f01 Chapter Contents
f01 Chapter Introduction
NAG Library Manual

NAG Library Function Documentnag_matop_real_gen_matrix_fun_usd (f01emc)

1  Purpose

nag_matop_real_gen_matrix_fun_usd (f01emc) computes the matrix function, $f\left(A\right)$, of a real $n$ by $n$ matrix $A$, using analytical derivatives of $f$ you have supplied.

2  Specification

 #include #include
void  nag_matop_real_gen_matrix_fun_usd (Nag_OrderType order, Integer n, double a[], Integer pda,
 void (*f)(Integer m, Integer *iflag, Integer nz, const Complex z[], Complex fz[], Nag_Comm *comm),
Nag_Comm *comm, Integer *iflag, double *imnorm, NagError *fail)

3  Description

$f\left(A\right)$ is computed using the Schur–Parlett algorithm described in Higham (2008) and Davies and Higham (2003).
The scalar function $f$, and the derivatives of $f$, are returned by the function f which, given an integer $m$, should evaluate ${f}^{\left(m\right)}\left({z}_{\mathit{i}}\right)$ at a number of (generally complex) points ${z}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,{n}_{z}$. For any $z$ on the real line, $f\left(z\right)$ must also be real. nag_matop_real_gen_matrix_fun_usd (f01emc) is therefore appropriate for functions that can be evaluated on the complex plane and whose derivatives, of arbitrary order, can also be evaluated on the complex plane.

4  References

Davies P I and Higham N J (2003) A Schur–Parlett algorithm for computing matrix functions. SIAM J. Matrix Anal. Appl. 25(2) 464–485
Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA

5  Arguments

1:    $\mathbf{order}$Nag_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 ${\mathbf{order}}=\mathrm{Nag_RowMajor}$. See Section 3.2.1.3 in the Essential Introduction for a more detailed explanation of the use of this argument.
Constraint: ${\mathbf{order}}=\mathrm{Nag_RowMajor}$ or $\mathrm{Nag_ColMajor}$.
2:    $\mathbf{n}$IntegerInput
On entry: $n$, the order of the matrix $A$.
Constraint: ${\mathbf{n}}\ge 0$.
3:    $\mathbf{a}\left[\mathit{dim}\right]$doubleInput/Output
Note: the dimension, dim, of the array a must be at least ${\mathbf{pda}}×{\mathbf{n}}$.
The $\left(i,j\right)$th element of the matrix $A$ is stored in
• ${\mathbf{a}}\left[\left(j-1\right)×{\mathbf{pda}}+i-1\right]$ when ${\mathbf{order}}=\mathrm{Nag_ColMajor}$;
• ${\mathbf{a}}\left[\left(i-1\right)×{\mathbf{pda}}+j-1\right]$ when ${\mathbf{order}}=\mathrm{Nag_RowMajor}$.
On entry: the $n$ by $n$ matrix $A$.
On exit: the $n$ by $n$ matrix, $f\left(A\right)$.
4:    $\mathbf{pda}$IntegerInput
On entry: the stride separating row or column elements (depending on the value of order) in the array a.
Constraint: ${\mathbf{pda}}\ge {\mathbf{n}}$.
5:    $\mathbf{f}$function, supplied by the userExternal Function
Given an integer $m$, the function f evaluates ${f}^{\left(m\right)}\left({z}_{i}\right)$ at a number of points ${z}_{i}$.
The specification of f is:
 void f (Integer m, Integer *iflag, Integer nz, const Complex z[], Complex fz[], Nag_Comm *comm)
1:    $\mathbf{m}$IntegerInput
On entry: the order, $m$, of the derivative required.
If ${\mathbf{m}}=0$, $f\left({z}_{i}\right)$ should be returned. For ${\mathbf{m}}>0$, ${f}^{\left(m\right)}\left({z}_{i}\right)$ should be returned.
2:    $\mathbf{iflag}$Integer *Input/Output
On entry: iflag will be zero.
On exit: iflag should either be unchanged from its entry value of zero, or may be set nonzero to indicate that there is a problem in evaluating the function $f\left(z\right)$; for instance $f\left({z}_{i}\right)$ may not be defined for a particular ${z}_{i}$. If iflag is returned as nonzero then nag_matop_real_gen_matrix_fun_usd (f01emc) will terminate the computation, with ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
3:    $\mathbf{nz}$IntegerInput
On entry: ${n}_{z}$, the number of function or derivative values required.
4:    $\mathbf{z}\left[{\mathbf{nz}}\right]$const ComplexInput
On entry: the ${n}_{z}$ points ${z}_{1},{z}_{2},\dots ,{z}_{{n}_{z}}$ at which the function $f$ is to be evaluated.
5:    $\mathbf{fz}\left[{\mathbf{nz}}\right]$ComplexOutput
On exit: the ${n}_{z}$ function or derivative values. ${\mathbf{fz}}\left[\mathit{i}-1\right]$ should return the value ${f}^{\left(m\right)}\left({z}_{\mathit{i}}\right)$, for $\mathit{i}=1,2,\dots ,{n}_{z}$. If ${z}_{i}$ lies on the real line, then so must ${f}^{\left(m\right)}\left({z}_{i}\right)$.
6:    $\mathbf{comm}$Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to f.
userdouble *
iuserInteger *
pPointer
The type Pointer will be void *. Before calling nag_matop_real_gen_matrix_fun_usd (f01emc) you may allocate memory and initialize these pointers with various quantities for use by f when called from nag_matop_real_gen_matrix_fun_usd (f01emc) (see Section 3.2.1.1 in the Essential Introduction).
6:    $\mathbf{comm}$Nag_Comm *
The NAG communication argument (see Section 3.2.1.1 in the Essential Introduction).
7:    $\mathbf{iflag}$Integer *Output
On exit: ${\mathbf{iflag}}=0$, unless iflag has been set nonzero inside f, in which case iflag will be the value set and fail will be set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
8:    $\mathbf{imnorm}$double *Output
On exit: if $A$ has complex eigenvalues, nag_matop_real_gen_matrix_fun_usd (f01emc) will use complex arithmetic to compute $f\left(A\right)$. The imaginary part is discarded at the end of the computation, because it will theoretically vanish. imnorm contains the $1$-norm of the imaginary part, which should be used to check that the function has given a reliable answer.
If $A$ has real eigenvalues, nag_matop_real_gen_matrix_fun_usd (f01emc) uses real arithmetic and ${\mathbf{imnorm}}=0$.
9:    $\mathbf{fail}$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.
See Section 3.2.1.2 in the Essential Introduction for further information.
On entry, argument $〈\mathit{\text{value}}〉$ had an illegal value.
NE_CONVERGENCE
A Taylor series failed to converge.
NE_INT
On entry, ${\mathbf{n}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{n}}\ge 0$.
NE_INT_2
On entry, ${\mathbf{pda}}=〈\mathit{\text{value}}〉$ and ${\mathbf{n}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{pda}}\ge {\mathbf{n}}$.
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.
An unexpected error has been triggered by this function. Please contact NAG.
See Section 3.6.6 in the Essential Introduction for further information.
An unexpected internal error occurred when ordering the eigenvalues of $A$. Please contact NAG.
There was an error whilst reordering the Schur form of $A$.
Note:  this failure should not occur and suggests that the function has been called incorrectly.
The routine was unable to compute the Schur decomposition of $A$.
Note:  this failure should not occur and suggests that the function has been called incorrectly.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 3.6.5 in the Essential Introduction for further information.
NE_USER_STOP
iflag has been set nonzero by the user.

