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Chapter Contents
Chapter Introduction
NAG Toolbox

NAG Toolbox: nag_sparse_real_gen_precon_ilu (f11da)

Purpose

nag_sparse_real_gen_precon_ilu (f11da) computes an incomplete LULU factorization of a real sparse nonsymmetric matrix, represented in coordinate storage format. This factorization may be used as a preconditioner in combination with nag_sparse_real_gen_basic_solver (f11be) or nag_sparse_real_gen_solve_ilu (f11dc).

Syntax

[a, irow, icol, ipivp, ipivq, istr, idiag, nnzc, npivm, ifail] = f11da(nnz, a, irow, icol, lfill, dtol, milu, ipivp, ipivq, 'n', n, 'la', la, 'pstrat', pstrat)
[a, irow, icol, ipivp, ipivq, istr, idiag, nnzc, npivm, ifail] = nag_sparse_real_gen_precon_ilu(nnz, a, irow, icol, lfill, dtol, milu, ipivp, ipivq, 'n', n, 'la', la, 'pstrat', pstrat)

Description

nag_sparse_real_gen_precon_ilu (f11da) computes an incomplete LULU factorization (see Meijerink and Van der Vorst (1977) and Meijerink and Van der Vorst (1981)) of a real sparse nonsymmetric nn by nn matrix AA. The factorization is intended primarily for use as a preconditioner with one of the iterative solvers nag_sparse_real_gen_basic_solver (f11be) or nag_sparse_real_gen_solve_ilu (f11dc).
The decomposition is written in the form
A = M + R
A=M+R
where
M = PLDUQ
M=PLDUQ
and LL is lower triangular with unit diagonal elements, DD is diagonal, UU is upper triangular with unit diagonals, PP and QQ are permutation matrices, and RR is a remainder matrix.
The amount of fill-in 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 parameter pstrat defines the pivoting strategy to be used. The options currently available are no pivoting, user-defined pivoting, partial pivoting by columns for stability, and complete pivoting by rows for sparsity and by columns for stability. The factorization may optionally be modified to preserve the row-sums of the original matrix.
The sparse matrix AA is represented in coordinate storage (CS) format (see Section [Coordinate storage (CS) format] in the F11 Chapter Introduction). The array a stores all the nonzero elements of the matrix AA, 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 MM is returned in terms of the CS representation of the matrix
C = L + D1 + U2I.
C=L+D-1+U-2I.
Further algorithmic details are given in Section [Algorithmic Details].

References

Meijerink J and Van der Vorst H (1977) An iterative solution method for linear systems of which the coefficient matrix is a symmetric M-matrix Math. Comput. 31 148–162
Meijerink J and Van der Vorst H (1981) Guidelines for the usage of incomplete decompositions in solving sets of linear equations as they occur in practical problems J. Comput. Phys. 44 134–155
Salvini S A and Shaw G J (1996) An evaluation of new NAG Library solvers for large sparse unsymmetric linear systems NAG Technical Report TR2/96

