nag_dstevd (f08jcc) (PDF version)
f08 Chapter Contents
f08 Chapter Introduction
NAG Library Manual

NAG Library Function Document

nag_dstevd (f08jcc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_dstevd (f08jcc) computes all the eigenvalues and, optionally, all the eigenvectors of a real symmetric tridiagonal matrix. If the eigenvectors are requested, then it uses a divide-and-conquer algorithm to compute eigenvalues and eigenvectors. However, if only eigenvalues are required, then it uses the Pal–Walker–Kahan variant of the QL or QR algorithm.

2  Specification

#include <nag.h>
#include <nagf08.h>
void  nag_dstevd (Nag_OrderType order, Nag_JobType job, Integer n, double d[], double e[], double z[], Integer pdz, NagError *fail)

3  Description

nag_dstevd (f08jcc) computes all the eigenvalues and, optionally, all the eigenvectors of a real symmetric tridiagonal matrix T. In other words, it can compute the spectral factorization of T as
T=ZΛZT,
where Λ is a diagonal matrix whose diagonal elements are the eigenvalues λi, and Z is the orthogonal matrix whose columns are the eigenvectors zi. Thus
Tzi=λizi,  i=1,2,,n.

4  References

Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

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:     jobNag_JobTypeInput
On entry: indicates whether eigenvectors are computed.
job=Nag_DoNothing
Only eigenvalues are computed.
job=Nag_EigVecs
Eigenvalues and eigenvectors are computed.
Constraint: job=Nag_DoNothing or Nag_EigVecs.
3:     nIntegerInput
On entry: n, the order of the matrix T.
Constraint: n0.
4:     d[dim]doubleInput/Output
Note: the dimension, dim, of the array d must be at least max1,n.
On entry: the n diagonal elements of the tridiagonal matrix T.
On exit: the eigenvalues of the matrix T in ascending order.
5:     e[dim]doubleInput/Output
Note: the dimension, dim, of the array e must be at least max1,n.
On entry: the n-1 off-diagonal elements of the tridiagonal matrix T. The nth element of this array is used as workspace.
On exit: e is overwritten with intermediate results.
6:     z[dim]doubleOutput
Note: the dimension, dim, of the array z must be at least
  • max1,pdz×n when job=Nag_EigVecs;
  • 1 when job=Nag_DoNothing.
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_EigVecs, z is overwritten by the orthogonal matrix Z which contains the eigenvectors of T.
If job=Nag_DoNothing, z is not referenced.
7:     pdzIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array z.
Constraints:
  • if job=Nag_EigVecs, pdz max1,n ;
  • if job=Nag_DoNothing, pdz1.
8:     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_CONVERGENCE
The algorithm failed to converge; value eigenvectors did not converge.
NE_ENUM_INT_2
On entry, job=value, pdz=value and n=value.
Constraint: if job=Nag_EigVecs, pdz max1,n ;
if job=Nag_DoNothing, pdz1.
NE_INT
On entry, n=value.
Constraint: n0.
On entry, pdz=value.
Constraint: pdz>0.
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.

7  Accuracy

The computed eigenvalues and eigenvectors are exact for a nearby matrix T+E, where
E2 = Oε T2 ,
and ε is the machine precision.
If λi is an exact eigenvalue and λ~i is the corresponding computed value, then
λ~i - λi c n ε T2 ,
where cn is a modestly increasing function of n.
If zi is the corresponding exact eigenvector, and z~i is the corresponding computed eigenvector, then the angle θz~i,zi between them is bounded as follows:
θ z~i,zi c n ε T2 min ij λi - λj .
Thus the accuracy of a computed eigenvector depends on the gap between its eigenvalue and all the other eigenvalues.

8  Parallelism and Performance

nag_dstevd (f08jcc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_dstevd (f08jcc) 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

There is no complex analogue of this function.

10  Example

This example computes all the eigenvalues and eigenvectors of the symmetric tridiagonal matrix T, where
T = 1.0 1.0 0.0 0.0 1.0 4.0 2.0 0.0 0.0 2.0 9.0 3.0 0.0 0.0 3.0 16.0 .

10.1  Program Text

Program Text (f08jcce.c)

10.2  Program Data

Program Data (f08jcce.d)

10.3  Program Results

Program Results (f08jcce.r)


nag_dstevd (f08jcc) (PDF version)
f08 Chapter Contents
f08 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2014