The function may be called by the names: f08tcc, nag_lapackeig_dspgvd or nag_dspgvd.
f08tcc first performs a Cholesky factorization of the matrix as , when or , when . The generalized problem is then reduced to a standard symmetric eigenvalue problem
which is solved for the eigenvalues and, optionally, the eigenvectors; the eigenvectors are then backtransformed to give the eigenvectors of the original problem.
For the problem , the eigenvectors are normalized so that the matrix of eigenvectors, , satisfies
where is the diagonal matrix whose diagonal elements are the eigenvalues. For the problem we correspondingly have
and for we have
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: – Nag_OrderTypeInput
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 . 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.
2: – IntegerInput
On entry: specifies the problem type to be solved.
, or .
3: – Nag_JobTypeInput
On entry: indicates whether eigenvectors are computed.
Only eigenvalues are computed.
Eigenvalues and eigenvectors are computed.
4: – Nag_UploTypeInput
On entry: if , the upper triangles of and are stored.
If , the lower triangles of and are stored.
5: – IntegerInput
On entry: , the order of the matrices and .
6: – doubleInput/Output
Note: the dimension, dim, of the array ap
must be at least
On entry: the upper or lower triangle of the symmetric matrix , packed by rows or columns.
The storage of elements depends on the order and uplo arguments as follows:
On entry: the stride separating row or column elements (depending on the value of order) in the array z.
if , ;
11: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error 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 had an illegal value.
The algorithm failed to converge; off-diagonal elements of an intermediate tridiagonal form did not converge to zero.
On entry, , and .
Constraint: if , ;
On entry, , and .
Constraint: if ,
; otherwise .
On entry, .
Constraint: , or .
On entry, .
On entry, . Constraint: .
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.
If , for , then the leading minor of order of is not positive definite. The factorization of could not be completed and no eigenvalues or eigenvectors were computed.
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.
If is ill-conditioned with respect to inversion, then the error bounds for the computed eigenvalues and vectors may be large, although when the diagonal elements of differ widely in magnitude the eigenvalues and eigenvectors may be less sensitive than the condition of would suggest. See Section 4.10 of Anderson et al. (1999) for details of the error bounds.
The example program below illustrates the computation of approximate error bounds.
8Parallelism and Performance
f08tcc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
f08tcc 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.
The total number of floating-point operations is proportional to .