NAG FL Interface
f08npf (zgeevx)

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1 Purpose

f08npf computes the eigenvalues and, optionally, the left and/or right eigenvectors for an n×n complex nonsymmetric matrix A.
Optionally, it also computes a balancing transformation to improve the conditioning of the eigenvalues and eigenvectors, reciprocal condition numbers for the eigenvalues, and reciprocal condition numbers for the right eigenvectors.

2 Specification

Fortran Interface
Subroutine f08npf ( balanc, jobvl, jobvr, sense, n, a, lda, w, vl, ldvl, vr, ldvr, ilo, ihi, scale, abnrm, rconde, rcondv, work, lwork, rwork, info)
Integer, Intent (In) :: n, lda, ldvl, ldvr, lwork
Integer, Intent (Out) :: ilo, ihi, info
Real (Kind=nag_wp), Intent (Inout) :: scale(*), rconde(*), rcondv(*), rwork(*)
Real (Kind=nag_wp), Intent (Out) :: abnrm
Complex (Kind=nag_wp), Intent (Inout) :: a(lda,*), w(*), vl(ldvl,*), vr(ldvr,*)
Complex (Kind=nag_wp), Intent (Out) :: work(max(1,lwork))
Character (1), Intent (In) :: balanc, jobvl, jobvr, sense
C Header Interface
#include <nag.h>
void  f08npf_ (const char *balanc, const char *jobvl, const char *jobvr, const char *sense, const Integer *n, Complex a[], const Integer *lda, Complex w[], Complex vl[], const Integer *ldvl, Complex vr[], const Integer *ldvr, Integer *ilo, Integer *ihi, double scal[], double *abnrm, double rconde[], double rcondv[], Complex work[], const Integer *lwork, double rwork[], Integer *info, const Charlen length_balanc, const Charlen length_jobvl, const Charlen length_jobvr, const Charlen length_sense)
The routine may be called by the names f08npf, nagf_lapackeig_zgeevx or its LAPACK name zgeevx.

3 Description

The right eigenvector vj of A satisfies
A vj = λj vj  
where λj is the jth eigenvalue of A. The left eigenvector uj of A satisfies
ujH A = λj ujH  
where ujH denotes the conjugate transpose of uj.
Balancing a matrix means permuting the rows and columns to make it more nearly upper triangular, and applying a diagonal similarity transformation DAD-1, where D is a diagonal matrix, with the aim of making its rows and columns closer in norm and the condition numbers of its eigenvalues and eigenvectors smaller. The computed reciprocal condition numbers correspond to the balanced matrix. Permuting rows and columns will not change the condition numbers (in exact arithmetic) but diagonal scaling will. For further explanation of balancing, see Section 4.8.1.2 of Anderson et al. (1999).
Following the optional balancing, the matrix A is first reduced to upper Hessenberg form by means of unitary similarity transformations, and the QR algorithm is then used to further reduce the matrix to upper triangular Schur form, T, from which the eigenvalues are computed. Optionally, the eigenvectors of T are also computed and backtransformed to those of A.

