nag_eigen_real_gen_sparse_arnoldi (f02ekc) (PDF version)
f02 Chapter Contents
f02 Chapter Introduction
NAG Library Manual

NAG Library Function Document

nag_eigen_real_gen_sparse_arnoldi (f02ekc)

Note: this function uses optional arguments to define choices in the problem specification. If you wish to use default settings for all of the optional arguments, you need only read Sections 1 to 10 of this document. If, however, you wish to reset some or all of the settings this must be done by calling the option setting function nag_real_sparse_eigensystem_option (f12adc) from the user-supplied function option. Please refer to Section 11 for a detailed description of the specification of the optional arguments.

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_eigen_real_gen_sparse_arnoldi (f02ekc) computes selected eigenvalues and eigenvectors of a real sparse general matrix.

2  Specification

#include <nag.h>
#include <nagf02.h>
void  nag_eigen_real_gen_sparse_arnoldi (Integer n, Integer nnz, double a[], const Integer icolzp[], const Integer irowix[], Integer nev, Integer ncv, double sigma,
void (*monit)(Integer ncv, Integer niter, Integer nconv, const Complex w[], const double rzest[], Integer *istat, Nag_Comm *comm),
void (*option)(Integer icom[], double com[], Integer *istat, Nag_Comm *comm),
Integer *nconv, Complex w[], double v[], Integer pdv, double resid[], Nag_Comm *comm, NagError *fail)

3  Description

nag_eigen_real_gen_sparse_arnoldi (f02ekc) computes selected eigenvalues and the corresponding right eigenvectors of a real sparse general matrix A:
Awi = λi wi .
A specified number, nev, of eigenvalues λi, or the shifted inverses μi=1/λi-σ, may be selected either by largest or smallest modulus, largest or smallest real part, or, largest or smallest imaginary part. Convergence is generally faster when selecting larger eigenvalues, smaller eigenvalues can always be selected by choosing a zero inverse shift (σ=0.0). When eigenvalues closest to a given real value are required then the shifted inverses of largest magnitude should be selected with shift equal to the required real value.
Note that even though A is real, λi and wi may be complex. If wi is an eigenvector corresponding to a complex eigenvalue λi, then the complex conjugate vector w-i is the eigenvector corresponding to the complex conjugate eigenvalue λ-i. The eigenvalues in a complex conjugate pair λi and λ-i are either both selected or both not selected.
The sparse matrix A is stored in compressed column storage (CCS) format. See Section 2.1.3 in the f11 Chapter Introduction.
nag_eigen_real_gen_sparse_arnoldi (f02ekc) uses an implicitly restarted Arnoldi iterative method to converge approximations to a set of required eigenvalues and corresponding eigenvectors. Further algorithmic information is given in Section 9 while a fuller discussion is provided in the f12 Chapter Introduction. If shifts are to be performed then operations using shifted inverse matrices are performed using a direct sparse solver; further information on the solver used is provided in the f11 Chapter Introduction.

4  References

Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
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

