nag_dsbgst (f08uec) (PDF version)
f08 Chapter Contents
f08 Chapter Introduction
NAG C Library Manual

NAG Library Function Document

nag_dsbgst (f08uec)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_dsbgst (f08uec) reduces a real symmetric-definite generalized eigenproblem Az=λBz to the standard form Cy=λy, where A and B are band matrices, A is a real symmetric matrix, and B has been factorized by nag_dpbstf (f08ufc).

2  Specification

#include <nag.h>
#include <nagf08.h>
void  nag_dsbgst (Nag_OrderType order, Nag_VectType vect, Nag_UploType uplo, Integer n, Integer ka, Integer kb, double ab[], Integer pdab, const double bb[], Integer pdbb, double x[], Integer pdx, NagError *fail)

3  Description

To reduce the real symmetric-definite generalized eigenproblem Az=λBz to the standard form Cy=λy, where A, B and C are banded, nag_dsbgst (f08uec) must be preceded by a call to nag_dpbstf (f08ufc) which computes the split Cholesky factorization of the positive definite matrix B: B=STS. The split Cholesky factorization, compared with the ordinary Cholesky factorization, allows the work to be approximately halved.
This function overwrites A with C=XTAX, where X=S-1Q and Q is a orthogonal matrix chosen (implicitly) to preserve the bandwidth of A. The function also has an option to allow the accumulation of X, and then, if z is an eigenvector of C, Xz is an eigenvector of the original system.

4  References

Crawford C R (1973) Reduction of a band-symmetric generalized eigenvalue problem Comm. ACM 16 41–44
Kaufman L (1984) Banded eigenvalue solvers on vector machines ACM Trans. Math. Software 10 73–86

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:     vectNag_VectTypeInput
On entry: indicates whether X is to be returned.
vect=Nag_DoNotForm
X is not returned.
vect=Nag_FormX
X is returned.
Constraint: vect=Nag_DoNotForm or Nag_FormX.
3:     uploNag_UploTypeInput
On entry: indicates whether the upper or lower triangular part of A is stored.
uplo=Nag_Upper
The upper triangular part of A is stored.
uplo=Nag_Lower
The lower triangular part of A is stored.
Constraint: uplo=Nag_Upper or Nag_Lower.
4:     nIntegerInput
On entry: n, the order of the matrices A and B.
Constraint: n0.
5:     kaIntegerInput
On entry: if uplo=Nag_Upper, the number of superdiagonals, ka, of the matrix A.
If uplo=Nag_Lower, the number of subdiagonals, ka, of the matrix A.
Constraint: ka0.
6:     kbIntegerInput
On entry: if uplo=Nag_Upper, the number of superdiagonals, kb, of the matrix B.
If uplo=Nag_Lower, the number of subdiagonals, kb, of the matrix B.
Constraint: kakb0.
7:     ab[dim]doubleInput/Output
Note: the dimension, dim, of the array ab must be at least max1,pdab×n.
On entry: the upper or lower triangle of the n by n symmetric band matrix A.
This is stored as a notional two-dimensional array with row elements or column elements stored contiguously. The storage of elements of Aij, depends on the order and uplo arguments as follows:
  • if order=Nag_ColMajor and uplo=Nag_Upper,
              Aij is stored in ab[ka+i-j+j-1×pdab], for j=1,,n and i=max1,j-ka,,j;
  • if order=Nag_ColMajor and uplo=Nag_Lower,
              Aij is stored in ab[i-j+j-1×pdab], for j=1,,n and i=j,,minn,j+ka;
  • if order=Nag_RowMajor and uplo=Nag_Upper,
              Aij is stored in ab[j-i+i-1×pdab], for i=1,,n and j=i,,minn,i+ka;
  • if order=Nag_RowMajor and uplo=Nag_Lower,
              Aij is stored in ab[ka+j-i+i-1×pdab], for i=1,,n and j=max1,i-ka,,i.
On exit: the upper or lower triangle of ab is overwritten by the corresponding upper or lower triangle of C as specified by uplo.
8:     pdabIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) of the matrix A in the array ab.
Constraint: pdabka+1.
9:     bb[dim]const doubleInput
Note: the dimension, dim, of the array bb must be at least max1,pdbb×n.
On entry: the banded split Cholesky factor of B as specified by uplo, n and kb and returned by nag_dpbstf (f08ufc).
10:   pdbbIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) of the matrix in the array bb.
Constraint: pdbbkb+1.
11:   x[dim]doubleOutput
Note: the dimension, dim, of the array x must be at least
  • max1,pdx×n when vect=Nag_FormX;
  • 1 when vect=Nag_DoNotForm.
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: the n by n matrix X=S-1Q, if vect=Nag_FormX.
If vect=Nag_DoNotForm, x is not referenced.
12:   pdxIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array x.
Constraints:
  • if vect=Nag_FormX, pdx max1,n ;
  • if vect=Nag_DoNotForm, pdx1.
13:   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_ENUM_INT_2
On entry, vect=value, pdx=value and n=value.
Constraint: if vect=Nag_FormX, pdx max1,n ;
if vect=Nag_DoNotForm, pdx1.
NE_INT
On entry, ka=value.
Constraint: ka0.
On entry, n=value.
Constraint: n0.
On entry, pdab=value.
Constraint: pdab>0.
On entry, pdbb=value.
Constraint: pdbb>0.
On entry, pdx=value.
Constraint: pdx>0.
NE_INT_2
On entry, ka=value and kb=value.
Constraint: kakb0.
On entry, pdab=value and ka=value.
Constraint: pdabka+1.
On entry, pdbb=value and kb=value.
Constraint: pdbbkb+1.
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

Forming the reduced matrix C is a stable procedure. However it involves implicit multiplication by B-1. When nag_dsbgst (f08uec) is used as a step in the computation of eigenvalues and eigenvectors of the original problem, there may be a significant loss of accuracy if B is ill-conditioned with respect to inversion.

8  Further Comments

The total number of floating point operations is approximately 6n2kB, when vect=Nag_DoNotForm, assuming nkA,kB; there are an additional 3/2n3kB/kA operations when vect=Nag_FormX.
The complex analogue of this function is nag_zhbgst (f08usc).

9  Example

This example computes all the eigenvalues of Az=λBz, where
A = 0.24 0.39 0.42 0.00 0.39 -0.11 0.79 0.63 0.42 0.79 -0.25 0.48 0.00 0.63 0.48 -0.03   and  B= 2.07 0.95 0.00 0.00 0.95 1.69 -0.29 0.00 0.00 -0.29 0.65 -0.33 0.00 0.00 -0.33 1.17 .
Here A is symmetric, B is symmetric positive definite, and A and B are treated as band matrices. B must first be factorized by nag_dpbstf (f08ufc). The program calls nag_dsbgst (f08uec) to reduce the problem to the standard form Cy=λy, then nag_dsbtrd (f08hec) to reduce C to tridiagonal form, and nag_dsterf (f08jfc) to compute the eigenvalues.

9.1  Program Text

Program Text (f08uece.c)

9.2  Program Data

Program Data (f08uece.d)

9.3  Program Results

Program Results (f08uece.r)


nag_dsbgst (f08uec) (PDF version)
f08 Chapter Contents
f08 Chapter Introduction
NAG C Library Manual

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