction).
6:     iflagInteger *Output
On exit: ${\mathbf{iflag}}=0$, unless iflag has been set nonzero inside f, in which case iflag will be the value set and fail will be set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
7:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL
Allocation of memory failed.
On entry, argument $⟨\mathit{\text{value}}⟩$ had an illegal value.
NE_CONVERGENCE
A Taylor series failed to converge after $40$ terms. Further Taylor series coefficients can no longer reliably be obtained by numerical differentiation.
NE_INT
On entry, ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{n}}\ge 0$.
NE_INT_2
On entry, ${\mathbf{pda}}=⟨\mathit{\text{value}}⟩$ and ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{pda}}\ge {\mathbf{n}}$.
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 internal error occurred when ordering the eigenvalues of $A$. Please contact NAG.
The function was unable to compute the Schur decomposition of $A$.
Note:  this failure should not occur and suggests that the function has been called incorrectly.
There was an error whilst reordering the Schur form of $A$.
Note:  this failure should not occur and suggests that the function has been called incorrectly.
NE_USER_STOP
iflag has been set nonzero by the user.

7  Accuracy

For a normal matrix $A$ (for which ${A}^{\mathrm{H}}A=A{A}^{\mathrm{H}}$) Schur decomposition is diagonal and the algorithm reduces to evaluating $f$ at the eigenvalues of $A$ and then constructing $f\left(A\right)$ using the Schur vectors. See Section 9.4 of Higham (2008) for further discussion of the Schur–Parlett algorithm, and Lyness and Moler (1967) for a discussion of numerical differentiation.

8  Parallelism and Performance

nag_matop_complex_gen_matrix_fun_num (f01flc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_matop_complex_gen_matrix_fun_num (f01flc) 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.
In these implementations, this may make calls to the user supplied functions from within an OpenMP parallel region. Thus OpenMP directives within the user functions should be avoided, unless you are using the same OpenMP runtime library (which normally means using the same compiler) as that used to build your NAG Library implementation, as listed in the Installers' Note. You must also ensure that you use the NAG communication argument comm in a thread safe manner, which is best achieved by only using it to supply read-only data to the user functions.

The Integer allocatable memory required is $n$, and up to $6{n}^{2}$ of Complex allocatable memory is required.
The cost of the Schur–Parlett algorithm depends on the spectrum of $A$, but is roughly between $28{n}^{3}$ and ${n}^{4}/3$ floating-point operations. There is an additional cost in numerically differentiating $f$, in order to obtain the Taylor series coefficients. If the derivatives of $f$ are known analytically, then nag_matop_complex_gen_matrix_fun_usd (f01fmc) can be used to evaluate $f\left(A\right)$ more accurately. If $A$ is complex Hermitian then it is recommended that nag_matop_complex_herm_matrix_fun (f01ffc) be used as it is more efficient and, in general, more accurate than nag_matop_complex_gen_matrix_fun_num (f01flc).
Note that $f$ must be analytic in the region of the complex plane containing the spectrum of $A$.
For further information on matrix functions, see Higham (2008).
If estimates of the condition number of the matrix function are required then nag_matop_complex_gen_matrix_cond_num (f01kbc) should be used.
nag_matop_real_gen_matrix_fun_num (f01elc) can be used to find the matrix function $f\left(A\right)$ for a real matrix $A$.

10  Example

This example finds $\mathrm{sin}2A$ where
 $A= 1.0+0.0i 0.0+1.0i 1.0+0.0i 0.0+1.0i -1.0+0.0i 0.0+0.0i 2.0+1.0i 0.0+0.0i 0.0+0.0i 2.0+1.0i 0.0+2.0i 0.0+1.0i 1.0+0.0i 1.0+1.0i -1.0+0.0i 2.0+1.0i .$

10.1  Program Text

Program Text (f01flce.c)

10.2  Program Data

Program Data (f01flce.d)

10.3  Program Results

Program Results (f01flce.r)