F01MCF (PDF version)
F01 Chapter Contents
F01 Chapter Introduction
NAG Library Manual

NAG Library Routine Document


Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

F01MCF computes the Cholesky factorization of a real symmetric positive definite variable-bandwidth matrix.

2  Specification

REAL (KIND=nag_wp)  A(LAL), AL(LAL), D(N)

3  Description

F01MCF determines the unit lower triangular matrix L and the diagonal matrix D in the Cholesky factorization A=LDLT of a symmetric positive definite variable-bandwidth matrix A of order n. (Such a matrix is sometimes called a ‘sky-line’ matrix.)
The matrix A is represented by the elements lying within the envelope of its lower triangular part, that is, between the first nonzero of each row and the diagonal (see Section 9 for an example). The width NROWi of the ith row is the number of elements between the first nonzero element and the element on the diagonal, inclusive. Although, of course, any matrix possesses an envelope as defined, this routine is primarily intended for the factorization of symmetric positive definite matrices with an average bandwidth which is small compared with n (also see Section 8).
The method is based on the property that during Cholesky factorization there is no fill-in outside the envelope.
The determination of L and D is normally the first of two steps in the solution of the system of equations Ax=b. The remaining step, viz. the solution of LDLTx=b, may be carried out using F04MCF.

4  References

Jennings A (1966) A compact storage scheme for the solution of symmetric linear simultaneous equations Comput. J. 9 281–285
Wilkinson J H and Reinsch C (1971) Handbook for Automatic Computation II, Linear Algebra Springer–Verlag

5  Parameters

1:     N – INTEGERInput
On entry: n, the order of the matrix A.
Constraint: N1.
2:     A(LAL) – REAL (KIND=nag_wp) arrayInput
On entry: the elements within the envelope of the lower triangle of the positive definite symmetric matrix A, taken in row by row order. The following code assigns the matrix elements within the envelope to the correct elements of the array:
    K = 0
    DO 20 I = 1, N
       DO 10 J = I-NROW(I)+1, I
          K = K + 1
          A(K) = matrix (I,J)
See also Section 8.
3:     LAL – INTEGERInput
On entry: the dimension of the arrays A and AL as declared in the (sub)program from which F01MCF is called.
Constraint: LALNROW1+NROW2++NROWn.
4:     NROW(N) – INTEGER arrayInput
On entry: NROWi must contain the width of row i of the matrix A, i.e., the number of elements between the first (leftmost) nonzero element and the element on the diagonal, inclusive.
Constraint: 1NROWii, for i=1,2,,n.
5:     AL(LAL) – REAL (KIND=nag_wp) arrayOutput
On exit: the elements within the envelope of the lower triangular matrix L, taken in row by row order. The envelope of L is identical to that of the lower triangle of A. The unit diagonal elements of L are stored explicitly. See also Section 8.
6:     D(N) – REAL (KIND=nag_wp) arrayOutput
On exit: the diagonal elements of the diagonal matrix D. Note that the determinant of A is equal to the product of these diagonal elements. If the value of the determinant is required it should not be determined by forming the product explicitly, because of the possibility of overflow or underflow. The logarithm of the determinant may safely be formed from the sum of the logarithms of the diagonal elements.
7:     IFAIL – INTEGERInput/Output
On entry: IFAIL must be set to 0, -1​ or ​1. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value -1​ or ​1 is recommended. If the output of error messages is undesirable, then the value 1 is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is 0. When the value -1​ or ​1 is used it is essential to test the value of IFAIL on exit.
On exit: IFAIL=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6  Error Indicators and Warnings

If on entry 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:
On entry,N<1,
orfor some i, NROWi<1 or NROWi>i,
A is not positive definite, or this property has been destroyed by rounding errors. The factorization has not been completed.
A is not positive definite, or this property has been destroyed by rounding errors. The factorization has not been completed.

7  Accuracy

If IFAIL=0 on exit, then the computed L and D satisfy the relation LDLT=A+F, where
F2 km2 ε × maxi aii
F2 km2 ε × A2 ,
where k is a constant of order unity, m is the largest value of NROWi, and ε is the machine precision. See pages 25–27 and 54–55 of Wilkinson and Reinsch (1971).

8  Further Comments

The time taken by F01MCF is approximately proportional to the sum of squares of the values of NROWi.
The distribution of row widths may be very non-uniform without undue loss of efficiency. Moreover, the routine has been designed to be as competitive as possible in speed with routines designed for full or uniformly banded matrices, when applied to such matrices.
Unless otherwise stated in the Users' Note for your implementation, the routine may be called with the same actual array supplied for parameters A and AL, in which case L overwrites the lower triangle of A. However this is not standard Fortran and may not work in all implementations.

9  Example

This example obtains the Cholesky factorization of the symmetric matrix, whose lower triangle is:
1 2 5 0 3 13 0 0 0 16 5 14 18 8 55 0 0 0 24 17 77 .
For this matrix, the elements of NROW must be set to 1, 2, 2, 1, 5, 3, and the elements within the envelope must be supplied in row order as:
1, 2, 5, 3, 13, 16, 5, 14, 18, 8, 55, 24, 17, 77 .

9.1  Program Text

Program Text (f01mcfe.f90)

9.2  Program Data

Program Data (f01mcfe.d)

9.3  Program Results

Program Results (f01mcfe.r)

F01MCF (PDF version)
F01 Chapter Contents
F01 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012