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NAG Toolbox: nag_sparseig_real_symm_band_solve (f12fg)

Purpose

nag_sparseig_real_symm_band_solve (f12fg) is the main solver function in a suite of functions which includes nag_sparseig_real_symm_option (f12fd) and nag_sparseig_real_symm_band_init (f12ff). nag_sparseig_real_symm_band_solve (f12fg) must be called following an initial call to nag_sparseig_real_symm_band_init (f12ff) and following any calls to nag_sparseig_real_symm_option (f12fd).
nag_sparseig_real_symm_band_solve (f12fg) returns approximations to selected eigenvalues, and (optionally) the corresponding eigenvectors, of a standard or generalized eigenvalue problem defined by real banded symmetric matrices. The banded matrix must be stored using the LAPACK storage format for real banded nonsymmetric matrices.

Syntax

[nconv, d, z, resid, v, comm, icomm, ifail] = f12fg(kl, ku, ab, mb, sigma, resid, comm, icomm)
[nconv, d, z, resid, v, comm, icomm, ifail] = nag_sparseig_real_symm_band_solve(kl, ku, ab, mb, sigma, resid, comm, icomm)

Description

The suite of functions is designed to calculate some of the eigenvalues, λ λ , (and optionally the corresponding eigenvectors, x x ) of a standard eigenvalue problem Ax = λx Ax = λx , or of a generalized eigenvalue problem Ax = λBx Ax = λBx  of order n n , where n n  is large and the coefficient matrices A A  and B B  are banded, real and symmetric.
Following a call to the initialization function nag_sparseig_real_symm_band_init (f12ff), nag_sparseig_real_symm_band_solve (f12fg) returns the converged approximations to eigenvalues and (optionally) the corresponding approximate eigenvectors and/or an orthonormal basis for the associated approximate invariant subspace. The eigenvalues (and eigenvectors) are selected from those of a standard or generalized eigenvalue problem defined by real banded symmetric matrices. There is negligible additional computational cost to obtain eigenvectors; an orthonormal basis is always computed, but there is an additional storage cost if both are requested.
The banded matrices A A  and BB must be stored using the LAPACK storage format for banded nonsymmetric matrices; please refer to Section [Packed storage] in the F07 Chapter Introduction for details on this storage format.
nag_sparseig_real_symm_band_solve (f12fg) is based on the banded driver functions dsbdr1 to dsbdr6 from the ARPACK package, which uses the Implicitly Restarted Lanczos iteration method. The method is described in Lehoucq and Sorensen (1996) and Lehoucq (2001) while its use within the ARPACK software is described in great detail in Lehoucq et al. (1998). This suite of functions offers the same functionality as the ARPACK banded driver software for real symmetric problems, but the interface design is quite different in order to make the option setting clearer and to combine the different drivers into a general purpose function.
nag_sparseig_real_symm_band_solve (f12fg), is a general purpose forward communication function that must be called following initialization by nag_sparseig_real_symm_band_init (f12ff). nag_sparseig_real_symm_band_solve (f12fg) uses options, set either by default or explicitly by calling nag_sparseig_real_symm_option (f12fd), to return the converged approximations to selected eigenvalues and (optionally):
the corresponding approximate eigenvectors;
an orthonormal basis for the associated approximate invariant subspace;
both.

References

Lehoucq R B (2001) Implicitly restarted Arnoldi methods and subspace iteration SIAM Journal on Matrix Analysis and Applications 23 551–562
Lehoucq R B and Scott J A (1996) An evaluation of software for computing eigenvalues of sparse nonsymmetric matrices Preprint MCS-P547-1195 Argonne National Laboratory
Lehoucq R B and Sorensen D C (1996) Deflation techniques for an implicitly restarted Arnoldi iteration SIAM Journal on Matrix Analysis and Applications 17 789–821
Lehoucq R B, Sorensen D C and Yang C (1998) ARPACK Users' Guide: Solution of Large-scale Eigenvalue Problems with Implicitly Restarted Arnoldi Methods SIAM, Philidelphia

