The routine may be called by the names c05qcf or nagf_roots_sys_func_expert.
The system of equations is defined as:
c05qcf is based on the MINPACK routine HYBRD (see Moré et al. (1980)). It chooses the correction at each step as a convex combination of the Newton and scaled gradient directions. The Jacobian is updated by the rank-1 method of Broyden. At the starting point, the Jacobian is approximated by forward differences, but these are not used again until the rank-1 method fails to produce satisfactory progress. For more details see Powell (1970).
Moré J J, Garbow B S and Hillstrom K E (1980) User guide for MINPACK-1 Technical Report ANL-80-74 Argonne National Laboratory
Powell M J D (1970) A hybrid method for nonlinear algebraic equations Numerical Methods for Nonlinear Algebraic Equations (ed P Rabinowitz) Gordon and Breach
1: – Subroutine, supplied by the user.External Procedure
fcn must return the values of the functions at a point , unless on entry to fcn.
On exit: in general, iflag should not be reset by fcn. If, however, you wish to terminate execution (perhaps because some illegal point x has been reached), iflag should be set to a negative integer.
fcn must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which c05qcf is called. Arguments denoted as Input must not be changed by this procedure.
Note:fcn should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by c05qcf. If your code inadvertently does return any NaNs or infinities, c05qcf is likely to produce unexpected results.
2: – IntegerInput
On entry: , the number of equations.
3: – Real (Kind=nag_wp) arrayInput/Output
On entry: an initial guess at the solution vector.
On exit: the final estimate of the solution vector.
4: – Real (Kind=nag_wp) arrayOutput
On exit: the function values at the final point returned in x.
5: – Real (Kind=nag_wp)Input
On entry: the accuracy in x to which the solution is required.
, where is the machine precision returned by x02ajf.
6: – IntegerInput
On entry: the maximum number of calls to fcn with . c05qcf will exit with , if, at the end of an iteration, the number of calls to fcn exceeds maxfev.
7: – IntegerInput
On entry: the number of subdiagonals within the band of the Jacobian matrix. (If the Jacobian is not banded, or you are unsure, set .)
8: – IntegerInput
On entry: the number of superdiagonals within the band of the Jacobian matrix. (If the Jacobian is not banded, or you are unsure, set .)
9: – Real (Kind=nag_wp)Input
On entry: a rough estimate of the largest relative error in the functions. It is used in determining a suitable step for a forward difference approximation to the Jacobian. If epsfcn is less than machine precision (returned by x02ajf) then machine precision is used. Consequently a value of will often be suitable.
10: – IntegerInput
On entry: indicates whether or not you have provided scaling factors in diag.
If , the scaling must have been specified in diag.
Otherwise, if , the variables will be scaled internally.
11: – Real (Kind=nag_wp) arrayInput/Output
On entry: if , diag must contain multiplicative scale factors for the variables.
On exit: the orthogonal matrix produced by the factorization of the final approximate Jacobian.
16: – Real (Kind=nag_wp) arrayOutput
On exit: the upper triangular matrix produced by the factorization of the final approximate Jacobian, stored row-wise.
17: – Real (Kind=nag_wp) arrayOutput
On exit: the vector .
18: – Integer arrayUser Workspace
19: – Real (Kind=nag_wp) arrayUser Workspace
iuser and ruser are not used by c05qcf, but are passed directly to fcn and may be used to pass information to this routine.
20: – IntegerInput/Output
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
There have been at least maxfev calls to fcn: . Consider restarting the calculation from the final point held in x.
No further improvement in the solution is possible. xtol is too small: .
The iteration is not making good progress, as measured by the improvement from the last Jacobian evaluations.
The iteration is not making good progress, as measured by the improvement from the last iterations.
A value of or may indicate that the system does not have a zero, or that the solution is very close to the origin (see Section 7). Otherwise, rerunning c05qcf from a different starting point may avoid the region of difficulty.
On entry, and diag contained a non-positive element.
On entry, .
On entry, .
On entry, .
An unexpected error has been triggered by this routine. Please
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
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.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
If is the true solution and denotes the diagonal matrix whose entries are defined by the array diag, then c05qcf tries to ensure that
If this condition is satisfied with , then the larger components of have significant decimal digits. There is a danger that the smaller components of may have large relative errors, but the fast rate of convergence of c05qcf usually obviates this possibility.
If xtol is less than machine precision and the above test is satisfied with the machine precision in place of xtol, then the routine exits with .
Note: this convergence test is based purely on relative error, and may not indicate convergence if the solution is very close to the origin.
The convergence test assumes that the functions are reasonably well behaved. If this condition is not satisfied, then c05qcf may incorrectly indicate convergence. The validity of the answer can be checked, for example, by rerunning c05qcf with a lower value for xtol.
8Parallelism and Performance
c05qcf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
c05qcf 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.
Local workspace arrays of fixed lengths are allocated internally by c05qcf. The total size of these arrays amounts to real elements.
The time required by c05qcf to solve a given problem depends on , the behaviour of the functions, the accuracy requested and the starting point. The number of arithmetic operations executed by c05qcf to process each evaluation of the functions is approximately . The timing of c05qcf is strongly influenced by the time spent evaluating the functions.
Ideally the problem should be scaled so that, at the solution, the function values are of comparable magnitude.
The number of function evaluations required to evaluate the Jacobian may be reduced if you can specify ml and mu accurately.
This example determines the values which satisfy the tridiagonal equations: