NAG CL Interface
f01fcc (complex_​gen_​matrix_​exp)

1 Purpose

f01fcc computes the matrix exponential, eA, of a complex n by n matrix A.

2 Specification

#include <nag.h>
void  f01fcc (Nag_OrderType order, Integer n, Complex a[], Integer pda, NagError *fail)
The function may be called by the names: f01fcc or nag_matop_complex_gen_matrix_exp.

3 Description

eA is computed using a Padé approximant and the scaling and squaring method described in Al–Mohy and Higham (2009).

4 References

Al–Mohy A H and Higham N J (2009) A new scaling and squaring algorithm for the matrix exponential SIAM J. Matrix Anal. 31(3) 970–989
Higham N J (2005) The scaling and squaring method for the matrix exponential revisited SIAM J. Matrix Anal. Appl. 26(4) 1179–1193
Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA
Moler C B and Van Loan C F (2003) Nineteen dubious ways to compute the exponential of a matrix, twenty-five years later SIAM Rev. 45 3–49

5 Arguments

1: order Nag_OrderType Input
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 order=Nag_RowMajor. See Section 3.1.3 in the Introduction to the NAG Library CL Interface for a more detailed explanation of the use of this argument.
Constraint: order=Nag_RowMajor or Nag_ColMajor.
2: n Integer Input
On entry: n, the order of the matrix A.
Constraint: n0.
3: a[dim] Complex Input/Output
Note: the dimension, dim, of the array a must be at least pda×n.
The i,jth element of the matrix A is stored in
  • a[j-1×pda+i-1] when order=Nag_ColMajor;
  • a[i-1×pda+j-1] when order=Nag_RowMajor.
On entry: the n by n matrix A.
On exit: the n by n matrix exponential eA.
4: pda Integer Input
On entry: the stride separating row or column elements (depending on the value of order) in the array a.
Constraint: pdan.
5: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument value had an illegal value.
On entry, n=value.
Constraint: n0.
On entry, pda=value and n=value.
Constraint: pdan.
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.
See Section 7.5 in the Introduction to the NAG Library CL 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 CL Interface for further information.
The linear equations to be solved are nearly singular and the Padé approximant probably has no correct figures; it is likely that this function has been called incorrectly.
The linear equations to be solved for the Padé approximant are singular; it is likely that this function has been called incorrectly.
eA has been computed using an IEEE double precision Padé approximant, although the arithmetic precision is higher than IEEE double precision.

7 Accuracy

For a normal matrix A (for which AHA=AAH) the computed matrix, eA, is guaranteed to be close to the exact matrix, that is, the method is forward stable. No such guarantee can be given for non-normal matrices. See Al–Mohy and Higham (2009) and Section 10.3 of Higham (2008) for details and further discussion.
If estimates of the condition number of the matrix exponential are required then f01kgc should be used.

8 Parallelism and Performance

f01fcc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f01fcc 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.

9 Further Comments

The Integer allocatable memory required is n, and the Complex allocatable memory required is approximately 6×n2.
The cost of the algorithm is On3; see Section 5 of Al–Mohy and Higham (2009). The complex allocatable memory required is approximately 6×n2.
If the Fréchet derivative of the matrix exponential is required then f01khc should be used.
As well as the excellent book cited above, the classic reference for the computation of the matrix exponential is Moler and Van Loan (2003).

10 Example

This example finds the matrix exponential of the matrix
A = 1+2i 2+2i 2+2i 2+i 3+2i 1 1 2+i 3+2i 2+2i 1 2+i 3+2i 3+2i 3+2i 1+i .  

10.1 Program Text

Program Text (f01fcce.c)

10.2 Program Data

Program Data (f01fcce.d)

10.3 Program Results

Program Results (f01fcce.r)