nag_real_sym_posdef_tridiag_lin_solve (f04bgc) (PDF version)
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NAG Library Manual

# NAG Library Function Documentnag_real_sym_posdef_tridiag_lin_solve (f04bgc)

## 1  Purpose

nag_real_sym_posdef_tridiag_lin_solve (f04bgc) computes 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. An estimate of the condition number of $A$ and an error bound for the computed solution are also returned.

## 2  Specification

 #include #include
 void nag_real_sym_posdef_tridiag_lin_solve (Nag_OrderType order, Integer n, Integer nrhs, double d[], double e[], double b[], Integer pdb, double *rcond, double *errbnd, NagError *fail)

## 3  Description

$A$ is factorized as $A=LD{L}^{\mathrm{T}}$, where $L$ is a unit lower bidiagonal matrix and $D$ is diagonal, and the factored form of $A$ is then used to solve the system of equations.

## 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
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 ${\mathbf{order}}=\mathrm{Nag_RowMajor}$. See Section 3.2.1.3 in the Essential Introduction for a more detailed explanation of the use of this argument.
Constraint: ${\mathbf{order}}=\mathrm{Nag_RowMajor}$ or $\mathrm{Nag_ColMajor}$.
2:     nIntegerInput
On entry: the number of linear equations $n$, i.e., the order of the matrix $A$.
Constraint: ${\mathbf{n}}\ge 0$.
3:     nrhsIntegerInput
On entry: the number of right-hand sides $r$, i.e., the number of columns of the matrix $B$.
Constraint: ${\mathbf{nrhs}}\ge 0$.
4:     d[$\mathit{dim}$]doubleInput/Output
Note: the dimension, dim, of the array d must be at least $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$.
On entry: must contain the $n$ diagonal elements of the tridiagonal matrix $A$.
On exit: if ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, d is overwritten by the $n$ diagonal elements of the diagonal matrix $D$ from the $LD{L}^{\mathrm{T}}$ factorization of $A$.
5:     e[$\mathit{dim}$]doubleInput/Output
Note: the dimension, dim, of the array e must be at least $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}-1\right)$.
On entry: must contain the $\left(n-1\right)$ subdiagonal elements of the tridiagonal matrix $A$.
On exit: if ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, e is overwritten by the $\left(n-1\right)$ subdiagonal elements of the unit lower bidiagonal matrix $L$ from the $LD{L}^{\mathrm{T}}$ factorization of $A$. (e can also be regarded as the superdiagonal of the unit upper bidiagonal factor $U$ from the ${U}^{\mathrm{T}}DU$ factorization of $A$.)
6:     b[$\mathit{dim}$]doubleInput/Output
Note: the dimension, dim, of the array b must be at least
• $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{pdb}}×{\mathbf{nrhs}}\right)$ when ${\mathbf{order}}=\mathrm{Nag_ColMajor}$;
• $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}×{\mathbf{pdb}}\right)$ when ${\mathbf{order}}=\mathrm{Nag_RowMajor}$.
The $\left(i,j\right)$th element of the matrix $B$ is stored in
• ${\mathbf{b}}\left[\left(j-1\right)×{\mathbf{pdb}}+i-1\right]$ when ${\mathbf{order}}=\mathrm{Nag_ColMajor}$;
• ${\mathbf{b}}\left[\left(i-1\right)×{\mathbf{pdb}}+j-1\right]$ when ${\mathbf{order}}=\mathrm{Nag_RowMajor}$.
On entry: the $n$ by $r$ matrix of right-hand sides $B$.
On exit: if ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, the $n$ by $r$ solution matrix $X$.
7:     pdbIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array b.
Constraints:
• if ${\mathbf{order}}=\mathrm{Nag_ColMajor}$, ${\mathbf{pdb}}\ge \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$;
• if ${\mathbf{order}}=\mathrm{Nag_RowMajor}$, ${\mathbf{pdb}}\ge \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{nrhs}}\right)$.
8:     rconddouble *Output
On exit: if ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, an estimate of the reciprocal of the condition number of the matrix $A$, computed as ${\mathbf{rcond}}=1/\left({‖A‖}_{1}{‖{A}^{-1}‖}_{1}\right)$.
9:     errbnddouble *Output
On exit: if ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_NOERROR or NE_RCOND, an estimate of the forward error bound for a computed solution $\stackrel{^}{x}$, such that ${‖\stackrel{^}{x}-x‖}_{1}/{‖x‖}_{1}\le {\mathbf{errbnd}}$, where $\stackrel{^}{x}$ is a column of the computed solution returned in the array b and $x$ is the corresponding column of the exact solution $X$. If rcond is less than machine precision, then errbnd is returned as unity.
10:   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 $⟨\mathit{\text{value}}⟩$ had an illegal value.
NE_INT
On entry, ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{n}}\ge 0$.
On entry, ${\mathbf{nrhs}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{nrhs}}\ge 0$.
On entry, ${\mathbf{pdb}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{pdb}}>0$.
NE_INT_2
On entry, ${\mathbf{pdb}}=⟨\mathit{\text{value}}⟩$ and ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{pdb}}\ge \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$.
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_POS_DEF
The principal minor of order $⟨\mathit{\text{value}}⟩$ of the matrix $A$ is not positive definite. The factorization has not been completed and the solution could not be computed.
NE_RCOND
A solution has been computed, but rcond is less than machine precision so that the matrix $A$ is numerically singular.

## 7  Accuracy

The computed solution for a single right-hand side, $\stackrel{^}{x}$, satisfies an equation of the form
 $A+E x^=b,$
where
 $E1=Oε A1$
and $\epsilon$ is the machine precision. An approximate error bound for the computed solution is given by
 $x^-x1 x1 ≤ κA E1 A1 ,$
where $\kappa \left(A\right)={‖{A}^{-1}‖}_{1}{‖A‖}_{1}$, the condition number of $A$ with respect to the solution of the linear equations. nag_real_sym_posdef_tridiag_lin_solve (f04bgc) uses the approximation ${‖E‖}_{1}=\epsilon {‖A‖}_{1}$ to estimate errbnd. See Section 4.4 of Anderson et al. (1999) for further details.

## 8  Parallelism and Performance

nag_real_sym_posdef_tridiag_lin_solve (f04bgc) is not threaded by NAG in any implementation.
nag_real_sym_posdef_tridiag_lin_solve (f04bgc) 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 Users' Note for your implementation for any additional implementation-specific information.

## 9  Further Comments

The total number of floating-point operations required to solve the equations $AX=B$ is proportional to $nr$. The condition number estimation requires $\mathit{O}\left(n\right)$ floating-point operations.
See Section 15.3 of Higham (2002) for further details on computing the condition number of tridiagonal matrices.
The complex analogue of nag_real_sym_posdef_tridiag_lin_solve (f04bgc) is nag_herm_posdef_tridiag_lin_solve (f04cgc).

## 10  Example

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

### 10.1  Program Text

Program Text (f04bgce.c)

### 10.2  Program Data

Program Data (f04bgce.d)

### 10.3  Program Results

Program Results (f04bgce.r)

nag_real_sym_posdef_tridiag_lin_solve (f04bgc) (PDF version)
f04 Chapter Contents
f04 Chapter Introduction
NAG Library Manual