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NAG Toolbox

NAG Toolbox: nag_lapack_dstegr (f08jl)

Purpose

nag_lapack_dstegr (f08jl) computes all the eigenvalues and, optionally, all the eigenvectors of a real nn by nn symmetric tridiagonal matrix.

Syntax

[d, e, m, w, z, isuppz, info] = f08jl(jobz, range, d, e, vl, vu, il, iu, 'n', n)
[d, e, m, w, z, isuppz, info] = nag_lapack_dstegr(jobz, range, d, e, vl, vu, il, iu, 'n', n)
Note: the interface to this routine has changed since earlier releases of the toolbox:
Mark 23: abstol is now an optional input parameter
.

Description

nag_lapack_dstegr (f08jl) computes all the eigenvalues and, optionally, the eigenvectors, of a real symmetric tridiagonal matrix TT. That is, the function computes the spectral factorization of TT given by
T = ZΛZT ,
T = ZΛZT ,
where ΛΛ is a diagonal matrix whose diagonal elements are the eigenvalues, λiλi, of TT and ZZ is an orthogonal matrix whose columns are the eigenvectors, zizi, of TT. Thus
Tzi = λi zi ,   i = 1,2,,n .
Tzi= λi zi ,   i = 1,2,,n .
The function may also be used to compute all the eigenvalues and eigenvectors of a real symmetric matrix AA which has been reduced to tridiagonal form TT:
A = QTQT, where ​Q​ is orthogonal
= (QZ)Λ(QZ)T.
A =QTQT, where ​Q​ is orthogonal =(QZ)Λ(QZ)T.
In this case, the matrix QQ must be explicitly applied to the output matrix ZZ. The functions which must be called to perform the reduction to tridiagonal form and apply QQ are:
full matrix nag_lapack_dsytrd (f08fe) and nag_lapack_dormtr (f08fg)
full matrix, packed storage nag_lapack_dsptrd (f08ge) and nag_lapack_dopmtr (f08gg)
band matrix nag_lapack_dsbtrd (f08he) with vect = 'V'vect='V' and .
This function uses the dqds and the Relatively Robust Representation algorithms to compute the eigenvalues and eigenvectors respectively; see for example Parlett and Dhillon (2000) and Dhillon and Parlett (2004) for further details. nag_lapack_dstegr (f08jl) can usually compute all the eigenvalues and eigenvectors in O(n2)O(n2) floating point operations and so, for large matrices, is often considerably faster than the other symmetric tridiagonal functions in this chapter when all the eigenvectors are required, particularly so compared to those functions that are based on the QRQR algorithm.

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
Barlow J and Demmel J W (1990) Computing accurate eigensystems of scaled diagonally dominant matrices SIAM J. Numer. Anal. 27 762–791
Dhillon I S and Parlett B N (2004) Orthogonal eigenvectors and relative gaps. SIAM J. Appl. Math. 25 858–899
Parlett B N and Dhillon I S (2000) Relatively robust representations of symmetric tridiagonals Linear Algebra Appl. 309 121–151

Parameters

Compulsory Input Parameters

1:     jobz – string (length ≥ 1)
Indicates whether eigenvectors are computed.
jobz = 'N'jobz='N'
Only eigenvalues are computed.
jobz = 'V'jobz='V'
Eigenvalues and eigenvectors are computed.
Constraint: jobz = 'N'jobz='N' or 'V''V'.
2:     range – string (length ≥ 1)
Indicates which eigenvalues should be returned.
range = 'A'range='A'
All eigenvalues will be found.
range = 'V'range='V'
All eigenvalues in the half-open interval (vl,vu](vl,vu] will be found.
range = 'I'range='I'
The ilth through iuth eigenvectors will be found.
Constraint: range = 'A'range='A', 'V''V' or 'I''I'.
3:     d( : :) – double array
Note: the dimension of the array d must be at least max (1,n)max(1,n).
The nn diagonal elements of the tridiagonal matrix TT.
4:     e( : :) – double array
Note: the dimension of the array e must be at least max (1,n)max(1,n).
e(1 : n1)e1:n-1 contains the subdiagonal elements of the tridiagonal matrix TT. e(n)en need not be set.
5:     vl – double scalar
6:     vu – double scalar
If range = 'V'range='V', vl and vu contain the lower and upper bounds respectively of the interval to be searched for eigenvalues.
If range = 'A'range='A' or 'I''I', vl and vu are not referenced.
Constraint: if range = 'V'range='V', vl < vuvl<vu.
7:     il – int64int32nag_int scalar
8:     iu – int64int32nag_int scalar
If range = 'I'range='I', il and iu contains the indices (in ascending order) of the smallest and largest eigenvalues to be returned, respectively.
If range = 'A'range='A' or 'V''V', il and iu are not referenced.
Constraints:
  • if range = 'I'range='I' and n > 0n>0, 1 il iu n 1 il iu n ;
  • if range = 'I'range='I' and n = 0n=0, il = 1il=1 and iu = 0iu=0.