Parameters

Compulsory Input Parameters

1:     nnz – int64int32nag_int scalar
The number of nonzero elements in the matrix AA.
Constraint: 1nnzn21nnzn2.
2:     a(la) – double array
la, the dimension of the array, must satisfy the constraint la2 × nnzla2×nnz.
The nonzero elements in the matrix AA, 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 function nag_sparse_real_gen_sort (f11za) may be used to order the elements in this way.
3:     irow(la) – int64int32nag_int array
4:     icol(la) – int64int32nag_int array
la, the dimension of the array, must satisfy the constraint la2 × nnzla2×nnz.
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 nag_sparse_real_gen_sort (f11za)):
  • 1irow(i)n1irowin and 1icol(i)n1icolin, for i = 1,2,,nnzi=1,2,,nnz;
  • either irow(i1) < irow(i)irowi-1<irowi or both irow(i1) = irow(i)irowi-1=irowi and icol(i1) < icol(i)icoli-1<icoli, for i = 2,3,,nnzi=2,3,,nnz.
5:     lfill – int64int32nag_int scalar
If lfill0lfill0 its value is the maximum level of fill allowed in the decomposition (see Section [Control of Fill-in]). A negative value of lfill indicates that dtol will be used to control the fill instead.
6:     dtol – double scalar
If lfill < 0lfill<0, dtol is used as a drop tolerance to control the fill-in (see Section [Control of Fill-in]); otherwise dtol is not referenced.
Constraint: if lfill < 0lfill<0, dtol0.0dtol0.0.
7:     milu – string (length ≥ 1)
Indicates whether or not the factorization should be modified to preserve row-sums (see Section [Choice of s]).
milu = 'M'milu='M'
The factorization is modified.
milu = 'N'milu='N'
The factorization is not modified.
Constraint: milu = 'M'milu='M' or 'N''N'.
8:     ipivp(n) – int64int32nag_int array
9:     ipivq(n) – int64int32nag_int array
n, the dimension of the array, must satisfy the constraint n1n1.
If pstrat = 'U'pstrat='U', then ipivp(k)ipivpk and ipivq(k)ipivqk must specify the row and column indices of the element used as a pivot at elimination stage kk. Otherwise ipivp and ipivq need not be initialized.
Constraint: if pstrat = 'U'pstrat='U', ipivp and ipivq must both hold valid permutations of the integers on [1,n].

Optional Input Parameters

1:     n – int64int32nag_int scalar
Default: The dimension of the arrays ipivp, ipivq. (An error is raised if these dimensions are not equal.)
nn, the order of the matrix AA.
Constraint: n1n1.
2:     la – int64int32nag_int scalar
Default: The dimension of the arrays a, irow, icol. (An error is raised if these dimensions are not equal.)
The dimension of the arrays a, irow and icol as declared in the (sub)program from which nag_sparse_real_gen_precon_ilu (f11da) is called. These arrays must be of sufficient size to store both AA (nnz elements) and CC (nnzc elements).
Constraint: la2 × nnzla2×nnz.
3:     pstrat – string (length ≥ 1)
Specifies the pivoting strategy to be adopted.
pstrat = 'N'pstrat='N'
No pivoting is carried out.
pstrat = 'U'pstrat='U'
Pivoting is carried out according to the user-defined input values of ipivp and ipivq.
pstrat = 'P'pstrat='P'
Partial pivoting by columns for stability is carried out.
pstrat = 'C'pstrat='C'
Complete pivoting by rows for sparsity, and by columns for stability, is carried out.
Default: 'C''C'
Constraint: pstrat = 'N'pstrat='N', 'U''U', 'P''P' or 'C''C'.

Input Parameters Omitted from the MATLAB Interface

iwork liwork

Output Parameters

1:     a(la) – double array
The first nnz entries of a contain the nonzero elements of AA and the next nnzc entries contain the elements of the matrix CC. Matrix elements are ordered by increasing row index, and by increasing column index within each row.
2:     irow(la) – int64int32nag_int array
3:     icol(la) – int64int32nag_int array
The row and column indices of the nonzero elements returned in a.
4:     ipivp(n) – int64int32nag_int array
5:     ipivq(n) – int64int32nag_int array
The pivot indices. If ipivp(k) = iipivpk=i and ipivq(k) = jipivqk=j then the element in row ii and column jj was used as the pivot at elimination stage kk.
6:     istr(n + 1n+1) – int64int32nag_int array
istr(i)istri, for i = 1,2,,ni=1,2,,n, is the starting address in the arrays a, irow and icol of row ii of the matrix CC. istr(n + 1)istrn+1 is the address of the last nonzero element in CC plus one.
7:     idiag(n) – int64int32nag_int array
idiag(i)idiagi, for i = 1,2,,ni=1,2,,n, holds the index of arrays a, irow and icol which holds the diagonal element in row ii of the matrix CC.
8:     nnzc – int64int32nag_int scalar
The number of nonzero elements in the matrix CC.
9:     npivm – int64int32nag_int scalar
If npivm > 0npivm>0 it gives the number of pivots which were modified during the factorization to ensure that MM exists.
If npivm = 1npivm=-1 no pivot modifications were required, but a local restart occurred (see Section [Algorithmic Details]). 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 nag_sparse_real_gen_precon_ilu (f11da) again with an increased value of lfill, a reduced value of dtol, or set pstrat = 'C'pstrat='C'. See also Section [Direct Solution of Sparse Linear Systems].
10:   ifail – int64int32nag_int scalar
ifail = 0ifail=0 unless the function detects an error (see [Error Indicators and Warnings]).

