nag_superlu_refine_lu (f11mhc) (PDF version)
f11 Chapter Contents
f11 Chapter Introduction
NAG Library Manual

NAG Library Function Document

nag_superlu_refine_lu (f11mhc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_superlu_refine_lu (f11mhc) returns error bounds for the solution of a real sparse system of linear equations with multiple right-hand sides, AX=B or ATX=B. It improves the solution by iterative refinement in standard precision, in order to reduce the backward error as much as possible.

2  Specification

#include <nag.h>
#include <nagf11.h>
void  nag_superlu_refine_lu (Nag_OrderType order, Nag_TransType trans, Integer n, const Integer icolzp[], const Integer irowix[], const double a[], const Integer iprm[], const Integer il[], const double lval[], const Integer iu[], const double uval[], Integer nrhs, const double b[], Integer pdb, double x[], Integer pdx, double ferr[], double berr[], NagError *fail)

3  Description

nag_superlu_refine_lu (f11mhc) returns the backward errors and estimated bounds on the forward errors for the solution of a real system of linear equations with multiple right-hand sides AX=B or ATX=B. The function handles each right-hand side vector (stored as a column of the matrix B) independently, so we describe the function of nag_superlu_refine_lu (f11mhc) in terms of a single right-hand side b and solution x.
Given a computed solution x, the function computes the component-wise backward error β. This is the size of the smallest relative perturbation in each element of A and b such that if x is the exact solution of a perturbed system:
A+δA x = b + δ b then   δaij β aij   and   δbi β bi .
Then the function estimates a bound for the component-wise forward error in the computed solution, defined by:
maxi xi - x^i / maxi xi
where x^ is the true solution.
The function uses the LU  factorization Pr A Pc = LU  computed by nag_superlu_lu_factorize (f11mec) and the solution computed by nag_superlu_solve_lu (f11mfc).

4  References

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

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:     transNag_TransTypeInput
On entry: specifies whether AX=B or ATX=B is solved.
trans=Nag_NoTrans
AX=B is solved.
trans=Nag_Trans
ATX=B is solved.
Constraint: trans=Nag_NoTrans or Nag_Trans.
3:     nIntegerInput
On entry: n, the order of the matrix A.
Constraint: n0.
4:     icolzp[dim]const IntegerInput
Note: the dimension, dim, of the array icolzp must be at least n+1.
On entry: icolzp[i-1] contains the index in A of the start of a new column. See Section 2.1.3 in the f11 Chapter Introduction.
5:     irowix[dim]const IntegerInput
Note: the dimension, dim, of the array irowix must be at least icolzp[n]-1, the number of nonzeros of the sparse matrix A.
On entry: the row index array of sparse matrix A.
6:     a[dim]const doubleInput
Note: the dimension, dim, of the array a must be at least icolzp[n]-1, the number of nonzeros of the sparse matrix A.
On entry: the array of nonzero values in the sparse matrix A.
7:     iprm[7×n]const IntegerInput
On entry: the column permutation which defines Pc, the row permutation which defines Pr, plus associated data structures as computed by nag_superlu_lu_factorize (f11mec).
8:     il[dim]const IntegerInput
Note: the dimension, dim, of the array il must be at least as large as the dimension of the array of the same name in nag_superlu_lu_factorize (f11mec).
On entry: records the sparsity pattern of matrix L as computed by nag_superlu_lu_factorize (f11mec).
9:     lval[dim]const doubleInput
Note: the dimension, dim, of the array lval must be at least as large as the dimension of the array of the same name in nag_superlu_lu_factorize (f11mec).
On entry: records the nonzero values of matrix L and some nonzero values of matrix U as computed by nag_superlu_lu_factorize (f11mec).
10:   iu[dim]const IntegerInput
Note: the dimension, dim, of the array iu must be at least as large as the dimension of the array of the same name in nag_superlu_lu_factorize (f11mec).
On entry: records the sparsity pattern of matrix U as computed by nag_superlu_lu_factorize (f11mec).
11:   uval[dim]const doubleInput
Note: the dimension, dim, of the array uval must be at least as large as the dimension of the array of the same name in nag_superlu_lu_factorize (f11mec).
On entry: records some nonzero values of matrix U as computed by nag_superlu_lu_factorize (f11mec).
12:   nrhsIntegerInput
On entry: nrhs, the number of right-hand sides in B.
Constraint: nrhs0.
13:   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 nrhs right-hand side matrix B.
14:   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.
15:   x[dim]doubleInput/Output
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 entry: the n by nrhs solution matrix X, as returned by nag_superlu_solve_lu (f11mfc).
On exit: the n by nrhs improved solution matrix X.
16:   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.
17:   ferr[nrhs]doubleOutput
On exit: ferr[j-1] contains an estimated error bound for the jth solution vector, that is, the jth column of X, for j=1,2,,nrhs.
18:   berr[nrhs]doubleOutput
On exit: berr[j-1] contains the component-wise backward error bound β for the jth solution vector, that is, the jth column of X, for j=1,2,,nrhs.
19:   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_INVALID_PERM_COL
Incorrect column permutations in array iprm.
NE_INVALID_PERM_ROW
Incorrect Row Permutations in array iprm.

7  Accuracy

The bounds returned in ferr are not rigorous, because they are estimated, not computed exactly; but in practice they almost always overestimate the actual error.

8  Parallelism and Performance

nag_superlu_refine_lu (f11mhc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_superlu_refine_lu (f11mhc) 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

At most five steps of iterative refinement are performed, but usually only one or two steps are required.
Estimating the forward error involves solving a number of systems of linear equations of the form Ax=b or ATx=b;

10  Example

This example solves the system of equations AX=B using iterative refinement and to compute the forward and backward error bounds, where
A= 2.00 1.00 0 0 0 0 0 1.00 -1.00 0 4.00 0 1.00 0 1.00 0 0 0 1.00 2.00 0 -2.00 0 0 3.00   and  B= 1.56 3.12 -0.25 -0.50 3.60 7.20 1.33 2.66 0.52 1.04 .
Here A is nonsymmetric and must first be factorized by nag_superlu_lu_factorize (f11mec).

10.1  Program Text

Program Text (f11mhce.c)

10.2  Program Data

Program Data (f11mhce.d)

10.3  Program Results

Program Results (f11mhce.r)


nag_superlu_refine_lu (f11mhc) (PDF version)
f11 Chapter Contents
f11 Chapter Introduction
NAG Library Manual

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