NAG FL Interface
f11mhf (direct_​real_​gen_​refine)

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1 Purpose

f11mhf 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

Fortran Interface
Subroutine f11mhf ( trans, n, icolzp, irowix, a, iprm, il, lval, iu, uval, nrhs, b, ldb, x, ldx, ferr, berr, ifail)
Integer, Intent (In) :: n, icolzp(*), irowix(*), iprm(7*n), il(*), iu(*), nrhs, ldb, ldx
Integer, Intent (Inout) :: ifail
Real (Kind=nag_wp), Intent (In) :: a(*), lval(*), uval(*), b(ldb,*)
Real (Kind=nag_wp), Intent (Inout) :: x(ldx,*)
Real (Kind=nag_wp), Intent (Out) :: ferr(nrhs), berr(nrhs)
Character (1), Intent (In) :: trans
C Header Interface
#include <nag.h>
void  f11mhf_ (const char *trans, const 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[], const Integer *nrhs, const double b[], const Integer *ldb, double x[], const Integer *ldx, double ferr[], double berr[], Integer *ifail, const Charlen length_trans)
The routine may be called by the names f11mhf or nagf_sparse_direct_real_gen_refine.

3 Description

f11mhf 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 routine handles each right-hand side vector (stored as a column of the matrix B) independently, so we describe the function of f11mhf 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 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 routine 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 routine uses the LU factorization Pr A Pc = LU computed by f11mef and the solution computed by f11mff.

4 References

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

5 Arguments

1: trans Character(1) Input
On entry: specifies whether AX=B or ATX=B is solved.
trans='N'
AX=B is solved.
trans='T'
ATX=B is solved.
Constraint: trans='N' or 'T'.
2: n Integer Input
On entry: n, the order of the matrix A.
Constraint: n0.
3: icolzp(*) Integer array Input
Note: the dimension of the array icolzp must be at least n+1.
On entry: the new column index array of sparse matrix A. See Section 2.1.3 in the F11 Chapter Introduction.
4: irowix(*) Integer array Input
Note: the dimension of the array irowix must be at least icolzp(n+1)-1, the number of nonzeros of the sparse matrix A.
On entry: the row index array of sparse matrix A. See Section 2.1.3 in the F11 Chapter Introduction.
5: a(*) Real (Kind=nag_wp) array Input
Note: the dimension of the array a must be at least icolzp(n+1)-1, the number of nonzeros of the sparse matrix A.
On entry: the array of nonzero values in the sparse matrix A.
6: iprm(7×n) Integer array Input
On entry: the column permutation which defines Pc, the row permutation which defines Pr, plus associated data structures as computed by f11mef.
7: il(*) Integer array Input
Note: the dimension of the array il must be at least as large as the dimension of the array of the same name in f11mef.
On entry: records the sparsity pattern of matrix L as computed by f11mef.
8: lval(*) Real (Kind=nag_wp) array Input
Note: the dimension of the array lval must be at least as large as the dimension of the array of the same name in f11mef.
On entry: records the nonzero values of matrix L and some nonzero values of matrix U as computed by f11mef.
9: iu(*) Integer array Input
Note: the dimension of the array iu must be at least as large as the dimension of the array of the same name in f11mef.
On entry: records the sparsity pattern of matrix U as computed by f11mef.
10: uval(*) Real (Kind=nag_wp) array Input
Note: the dimension of the array uval must be at least as large as the dimension of the array of the same name in f11mef.
On entry: records some nonzero values of matrix U as computed by f11mef.
11: nrhs Integer Input
On entry: nrhs, the number of right-hand sides in B.
Constraint: nrhs0.
12: b(ldb,*) Real (Kind=nag_wp) array Input
Note: the second dimension of the array b must be at least max(1,nrhs).
On entry: the n×nrhs right-hand side matrix B.
13: ldb Integer Input
On entry: the first dimension of the array b as declared in the (sub)program from which f11mhf is called.
Constraint: ldbmax(1,n).
14: x(ldx,*) Real (Kind=nag_wp) array Input/Output
Note: the second dimension of the array x must be at least max(1,nrhs).
On entry: the n×nrhs solution matrix X, as returned by f11mff.
On exit: the n×nrhs improved solution matrix X.
15: ldx Integer Input
On entry: the first dimension of the array x as declared in the (sub)program from which f11mhf is called.
Constraint: ldxmax(1,n).
16: ferr(nrhs) Real (Kind=nag_wp) array Output
On exit: ferr(j) contains an estimated error bound for the jth solution vector, that is, the jth column of X, for j=1,2,,nrhs.
17: berr(nrhs) Real (Kind=nag_wp) array Output
On exit: berr(j) 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.
18: ifail Integer Input/Output
On entry: ifail must be set to 0, -1 or 1 to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of 0 causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of -1 means that an error message is printed while a value of 1 means that it is not.
If halting is not appropriate, the value -1 or 1 is recommended. If message printing is undesirable, then the value 1 is recommended. Otherwise, the value 0 is recommended. When the value -1 or 1 is used it is essential to test the value of ifail on exit.
On exit: ifail=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry ifail=0 or -1, explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
ifail=1
On entry, ldb=value and n=value.
Constraint: ldbmax(1,n).
On entry, ldx=value and n=value.
Constraint: ldxmax(1,n).
On entry, n=value.
Constraint: n0.
On entry, nrhs=value.
Constraint: nrhs0.
On entry, trans=value.
Constraint: trans='N' or 'T'.
ifail=2
Incorrect row permutations in array iprm.
ifail=3
Incorrect column permutations in array iprm.
ifail=-99
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
ifail=-399
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
ifail=-999
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

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

f11mhf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f11mhf 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 routine. Please also 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 f11mef.

10.1 Program Text

Program Text (f11mhfe.f90)

10.2 Program Data

Program Data (f11mhfe.d)

10.3 Program Results

Program Results (f11mhfe.r)