NAG Library Routine Document
F11JAF
1 Purpose
F11JAF computes an incomplete Cholesky factorization of a real sparse symmetric matrix, represented in symmetric coordinate storage format. This factorization may be used as a preconditioner in combination with
F11GEF or
F11JCF.
2 Specification
SUBROUTINE F11JAF ( 
N, NNZ, A, LA, IROW, ICOL, LFILL, DTOL, MIC, DSCALE, PSTRAT, IPIV, ISTR, NNZC, NPIVM, IWORK, LIWORK, IFAIL) 
INTEGER 
N, NNZ, LA, IROW(LA), ICOL(LA), LFILL, IPIV(N), ISTR(N+1), NNZC, NPIVM, IWORK(LIWORK), LIWORK, IFAIL 
REAL (KIND=nag_wp) 
A(LA), DTOL, DSCALE 
CHARACTER(1) 
MIC, PSTRAT 

3 Description
F11JAF computes an incomplete Cholesky factorization (see
Meijerink and Van der Vorst (1977)) of a real sparse symmetric
$n$ by
$n$ matrix
$A$. It is designed specifically for positive definite matrices, but may also work for some mildly indefinite cases. The factorization is intended primarily for use as a preconditioner with one of the symmetric iterative solvers
F11GEF or
F11JCF.
The decomposition is written in the form
where
and
$P$ is a permutation matrix,
$L$ is lower triangular with unit diagonal elements,
$D$ is diagonal and
$R$ is a remainder matrix.
The amount of fillin occurring in the factorization can vary from zero to complete fill, and can be controlled by specifying either the maximum level of fill
LFILL, or the drop tolerance
DTOL. The factorization may be modified in order to preserve row sums, and the diagonal elements may be perturbed to ensure that the preconditioner is positive definite. Diagonal pivoting may optionally be employed, either with a userdefined ordering, or using the Markowitz strategy (see
Markowitz (1957)), which aims to minimize fillin. For further details see
Section 8.
The sparse matrix
$A$ is represented in symmetric coordinate storage (SCS) format (see
Section 2.1.2 in the F11 Chapter Introduction). The array
A stores all the nonzero elements of the lower triangular part of
$A$, while arrays
IROW and
ICOL store the corresponding row and column indices respectively. Multiple nonzero elements may not be specified for the same row and column index.
The preconditioning matrix
$M$ is returned in terms of the SCS representation of the lower triangular matrix
4 References
Chan T F (1991) Fourier analysis of relaxed incomplete factorization preconditioners SIAM J. Sci. Statist. Comput. 12(2) 668–680
Markowitz H M (1957) The elimination form of the inverse and its application to linear programming Management Sci. 3 255–269
Meijerink J and Van der Vorst H (1977) An iterative solution method for linear systems of which the coefficient matrix is a symmetric Mmatrix Math. Comput. 31 148–162
Salvini S A and Shaw G J (1995) An evaluation of new NAG Library solvers for large sparse symmetric linear systems NAG Technical Report TR1/95
Van der Vorst H A (1990) The convergence behaviour of preconditioned CG and CGS in the presence of rounding errors Lecture Notes in Mathematics (eds O Axelsson and L Y Kolotilina) 1457 Springer–Verlag
5 Parameters
 1: N – INTEGERInput
On entry: $n$, the order of the matrix $A$.
Constraint:
${\mathbf{N}}\ge 1$.
 2: NNZ – INTEGERInput
On entry: the number of nonzero elements in the lower triangular part of the matrix $A$.
Constraint:
$1\le {\mathbf{NNZ}}\le {\mathbf{N}}\times \left({\mathbf{N}}+1\right)/2$.
 3: A(LA) – REAL (KIND=nag_wp) arrayInput/Output
On entry: the nonzero elements in the lower triangular part of the matrix
$A$, ordered by increasing row index, and by increasing column index within each row. Multiple entries for the same row and column indices are not permitted. The routine
F11ZBF may be used to order the elements in this way.
On exit: the first
NNZ elements of
A contain the nonzero elements of
$A$ and the next
NNZC elements contain the elements of the lower triangular matrix
$C$. Matrix elements are ordered by increasing row index, and by increasing column index within each row.
 4: LA – INTEGERInput
On entry: the dimension of the arrays
A,
IROW and
ICOL as declared in the (sub)program from which F11JAF is called. These arrays must be of sufficient size to store both
$A$ (
NNZ elements) and
$C$ (
NNZC elements).
Constraint:
${\mathbf{LA}}\ge 2\times {\mathbf{NNZ}}$.
 5: IROW(LA) – INTEGER arrayInput/Output
 6: ICOL(LA) – INTEGER arrayInput/Output
On entry: the row and column indices of the nonzero elements supplied in
A.
