NAG FL Interface
f04bbf (real_band_solve)
1
Purpose
f04bbf computes the solution to a real system of linear equations $AX=B$, where $A$ is an $n$ by $n$ band matrix, with ${k}_{l}$ subdiagonals and ${k}_{u}$ superdiagonals, and $X$ and $B$ are $n$ by $r$ matrices. An estimate of the condition number of $A$ and an error bound for the computed solution are also returned.
2
Specification
Fortran Interface
Subroutine f04bbf ( 
n, kl, ku, nrhs, ab, ldab, ipiv, b, ldb, rcond, errbnd, ifail) 
Integer, Intent (In) 
:: 
n, kl, ku, nrhs, ldab, ldb 
Integer, Intent (Inout) 
:: 
ifail 
Integer, Intent (Out) 
:: 
ipiv(n) 
Real (Kind=nag_wp), Intent (Inout) 
:: 
ab(ldab,*), b(ldb,*) 
Real (Kind=nag_wp), Intent (Out) 
:: 
rcond, errbnd 

C Header Interface
#include <nag.h>
void 
f04bbf_ (const Integer *n, const Integer *kl, const Integer *ku, const Integer *nrhs, double ab[], const Integer *ldab, Integer ipiv[], double b[], const Integer *ldb, double *rcond, double *errbnd, Integer *ifail) 

C++ Header Interface
#include <nag.h> extern "C" {
void 
f04bbf_ (const Integer &n, const Integer &kl, const Integer &ku, const Integer &nrhs, double ab[], const Integer &ldab, Integer ipiv[], double b[], const Integer &ldb, double &rcond, double &errbnd, Integer &ifail) 
}

The routine may be called by the names f04bbf or nagf_linsys_real_band_solve.
3
Description
The $LU$ decomposition with partial pivoting and row interchanges is used to factor $A$ as $A=PLU$, where $P$ is a permutation matrix, $L$ is the product of permutation matrices and unit lower triangular matrices with ${k}_{l}$ subdiagonals, and $U$ is upper triangular with $\left({k}_{l}+{k}_{u}\right)$ superdiagonals. The factored form of $A$ is then used to solve the system of equations $AX=B$.
4
References
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
Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia
5
Arguments

1:
$\mathbf{n}$ – Integer
Input

On entry: the number of linear equations $n$, i.e., the order of the matrix $A$.
Constraint:
${\mathbf{n}}\ge 0$.

2:
$\mathbf{kl}$ – Integer
Input

On entry: the number of subdiagonals ${k}_{l}$, within the band of $A$.
Constraint:
${\mathbf{kl}}\ge 0$.

3:
$\mathbf{ku}$ – Integer
Input

On entry: the number of superdiagonals ${k}_{u}$, within the band of $A$.
Constraint:
${\mathbf{ku}}\ge 0$.

4:
$\mathbf{nrhs}$ – Integer
Input

On entry: the number of righthand sides $r$, i.e., the number of columns of the matrix $B$.
Constraint:
${\mathbf{nrhs}}\ge 0$.

5:
$\mathbf{ab}\left({\mathbf{ldab}},*\right)$ – Real (Kind=nag_wp) array
Input/Output

Note: the second dimension of the array
ab
must be at least
$\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$.
On entry: the
$n$ by
$n$ matrix
$A$.
The matrix is stored in rows
${k}_{l}+1$ to
$2{k}_{l}+{k}_{u}+1$; the first
${k}_{l}$ rows need not be set, more precisely, the element
${A}_{ij}$ must be stored in
See
Section 9 for further details.
On exit: if
${\mathbf{ifail}}\ge {\mathbf{0}}$,
ab is overwritten by details of the factorization.
The upper triangular band matrix $U$, with ${k}_{l}+{k}_{u}$ superdiagonals, is stored in rows $1$ to ${k}_{l}+{k}_{u}+1$ of the array, and the multipliers used to form the matrix $L$ are stored in rows ${k}_{l}+{k}_{u}+2$ to $2{k}_{l}+{k}_{u}+1$.

6:
$\mathbf{ldab}$ – Integer
Input

On entry: the first dimension of the array
ab as declared in the (sub)program from which
f04bbf is called.
Constraint:
${\mathbf{ldab}}\ge 2\times {\mathbf{kl}}+{\mathbf{ku}}+1$.

7:
$\mathbf{ipiv}\left({\mathbf{n}}\right)$ – Integer array
Output

On exit: if ${\mathbf{ifail}}\ge {\mathbf{0}}$, the pivot indices that define the permutation matrix $P$; at the $i$th step row $i$ of the matrix was interchanged with row ${\mathbf{ipiv}}\left(i\right)$. ${\mathbf{ipiv}}\left(i\right)=i$ indicates a row interchange was not required.

8:
$\mathbf{b}\left({\mathbf{ldb}},*\right)$ – Real (Kind=nag_wp) array
Input/Output

Note: the second dimension of the array
b
must be at least
$\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{nrhs}}\right)$.
On entry: the $n$ by $r$ matrix of righthand sides $B$.
On exit: if ${\mathbf{ifail}}={\mathbf{0}}$ or ${\mathbf{n}+{\mathbf{1}}}$, the $n$ by $r$ solution matrix $X$.

9:
$\mathbf{ldb}$ – Integer
Input

On entry: the first dimension of the array
b as declared in the (sub)program from which
f04bbf is called.
Constraint:
${\mathbf{ldb}}\ge \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$.