Optional Input Parameters

1:     n – int64int32nag_int scalar
Default: The dimension of the array d.
nn, the order of the matrix TT.
Constraint: n0n0.

Input Parameters Omitted from the MATLAB Interface

abstol ldz work lwork iwork liwork

Output Parameters

1:     d( : :) – double array
Note: the dimension of the array d must be at least max (1,n)max(1,n).
2:     e( : :) – double array
Note: the dimension of the array e must be at least max (1,n)max(1,n).
3:     m – int64int32nag_int scalar
The total number of eigenvalues found. 0mn0mn.
If range = 'A'range='A', m = nm=n.
If range = 'I'range='I', m = iuil + 1m=iu-il+1.
4:     w( : :) – double array
Note: the dimension of the array w must be at least max (1,n)max(1,n).
The eigenvalues in ascending order.
5:     z(ldz, : :) – double array
The first dimension, ldz, of the array z will be
  • if jobz = 'V'jobz='V', ldz max (1,n) ldz max(1,n) ;
  • otherwise ldz1ldz1.
The second dimension of the array will be max (1,m)max(1,m) if jobz = 'V'jobz='V', and at least 11 otherwise
If jobz = 'V'jobz='V', then if INFO = 0INFO=0, the columns of z contain the orthonormal eigenvectors of the matrix TT, with the iith column of ZZ holding the eigenvector associated with w(i)wi.
If jobz = 'N'jobz='N', z is not referenced.
6:     isuppz( : :) – int64int32nag_int array
Note: the dimension of the array isuppz must be at least max (1,2 × n)max(1,2×n).
The support of the eigenvectors in ZZ, i.e., the indices indicating the nonzero elements in ZZ. The iith eigenvector is nonzero only in elements isuppz(2 × i1)isuppz2×i-1 through isuppz(2 × i)isuppz2×i.
7:     info – int64int32nag_int scalar
info = 0info=0 unless the function detects an error (see Section [Error Indicators and Warnings]).

Error Indicators and Warnings

  info = iinfo=-i
If info = iinfo=-i, parameter ii had an illegal value on entry. The parameters are numbered as follows:
1: jobz, 2: range, 3: n, 4: d, 5: e, 6: vl, 7: vu, 8: il, 9: iu, 10: abstol, 11: m, 12: w, 13: z, 14: ldz, 15: isuppz, 16: work, 17: lwork, 18: iwork, 19: liwork, 20: info.
It is possible that info refers to a parameter that is omitted from the MATLAB interface. This usually indicates that an error in one of the other input parameters has caused an incorrect value to be inferred.
  INFO > 0INFO>0
If INFO = 1INFO=1, the dqdsdqds algorithm failed to converge, if INFO = 2INFO=2, inverse iteration failed to converge.

Accuracy

See the description for abstol. See also Section 4.7 of Anderson et al. (1999) and Barlow and Demmel (1990) for further details.

Further Comments

The total number of floating point operations required to compute all the eigenvalues and eigenvectors is approximately proportional to n2n2.
The complex analogue of this function is nag_lapack_zstegr (f08jy).

Example

function nag_lapack_dstegr_example
jobz = 'V';
range = 'A';
d = [1; 4; 9; 16];
e = [1; 2; 3; 0];
vl = 0;
vu = 0;
il = int64(0);
iu = int64(0);
[dOut, eOut, m, w, z, isuppz, info] = ...
        nag_lapack_dstegr(jobz, range, d, e, vl, vu, il, iu)
 

dOut =

    0.3524
    0.5151
    0.5862
    0.0000


eOut =

    2.8374
    3.8831
    5.1175
    0.6476


m =

                    4


w =

    0.6476
    3.5470
    8.6578
   17.1477


z =

    0.9396    0.3388    0.0494    0.0034
   -0.3311    0.8628    0.3781    0.0545
    0.0853   -0.3648    0.8558    0.3568
   -0.0167    0.0879   -0.3497    0.9326


isuppz =

                    1
                    4
                    1
                    4
                    1
                    4
                    1
                    4


info =

                    0


function f08jl_example
jobz = 'V';
range = 'A';
d = [1; 4; 9; 16];
e = [1; 2; 3; 0];
vl = 0;
vu = 0;
il = int64(0);
iu = int64(0);
[dOut, eOut, m, w, z, isuppz, info] = f08jl(jobz, range, d, e, vl, vu, il, iu)
 

dOut =

    0.3524
    0.5151
    0.5862
    0.0000


eOut =

    2.8374
    3.8831
    5.1175
    0.6476


m =

                    4


w =

    0.6476
    3.5470
    8.6578
   17.1477


z =

    0.9396    0.3388    0.0494    0.0034
   -0.3311    0.8628    0.3781    0.0545
    0.0853   -0.3648    0.8558    0.3568
   -0.0167    0.0879   -0.3497    0.9326


isuppz =

                    1
                    4
                    1
                    4
                    1
                    4
                    1
                    4


info =

                    0



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Chapter Contents
Chapter Introduction
NAG Toolbox

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