Constraints:
IROW and
ICOL must satisfy these constraints (which may be imposed by a call to
F11ZBF):
 $1\le {\mathbf{IROW}}\left(\mathit{i}\right)\le {\mathbf{N}}$ and $1\le {\mathbf{ICOL}}\left(\mathit{i}\right)\le {\mathbf{IROW}}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NNZ}}$;
 ${\mathbf{IROW}}\left(\mathit{i}1\right)<{\mathbf{IROW}}\left(\mathit{i}\right)$ or ${\mathbf{IROW}}\left(\mathit{i}1\right)={\mathbf{IROW}}\left(\mathit{i}\right)$ and ${\mathbf{ICOL}}\left(\mathit{i}1\right)<{\mathbf{ICOL}}\left(\mathit{i}\right)$, for $\mathit{i}=2,3,\dots ,{\mathbf{NNZ}}$.
On exit: the row and column indices of the nonzero elements returned in
A.
 7: LFILL – INTEGERInput
On entry: if
${\mathbf{LFILL}}\ge 0$ its value is the maximum level of fill allowed in the decomposition (see
Section 8.2). A negative value of
LFILL indicates that
DTOL will be used to control the fill instead.
 8: DTOL – REAL (KIND=nag_wp)Input
On entry: if
${\mathbf{LFILL}}<0$,
DTOL is used as a drop tolerance to control the fillin (see
Section 8.2); otherwise
DTOL is not referenced.
Constraint:
if ${\mathbf{LFILL}}<0$, ${\mathbf{DTOL}}\ge 0.0$.
 9: MIC – CHARACTER(1)Input
On entry: indicates whether or not the factorization should be modified to preserve row sums (see
Section 8.3).
 ${\mathbf{MIC}}=\text{'M'}$
 The factorization is modified.
 ${\mathbf{MIC}}=\text{'N'}$
 The factorization is not modified.
Constraint:
${\mathbf{MIC}}=\text{'M'}$ or $\text{'N'}$.
 10: DSCALE – REAL (KIND=nag_wp)Input
On entry: the diagonal scaling parameter. All diagonal elements are multiplied by the factor (
$1+{\mathbf{DSCALE}}$) at the start of the factorization. This can be used to ensure that the preconditioner is positive definite. See
Section 8.3.
 11: PSTRAT – CHARACTER(1)Input
On entry: specifies the pivoting strategy to be adopted.
 ${\mathbf{PSTRAT}}=\text{'N'}$
 No pivoting is carried out.
 ${\mathbf{PSTRAT}}=\text{'M'}$
 Diagonal pivoting aimed at minimizing fillin is carried out, using the Markowitz strategy.
 ${\mathbf{PSTRAT}}=\text{'U'}$
 Diagonal pivoting is carried out according to the userdefined input value of IPIV.
Suggested value:
${\mathbf{PSTRAT}}=\text{'M'}$.
Constraint:
${\mathbf{PSTRAT}}=\text{'N'}$, $\text{'M'}$ or $\text{'U'}$.
 12: IPIV(N) – INTEGER arrayInput/Output
On entry: if
${\mathbf{PSTRAT}}=\text{'U'}$, then
${\mathbf{IPIV}}\left(i\right)$ must specify the row index of the diagonal element used as a pivot at elimination stage
$i$. Otherwise
IPIV need not be initialized.
Constraint:
if
${\mathbf{PSTRAT}}=\text{'U'}$,
IPIV must contain a valid permutation of the integers on [1,
N].
On exit: the pivot indices. If ${\mathbf{IPIV}}\left(i\right)=j$ then the diagonal element in row $j$ was used as the pivot at elimination stage $i$.
 13: ISTR(${\mathbf{N}}+1$) – INTEGER arrayOutput
On exit:
${\mathbf{ISTR}}\left(\mathit{i}\right)$, for
$\mathit{i}=1,2,\dots ,{\mathbf{N}}$, is the starting address in the arrays
A,
IROW and
ICOL of row
$i$ of the matrix
$C$.
${\mathbf{ISTR}}\left({\mathbf{N}}+1\right)$ is the address of the last nonzero element in
$C$ plus one.
 14: NNZC – INTEGEROutput
On exit: the number of nonzero elements in the lower triangular matrix $C$.
 15: NPIVM – INTEGEROutput
On exit: the number of pivots which were modified during the factorization to ensure that
$M$ was positive definite. The quality of the preconditioner will generally depend on the returned value of
NPIVM. If
NPIVM is large the preconditioner may not be satisfactory. In this case it may be advantageous to call F11JAF again with an increased value of either
LFILL or
DSCALE. See also
Section 8.4.
 16: IWORK(LIWORK) – INTEGER arrayWorkspace
 17: LIWORK – INTEGERInput
On entry: the dimension of the array
IWORK as declared in the (sub)program from which F11JAF is called.
