nag_dgtsvx (f07cbc) (PDF version)
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NAG C Library Manual

NAG Library Function Document

nag_dgtsvx (f07cbc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_dgtsvx (f07cbc) uses the LU factorization to compute the solution to a real system of linear equations
AX=B   or   ATX=B ,
where A is a tridiagonal matrix of order n and X and B are n by r matrices. Error bounds on the solution and a condition estimate are also provided.

2  Specification

#include <nag.h>
#include <nagf07.h>
void  nag_dgtsvx (Nag_OrderType order, Nag_FactoredFormType fact, Nag_TransType trans, Integer n, Integer nrhs, const double dl[], const double d[], const double du[], double dlf[], double df[], double duf[], double du2[], Integer ipiv[], const double b[], Integer pdb, double x[], Integer pdx, double *rcond, double ferr[], double berr[], NagError *fail)

3  Description

nag_dgtsvx (f07cbc) performs the following steps:
  1. If fact=Nag_NotFactored, the LU decomposition is used to factor the matrix A as A=LU, where L is a product of permutation and unit lower bidiagonal matrices and U is upper triangular with nonzeros in only the main diagonal and first two superdiagonals.
  2. If some uii=0, so that U is exactly singular, then the function returns with fail.errnum=i. Otherwise, the factored form of A is used to estimate the condition number of the matrix A. If the reciprocal of the condition number is less than machine precision, fail.code= NE_SINGULAR_WP is returned as a warning, but the function still goes on to solve for X and compute error bounds as described below.
  3. The system of equations is solved for X using the factored form of A.
  4. Iterative refinement is applied to improve the computed solution matrix and to calculate error bounds and backward error estimates for it.

4  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
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia

5  Arguments

1:     orderNag_OrderTypeInput
On entry: the order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by order=Nag_RowMajor. See Section 3.2.1.3 in the Essential Introduction for a more detailed explanation of the use of this argument.
Constraint: order=Nag_RowMajor or Nag_ColMajor.
2:     factNag_FactoredFormTypeInput
On entry: specifies whether or not the factorized form of the matrix A has been supplied.
fact=Nag_Factored
dlf, df, duf, du2 and ipiv contain the factorized form of the matrix A. dlf, df, duf, du2 and ipiv will not be modified.
fact=Nag_NotFactored
The matrix A will be copied to dlf, df and duf and factorized.
Constraint: fact=Nag_Factored or Nag_NotFactored.
3:     transNag_TransTypeInput
On entry: specifies the form of the system of equations.
trans=Nag_NoTrans
AX=B (No transpose).
trans=Nag_Trans or Nag_ConjTrans
ATX=B (Transpose).
Constraint: trans=Nag_NoTrans, Nag_Trans or Nag_ConjTrans.
4:     nIntegerInput
On entry: n, the order of the matrix A.
Constraint: n0.
5:     nrhsIntegerInput
On entry: r, the number of right-hand sides, i.e., the number of columns of the matrix B.
Constraint: nrhs0.
6:     dl[dim]const doubleInput
Note: the dimension, dim, of the array dl must be at least max1,n-1.
On entry: the n-1 subdiagonal elements of A.
7:     d[dim]const doubleInput
Note: the dimension, dim, of the array d must be at least max1,n.
On entry: the n diagonal elements of A.
8:     du[dim]const doubleInput
Note: the dimension, dim, of the array du must be at least max1,n-1.
On entry: the n-1 superdiagonal elements of A.
9:     dlf[dim]doubleInput/Output
Note: the dimension, dim, of the array dlf must be at least max1,n-1.
On entry: if fact=Nag_Factored, dlf contains the n-1 multipliers that define the matrix L from the LU factorization of A.
On exit: if fact=Nag_NotFactored, dlf contains the n-1 multipliers that define the matrix L from the LU factorization of A.
10:   df[dim]doubleInput/Output
Note: the dimension, dim, of the array df must be at least max1,n.
On entry: if fact=Nag_Factored, df contains the n diagonal elements of the upper triangular matrix U from the LU factorization of A.
On exit: if fact=Nag_NotFactored, df contains the n diagonal elements of the upper triangular matrix U from the LU factorization of A.
11:   duf[dim]doubleInput/Output
Note: the dimension, dim, of the array duf must be at least max1,n-1.
On entry: if fact=Nag_Factored, duf contains the n-1 elements of the first superdiagonal of U.
On exit: if fact=Nag_NotFactored, duf contains the n-1 elements of the first superdiagonal of U.
12:   du2[dim]doubleInput/Output
Note: the dimension, dim, of the array du2 must be at least max1,n-2.
On entry: if fact=Nag_Factored, du2 contains the (n-2) elements of the second superdiagonal of U.
On exit: if fact=Nag_NotFactored, du2 contains the (n-2) elements of the second superdiagonal of U.
13:   ipiv[dim]IntegerInput/Output
Note: the dimension, dim, of the array ipiv must be at least max1,n.
On entry: if fact=Nag_Factored, ipiv contains the pivot indices from the LU factorization of A.
On exit: if fact=Nag_NotFactored, ipiv contains the pivot indices from the LU factorization of A; row i of the matrix was interchanged with row ipiv[i-1]. ipiv[i-1] will always be either i or i+1; ipiv[i-1]=i indicates a row interchange was not required.
14:   b[dim]const doubleInput
Note: the dimension, dim, of the array b must be at least
  • max1,pdb×nrhs when order=Nag_ColMajor;
  • max1,n×pdb when order=Nag_RowMajor.
The i,jth element of the matrix B is stored in
  • b[j-1×pdb+i-1] when order=Nag_ColMajor;
  • b[i-1×pdb+j-1] when order=Nag_RowMajor.
On entry: the n by r right-hand side matrix B.
15:   pdbIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array b.
Constraints:
  • if order=Nag_ColMajor, pdbmax1,n;
  • if order=Nag_RowMajor, pdbmax1,nrhs.
16:   x[dim]doubleOutput
Note: the dimension, dim, of the array x must be at least
  • max1,pdx×nrhs when order=Nag_ColMajor;
  • max1,n×pdx when order=Nag_RowMajor.
The i,jth element of the matrix X is stored in
  • x[j-1×pdx+i-1] when order=Nag_ColMajor;
  • x[i-1×pdx+j-1] when order=Nag_RowMajor.
On exit: if fail.code= NE_NOERROR or NE_SINGULAR_WP, the n by r solution matrix X.
17:   pdxIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array x.
Constraints:
  • if order=Nag_ColMajor, pdxmax1,n;
  • if order=Nag_RowMajor, pdxmax1,nrhs.
18:   rconddouble *Output
On exit: the estimate of the reciprocal condition number of the matrix A. If rcond=0.0, the matrix may be exactly singular. This condition is indicated by fail.code= NE_SINGULAR. Otherwise, if rcond is less than the machine precision, the matrix is singular to working precision. This condition is indicated by fail.code= NE_SINGULAR_WP.
19:   ferr[nrhs]doubleOutput
On exit: if fail.code= NE_NOERROR or NE_SINGULAR_WP, an estimate of the forward error bound for each computed solution vector, such that x^j-xj/xjferr[j-1] where x^j is the jth column of the computed solution returned in the array x and xj is the corresponding column of the exact solution X. The estimate is as reliable as the estimate for rcond, and is almost always a slight overestimate of the true error.
20:   berr[nrhs]doubleOutput
On exit: if fail.code= NE_NOERROR or NE_SINGULAR_WP, an estimate of the component-wise relative backward error of each computed solution vector x^j (i.e., the smallest relative change in any element of A or B that makes x^j an exact solution).
21:   failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_INT
On entry, n=value.
Constraint: n0.
On entry, nrhs=value.
Constraint: nrhs0.
On entry, pdb=value.
Constraint: pdb>0.
On entry, pdx=value.
Constraint: pdx>0.
NE_INT_2
On entry, pdb=value and n=value.
Constraint: pdbmax1,n.
On entry, pdb=value and nrhs=value.
Constraint: pdbmax1,nrhs.
On entry, pdx=value and n=value.
Constraint: pdxmax1,n.
On entry, pdx=value and nrhs=value.
Constraint: pdxmax1,nrhs.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
NE_SINGULAR
Uvalue,value is exactly zero. The factorization has been completed, but the factor U is exactly singular, so the solution and error bounds could not be computed. rcond=0.0 is returned.
Uvalue,value is exactly zero. The factorization has not been completed, but the factor U is exactly singular, so the solution and error bounds could not be computed. rcond=0.0 is returned.
NE_SINGULAR_WP
U is nonsingular, but rcond is less than machine precision, meaning that the matrix is singular to working precision. Nevertheless, the solution and error bounds are computed because there are a number of situations where the computed solution can be more accurate than the value of rcond would suggest.

