NAG Library Function Document

nag_dstebz (f08jjc)

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

1 Purpose

nag_dstebz (f08jjc) computes some (or all) of the eigenvalues of a real symmetric tridiagonal matrix, by bisection.

2 Specification

#include <nag.h>

#include <nagf08.h>

void	nag_dstebz (Nag_RangeType range, Nag_EigValRankType rank, Integer n, double vl, double vu, Integer il, Integer iu, double abstol, const double d[], const double e[], Integer m, Integer nsplit, double w[], Integer iblock[], Integer isplit[], NagError *fail)

3 Description

nag_dstebz (f08jjc) uses bisection to compute some or all of the eigenvalues of a real symmetric tridiagonal matrix

T

It searches for zero or negligible off-diagonal elements of

T

to see if the matrix splits into block diagonal form:

T = (\begin{array}{r} T_{1} \\ T_{2} \\ . \\ . \\ . \\ T_{p} \end{array}) .

It performs bisection on each of the blocks

T_{i}

and returns the block index of each computed eigenvalue, so that a subsequent call to nag_dstein (f08jkc) to compute eigenvectors can also take advantage of the block structure.

4 References

Kahan W (1966) Accurate eigenvalues of a symmetric tridiagonal matrix Report CS41 Stanford University

5 Arguments

1: range – Nag_RangeTypeInput

On entry: indicates which eigenvalues are required.

$range = Nag_AllValues$: All the eigenvalues are required.
$range = Nag_Interval$: All the eigenvalues in the half-open interval (vl,vu] are required.
$range = Nag_Indices$: Eigenvalues with indices il to iu are required.

Constraint:

range = Nag_AllValues

Nag_Interval

Nag_Indices

2: rank – Nag_EigValRankTypeInput

On entry: indicates the order in which the eigenvalues and their block numbers are to be stored.

$rank = Nag_ByBlock$: The eigenvalues are to be grouped by split-off block and ordered from smallest to largest within each block.
$rank = Nag_Entire$: The eigenvalues for the entire matrix are to be ordered from smallest to largest.

Constraint:

rank = Nag_ByBlock

Nag_Entire

3: n – IntegerInput

On entry:

n

, the order of the matrix

T

Constraint:

n \geq 0

4: vl – doubleInput

5: vu – doubleInput

On entry: if

range = Nag_Interval

, the lower and upper bounds, respectively, of the half-open interval (vl,vu] within which the required eigenvalues lie.

range = Nag_AllValues

Nag_Indices

, vl is not referenced.

Constraint: if

range = Nag_Interval

vl < vu

6: il – IntegerInput

7: iu – IntegerInput

On entry: if

range = Nag_Indices

, the indices of the first and last eigenvalues, respectively, to be computed (assuming that the eigenvalues are in ascending order).

range = Nag_AllValues

Nag_Interval

, il is not referenced.

Constraint: if

range = Nag_Indices

1 \leq il \leq iu \leq n

8: abstol – doubleInput

On entry: the absolute tolerance to which each eigenvalue is required. An eigenvalue (or cluster) is considered to have converged if it lies in an interval of width

\leq abstol

. If

abstol \leq 0.0

, then the tolerance is taken as

machine precision \times {‖T‖}_{1}

9: d[ $\dim$ ] – const doubleInput

Note: the dimension, dim, of the array d must be at least

\max (1, n)

On entry: the diagonal elements of the tridiagonal matrix

T

10: e[ $\dim$ ] – const doubleInput

Note: the dimension, dim, of the array e must be at least

\max (1, n - 1)

On entry: the off-diagonal elements of the tridiagonal matrix

T

11: m – Integer *Output

On exit:

m

, the actual number of eigenvalues found.

12: nsplit – Integer *Output

On exit: the number of diagonal blocks which constitute the tridiagonal matrix

T

13: w[n] – doubleOutput

On exit: the required eigenvalues of the tridiagonal matrix

T

stored in

w [0]

w [m - 1]

14: iblock[n] – IntegerOutput

On exit: at each row/column

j

where

e [j - 1]

is zero or negligible,

T

is considered to split into a block diagonal matrix and

iblock [i - 1]

contains the block number of the eigenvalue stored in

w [i - 1]

, for

i = 1, 2, \dots, m

. Note that

iblock [i - 1] < 0

for some

i

whenever

fail . code =

NE_CONVERGENCE (see Section 6) and

range = Nag_AllValues

Nag_Interval

15: isplit[n] – IntegerOutput

On exit: the leading nsplit elements contain the points at which

T

splits up into sub-matrices as follows. The first sub-matrix consists of rows/columns

1

isplit [0]

, the second sub-matrix consists of rows/columns

isplit [0] + 1

isplit [1]

\dots

, and the nsplit(th) sub-matrix consists of rows/columns

isplit [nsplit - 2] + 1

isplit [nsplit - 1]

(

= n

16: fail – NagError *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_CONVERGENCE: If $range = Nag_AllValues$ or $Nag_Interval$ , the algorithm failed to compute some (or all) of the required eigenvalues to the required accuracy. More precisely, $iblock [〈value〉] < 0$ indicates that eigenvalue $〈value〉$ (stored in $w [〈value〉]$ ) failed to converge.; If $range = Nag_Indices$ , the algorithm failed to compute some (or all) of the required eigenvalues. Try calling the function again with $range = Nag_AllValues$ .; If $range = Nag_Indices$ , the algorithm failed to compute some (or all) of the required eigenvalues. Try calling the function again with $range = Nag_AllValues$ . If $range = Nag_AllValues$ or $Nag_Interval$ , the algorithm failed to compute some (or all) of the required eigenvalues to the required accuracy. More precisely, $iblock [〈value〉] < 0$ indicates that eigenvalue $〈value〉$ (stored in $w [〈value〉]$ ) failed to converge.; No eigenvalues have been computed. The floating point arithmetic on the computer is not behaving as expected.
NE_ENUM_INT_3: On entry, $range = 〈value〉$ , $n = 〈value〉$ , $il = 〈value〉$ and $iu = 〈value〉$ .
Constraint: if $range = Nag_Indices$ , $1 \leq il \leq iu \leq n$ .
NE_ENUM_REAL_2: On entry, $range = 〈value〉$ , $vl = 〈value〉$ and $vu = 〈value〉$ .
Constraint: if $range = Nag_Interval$ , $vl < vu$ .
NE_INT: On entry, $n = 〈value〉$ .
Constraint: $n \geq 0$ .
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.

7 Accuracy

The eigenvalues of

T

are computed to high relative accuracy which means that if they vary widely in magnitude, then any small eigenvalues will be computed more accurately than, for example, with the standard

Q R

method. However, the reduction to tridiagonal form (prior to calling the function) may exclude the possibility of obtaining high relative accuracy in the small eigenvalues of the original matrix if its eigenvalues vary widely in magnitude.