Constraints:
the minimum permissible value of
LIWORK depends on
LFILL as follows:
 if ${\mathbf{LFILL}}\ge 0$, ${\mathbf{LIWORK}}\ge 2\times {\mathbf{LA}}3\times {\mathbf{NNZ}}+7\times {\mathbf{N}}+1$;
 if ${\mathbf{LFILL}}<0$, ${\mathbf{LIWORK}}\ge {\mathbf{LA}}{\mathbf{NNZ}}+7\times {\mathbf{N}}+1$.
 18: IFAIL – INTEGERInput/Output

On entry:
IFAIL must be set to
$0$,
$1\text{ or}1$. If you are unfamiliar with this parameter you should refer to
Section 3.3 in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
$1\text{ or}1$ is recommended. If the output of error messages is undesirable, then the value
$1$ is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is
$0$.
When the value $\mathbf{1}\text{ or}\mathbf{1}$ is used it is essential to test the value of IFAIL on exit.
On exit:
${\mathbf{IFAIL}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6 Error Indicators and Warnings
If on entry
${\mathbf{IFAIL}}={\mathbf{0}}$ or
${{\mathbf{1}}}$, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
 ${\mathbf{IFAIL}}=1$
On entry,  ${\mathbf{N}}<1$, 
or  ${\mathbf{NNZ}}<1$, 
or  ${\mathbf{NNZ}}>{\mathbf{N}}\times \left({\mathbf{N}}+1\right)/2$, 
or  ${\mathbf{LA}}<2\times {\mathbf{NNZ}}$, 
or  ${\mathbf{DTOL}}<0.0$, 
or  ${\mathbf{MIC}}\ne \text{'M'}$ or $\text{'N'}$, 
or  ${\mathbf{PSTRAT}}\ne \text{'N'}$, $\text{'M'}$ or $\text{'U'}$, 
or  ${\mathbf{LIWORK}}<2\times {\mathbf{LA}}3\times {\mathbf{NNZ}}+7\times {\mathbf{N}}+1$, and ${\mathbf{LFILL}}\ge 0$, 
or  ${\mathbf{LIWORK}}<{\mathbf{LA}}{\mathbf{NNZ}}+7\times {\mathbf{N}}+1$, and ${\mathbf{LFILL}}<0$. 
 ${\mathbf{IFAIL}}=2$
On entry, the arrays
IROW and
ICOL fail to satisfy the following constraints:
 $1\le {\mathbf{IROW}}\left(i\right)\le {\mathbf{N}}$ and $1\le {\mathbf{ICOL}}\left(i\right)\le {\mathbf{IROW}}\left(i\right)$, for $i=1,2,\dots ,{\mathbf{NNZ}}$;
 ${\mathbf{IROW}}\left(i1\right)<{\mathbf{IROW}}\left(i\right)$, or ${\mathbf{IROW}}\left(i1\right)={\mathbf{IROW}}\left(i\right)$ and ${\mathbf{ICOL}}\left(i1\right)<{\mathbf{ICOL}}\left(i\right)$, for $i=2,3,\dots ,{\mathbf{NNZ}}$.
Therefore a nonzero element has been supplied which does not lie in the lower triangular part of
$A$, is out of order, or has duplicate row and column indices. Call
F11ZBF to reorder and sum or remove duplicates.
 ${\mathbf{IFAIL}}=3$
On entry,
${\mathbf{PSTRAT}}=\text{'U'}$, but
IPIV does not represent a valid permutation of the integers in
$\left[1,{\mathbf{N}}\right]$. An input value of
IPIV is either out of range or repeated.
 ${\mathbf{IFAIL}}=4$
LA is too small, resulting in insufficient storage space for fillin elements. The decomposition has been terminated before completion. Either increase
LA or reduce the amount of fill by setting
${\mathbf{PSTRAT}}=\text{'M'}$, reducing
LFILL, or increasing
DTOL.
 ${\mathbf{IFAIL}}=5$ (F11ZBF)
A serious error has occurred in an internal call to the specified routine. Check all subroutine calls and array sizes. Seek expert help.
7 Accuracy
The accuracy of the factorization will be determined by the size of the elements that are dropped and the size of any modifications made to the diagonal elements. If these sizes are small then the computed factors will correspond to a matrix close to
$A$. The factorization can generally be made more accurate by increasing
LFILL, or by reducing
DTOL with
${\mathbf{LFILL}}<0$.
If F11JAF is used in combination with
F11GEF or
F11JCF, the more accurate the factorization the fewer iterations will be required. However, the cost of the decomposition will also generally increase.
The time taken for a call to F11JAF is roughly proportional to ${\left({\mathbf{NNZC}}\right)}^{2}/{\mathbf{N}}$.