5  Arguments

1:     nIntegerInput
On entry: n, the order of the matrix A.
Constraint: n0.
2:     nnzIntegerInput
On entry: the dimension of the array a. The number of nonzero elements of the matrix A and, if a nonzero shifted inverse is to be applied, all diagonal elements. Each nonzero is counted once in the latter case.
Constraint: 0nnzn2.
3:     a[nnz]doubleInput/Output
On entry: the array of nonzero elements (and diagonal elements if a nonzero inverse shift is to be applied) of the n by n general matrix A.
On exit: if a nonzero shifted inverse is to be applied then the diagonal elements of A have the shift value, as supplied in sigma, subtracted.
4:     icolzp[n+1]const IntegerInput
On entry: icolzp[i-1] contains the index in a of the start of column i, for i=1,2,,n; icolzp[n] must contain the value nnz+1. Thus the number of nonzero elements in column i of A is icolzp[i]-icolzp[i-1]; when shifts are applied this includes diagonal elements irrespective of value. See Section 2.1.3 in the f11 Chapter Introduction.
5:     irowix[nnz]const IntegerInput
On entry: irowix[i-1] contains the row index for each entry in a. See Section 2.1.3 in the f11 Chapter Introduction.
6:     nevIntegerInput
On entry: the number of eigenvalues to be computed.
Constraint: 0<nev<n-1.
7:     ncvIntegerInput
On entry: the dimension of the array w. The number of Arnoldi basis vectors to use during the computation.
At present there is no a priori analysis to guide the selection of ncv relative to nev. However, it is recommended that ncv2×nev+1. If many problems of the same type are to be solved, you should experiment with increasing ncv while keeping nev fixed for a given test problem. This will usually decrease the required number of matrix-vector operations but it also increases the work and storage required to maintain the orthogonal basis vectors. The optimal ‘cross-over’ with respect to CPU time is problem dependent and must be determined empirically.
Constraint: nev+1<ncvn.
8:     sigmadoubleInput
On entry: if the Shifted Inverse Real mode has been selected then sigma contains the real shift used; otherwise sigma is not referenced. This mode can be selected by setting the appropriate options in the user-supplied function option.
9:     monitfunction, supplied by the userExternal Function
monit is used to monitor the progress of nag_eigen_real_gen_sparse_arnoldi (f02ekc). monit may be specified as NULLFN if no monitoring is actually required. monit is called after the solution of each eigenvalue sub-problem and also just prior to return from nag_eigen_real_gen_sparse_arnoldi (f02ekc).
The specification of monit is:
void  monit (Integer ncv, Integer niter, Integer nconv, const Complex w[], const double rzest[], Integer *istat, Nag_Comm *comm)
1:     ncvIntegerInput
On entry: the dimension of the arrays w and rzest. The number of Arnoldi basis vectors used during the computation.
2:     niterIntegerInput
On entry: the number of the current Arnoldi iteration.
3:     nconvIntegerInput
On entry: the number of converged eigenvalues so far.
4:     w[ncv]const ComplexInput
On entry: the first nconv elements of w contain the converged approximate eigenvalues.
5:     rzest[ncv]const doubleInput
On entry: the first nconv elements of rzest contain the Ritz estimates (error bounds) on the converged approximate eigenvalues.
6:     istatInteger *Input/Output
On entry: set to zero.
On exit: if set to a nonzero value nag_eigen_real_gen_sparse_arnoldi (f02ekc) returns immediately with fail.code= NE_USER_STOP.
7:     commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to monit.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_eigen_real_gen_sparse_arnoldi (f02ekc) you may allocate memory and initialize these pointers with various quantities for use by monit when called from nag_eigen_real_gen_sparse_arnoldi (f02ekc) (see Section 3.2.1.1 in the Essential Introduction).
10:   optionfunction, supplied by the userExternal Function
You can supply non-default options to the Arnoldi eigensolver by repeated calls to nag_real_sparse_eigensystem_option (f12adc) from within option. (Please note that it is only necessary to call nag_real_sparse_eigensystem_option (f12adc); no call to nag_real_sparse_eigensystem_init (f12aac) is required from within option.) For example, you can set the mode to Shifted Inverse Real, you can increase the Iteration Limit beyond its default and you can print varying levels of detail on the iterative process using Print Level.
If only the default options (including that the eigenvalues of largest magnitude are sought) are to be used then option may be specified as NULLFN. See Section 10 for an example of using option to set some non-default options.
The specification of option is:
void  option (Integer icom[], double com[], Integer *istat, Nag_Comm *comm)
1:     icom[140]IntegerCommunication Array
On entry: contains details of the default option set. This array must be passed as argument icomm in any call to nag_real_sparse_eigensystem_option (f12adc).
On exit: contains data on the current options set which may be altered from the default set via calls to nag_real_sparse_eigensystem_option (f12adc).
2:     com[60]doubleCommunication Array
On entry: contains details of the default option set. This array must be passed as argument comm in any call to nag_real_sparse_eigensystem_option (f12adc).
On exit: contains data on the current options set which may be altered from the default set via calls to nag_real_sparse_eigensystem_option (f12adc).