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

5 Arguments

1: balanc Character(1) Input
On entry: indicates how the input matrix should be diagonally scaled and/or permuted to improve the conditioning of its eigenvalues.
balanc='N'
Do not diagonally scale or permute.
balanc='P'
Perform permutations to make the matrix more nearly upper triangular. Do not diagonally scale.
balanc='S'
Diagonally scale the matrix, i.e., replace A×DAD-1, where D is a diagonal matrix chosen to make the rows and columns of A more equal in norm. Do not permute.
balanc='B'
Both diagonally scale and permute A.
Computed reciprocal condition numbers will be for the matrix after balancing and/or permuting. Permuting does not change condition numbers (in exact arithmetic), but balancing does.
Constraint: balanc='N', 'P', 'S' or 'B'.
2: jobvl Character(1) Input
On entry: if jobvl='N', the left eigenvectors of A are not computed.
If jobvl='V', the left eigenvectors of A are computed.
If sense='E' or 'B', jobvl must be set to jobvl='V'.
Constraint: jobvl='N' or 'V'.
3: jobvr Character(1) Input
On entry: if jobvr='N', the right eigenvectors of A are not computed.
If jobvr='V', the right eigenvectors of A are computed.
If sense='E' or 'B', jobvr must be set to jobvr='V'.
Constraint: jobvr='N' or 'V'.
4: sense Character(1) Input
On entry: determines which reciprocal condition numbers are computed.
sense='N'
None are computed.
sense='E'
Computed for eigenvalues only.
sense='V'
Computed for right eigenvectors only.
sense='B'
Computed for eigenvalues and right eigenvectors.
If sense='E' or 'B', both left and right eigenvectors must also be computed (jobvl='V' and jobvr='V').
Constraint: sense='N', 'E', 'V' or 'B'.
5: n Integer Input
On entry: n, the order of the matrix A.
Constraint: n0.
6: a(lda,*) Complex (Kind=nag_wp) array Input/Output
Note: the second dimension of the array a must be at least max(1,n).
On entry: the n×n matrix A.
On exit: a has been overwritten. If jobvl='V' or jobvr='V', A contains the Schur form of the balanced version of the matrix A.
7: lda Integer Input
On entry: the first dimension of the array a as declared in the (sub)program from which f08npf is called.
Constraint: ldamax(1,n).
8: w(*) Complex (Kind=nag_wp) array Output
Note: the dimension of the array w must be at least max(1,n).
On exit: contains the computed eigenvalues.
9: vl(ldvl,*) Complex (Kind=nag_wp) array Output
Note: the second dimension of the array vl must be at least max(1,n) if jobvl='V', and at least 1 otherwise.
On exit: if jobvl='V', the left eigenvectors uj are stored one after another in the columns of vl, in the same order as their corresponding eigenvalues; that is uj=vl(:,j), the jth column of vl.
If jobvl='N', vl is not referenced.
10: ldvl Integer Input
On entry: the first dimension of the array vl as declared in the (sub)program from which f08npf is called.
Constraints:
  • if jobvl='V', ldvl max(1,n) ;
  • otherwise ldvl1.
11: vr(ldvr,*) Complex (Kind=nag_wp) array Output
Note: the second dimension of the array vr must be at least max(1,n) if jobvr='V', and at least 1 otherwise.
On exit: if jobvr='V', the right eigenvectors vj are stored one after another in the columns of vr, in the same order as their corresponding eigenvalues; that is vj=vr(:,j), the jth column of vr.
If jobvr='N', vr is not referenced.
12: ldvr Integer Input
On entry: the first dimension of the array vr as declared in the (sub)program from which f08npf is called.
Constraints:
  • if jobvr='V', ldvr max(1,n) ;
  • otherwise ldvr1.
13: ilo Integer Output
14: ihi Integer Output
On exit: ilo and ihi are integer values determined when A was balanced. The balanced A has aij=0 if i>j and j=1,2,,ilo-1 or i=ihi+1,,n.
15: scale(*) Real (Kind=nag_wp) array Output
Note: the dimension of the array scale must be at least max(1,n).
On exit: details of the permutations and scaling factors applied when balancing A.
If pj is the index of the row and column interchanged with row and column j, and dj is the scaling factor applied to row and column j, then
  • scale(j)=pj, for j=1,2,,ilo-1;
  • scale(j)=dj, for j=ilo,,ihi;
  • scale(j)=pj, for j=ihi+1,,n.
The order in which the interchanges are made is n to ihi+1, then 1 to ilo-1.
16: abnrm Real (Kind=nag_wp) Output
On exit: the 1-norm of the balanced matrix (the maximum of the sum of absolute values of elements of any column).
17: rconde(*) Real (Kind=nag_wp) array Output
Note: the dimension of the array rconde must be at least max(1,n).
On exit: rconde(j) is the reciprocal condition number of the jth eigenvalue.
18: rcondv(*) Real (Kind=nag_wp) array Output
Note: the dimension of the array rcondv must be at least max(1,n).
On exit: rcondv(j) is the reciprocal condition number of the jth right eigenvector.
19: work(max(1,lwork)) Complex (Kind=nag_wp) array Workspace
On exit: if info=0, the real part of work(1) contains the minimum value of lwork required for optimal performance.
20: lwork Integer Input
On entry: the dimension of the array work as declared in the (sub)program from which f08npf is called.
If lwork=−1, a workspace query is assumed; the routine only calculates the optimal size of the work array, returns this value as the first entry of the work array, and no error message related to lwork is issued.
Suggested value: for optimal performance, lwork must generally be larger than the minimum, increase lwork by, say, n×nb , where nb is the optimal block size for f08nef.
Constraints:
if lwork−1,
  • if sense='N' or 'E', lworkmax(1,2×n);
  • if sense='V' or 'B', lworkmax(1,n×n+2×n).
21: rwork(*) Real (Kind=nag_wp) array Workspace
Note: the dimension of the array rwork must be at least max(1,2×n).
22: info Integer Output
On exit: info=0 unless the routine detects an error (see Section 6).

6 Error Indicators and Warnings

info<0
If info=-i, argument i had an illegal value. An explanatory message is output, and execution of the program is terminated.
info>0
The QR algorithm failed to compute all the eigenvalues, and no eigenvectors or condition numbers have been computed; elements 1 to ilo-1 and value to n of w contain eigenvalues which have converged.

7 Accuracy

The computed eigenvalues and eigenvectors are exact for a nearby matrix (A+E), where
E2 = O(ε) A2 ,  
and ε is the machine precision. See Section 4.8 of Anderson et al. (1999) for further details.

8 Parallelism and Performance

f08npf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f08npf 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

Each eigenvector is normalized to have Euclidean norm equal to unity and the element of largest absolute value real.
The total number of floating-point operations is proportional to n3.
The real analogue of this routine is f08nbf.

10 Example

This example finds all the eigenvalues and right eigenvectors of the matrix
A = ( -3.97-5.04i -4.11+3.70i -0.34+1.01i 1.29-0.86i 0.34-1.50i 1.52-0.43i 1.88-5.38i 3.36+0.65i 3.31-3.85i 2.50+3.45i 0.88-1.08i 0.64-1.48i -1.10+0.82i 1.81-1.59i 3.25+1.33i 1.57-3.44i ) ,  
together with estimates of the condition number and forward error bounds for each eigenvalue and eigenvector. The option to balance the matrix is used. In order to compute the condition numbers of the eigenvalues, the left eigenvectors also have to be computed, but they are not printed out in this example.
Note that the block size (NB) of 64 assumed in this example is not realistic for such a small problem, but should be suitable for large problems.

10.1 Program Text

Program Text (f08npfe.f90)

10.2 Program Data

Program Data (f08npfe.d)

10.3 Program Results

Program Results (f08npfe.r)