Error Indicators and Warnings

Errors or warnings detected by the function:
  ifail = 1ifail=1
On entry,n < 1n<1,
ornnz < 1nnz<1,
ornnz > n2nnz>n2,
orla < 2 × nnzla<2×nnz,
orlfill < 0lfill<0 and dtol < 0.0dtol<0.0,
orpstrat'N'pstrat'N', 'U''U', 'P''P' or 'C''C',
ormilu'M'milu'M' or 'N''N',
orliwork < 7 × n + 2liwork<7×n+2.
  ifail = 2ifail=2
On entry, the arrays irow and icol fail to satisfy the following constraints:
  • 1irow(i)n1irowin and 1icol(i)n1icolin, for i = 1,2,,nnzi=1,2,,nnz;
  • irow(i1) < irow(i)irowi-1<irowi or irow(i1) = irow(i)irowi-1=irowi and icol(i1) < icol(i)icoli-1<icoli, for i = 2,3,,nnzi=2,3,,nnz.
Therefore a nonzero element has been supplied which does not lie within the matrix AA, is out of order, or has duplicate row and column indices. Call nag_sparse_real_gen_sort (f11za) to reorder and sum or remove duplicates.
  ifail = 3ifail=3
On entry, pstrat = 'U'pstrat='U', but one or both of ipivp and ipivq does not represent a valid permutation of the integers in [1,n]. An input value of ipivp or ipivq is either out of range or repeated.
  ifail = 4ifail=4
la is too small, resulting in insufficient storage space for fill-in elements. The decomposition has been terminated before completion. Either increase la or reduce the amount of fill by reducing lfill, or increasing dtol.
  ifail = 5ifail=5 (nag_sparse_real_gen_sort (f11za))
A serious error has occurred in an internal call to the specified function. Check all function calls and array sizes. Seek expert help.

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 pivot elements. If these sizes are small then the computed factors will correspond to a matrix close to AA. The factorization can generally be made more accurate by increasing lfill, or by reducing dtol with lfill < 0lfill<0.
If nag_sparse_real_gen_precon_ilu (f11da) is used in combination with nag_sparse_real_gen_basic_solver (f11be) or nag_sparse_real_gen_solve_ilu (f11dc), the more accurate the factorization the fewer iterations will be required. However, the cost of the decomposition will also generally increase.

Further Comments

Timing

The time taken for a call to nag_sparse_real_gen_precon_ilu (f11da) is roughly proportional to (nnzc)2 / n (nnzc) 2/n.

Control of Fill-in

If lfill0lfill0 the amount of fill-in occurring in the incomplete factorization is controlled by limiting the maximum level of fill-in to lfill. The original nonzero elements of AA are defined to be of level 00. The fill level of a new nonzero location occurring during the factorization is defined as:
k = max (ke,kc) + 1,
k=max(ke,kc)+1,
where keke is the level of fill of the element being eliminated, and kckc is the level of fill of the element causing the fill-in.
If lfill < 0lfill<0 the fill-in is controlled by means of the drop tolerance dtol. A potential fill-in element aijaij occurring in row ii and column jj will not be included if:
|aij| < dtol × α,
|aij|<dtol×α,
where αα is the maximum absolute value element in the matrix AA.
For either method of control, any elements which are not included are discarded unless milu = 'M'milu='M', in which case their contributions are subtracted from the pivot element in the relevant elimination row, to preserve the row-sums of the original matrix.
Should the factorization process break down a local restart process is implemented as described in Section [Algorithmic Details]. This will affect the amount of fill present in the final factorization.