3:     istatInteger *Input/Output
On entry: set to zero.
On exit: if set to a nonzero value nag_eigen_real_gen_sparse_arnoldi (f02ekc) returns immediately with fail.code= NE_USER_STOP.
4:     commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to option.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_eigen_real_gen_sparse_arnoldi (f02ekc) you may allocate memory and initialize these pointers with various quantities for use by option when called from nag_eigen_real_gen_sparse_arnoldi (f02ekc) (see Section 3.2.1.1 in the Essential Introduction).
11:   nconvInteger *Output
On exit: the number of converged approximations to the selected eigenvalues. On successful exit, this will normally be either nev or nev+1 depending on the number of complex conjugate pairs of eigenvalues returned.
12:   w[ncv]ComplexOutput
On exit: the first nconv elements contain the converged approximations to the selected eigenvalues. Since complex conjugate pairs of eigenvalues appear together, it is possible (given an odd number of converged real eigenvalues) for nag_eigen_real_gen_sparse_arnoldi (f02ekc) to return one more eigenvalue than requested.
13:   v[dim]doubleOutput
Note: the dimension, dim, of the array v must be at least pdv×ncv.
On exit: contains the eigenvectors associated with the eigenvalue λi, for i=1,2,,nconv (stored in w). For a real eigenvalue, λj, the corresponding eigenvector is real and is stored in v[j-1×pdv+i-1], for i=1,2,,n. For complex conjugate pairs of eigenvalues, wj+1=wj-, the real and imaginary parts of the corresponding eigenvectors are stored, respectively, in v[j-1×pdv+i-1] and v[j×pdv+i-1], for i=1,2,,n. The imaginary parts stored are for the first of the conjugate pair of eigenvectors; the other eigenvector in the pair is obtained by negating these imaginary parts.
14:   pdvIntegerInput
On entry: the stride separating, in the array v, real and imaginary parts of elements of a conjugate pair of eigenvectors, or separating the elements of a real eigenvector from the corresponding real parts of the next eigenvector.
Constraint: pdvn.
15:   resid[nev+1]doubleOutput
On exit: the residual A wi - λi wi 2  for the estimates to the eigenpair λi and wi is returned in resid[i-1], for i=1,2,,nconv.
16:   commNag_Comm *Communication Structure
The NAG communication argument (see Section 3.2.1.1 in the Essential Introduction).
17:   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_DIAG_ELEMENTS
On entry, in shifted inverse mode, the jth diagonal element of A is not defined, for j=value.
NE_EIGENVALUES
The number of eigenvalues found to sufficient accuracy, is zero.
NE_INT
On entry, n=value.
Constraint: n>0.
On entry, nev=value.
Constraint: nev>0.
On entry, nnz=value.
Constraint: nnz>0.
NE_INT_2
On entry, ncv=value and n=value.
Constraint: ncvn.
On entry, ncv=value and nev=value.
Constraint: ncv>nev+1.
On entry, nnz=value and n=value.
Constraint: nnzn×n.
On entry, pdv=value and n=value.
Constraint: pdvn.
NE_INTERNAL_EIGVAL_FAIL
Error in internal call to compute eigenvalues and corresponding error bounds of the current upper Hessenberg matrix.
Please contact NAG.
NE_INTERNAL_EIGVEC_FAIL
In calculating eigenvectors, an internal call returned with an error.
Please contact NAG.
NE_INTERNAL_ERROR
An internal call to nag_real_sparse_eigensystem_iter (f12abc) returned with fail.code= NE_OPT_INCOMPAT.
This error should not occur. Please contact NAG.
An internal call to nag_real_sparse_eigensystem_sol (f12acc) returned with fail.code= NE_INVALID_OPTION.
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.
Internal inconsistency in the number of converged Ritz values. Number counted =value, number expected =value.
NE_INVALID_OPTION
The maximum number of iterations 0, the optional argument Iteration Limit has been set to value.
NE_NO_ARNOLDI_FAC
Could not build an Arnoldi factorization. The size of the current Arnoldi factorization =value.
NE_NO_SHIFTS_APPLIED
No shifts could be applied during a cycle of the implicitly restarted Arnoldi iteration.
NE_SCHUR_EIG_FAIL
During calculation of a real Schur form, there was a failure to compute value eigenvalues in a total of value iterations.
NE_SCHUR_REORDER
The computed Schur form could not be reordered by an internal call.
This routine returned with fail.code=value.
Please contact NAG.
NE_SINGULAR
On entry, the matrix A-σ×I is nearly numerically singular and could not be inverted. Try perturbing the value of σ. Norm of matrix =value, Reciprocal condition number =value.
On entry, the matrix A-σ×I is numerically singular and could not be inverted. Try perturbing the value of σ.
NE_SPARSE_COL
On entry, for i=value, icolzp[i-1]=value and icolzp[i]=value.
Constraint: icolzp[i-1]<icolzp[i].
On entry, icolzp[0]=value.
Constraint: icolzp[0]=1.
On entry, icolzp[n]=value and nnz=value.
Constraint: icolzp[n]=nnz+1.
NE_SPARSE_ROW
On entry, in specification of column value, and for j=value, irowix[j-1]=value and irowix[j]=value.
Constraint: irowix[j-1]<irowix[j].
NE_TOO_MANY_ITER
The maximum number of iterations has been reached.
The maximum number of iterations =value.
The number of converged eigenvalues =value.
See the function document for further details.
NE_USER_STOP
User requested termination in monit, istat=value.
User requested termination in option, istat=value.
NE_ZERO_RESID
An internal call to nag_real_sparse_eigensystem_iter (f12abc) returned with fail.code= NE_ZERO_INIT_RESID.

