F07FHF (DPORFS) (PDF version)
F07 Chapter Contents
F07 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

F07FHF (DPORFS)

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

F07FHF (DPORFS) returns error bounds for the solution of a real symmetric positive definite system of linear equations with multiple right-hand sides, AX=B. It improves the solution by iterative refinement, in order to reduce the backward error as much as possible.

2  Specification

SUBROUTINE F07FHF ( UPLO, N, NRHS, A, LDA, AF, LDAF, B, LDB, X, LDX, FERR, BERR, WORK, IWORK, INFO)
INTEGER  N, NRHS, LDA, LDAF, LDB, LDX, IWORK(N), INFO
REAL (KIND=nag_wp)  A(LDA,*), AF(LDAF,*), B(LDB,*), X(LDX,*), FERR(NRHS), BERR(NRHS), WORK(3*N)
CHARACTER(1)  UPLO
The routine may be called by its LAPACK name dporfs.

3  Description

F07FHF (DPORFS) returns the backward errors and estimated bounds on the forward errors for the solution of a real symmetric positive definite system of linear equations with multiple right-hand sides AX=B. The routine handles each right-hand side vector (stored as a column of the matrix B) independently, so we describe the function of F07FHF (DPORFS) in terms of a single right-hand side b and solution x.
Given a computed solution x, the routine 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 x is the exact solution of a perturbed system
A+δAx=b+δb δaijβaij   and   δbiβbi .
Then the routine estimates a bound for the component-wise forward error in the computed solution, defined by:
maxixi-x^i/maxixi
where x^ is the true solution.
For details of the method, see the F07 Chapter Introduction.

4  References

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

5  Parameters

1:     UPLO – CHARACTER(1)Input
On entry: specifies whether the upper or lower triangular part of A is stored and how A is to be factorized.
UPLO='U'
The upper triangular part of A is stored and A is factorized as UTU, where U is upper triangular.
UPLO='L'
The lower triangular part of A is stored and A is factorized as LLT, where L is lower triangular.
Constraint: UPLO='U' or 'L'.
2:     N – INTEGERInput
On entry: n, the order of the matrix A.
Constraint: N0.
3:     NRHS – INTEGERInput
On entry: r, the number of right-hand sides.
Constraint: NRHS0.
4:     A(LDA,*) – REAL (KIND=nag_wp) arrayInput
Note: the second dimension of the array A must be at least max1,N.
On entry: the n by n original symmetric positive definite matrix A as supplied to F07FDF (DPOTRF).
5:     LDA – INTEGERInput
On entry: the first dimension of the array A as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint: LDAmax1,N.
6:     AF(LDAF,*) – REAL (KIND=nag_wp) arrayInput
Note: the second dimension of the array AF must be at least max1,N.
On entry: the Cholesky factor of A, as returned by F07FDF (DPOTRF).
7:     LDAF – INTEGERInput
On entry: the first dimension of the array AF as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint: LDAFmax1,N.
8:     B(LDB,*) – REAL (KIND=nag_wp) arrayInput
Note: the second dimension of the array B must be at least max1,NRHS.
On entry: the n by r right-hand side matrix B.
9:     LDB – INTEGERInput
On entry: the first dimension of the array B as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint: LDBmax1,N.
10:   X(LDX,*) – REAL (KIND=nag_wp) arrayInput/Output
Note: the second dimension of the array X must be at least max1,NRHS.
On entry: the n by r solution matrix X, as returned by F07FEF (DPOTRS).
On exit: the improved solution matrix X.
11:   LDX – INTEGERInput
On entry: the first dimension of the array X as declared in the (sub)program from which F07FHF (DPORFS) is called.
Constraint: LDXmax1,N.
12:   FERR(NRHS) – REAL (KIND=nag_wp) arrayOutput
On exit: FERRj contains an estimated error bound for the jth solution vector, that is, the jth column of X, for j=1,2,,r.
13:   BERR(NRHS) – REAL (KIND=nag_wp) arrayOutput
On exit: BERRj contains the component-wise backward error bound β for the jth solution vector, that is, the jth column of X, for j=1,2,,r.
14:   WORK(3×N) – REAL (KIND=nag_wp) arrayWorkspace
15:   IWORK(N) – INTEGER arrayWorkspace
16:   INFO – INTEGEROutput
On exit: INFO=0 unless the routine detects an error (see Section 6).

6  Error Indicators and Warnings

Errors or warnings detected by the routine:
INFO<0
If INFO=-i, the ith parameter had an illegal value. An explanatory message is output, and execution of the program is terminated.

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  Further Comments

For each right-hand side, computation of the backward error involves a minimum of 4n2 floating point operations. Each step of iterative refinement involves an additional 6n2 operations. 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; the number is usually 4 or 5 and never more than 11. Each solution involves approximately 2n2 operations.
The complex analogue of this routine is F07FVF (ZPORFS).

9  Example

This example solves the system of equations AX=B using iterative refinement and to compute the forward and backward error bounds, where
A= 4.16 -3.12 0.56 -0.10 -3.12 5.03 -0.83 1.18 0.56 -0.83 0.76 0.34 -0.10 1.18 0.34 1.18   and   B= 8.70 8.30 -13.35 2.13 1.89 1.61 -4.14 5.00 .
Here A is symmetric positive definite and must first be factorized by F07FDF (DPOTRF).

9.1  Program Text

Program Text (f07fhfe.f90)

9.2  Program Data

Program Data (f07fhfe.d)

9.3  Program Results

Program Results (f07fhfe.r)


F07FHF (DPORFS) (PDF version)
F07 Chapter Contents
F07 Chapter Introduction
NAG Library Manual

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