7  Accuracy

For each right-hand side vector b, the computed solution x^ is the exact solution of a perturbed system of equations A+Ex^=b, where
E c n ε L U ,
cn is a modest linear function of n, and ε is the machine precision. See Section 9.3 of Higham (2002) for further details.
If x is the true solution, then the computed solution x^ satisfies a forward error bound of the form
x-x^ x^ wc condA,x^,b
where condA,x^,b = A-1 A x^ + b / x^ condA = A-1 A κ A. If x^  is the j th column of X , then wc  is returned in berr[j-1]  and a bound on x - x^ / x^  is returned in ferr[j-1] . See Section 4.4 of Anderson et al. (1999) for further details.

8  Further Comments

The total number of floating point operations required to solve the equations AX=B  is proportional to nr .
The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization. The solution is then refined, and the errors estimated, using iterative refinement.
In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of Higham (2002) for further details.
The complex analogue of this function is nag_zgtsvx (f07cpc).

9  Example

This example solves the equations
AX=B ,
where A  is the tridiagonal matrix
A = 3.0 2.1 0.0 0.0 0.0 3.4 2.3 -1.0 0.0 0.0 0.0 3.6 -5.0 1.9 0.0 0.0 0.0 7.0 -0.9 8.0 0.0 0.0 0.0 -6.0 7.1
and
B = 2.7 6.6 -0.5 10.8 2.6 -3.2 0.6 -11.2 2.7 19.1 .
Estimates for the backward errors, forward errors and condition number are also output.

9.1  Program Text

Program Text (f07cbce.c)

9.2  Program Data

Program Data (f07cbce.d)

9.3  Program Results

Program Results (f07cbce.r)


nag_dgtsvx (f07cbc) (PDF version)
f07 Chapter Contents
f07 Chapter Introduction
NAG C Library Manual

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