F07GAF (DPPSV) (PDF version)
F07 Chapter Contents
F07 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

F07GAF (DPPSV) computes the solution to a real system of linear equations
AX=B ,
where A is an n by n symmetric positive definite matrix stored in packed format and X and B are n by r matrices.

2  Specification

REAL (KIND=nag_wp)  AP(*), B(LDB,*)
The routine may be called by its LAPACK name dppsv.

3  Description

F07GAF (DPPSV) uses the Cholesky decomposition to factor A as A=UTU if UPLO='U' or A=LLT if UPLO='L', where U is an upper triangular matrix and L is a lower triangular matrix. The factored form of A is then used to solve the system of equations AX=B.

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 http://www.netlib.org/lapack/lug
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

5  Parameters

1:     UPLO – CHARACTER(1)Input
On entry: if UPLO='U', the upper triangle of A is stored.
If UPLO='L', the lower triangle of A is stored.
Constraint: UPLO='U' or 'L'.
2:     N – INTEGERInput
On entry: n, the number of linear equations, i.e., the order of the matrix A.
Constraint: N0.
3:     NRHS – INTEGERInput
On entry: r, the number of right-hand sides, i.e., the number of columns of the matrix B.
Constraint: NRHS0.
4:     AP(*) – REAL (KIND=nag_wp) arrayInput/Output
Note: the dimension of the array AP must be at least max1,N×N+1/2.
On entry: the n by n symmetric matrix A, packed by columns.
More precisely,
  • if UPLO='U', the upper triangle of A must be stored with element Aij in APi+jj-1/2 for ij;
  • if UPLO='L', the lower triangle of A must be stored with element Aij in APi+2n-jj-1/2 for ij.
On exit: if INFO=0, the factor U or L from the Cholesky factorization A=UTU or A=LLT, in the same storage format as A.
5:     B(LDB,*) – REAL (KIND=nag_wp) arrayInput/Output
Note: the second dimension of the array B must be at least max1,NRHS.
On entry: the n by r right-hand side matrix B.
On exit: if INFO=0, the n by r solution matrix X.
6:     LDB – INTEGERInput
On entry: the first dimension of the array B as declared in the (sub)program from which F07GAF (DPPSV) is called.
Constraint: LDBmax1,N.
7:     INFO – INTEGEROutput
On exit: INFO=0 unless the routine detects an error (see Section 6).

6  Error Indicators and Warnings

Errors or warnings detected by the routine:
If INFO=-i, the ith argument had an illegal value. An explanatory message is output, and execution of the program is terminated.
If INFO=i, the leading minor of order i of A is not positive definite, so the factorization could not be completed, and the solution has not been computed.

7  Accuracy

The computed solution for a single right-hand side, x^ , satisfies an equation of the form
A+E x^=b ,
E1 = Oε A1
and ε  is the machine precision. An approximate error bound for the computed solution is given by
x^-x1 x1 κA E1 A1 ,
where κA = A-11 A1 , the condition number of A  with respect to the solution of the linear equations. See Section 4.4 of Anderson et al. (1999) for further details.
F07GBF (DPPSVX) is a comprehensive LAPACK driver that returns forward and backward error bounds and an estimate of the condition number. Alternatively, F04BEF solves Ax=b  and returns a forward error bound and condition estimate. F04BEF calls F07GAF (DPPSV) to solve the equations.

8  Further Comments

The total number of floating point operations is approximately 13 n3 + 2n2r , where r  is the number of right-hand sides.
The complex analogue of this routine is F07GNF (ZPPSV).

9  Example

This example solves the equations
Ax=b ,
where A  is the symmetric positive definite matrix
A = 4.16 -3.12 0.56 -0.10 -3.12 5.03 -0.83 1.18 0.56 -0.83 0.76 0.34 -0.10 1.18 0.34 1.18   and   b = 8.70 -13.35 1.89 -4.14 .
Details of the Cholesky factorization of A  are also output.

9.1  Program Text

Program Text (f07gafe.f90)

9.2  Program Data

Program Data (f07gafe.d)

9.3  Program Results

Program Results (f07gafe.r)

F07GAF (DPPSV) (PDF version)
F07 Chapter Contents
F07 Chapter Introduction
NAG Library Manual

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