7  Accuracy

For a normal matrix $A$ (for which ${A}^{\mathrm{T}}A=A{A}^{\mathrm{T}}$), the Schur decomposition is diagonal and the algorithm reduces to evaluating $f$ at the eigenvalues of $A$ and then constructing $f\left(A\right)$ using the Schur vectors. This should give a very accurate result. In general, however, no error bounds are available for the algorithm. See Section 9.4 of Higham (2008) for further discussion of the Schur–Parlett algorithm.

8  Parallelism and Performance

nag_matop_real_gen_matrix_fun_usd (f01emc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library. In these implementations, this function may make calls to the user-supplied functions from within an OpenMP parallel region. Thus OpenMP pragmas within the user functions can only be used if you are compiling the user-supplied function and linking the executable in accordance with the instructions in the Users' Note for your implementation. You must also ensure that you use the NAG communication argument comm in a thread safe manner, which is best achieved by only using it to supply read-only data to the user functions.
nag_matop_real_gen_matrix_fun_usd (f01emc) 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 X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

If $A$ has real eigenvalues then up to $6{n}^{2}$ of double allocatable memory may be required. If $A$ has complex eigenvalues then up to $6{n}^{2}$ of Complex allocatable memory may be required.
The cost of the Schur–Parlett algorithm depends on the spectrum of $A$, but is roughly between $28{n}^{3}$ and ${n}^{4}/3$ floating-point operations. There is an additional cost in evaluating $f$ and its derivatives. If the derivatives of $f$ are not known analytically, then nag_matop_real_gen_matrix_fun_num (f01elc) can be used to evaluate $f\left(A\right)$ using numerical differentiation. If $A$ is real symmetric then it is recommended that nag_matop_real_symm_matrix_fun (f01efc) be used as it is more efficient and, in general, more accurate than nag_matop_real_gen_matrix_fun_usd (f01emc).
For any $z$ on the real line, $f\left(z\right)$ must be real. $f$ must also be complex analytic on the spectrum of $A$. These conditions ensure that $f\left(A\right)$ is real for real $A$.
For further information on matrix functions, see Higham (2008).
If estimates of the condition number of the matrix function are required then nag_matop_real_gen_matrix_cond_usd (f01jcc) should be used.
nag_matop_complex_gen_matrix_fun_usd (f01fmc) can be used to find the matrix function $f\left(A\right)$ for a complex matrix $A$.

10  Example

This example finds the ${e}^{2A}$ where
 $A= 1 0 -2 1 -1 2 0 1 2 0 1 0 1 0 -1 2 .$

10.1  Program Text

Program Text (f01emce.c)

10.2  Program Data

Program Data (f01emce.d)

10.3  Program Results

Program Results (f01emce.r)