7  Accuracy

The relative accuracy of a Ritz value (eigenvalue approximation), λ , is considered acceptable if its Ritz estimate Tolerance×λ. The default value for Tolerance is the machine precision given by nag_machine_precision (X02AJC). The Ritz estimates are available via the monit function at each iteration in the Arnoldi process, or can be printed by setting option Print Level to a positive value.

8  Parallelism and Performance

nag_eigen_real_gen_sparse_arnoldi (f02ekc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_eigen_real_gen_sparse_arnoldi (f02ekc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the Users' Note for your implementation for any additional implementation-specific information.

9  Further Comments

nag_eigen_real_gen_sparse_arnoldi (f02ekc) calls functions based on the ARPACK suite in Chapter f12. These functions use an implicitly restarted Arnoldi iterative method to converge to approximations to a set of required eigenvalues (see the f12 Chapter Introduction).
In the default Regular mode, only matrix-vector multiplications are performed using the sparse matrix A during the Arnoldi process. Each iteration is therefore cheap computationally, relative to the alternative, Shifted Inverse Real, mode described below. It is most efficient (i.e., the total number of iterations required is small) when the eigenvalues of largest magnitude are sought and these are distinct.
Although there is an option for returning the smallest eigenvalues using this mode (see Smallest Magnitude option), the number of iterations required for convergence will be far greater or the method may not converge at all. However, where convergence is achieved, Regular mode may still prove to be the most efficient since no inversions are required. Where smallest eigenvalues are sought and Regular mode is not suitable, or eigenvalues close to a given real value are sought, the Shifted Inverse Real mode should be used.
If the Shifted Inverse Real mode is used (via a call to nag_real_sparse_eigensystem_option (f12adc) in option) then the matrix A-σI is used in linear system solves by the Arnoldi process. This is first factorized internally using the direct LU factorization function nag_superlu_lu_factorize (f11mec). The condition number of A-σI is then calculated by a call to nag_superlu_condition_number_lu (f11mgc). If the condition number is too big then the matrix is considered to be nearly singular, i.e., σ is an approximate eigenvalue of A, and the function exits with an error. In this situation it is normally sufficient to perturb σ by a small amount and call nag_eigen_real_gen_sparse_arnoldi (f02ekc) again. After successful factorization, subsequent solves are performed by calls to nag_superlu_solve_lu (f11mfc).
Finally, nag_eigen_real_gen_sparse_arnoldi (f02ekc) transforms the eigenvectors. Each eigenvector w (real or complex) is normalized so that w2=1, and the element of largest absolute value is real and positive.
The monitoring function monit provides some basic information on the convergence of the Arnoldi iterations. Much greater levels of detail on the Arnoldi process are available via option Print Level. If this is set to a positive value then information will be printed, by default, to standard output. The Monitoring option may be used to select a Nag_FileID for the printing of monitoring information and nag_open_file (x04acc) may be used to associate a file with that Nag_FileID.

10  Example

This example computes the four eigenvalues of the matrix A which lie closest to the value σ=5.5 on the real line, and their corresponding eigenvectors, where A is the tridiagonal matrix with elements
aij = 2+i, j=i 3, j = i-1 -1 + ρ / 2n+2, j = i+1 ​ with ​ ρ = 10.0.

10.1  Program Text

Program Text (f02ekce.c)

10.2  Program Data

Program Data (f02ekce.d)

10.3  Program Results

Program Results (f02ekce.r)

11  Optional Arguments

Internally nag_eigen_real_gen_sparse_arnoldi (f02ekc) calls functions from the suite nag_real_sparse_eigensystem_init (f12aac)nag_real_sparse_eigensystem_iter (f12abc)nag_real_sparse_eigensystem_sol (f12acc)nag_real_sparse_eigensystem_option (f12adc) and nag_real_sparse_eigensystem_monit (f12aec). Several optional arguments for these computational functions define choices in the problem specification or the algorithm logic. In order to reduce the number of formal arguments of nag_eigen_real_gen_sparse_arnoldi (f02ekc) these optional arguments are also used here and have associated default values that are usually appropriate. Therefore, you need only specify those optional arguments whose values are to be different from their default values.
Optional arguments may be specified via the user-supplied function option in the call to nag_eigen_real_gen_sparse_arnoldi (f02ekc). option must be coded such that one call to nag_real_sparse_eigensystem_option (f12adc) is necessary to set each optional argument. All optional arguments you do not specify are set to their default values.
The remainder of this section can be skipped if you wish to use the default values for all optional arguments.
The following is a list of the optional arguments available. A full description of each optional argument is provided in Section 11.1.