Algorithmic Details

The factorization is constructed row by row. At each elimination stage a row index is chosen. In the case of complete pivoting this index is chosen in order to reduce fill-in. Otherwise the rows are treated in the order given, or some user-defined order.
The chosen row is copied from the original matrix AA and modified according to those previous elimination stages which affect it. During this process any fill-in elements are either dropped or kept according to the values of lfill or dtol. In the case of a modified factorization (milu = 'M'milu='M') the sum of the dropped terms for the given row is stored.
Finally the pivot element for the row is chosen and the multipliers are computed for this elimination stage. For partial or complete pivoting the pivot element is chosen in the interests of stability as the element of largest absolute value in the row. Otherwise the pivot element is chosen in the order given, or some user-defined order.
If the factorization breaks down because the chosen pivot element is zero, or there is no nonzero pivot available, a local restart recovery process is implemented. The modification of the given pivot row according to previous elimination stages is repeated, but this time keeping all fill. Note that in this case the final factorization will include more fill than originally specified by the user-supplied value of lfill or dtol. The local restart usually results in a suitable nonzero pivot arising. The original criteria for dropping fill-in elements is then resumed for the next elimination stage (hence the local nature of the restart process). Should this restart process also fail to produce a nonzero pivot element an arbitrary unit pivot is introduced in an arbitrarily chosen column. nag_sparse_real_gen_precon_ilu (f11da) returns an integer parameter npivm which gives the number of these arbitrary unit pivots introduced. If no pivots were modified but local restarts occurred npivm = 1npivm=-1 is returned.

Choice of Parameters

There is unfortunately no choice of the various algorithmic parameters which is optimal for all types of matrix, and some experimentation will generally be required for each new type of matrix encountered.
If the matrix AA is not known to have any particular special properties the following strategy is recommended. Start with lfill = 0lfill=0 and pstrat = 'C'pstrat='C'. If the value returned for npivm is significantly larger than zero, i.e., a large number of pivot modifications were required to ensure that MM existed, the preconditioner is not likely to be satisfactory. In this case increase lfill until npivm falls to a value close to zero.
If AA has non-positive off-diagonal elements, is nonsingular, and has only non-negative elements in its inverse, it is called an ‘M-matrix’. It can be shown that no pivot modifications are required in the incomplete LULU factorization of an M-matrix (see Meijerink and Van der Vorst (1977)). In this case a good preconditioner can generally be expected by setting lfill = 0lfill=0, pstrat = 'N'pstrat='N' and milu = 'M'milu='M'.
Some illustrations of the application of nag_sparse_real_gen_precon_ilu (f11da) to linear systems arising from the discretization of two-dimensional elliptic partial differential equations, and to random-valued randomly structured linear systems, can be found in Salvini and Shaw (1996).

Direct Solution of Sparse Linear Systems

Although it is not their primary purpose nag_sparse_real_gen_precon_ilu (f11da) and nag_sparse_real_gen_precon_ilu_solve (f11db) may be used together to obtain a direct solution to a nonsingular sparse linear system. To achieve this the call to nag_sparse_real_gen_precon_ilu_solve (f11db) should be preceded by a complete LULU factorization
A = PLDUQ = M.
A=PLDUQ=M.
a complete factorization is obtained from a call to nag_sparse_real_gen_precon_ilu (f11da) with lfill < 0lfill<0 and dtol = 0.0dtol=0.0, provided npivm0npivm0 on exit. A positive value of npivm indicates that AA is singular, or ill-conditioned. A factorization with positive 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 nag_sparse_real_gen_precon_ilu (f11da) and nag_sparse_real_gen_precon_ilu_solve (f11db) as a direct method is illustrated in Section [Example] in (f11db).