Parameters

Compulsory Input Parameters

1:     kl – int64int32nag_int scalar
The number of subdiagonals of the matrices A A  and BB.
Constraint: kl0kl0.
2:     ku – int64int32nag_int scalar
The number of superdiagonals of the matrices A A  and BB. Since AA and BB are symmetric, the normal case is ku = klku=kl.
Constraint: ku0ku0.
3:     ab(ldab, : :) – double array
The first dimension of the array ab must be at least 2 × kl + ku + 12×kl+ku+1
The second dimension of the array must be at least max (1,n) max(1,n)
Must contain the matrix AA in LAPACK banded storage format for nonsymmetric matrices (see Section [Band storage] in the F07 Chapter Introduction).
4:     mb(ldmb, : :) – double array
The first dimension of the array mb must be at least 2 × kl + ku + 12×kl+ku+1
The second dimension of the array must be at least max (1,n)max(1,n)
Must contain the matrix BB in LAPACK banded storage format for nonsymmetric matrices (see Section [Band storage] in the F07 Chapter Introduction).
5:     sigma – double scalar
If one of the Shifted Inverse (see nag_sparseig_real_symm_option (f12fd)) modes has been selected then sigma contains the real shift used; otherwise sigma is not referenced.
6:     resid( : :) – double array
Note: the dimension of the array resid must be at least nn (see nag_sparseig_real_symm_band_init (f12ff)).
Need not be set unless the option Initial Residual has been set in a prior call to nag_sparseig_real_symm_option (f12fd) in which case resid must contain an initial residual vector.
7:     comm( : :) – double array
Note: the dimension of the array comm must be at least max (1,lcomm)max(1,lcomm) (see nag_sparseig_real_symm_band_init (f12ff)).
On initial entry: must remain unchanged from the prior call to nag_sparseig_real_symm_option (f12fd) and nag_sparseig_real_symm_band_init (f12ff).
8:     icomm( : :) – int64int32nag_int array
Note: the dimension of the array icomm must be at least max (1,licomm)max(1,licomm) (see nag_sparseig_real_symm_band_init (f12ff)).
On initial entry: must remain unchanged from the prior call to nag_sparseig_real_symm_iter (f12fb) and nag_sparseig_real_symm_option (f12fd).

Optional Input Parameters

None.

Input Parameters Omitted from the MATLAB Interface

ldab ldmb ldz ldv

Output Parameters

1:     nconv – int64int32nag_int scalar
The number of converged eigenvalues.
2:     d( : :) – double array
Note: the dimension of the array d must be at least ncvncv (see nag_sparseig_real_symm_band_init (f12ff)).
The first nconv locations of the array d contain the converged approximate eigenvalues.
3:     z(n × (nev + 1)n×(nev+1)) – double array
If the default option Vectors = RITZVectors=RITZ (see nag_sparseig_real_symm_option (f12fd)) has been selected then z contains the final set of eigenvectors corresponding to the eigenvalues held in d. The real eigenvector associated with eigenvalue i1i-1, for i = 1,2,,nconvi=1,2,,nconv, is stored in the iith column of z.
4:     resid( : :) – double array
Note: the dimension of the array resid must be at least nn (see nag_sparseig_real_symm_band_init (f12ff)).
Contains the final residual vector.
5:     v(n × ncvn×ncv) – double array
If the option Vectors (see nag_sparseig_real_symm_option (f12fd)) has been set to Schur or Ritz and a separate array z has been passed then the first nconv × nnconv×n elements of v will contain approximate Schur vectors that span the desired invariant subspace.
The jjth Schur vector is stored in the iith column of v.
6:     comm( : :) – double array
Note: the dimension of the array comm must be at least max (1,lcomm)max(1,lcomm) (see nag_sparseig_real_symm_band_init (f12ff)).
Contains no useful information.
7:     icomm( : :) – int64int32nag_int array
Note: the dimension of the array icomm must be at least max (1,licomm)max(1,licomm) (see nag_sparseig_real_symm_band_init (f12ff)).
Contains no useful information.
8:     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:

Cases prefixed with W are classified as warnings and do not generate an error of type NAG:error_n. See nag_issue_warnings.

  ifail = 1ifail=1
On entry, kl < 0 kl < 0 .
  ifail = 2ifail=2
On entry, ku < 0 ku < 0 .
  ifail = 3ifail=3
On entry, ldab < 2 × kl + ku + 1 ldab < 2×kl+ku+1 .
  ifail = 4ifail=4
Iteration Limit < 0 Iteration Limit < 0 .
  ifail = 5ifail=5
The options Generalized and Regular are incompatible.
  ifail = 6ifail=6
Eigenvalues from Both Ends of the spectrum were requested, but only one eigenvalue (nev) is requested.
  ifail = 7ifail=7
The Initial Residual was selected but the starting vector held in resid is zero.
  ifail = 8ifail=8
On entry, ldz < max (1,n) ldz < max(1,n)  or ldz < 1 ldz < 1  when no vectors are required.
  ifail = 9ifail=9
On entry, the option Vectors = Select Vectors = Select  was selected, but this is not yet implemented.
  ifail = 10ifail=10
The number of eigenvalues found to sufficient accuracy is zero.
  ifail = 11ifail=11
Could not build a Lanczos factorization. Consider changing ncv or nev in the initialization function (see Section [Parameters] in (f12fa) for details of these parameters).
  ifail = 12ifail=12
Unexpected error in internal call to compute eigenvalues and corresponding error bounds of the current symmetric tridiagonal matrix. Please contact NAG.
  ifail = 13ifail=13
Unexpected error during calculation of a real Schur form: there was a failure to compute all the converged eigenvalues. Please contact NAG.
  ifail = 14ifail=14
Failure during internal factorization of real banded matrix. Please contact NAG.
  ifail = 15ifail=15
Failure during internal solution of real banded system. Please contact NAG.
W ifail = 16ifail=16
The maximum number of iterations has been reached. Some Ritz values may have converged; nconv returns the number of converged values.
  ifail = 17ifail=17
No shifts could be applied during a cycle of the implicitly restarted Lanczos iteration. One possibility is to increase the size of ncv relative to nev (see Section [Parameters] in (f12ff) for details of these parameters).
  ifail = 18ifail=18
An unexpected error has occurred. Please contact NAG.
  ifail = 19ifail=19
The function was unable to dynamically allocate sufficient internal workspace. Please contact NAG.