11.1  Description of the Optional Arguments

For each option, we give a summary line, a description of the optional argument and details of constraints.
The summary line contains:
Keywords and character values are case and white space insensitive.
Optional arguments used to specify files (e.g., Advisory and Monitoring) have type Integer. This Integer value corresponds with the Nag_FileID as returned by nag_open_file (x04acc). See Section 10 for an example of the use of this facility.
AdvisoryiDefault =0  
If the optional argument List is set then optional argument specifications are printed to the file with the associated Nag_FileID i as returned by a call of nag_open_file (x04acc).
Defaults
This special keyword may be used to reset all optional arguments to their default values.
Iteration Limiti Default = 300  
The limit on the number of Arnoldi iterations that can be performed before nag_eigen_real_gen_sparse_arnoldi (f02ekc) exits with fail.code= NE_TOO_MANY_ITER.
Largest MagnitudeDefault
Largest Imaginary
Largest Real
Smallest Imaginary
Smallest Magnitude
Smallest Real
The Arnoldi iterative method converges on a number of eigenvalues with given properties. The default is to compute the eigenvalues of largest magnitude using Largest Magnitude. Alternatively, eigenvalues may be chosen which have Largest Real part, Largest Imaginary part, Smallest Magnitude, Smallest Real part or Smallest Imaginary part.
Note that these options select the eigenvalue properties for eigenvalues of OP the linear operator determined by the computational mode and problem type.
NolistDefault
List
Normally each optional argument specification is not printed to Advisory as it is supplied. Optional argument List may be used to enable printing and optional argument Nolist may be used to suppress the printing.
MonitoringiDefault = -1
Unless Monitoring is set to -1 (the default), monitoring information is output to the file associated with Nag_FileID i during the solution of each problem; this may be the same as Advisory. The type of information produced is dependent on the value of Print Level, see the description of the optional argument Print Level in this section for details of the information produced. Please see nag_open_file (x04acc) to associate a file with a given Nag_FileID (see Section 3.2.1.1 in the Essential Introduction).
Print LeveliDefault = 0
This controls the amount of printing produced by nag_eigen_real_gen_sparse_arnoldi (f02ekc) as follows.
=0 No output except error messages.
>0 The set of selected options.
=2 Problem and timing statistics when all calls to nag_real_sparse_eigensystem_iter (f12abc) have been completed.
5 A single line of summary output at each Arnoldi iteration.
10 If Monitoring is set to a valid Nag_FileID then at each iteration, the length and additional steps of the current Arnoldi factorization and the number of converged Ritz values; during re-orthogonalization, the norm of initial/restarted starting vector.
20 Problem and timing statistics on final exit from nag_real_sparse_eigensystem_iter (f12abc). If Monitoring is set to a valid Nag_FileID then at each iteration, the number of shifts being applied, the eigenvalues and estimates of the Hessenberg matrix H, the size of the Arnoldi basis, the wanted Ritz values and associated Ritz estimates and the shifts applied; vector norms prior to and following re-orthogonalization.
30 If Monitoring is set to a valid Nag_FileID then on final iteration, the norm of the residual; when computing the Schur form, the eigenvalues and Ritz estimates both before and after sorting; for each iteration, the norm of residual for compressed factorization and the compressed upper Hessenberg matrix H; during re-orthogonalization, the initial/restarted starting vector; during the Arnoldi iteration loop, a restart is flagged and the number of the residual requiring iterative refinement; while applying shifts, the indices of the shifts being applied.
40 If Monitoring is set to a valid Nag_FileID then during the Arnoldi iteration loop, the Arnoldi vector number and norm of the current residual; while applying shifts, key measures of progress and the order of H; while computing eigenvalues of H, the last rows of the Schur and eigenvector matrices; when computing implicit shifts, the eigenvalues and Ritz estimates of H.
50 If Monitoring is set to a valid Nag_FileID then during Arnoldi iteration loop: norms of key components and the active column of H, norms of residuals during iterative refinement, the final upper Hessenberg matrix H; while applying shifts: number of shifts, shift values, block indices, updated matrix H; while computing eigenvalues of H: the matrix H, the computed eigenvalues and Ritz estimates.
RegularDefault
Shifted Inverse Real
These options define the computational mode which in turn defines the form of operation OPx to be performed.
Given a standard eigenvalue problem in the form Ax=λx then the following modes are available with the appropriate operator OPx.
Regular OP=A
Shifted Inverse Real OP=A-σI-1 where σ is real
Tolerancer Default = ε  
An approximate eigenvalue has deemed to have converged when the corresponding Ritz estimate is within Tolerance relative to the magnitude of the eigenvalue.

nag_eigen_real_gen_sparse_arnoldi (f02ekc) (PDF version)
f02 Chapter Contents
f02 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2014