If
${\mathbf{LFILL}}\ge 0$ the amount of fillin occurring in the incomplete factorization is controlled by limiting the maximum
level of fillin to
LFILL. The original nonzero elements of
$A$ are defined to be of level
$0$. The fill level of a new nonzero location occurring during the factorization is defined as
where
${k}_{\mathrm{e}}$ is the level of fill of the element being eliminated, and
${k}_{\mathrm{c}}$ is the level of fill of the element causing the fillin.
If
${\mathbf{LFILL}}<0$ the fillin is controlled by means of the
drop tolerance
DTOL. A potential fillin element
${a}_{ij}$ occurring in row
$i$ and column
$j$ will not be included if
For either method of control, any elements which are not included are discarded if ${\mathbf{MIC}}=\text{'N'}$, or subtracted from the diagonal element in the elimination row if ${\mathbf{MIC}}=\text{'M'}$.
There is unfortunately no choice of the various algorithmic parameters which is optimal for all types of symmetric matrix, and some experimentation will generally be required for each new type of matrix encountered.
If the matrix
$A$ is not known to have any particular special properties the following strategy is recommended. Start with
${\mathbf{LFILL}}=0$,
${\mathbf{MIC}}=\text{'N'}$ and
${\mathbf{DSCALE}}=0.0$. If the value returned for
NPIVM is significantly larger than zero, i.e., a large number of pivot modifications were required to ensure that
$M$ was positive definite, the preconditioner is not likely to be satisfactory. In this case increase either
LFILL or
DSCALE until
NPIVM falls to a value close to zero. Once suitable values of
LFILL and
DSCALE have been found try setting
${\mathbf{MIC}}=\text{'M'}$ to see if any improvement can be obtained by using
modified incomplete Cholesky.
F11JAF is primarily designed for positive definite matrices, but may work for some mildly indefinite problems. If
NPIVM cannot be satisfactorily reduced by increasing
LFILL or
DSCALE then
$A$ is probably too indefinite for this routine.
If
$A$ has nonpositive offdiagonal elements, is nonsingular, and has only nonnegative elements in its inverse, it is called an ‘Mmatrix’. It can be shown that no pivot modifications are required in the incomplete Cholesky factorization of an Mmatrix (see
Meijerink and Van der Vorst (1977)). In this case a good preconditioner can generally be expected by setting
${\mathbf{LFILL}}=0$,
${\mathbf{MIC}}=\text{'M'}$ and
${\mathbf{DSCALE}}=0.0$.
For certain meshbased problems involving Mmatrices it can be shown in theory that setting
${\mathbf{MIC}}=\text{'M'}$, and choosing
DSCALE appropriately can reduce the order of magnitude of the condition number of the preconditioned matrix as a function of the mesh steplength (see
Chan (1991)). In practise this property often holds even with
${\mathbf{DSCALE}}=0.0$, although an improvement in condition can result from increasing
DSCALE slightly (see
Van der Vorst (1990)).
Some illustrations of the application of F11JAF to linear systems arising from the discretization of twodimensional elliptic partial differential equations, and to randomvalued randomly structured symmetric positive definite linear systems, can be found in
Salvini and Shaw (1995).
Although it is not their primary purpose, F11JAF and
F11JBF may be used together to obtain a
direct solution to a symmetric positive definite linear system. To achieve this the call to
F11JBF should be preceded by a
complete Cholesky factorization
A complete factorization is obtained from a call to F11JAF with
${\mathbf{LFILL}}<0$ and
${\mathbf{DTOL}}=0.0$, provided
${\mathbf{NPIVM}}=0$ on exit. A nonzero value of
NPIVM indicates that
A is not positive definite, or is illconditioned. A factorization with nonzero
NPIVM may serve as a preconditioner, but will not result in a direct solution. It is therefore
essential to check the output value of
NPIVM if a direct solution is required.
The use of F11JAF and
F11JBF as a direct method is illustrated in
Section 9 in F11JBF.
9 Example
This example reads in a symmetric sparse matrix $A$ and calls F11JAF to compute an incomplete Cholesky factorization. It then outputs the nonzero elements of both $A$ and $C=L+{D}^{1}I$.
The call to F11JAF has ${\mathbf{LFILL}}=0$, ${\mathbf{MIC}}=\text{'N'}$, ${\mathbf{DSCALE}}=0.0$ and ${\mathbf{PSTRAT}}=\text{'M'}$, giving an unmodified zerofill factorization of an unperturbed matrix, with Markowitz diagonal pivoting.
9.1 Program Text
Program Text (f11jafe.f90)
9.2 Program Data
Program Data (f11jafe.d)
9.3 Program Results
Program Results (f11jafe.r)