The routine may be called by the names c05rcf or nagf_roots_sys_deriv_expert.
The system of equations is defined as:
c05rcf is based on the MINPACK routine HYBRJ (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 requested, but it is not asked for 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
Depending upon the value of iflag, fcn must either return the values of the functions at a point or return the Jacobian at .
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 value.
fcn must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which c05rcf 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 c05rcf. If your code inadvertently does return any NaNs or infinities, c05rcf 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) arrayOutput
On exit: the orthogonal matrix produced by the factorization of the final approximate Jacobian.
6: – 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.
7: – IntegerInput
On entry: the maximum number of calls to fcn with . c05rcf will exit with , if, at the end of an iteration, the number of calls to fcn exceeds maxfev.
8: – 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.
9: – Real (Kind=nag_wp) arrayInput/Output
On entry: if , diag must contain multiplicative scale factors for the variables.
On exit: the scale factors actually used (computed internally if ).
10: – Real (Kind=nag_wp)Input
On entry: a quantity to be used in determining the initial step bound. In most cases, factor should lie between and . (The step bound is if this is nonzero; otherwise the bound is factor.)
11: – IntegerInput
On entry: indicates whether (and how often) special calls to fcn, with iflag set to , are to be made for printing purposes.
No calls are made.
fcn is called at the beginning of the first iteration, every nprint iterations thereafter and immediately before the return from c05rcf.
12: – IntegerOutput
On exit: the number of calls made to fcn to evaluate the functions.
13: – IntegerOutput
On exit: the number of calls made to fcn to evaluate the Jacobian.
14: – Real (Kind=nag_wp) arrayOutput
On exit: the upper triangular matrix produced by the factorization of the final approximate Jacobian, stored row-wise.
15: – Real (Kind=nag_wp) arrayOutput
On exit: the vector .
16: – Integer arrayUser Workspace
17: – Real (Kind=nag_wp) arrayUser Workspace
iuser and ruser are not used by c05rcf, but are passed directly to fcn and may be used to pass information to this routine.
18: – 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. This failure exit 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 c05rcf from a different starting point may avoid the region of difficulty.
The iteration is not making good progress, as measured by the improvement from the last iterations. This failure exit 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 c05rcf from a different starting point may avoid the region of difficulty.
On entry, and diag contained a non-positive element.
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 c05rcf 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 c05rcf 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 and the Jacobian are coded consistently and that the functions are reasonably well behaved. If these conditions are not satisfied, then c05rcf may incorrectly indicate convergence. The coding of the Jacobian can be checked using c05zdf. If the Jacobian is coded correctly, then the validity of the answer can be checked by rerunning c05rcf with a lower value for xtol.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
c05rcf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
c05rcf 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 c05rcf. The total size of these arrays amounts to real elements.
The time required by c05rcf 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 c05rcf is approximately to process each evaluation of the functions and approximately to process each evaluation of the Jacobian. The timing of c05rcf 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.
This example determines the values which satisfy the tridiagonal equations: