F07WJF (DPFTRI) (PDF version)
F07 Chapter Contents
F07 Chapter Introduction
NAG Library Manual

NAG Library Routine Document


Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

F07WJF (DPFTRI) computes the inverse of a real symmetric positive definite matrix using the Cholesky factorization computed by F07WDF (DPFTRF) stored in Rectangular Full Packed (RFP) format. The RFP storage format is described in Section 3.3.3 in the F07 Chapter Introduction.

2  Specification

REAL (KIND=nag_wp)  A(N*(N+1)/2)
The routine may be called by its LAPACK name dpftri.

3  Description

F07WJF (DPFTRI) is used to compute the inverse of a real symmetric positive definite matrix A, the routine must be preceded by a call to F07WDF (DPFTRF), which computes the Cholesky factorization of A.
If UPLO='U', A=UTU and A-1 is computed by first inverting U and then forming U-1U-T.
If UPLO='L', A=LLT and A-1 is computed by first inverting L and then forming L-TL-1.

4  References

Du Croz J J and Higham N J (1992) Stability of methods for matrix inversion IMA J. Numer. Anal. 12 1–19
Gustavson F G, Waśniewski J, Dongarra J J and Langou J (2010) Rectangular full packed format for Cholesky's algorithm: factorization, solution, and inversion ACM Trans. Math. Software 37, 2

5  Parameters

1:     TRANSR – CHARACTER(1)Input
On entry: specifies whether the RFP representation of A is normal or transposed.
The matrix A is stored in normal RFP format.
The matrix A is stored in transposed RFP format.
Constraint: TRANSR='N' or 'T'.
2:     UPLO – CHARACTER(1)Input
On entry: specifies how A has been factorized.
A=UTU, where U is upper triangular.
A=LLT, where L is lower triangular.
Constraint: UPLO='U' or 'L'.
3:     N – INTEGERInput
On entry: n, the order of the matrix A.
Constraint: N0.
4:     A(N×N+1/2) – REAL (KIND=nag_wp) arrayInput/Output
On entry: the Cholesky factorization of A stored in RFP format, as returned by F07WDF (DPFTRF).
On exit: the factorization is overwritten by the n by n matrix A-1 stored in RFP format.
5:     INFO – INTEGEROutput
On exit: INFO=0 unless the routine detects an error (see Section 6).

6  Error Indicators and Warnings

Errors or warnings detected by the routine:
If INFO=-i, the ith parameter had an illegal value. An explanatory message is output, and execution of the program is terminated.
If INFO=i, the ith diagonal element of the Cholesky factor is zero; the Cholesky factor is singular and the inverse of A cannot be computed.

7  Accuracy

The computed inverse X satisfies
XA-I2cnεκ2A   and   AX-I2cnεκ2A ,
where cn is a modest function of n, ε is the machine precision and κ2A is the condition number of A defined by
κ2A=A2A-12 .

8  Further Comments

The total number of floating point operations is approximately 23n3.
The complex analogue of this routine is F07WWF (ZPFTRI).

9  Example

This example computes the inverse of the matrix A, where
A= 4.16 -3.12 0.56 -0.10 -3.12 5.03 -0.83 1.18 0.56 -0.83 0.76 0.34 -0.10 1.18 0.34 1.18 .
Here A is symmetric positive definite, stored in RFP format, and must first be factorized by F07WDF (DPFTRF).

9.1  Program Text

Program Text (f07wjfe.f90)

9.2  Program Data

Program Data (f07wjfe.d)

9.3  Program Results

Program Results (f07wjfe.r)

F07WJF (DPFTRI) (PDF version)
F07 Chapter Contents
F07 Chapter Introduction
NAG Library Manual

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