f04bgf computes the solution to a real system of linear equations , where is an symmetric positive definite tridiagonal matrix and and are matrices. An estimate of the condition number of and an error bound for the computed solution are also returned.
The routine may be called by the names f04bgf or nagf_linsys_real_posdef_tridiag_solve.
is factorized as , where is a unit lower bidiagonal matrix and is diagonal, and the factored form of is then used to solve the system of equations.
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
1: – IntegerInput
On entry: the number of linear equations , i.e., the order of the matrix .
2: – IntegerInput
On entry: the number of right-hand sides , i.e., the number of columns of the matrix .
3: – Real (Kind=nag_wp) arrayInput/Output
Note: the dimension of the array d
must be at least
On entry: must contain the diagonal elements of the tridiagonal matrix .
On exit: if or , d is overwritten by the diagonal elements of the diagonal matrix from the factorization of .
4: – Real (Kind=nag_wp) arrayInput/Output
Note: the dimension of the array e
must be at least
On entry: must contain the subdiagonal elements of the tridiagonal matrix .
On exit: if or , e is overwritten by the subdiagonal elements of the unit lower bidiagonal matrix from the factorization of . (e can also be regarded as the superdiagonal of the unit upper bidiagonal factor from the factorization of .)
5: – Real (Kind=nag_wp) arrayInput/Output
Note: the second dimension of the array b
must be at least
On entry: the matrix of right-hand sides .
On exit: if or , the solution matrix .
6: – IntegerInput
On entry: the first dimension of the array b as declared in the (sub)program from which f04bgf is called.
7: – Real (Kind=nag_wp)Output
On exit: if or , an estimate of the reciprocal of the condition number of the matrix , computed as .
8: – Real (Kind=nag_wp)Output
On exit: if or , an estimate of the forward error bound for a computed solution , such that , where is a column of the computed solution returned in the array b and is the corresponding column of the exact solution . If rcond is less than machine precision, errbnd is returned as unity.
9: – 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:
The principal minor of order of the matrix is not positive definite. The factorization has not been completed and the solution could not be computed.
A solution has been computed, but rcond is less than machine precision so that the matrix is numerically singular.
On entry, .
On entry, .
On entry, and .
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.
The real allocatable memory required is n. In this case the factorization and the solution 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.
The computed solution for a single right-hand side, , satisfies an equation of the form
and is the machine precision. An approximate error bound for the computed solution is given by
where , the condition number of with respect to the solution of the linear equations. f04bgf uses the approximation to estimate errbnd. See Section 4.4 of Anderson et al. (1999)
for further details.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
f04bgf 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.
The total number of floating-point operations required to solve the equations is proportional to . The condition number estimation requires floating-point operations.
See Section 15.3 of Higham (2002) for further details on computing the condition number of tridiagonal matrices.