The routine may be called by the names f07faf, nagf_lapacklin_dposv or its LAPACK name dposv.
f07faf uses the Cholesky decomposition to factor as if or if , where is an upper triangular matrix and is a lower triangular matrix. The factored form of is then used to solve the system of equations .
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 https://www.netlib.org/lapack/lug
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore
1: – Character(1)Input
On entry: if , the upper triangle of is stored.
If , the lower triangle of is stored.
2: – IntegerInput
On entry: , the number of linear equations, i.e., the order of the matrix .
3: – IntegerInput
On entry: , the number of right-hand sides, i.e., the number of columns of the matrix .
4: – Real (Kind=nag_wp) arrayInput/Output
Note: the second dimension of the array a
must be at least
On entry: the symmetric matrix .
If , the upper triangular part of must be stored and the elements of the array below the diagonal are not referenced.
If , the lower triangular part of must be stored and the elements of the array above the diagonal are not referenced.
On exit: if , the factor or from the Cholesky factorization or .
5: – IntegerInput
On entry: the first dimension of the array a as declared in the (sub)program from which f07faf is called.
6: – Real (Kind=nag_wp) arrayInput/Output
Note: the second dimension of the array b
must be at least
On entry: the right-hand side matrix .
On exit: if , the solution matrix .
7: – IntegerInput
On entry: the first dimension of the array b as declared in the (sub)program from which f07faf is called.
8: – IntegerOutput
On exit: unless the routine detects an error (see Section 6).
6Error Indicators and Warnings
If , argument had an illegal value. An explanatory message is output, and execution of the program is terminated.
The leading minor of order of is not positive definite, so the factorization could not be completed, and the solution has not been computed.
The computed solution for a single right-hand side, , satisfies an equation of the form
and is the machine precision. An approximate error bound for the computed solution is given by
where , the condition number of with respect to the solution of the linear equations. See Section 4.4 of Anderson et al. (1999) for further details.
f07fbf is a comprehensive LAPACK driver that returns forward and backward error bounds and an estimate of the condition number. Alternatively, f04bdf solves and returns a forward error bound and condition estimate. f04bdf calls f07faf to solve the equations.
8Parallelism and Performance
f07faf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f07faf 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.
The total number of floating-point operations is approximately , where is the number of right-hand sides.