Accuracy

The relative accuracy of a Ritz value, λ λ , is considered acceptable if its Ritz estimate Tolerance × |λ| Tolerance × |λ| . The default Tolerance used is the machine precision given by nag_machine_precision (x02aj).

Further Comments

None.

Example

function nag_sparseig_real_symm_band_solve_example
n = 100;
nev = int64(4);
ncv = int64(10);
kl = 10;
ku = 10;
mb = zeros(2*kl+ku+1,n);
sigma = 0;
resid = zeros(100,1);
[icomm, comm, ifail] = nag_sparseig_real_symm_band_init(int64(n), nev, ncv);
% Construct the matrix A in banded form and store in AB.
ab = zeros(2*kl+ku+1, n);
nx = 10;
% Main diagonal of A.
h2 = 1/((nx+1)*(nx+1));
idiag = kl + ku + 1;
for j = 1:n
  ab(idiag,j) = 4/h2;
end
% First subdiagonal and superdiagonal of A.
isup = kl + ku;
isub = kl + ku + 2;
for i = 1:nx
  lo = (i-1)*nx;
  for j = lo + 1:lo + nx - 1
    ab(isup,j+1) = -1/h2;
    ab(isub,j) = -1/h2;
  end
end
% kl-th subdiagonal and ku-th super-diagonal.
isup = kl + 1;
isub = 2*kl + ku + 1;
for i = 1:nx - 1
  lo = (i-1)*nx;
  for j = lo + 1:lo + nx
    ab(isup,nx+j) = -1/h2;
    ab(isub,j) = -1/h2;
  end
end
[nconv, d, z, residOut, v, comm, icomm, ifail] = ...
    nag_sparseig_real_symm_band_solve(int64(kl), int64(ku), ab, mb, sigma, resid, comm, icomm);
 nconv, d(1:double(nconv)), ifail
 

nconv =

                    4


ans =

  891.1667
  919.7807
  919.7807
  948.3946


ifail =

                    0


function f12fg_example
n = 100;
nev = int64(4);
ncv = int64(10);
kl = 10;
ku = 10;
mb = zeros(2*kl+ku+1,n);
sigma = 0;
resid = zeros(100,1);
[icomm, comm, ifail] = f12ff(int64(n), nev, ncv);
% Construct the matrix A in banded form and store in AB.
ab = zeros(2*kl+ku+1, n);
nx = 10;
% Main diagonal of A.
h2 = 1/((nx+1)*(nx+1));
idiag = kl + ku + 1;
for j = 1:n
  ab(idiag,j) = 4/h2;
end
% First subdiagonal and superdiagonal of A.
isup = kl + ku;
isub = kl + ku + 2;
for i = 1:nx
  lo = (i-1)*nx;
  for j = lo + 1:lo + nx - 1
    ab(isup,j+1) = -1/h2;
    ab(isub,j) = -1/h2;
  end
end
% kl-th subdiagonal and ku-th super-diagonal.
isup = kl + 1;
isub = 2*kl + ku + 1;
for i = 1:nx - 1
  lo = (i-1)*nx;
  for j = lo + 1:lo + nx
    ab(isup,nx+j) = -1/h2;
    ab(isub,j) = -1/h2;
  end
end
[nconv, d, z, residOut, v, comm, icomm, ifail] = ...
    f12fg(int64(kl), int64(ku), ab, mb, sigma, resid, comm, icomm);
 nconv, d(1:double(nconv)), ifail
 

nconv =

                    4


ans =

  891.1667
  919.7807
  919.7807
  948.3946


ifail =

                    0



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