Example

function nag_sparse_real_gen_precon_ilu_example
nz = int64(11);
a = zeros(2*nz, 1);
a(1:nz) = [1; 1; -1; 2; 2; 3; -2; 1; -2; 1; 1];
irow = zeros(2*nz, 1, 'int64');
irow(1:nz) = [int64(1); 1; 2; 2; 2; 3; 3; 4; 4; 4; 4];
icol = zeros(2*nz, 1, 'int64');
icol(1:nz) = [int64(2); 3; 1; 3; 4; 1; 4; 1; 2; 3; 4];
lfill = int64(0);
dtol = 0;
milu = 'N';
ipivp = [int64(0);0;0;0];
ipivq = [int64(0);0;0;0];
[aOut, irowOut, icolOut, ipivpOut, ipivqOut, istr, idiag, nnzc, npivm, ifail] = ...
    nag_sparse_real_gen_precon_ilu(nz, a, irow, icol, lfill, dtol, milu, ipivp, ipivq)
 

aOut =

    1.0000
    1.0000
   -1.0000
    2.0000
    2.0000
    3.0000
   -2.0000
    1.0000
   -2.0000
    1.0000
    1.0000
    1.0000
    1.0000
    0.3333
   -0.6667
   -0.3333
    0.5000
    0.6667
   -2.0000
    0.3333
    1.5000
   -3.0000


irowOut =

                    1
                    1
                    2
                    2
                    2
                    3
                    3
                    4
                    4
                    4
                    4
                    1
                    1
                    2
                    2
                    3
                    3
                    3
                    4
                    4
                    4
                    4


icolOut =

                    2
                    3
                    1
                    3
                    4
                    1
                    4
                    1
                    2
                    3
                    4
                    1
                    3
                    2
                    4
                    2
                    3
                    4
                    1
                    2
                    3
                    4


ipivpOut =

                    1
                    3
                    2
                    4


ipivqOut =

                    2
                    1
                    3
                    4


istr =

                   12
                   14
                   16
                   19
                   23


idiag =

                   12
                   14
                   17
                   22


nnzc =

                   11


npivm =

                    0


ifail =

                    0


function f11da_example
nz = int64(11);
a = zeros(2*nz, 1);
a(1:nz) = [1; 1; -1; 2; 2; 3; -2; 1; -2; 1; 1];
irow = zeros(2*nz, 1, 'int64');
irow(1:nz) = [int64(1); 1; 2; 2; 2; 3; 3; 4; 4; 4; 4];
icol = zeros(2*nz, 1, 'int64');
icol(1:nz) = [int64(2); 3; 1; 3; 4; 1; 4; 1; 2; 3; 4];
lfill = int64(0);
dtol = 0;
milu = 'N';
ipivp = [int64(0);0;0;0];
ipivq = [int64(0);0;0;0];
[aOut, irowOut, icolOut, ipivpOut, ipivqOut, istr, idiag, nnzc, npivm, ifail] = ...
    f11da(nz, a, irow, icol, lfill, dtol, milu, ipivp, ipivq)
 

aOut =

    1.0000
    1.0000
   -1.0000
    2.0000
    2.0000
    3.0000
   -2.0000
    1.0000
   -2.0000
    1.0000
    1.0000
    1.0000
    1.0000
    0.3333
   -0.6667
   -0.3333
    0.5000
    0.6667
   -2.0000
    0.3333
    1.5000
   -3.0000


irowOut =

                    1
                    1
                    2
                    2
                    2
                    3
                    3
                    4
                    4
                    4
                    4
                    1
                    1
                    2
                    2
                    3
                    3
                    3
                    4
                    4
                    4
                    4


icolOut =

                    2
                    3
                    1
                    3
                    4
                    1
                    4
                    1
                    2
                    3
                    4
                    1
                    3
                    2
                    4
                    2
                    3
                    4
                    1
                    2
                    3
                    4


ipivpOut =

                    1
                    3
                    2
                    4


ipivqOut =

                    2
                    1
                    3
                    4


istr =

                   12
                   14
                   16
                   19
                   23


idiag =

                   12
                   14
                   17
                   22


nnzc =

                   11


npivm =

                    0


ifail =

                    0



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