nag_dpotri (f07fjc) (PDF version)
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NAG C Library Manual

NAG Library Function Document

nag_dpotri (f07fjc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_dpotri (f07fjc) computes the inverse of a real symmetric positive definite matrix A, where A has been factorized by nag_dpotrf (f07fdc).

2  Specification

#include <nag.h>
#include <nagf07.h>
void  nag_dpotri (Nag_OrderType order, Nag_UploType uplo, Integer n, double a[], Integer pda, NagError *fail)

3  Description

nag_dpotri (f07fjc) is used to compute the inverse of a real symmetric positive definite matrix A, the function must be preceded by a call to nag_dpotrf (f07fdc), which computes the Cholesky factorization of A.
If uplo=Nag_Upper, A=UTU and A-1 is computed by first inverting U and then forming U-1U-T.
If uplo=Nag_Lower, A=LLT and A-1 is computed by first inverting L and then forming L-TL-1.

4  References

Du Croz J J and Higham N J (1992) Stability of methods for matrix inversion IMA J. Numer. Anal. 12 1–19

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:     uploNag_UploTypeInput
On entry: specifies how A has been factorized.
uplo=Nag_Upper
A=UTU, where U is upper triangular.
uplo=Nag_Lower
A=LLT, where L is lower triangular.
Constraint: uplo=Nag_Upper or Nag_Lower.
3:     nIntegerInput
On entry: n, the order of the matrix A.
Constraint: n0.
4:     a[dim]doubleInput/Output
Note: the dimension, dim, of the array a must be at least max1,pda×n.
On entry: the upper triangular matrix U if uplo=Nag_Upper or the lower triangular matrix L if uplo=Nag_Lower, as returned by nag_dpotrf (f07fdc).
On exit: U is overwritten by the upper triangle of A-1 if uplo=Nag_Upper; L is overwritten by the lower triangle of A-1 if uplo=Nag_Lower.
5:     pdaIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) of the matrix in the array a.
Constraint: pdamax1,n.
6:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_INT
On entry, n=value.
Constraint: n0.
On entry, pda=value.
Constraint: pda>0.
NE_INT_2
On entry, pda=value and n=value.
Constraint: pdamax1,n.
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
Diagonal element value of the Cholesky factor is zero; the Cholesky factor is singular and the inverse of A cannot be computed.

7  Accuracy

The computed inverse X satisfies
XA-I2cnεκ2A   and   AX-I2cnεκ2A ,
where cn is a modest function of n, ε is the machine precision and κ2A is the condition number of A defined by
κ2A=A2A-12 .

8  Further Comments

The total number of floating point operations is approximately 23n3.
The complex analogue of this function is nag_zpotri (f07fwc).

9  Example

This example computes the inverse of the matrix A, where
A= 4.16 -3.12 0.56 -0.10 -3.12 5.03 -0.83 1.18 0.56 -0.83 0.76 0.34 -0.10 1.18 0.34 1.18 .
Here A is symmetric positive definite and must first be factorized by nag_dpotrf (f07fdc).

9.1  Program Text

Program Text (f07fjce.c)

9.2  Program Data

Program Data (f07fjce.d)

9.3  Program Results

Program Results (f07fjce.r)


nag_dpotri (f07fjc) (PDF version)
f07 Chapter Contents
f07 Chapter Introduction
NAG C Library Manual

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