nag_complex_tridiag_lin_solve (f04ccc) (PDF version)
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NAG Library Manual

NAG Library Function Document

nag_complex_tridiag_lin_solve (f04ccc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_complex_tridiag_lin_solve (f04ccc) computes the solution to a complex system of linear equations AX=B, where A is an n by n tridiagonal matrix and X and B are n by r matrices. An estimate of the condition number of A and an error bound for the computed solution are also returned.

2  Specification

#include <nag.h>
#include <nagf04.h>
void  nag_complex_tridiag_lin_solve (Nag_OrderType order, Integer n, Integer nrhs, Complex dl[], Complex d[], Complex du[], Complex du2[], Integer ipiv[], Complex b[], Integer pdb, double *rcond, double *errbnd, NagError *fail)

3  Description

The LU decomposition with partial pivoting and row interchanges is used to factor A as A=PLU, where P is a permutation matrix, L is unit lower triangular with at most one nonzero subdiagonal element, and U is an upper triangular band matrix with two superdiagonals. The factored form of A is then used to solve the system of equations AX=B.
Note that the equations ATX=B may be solved by interchanging the order of the arguments du and dl.

4  References

Anderson E, Bai Z, Bischof C, Blackford S, Demmel J, Dongarra J J, Du Croz J J, Greenbaum A, Hammarling S, McKenney A and Sorensen D (1999) LAPACK Users' Guide (3rd Edition) SIAM, Philadelphia
Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia

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 in the Essential Introduction for a more detailed explanation of the use of this argument.
Constraint: order=Nag_RowMajor or Nag_ColMajor.
2:     nIntegerInput
On entry: the number of linear equations n, i.e., the order of the matrix A.
Constraint: n0.
3:     nrhsIntegerInput
On entry: the number of right-hand sides r, i.e., the number of columns of the matrix B.
Constraint: nrhs0.
4:     dl[dim]ComplexInput/Output
Note: the dimension, dim, of the array dl must be at least max1,n-1.
On entry: must contain the n-1 subdiagonal elements of the matrix A.
On exit: if fail.code= NE_NOERROR, dl is overwritten by the n-1 multipliers that define the matrix L from the LU factorization of A.
5:     d[dim]ComplexInput/Output
Note: the dimension, dim, of the array d must be at least max1,n.
On entry: must contain the n diagonal elements of the matrix A.
On exit: if fail.code= NE_NOERROR, d is overwritten by the n diagonal elements of the upper triangular matrix U from the LU factorization of A.
6:     du[dim]ComplexInput/Output
Note: the dimension, dim, of the array du must be at least max1,n-1.
On entry: must contain the n-1 superdiagonal elements of the matrix A
On exit: if fail.code= NE_NOERROR, du is overwritten by the n-1 elements of the first superdiagonal of U.
7:     du2[n-2]ComplexOutput
On exit: if fail.code= NE_NOERROR, du2 returns the n-2 elements of the second superdiagonal of U.
8:     ipiv[n]IntegerOutput
On exit: if fail.code= NE_NOERROR, the pivot indices that define the permutation matrix P; at the ith step row i of the matrix was interchanged with row ipiv[i-1]. ipiv[i-1] will always be either i or i+1; ipiv[i-1]=i indicates a row interchange was not required.
9:     b[dim]ComplexInput/Output
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 r matrix of right-hand sides B.
On exit: if fail.code= NE_NOERROR or NE_RCOND, the n by r solution matrix X.
10:   pdbIntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array b.
  • if order=Nag_ColMajor, pdbmax1,n;
  • if order=Nag_RowMajor, pdbmax1,nrhs.
11:   rconddouble *Output
On exit: if no constraints are violated, an estimate of the reciprocal of the condition number of the matrix A, computed as rcond=1/A1A-11.
12:   errbnddouble *Output
On exit: if fail.code= NE_NOERROR or NE_RCOND, an estimate of the forward error bound for a computed solution x^, such that x^-x1/x1errbnd, where x^ is a column of the computed solution returned in the array b and x is the corresponding column of the exact solution X. If rcond is less than machine precision, then errbnd is returned as unity.
13:   failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

Dynamic memory allocation failed.
On entry, argument value had an illegal value.
On entry, n=value.
Constraint: n0.
On entry, nrhs=value.
Constraint: nrhs0.
On entry, pdb=value.
Constraint: pdb>0.
On entry, pdb=value and n=value.
Constraint: pdbmax1,n.
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.
A solution has been computed, but rcond is less than machine precision so that the matrix A is numerically singular.
Diagonal element value of the upper triangular factor is zero. The factorization has been completed, but the solution could not be computed.

7  Accuracy

The computed solution for a single right-hand side, x^, satisfies an equation of the form
A+E x^=b,
E1 = Oε A1
and ε is the machine precision. An approximate error bound for the computed solution is given by
x^-x1 x1 κA E1 A1 ,
where κA = A-11 A1 , the condition number of A with respect to the solution of the linear equations. nag_complex_tridiag_lin_solve (f04ccc) uses the approximation E1=εA1 to estimate errbnd. See Section 4.4 of Anderson et al. (1999) for further details.

8  Parallelism and Performance

nag_complex_tridiag_lin_solve (f04ccc) is not threaded by NAG in any implementation.
nag_complex_tridiag_lin_solve (f04ccc) 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

The total number of floating-point operations required to solve the equations AX=B is proportional to nr. The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization.
In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of Higham (2002) for further details.
The real analogue of nag_complex_tridiag_lin_solve (f04ccc) is nag_real_tridiag_lin_solve (f04bcc).

10  Example

This example solves the equations
where A is the tridiagonal matrix
A= -1.3+1.3i 2.0-1.0i 0.0i+0.0 0.0i+0.0 0.0i+0.0 1.0-2.0i -1.3+1.3i 2.0+1.0i 0.0i+0.0 0.0i+0.0 0.0i+0.0 1.0+1.0i -1.3+3.3i -1.0+1.0i 0.0i+0.0 0.0i+0.0 0.0i+0.0 2.0-3.0i -0.3+4.3i 1.0-1.0i 0.0i+0.0 0.0i+0.0 0.0i+0.0 1.0+1.0i -3.3+1.3i
B = 2.4-05.0i 2.7+06.9i 3.4+18.2i -6.9-05.3i -14.7+09.7i -6.0-00.6i 31.9-07.7i -3.9+09.3i -1.0+01.6i -3.0+12.2i .
An estimate of the condition number of A and an approximate error bound for the computed solutions are also printed.

10.1  Program Text

Program Text (f04ccce.c)

10.2  Program Data

Program Data (f04ccce.d)

10.3  Program Results

Program Results (f04ccce.r)

nag_complex_tridiag_lin_solve (f04ccc) (PDF version)
f04 Chapter Contents
f04 Chapter Introduction
NAG Library Manual

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