10:
$\mathbf{rcond}$ – Real (Kind=nag_wp)
Output

On exit: if no constraints are violated, an estimate of the reciprocal of the condition number of the matrix $A$, computed as ${\mathbf{rcond}}=1/\left({\Vert A\Vert}_{1}{\Vert {A}^{1}\Vert}_{1}\right)$.

11:
$\mathbf{errbnd}$ – Real (Kind=nag_wp)
Output

On exit: if
${\mathbf{ifail}}={\mathbf{0}}$ or
${\mathbf{n}+{\mathbf{1}}}$, an estimate of the forward error bound for a computed solution
$\hat{x}$, such that
${\Vert \hat{x}x\Vert}_{1}/{\Vert x\Vert}_{1}\le {\mathbf{errbnd}}$, where
$\hat{x}$ is a column of the computed solution returned in the array
b and
$x$ is the corresponding column of the exact solution
$X$. If
rcond is less than
machine precision,
errbnd is returned as unity.

12:
$\mathbf{ifail}$ – 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 $\mathbf{1}$ or $\mathbf{1}$ is used it is essential to test the value of ifail on exit.
On exit:
${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6
Error Indicators and Warnings
If on entry
${\mathbf{ifail}}=0$ or
$1$, explanatory error messages are output on the current error message unit (as defined by
x04aaf).
Errors or warnings detected by the routine:
 ${\mathbf{ifail}}>0\hspace{0.17em}\text{and}\hspace{0.17em}{\mathbf{ifail}}\le {\mathbf{n}}$

Diagonal element $\u2329\mathit{\text{value}}\u232a$ of the upper triangular factor is zero. The factorization has been completed, but the solution could not be computed.
 ${\mathbf{ifail}}={\mathbf{n}}+1$

A solution has been computed, but
rcond is less than
machine precision so that the matrix
$A$ is numerically singular.
 ${\mathbf{ifail}}=1$

On entry, ${\mathbf{n}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{n}}\ge 0$.
 ${\mathbf{ifail}}=2$

On entry, ${\mathbf{kl}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{kl}}\ge 0$.
 ${\mathbf{ifail}}=3$

On entry, ${\mathbf{ku}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{ku}}\ge 0$.
 ${\mathbf{ifail}}=4$

On entry, ${\mathbf{nrhs}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{nrhs}}\ge 0$.
 ${\mathbf{ifail}}=6$

On entry, ${\mathbf{ldab}}=\u2329\mathit{\text{value}}\u232a$, ${\mathbf{kl}}=\u2329\mathit{\text{value}}\u232a$ and ${\mathbf{ku}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{ldab}}\ge 2\times {\mathbf{kl}}+{\mathbf{ku}}+1$.
 ${\mathbf{ifail}}=9$

On entry, ${\mathbf{ldb}}=\u2329\mathit{\text{value}}\u232a$ and ${\mathbf{n}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{ldb}}\ge \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}\right)$.
 ${\mathbf{ifail}}=99$
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.
 ${\mathbf{ifail}}=399$
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.
 ${\mathbf{ifail}}=999$
Dynamic memory allocation failed.
The integer allocatable memory required is
n, and the real allocatable memory required is
$3\times {\mathbf{n}}$. In this case the factorization and the solution
$X$ have been computed, but
rcond and
errbnd have not been computed.
See
Section 9 in the Introduction to the NAG Library FL Interface for further information.
7
Accuracy
The computed solution for a single righthand side,
$\hat{x}$, satisfies an equation of the form
where
and
$\epsilon $ is the
machine precision. An approximate error bound for the computed solution is given by
where
$\kappa \left(A\right)={\Vert {A}^{1}\Vert}_{1}{\Vert A\Vert}_{1}$, the condition number of
$A$ with respect to the solution of the linear equations.
f04bbf uses the approximation
${\Vert E\Vert}_{1}=\epsilon {\Vert A\Vert}_{1}$ to estimate
errbnd. See Section 4.4 of
Anderson et al. (1999)
for further details.
8
Parallelism and Performance
f04bbf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f04bbf 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 implementationspecific information.
The band storage scheme for the array
ab is illustrated by the following example, when
$n=6$,
${k}_{l}=1$, and
${k}_{u}=2$.
Storage of the band matrix
$A$ in the array
ab:
Array elements marked $*$ need not be set and are not referenced by the routine. Array elements marked + need not be set, but are defined on exit from the routine and contain the elements
${u}_{14}$,
${u}_{25}$ and
${u}_{36}$.
The total number of floatingpoint operations required to solve the equations $AX=B$ depends upon the pivoting required, but if $n\gg {k}_{l}+{k}_{u}$ then it is approximately bounded by $\mathit{O}\left(n{k}_{l}\left({k}_{l}+{k}_{u}\right)\right)$ for the factorization and $\mathit{O}\left(n\left(2{k}_{l}+{k}_{u}\right)r\right)$ for the solution following the factorization. The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization.
In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of
Higham (2002) for further details.
The complex analogue of
f04bbf is
f04cbf.
10
Example
This example solves the equations
where
$A$ is the band matrix
An estimate of the condition number of $A$ and an approximate error bound for the computed solutions are also printed.
10.1
Program Text
10.2
Program Data
10.3
Program Results