F08TBF (DSPGVX) (PDF version)
F08 Chapter Contents
F08 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

F08TBF (DSPGVX) computes selected eigenvalues and, optionally, eigenvectors of a real generalized symmetric-definite eigenproblem, of the form
Az=λBz ,   ABz=λz   or   BAz=λz ,
where A and B are symmetric, stored in packed storage, and B is also positive definite. Eigenvalues and eigenvectors can be selected by specifying either a range of values or a range of indices for the desired eigenvalues.

2  Specification

REAL (KIND=nag_wp)  AP(*), BP(*), VL, VU, ABSTOL, W(N), Z(LDZ,*), WORK(8*N)
The routine may be called by its LAPACK name dspgvx.

3  Description

F08TBF (DSPGVX) first performs a Cholesky factorization of the matrix B as B=UTU , when UPLO='U' or B=LLT , when UPLO='L'. The generalized problem is then reduced to a standard symmetric eigenvalue problem
Cx=λx ,
which is solved for the desired eigenvalues and eigenvectors; the eigenvectors are then backtransformed to give the eigenvectors of the original problem.
For the problem Az=λBz , the eigenvectors are normalized so that the matrix of eigenvectors, Z, satisfies
ZT A Z = Λ   and   ZT B Z = I ,
where Λ  is the diagonal matrix whose diagonal elements are the eigenvalues. For the problem A B z = λ z  we correspondingly have
Z-1 A Z-T = Λ   and   ZT B Z = I ,
and for B A z = λ z  we have
ZT A Z = Λ   and   ZT B-1 Z = I .

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
Demmel J W and Kahan W (1990) Accurate singular values of bidiagonal matrices SIAM J. Sci. Statist. Comput. 11 873–912
Golub G H and Van Loan C F (1996) Matrix Computations (3rd Edition) Johns Hopkins University Press, Baltimore

5  Parameters

1:     ITYPE – INTEGERInput
On entry: specifies the problem type to be solved.
Constraint: ITYPE=1, 2 or 3.
2:     JOBZ – CHARACTER(1)Input
On entry: indicates whether eigenvectors are computed.
Only eigenvalues are computed.
Eigenvalues and eigenvectors are computed.
Constraint: JOBZ='N' or 'V'.
3:     RANGE – CHARACTER(1)Input
On entry: if RANGE='A', all eigenvalues will be found.
If RANGE='V', all eigenvalues in the half-open interval VL,VU will be found.
If RANGE='I', the ILth to IUth eigenvalues will be found.
Constraint: RANGE='A', 'V' or 'I'.
4:     UPLO – CHARACTER(1)Input
On entry: if UPLO='U', the upper triangles of A and B are stored.
If UPLO='L', the lower triangles of A and B are stored.
Constraint: UPLO='U' or 'L'.
5:     N – INTEGERInput
On entry: n, the order of the matrices A and B.
Constraint: N0.
6:     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 upper or lower triangle of 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: the contents of AP are destroyed.
7:     BP(*) – REAL (KIND=nag_wp) arrayInput/Output
Note: the dimension of the array BP must be at least max1,N×N+1/2.
On entry: the upper or lower triangle of the n by n symmetric matrix B, packed by columns.
More precisely,
  • if UPLO='U', the upper triangle of B must be stored with element Bij in BPi+jj-1/2 for ij;
  • if UPLO='L', the lower triangle of B must be stored with element Bij in BPi+2n-jj-1/2 for ij.
On exit: the triangular factor U or L from the Cholesky factorization B=UTU or B=LLT, in the same storage format as B.
8:     VL – REAL (KIND=nag_wp)Input
9:     VU – REAL (KIND=nag_wp)Input
On entry: if RANGE='V', the lower and upper bounds of the interval to be searched for eigenvalues.
If RANGE='A' or 'I', VL and VU are not referenced.
Constraint: if RANGE='V', VL<VU.
10:   IL – INTEGERInput
11:   IU – INTEGERInput
On entry: if RANGE='I', the indices (in ascending order) of the smallest and largest eigenvalues to be returned.
If RANGE='A' or 'V', IL and IU are not referenced.
  • if RANGE='I' and N=0, IL=1 and IU=0;
  • if RANGE='I' and N>0, 1 IL IU N .
12:   ABSTOL – REAL (KIND=nag_wp)Input
On entry: the absolute error tolerance for the eigenvalues. An approximate eigenvalue is accepted as converged when it is determined to lie in an interval a,b  of width less than or equal to
ABSTOL+ε maxa,b ,
where ε  is the machine precision. If ABSTOL is less than or equal to zero, then ε T1  will be used in its place, where T is the tridiagonal matrix obtained by reducing C to tridiagonal form. Eigenvalues will be computed most accurately when ABSTOL is set to twice the underflow threshold 2 × X02AMF   , not zero. If this routine returns with INFO=1 to N, indicating that some eigenvectors did not converge, try setting ABSTOL to 2 × X02AMF   . See Demmel and Kahan (1990).
13:   M – INTEGEROutput
On exit: the total number of eigenvalues found. 0MN.
If RANGE='A', M=N.
If RANGE='I', M=IU-IL+1.
14:   W(N) – REAL (KIND=nag_wp) arrayOutput
On exit: the first M elements contain the selected eigenvalues in ascending order.
15:   Z(LDZ,*) – REAL (KIND=nag_wp) arrayOutput
Note: the second dimension of the array Z must be at least max1,M if JOBZ='V', and at least 1 otherwise.
On exit: if JOBZ='V', then
  • if INFO=0, the first M columns of Z contain the orthonormal eigenvectors of the matrix A corresponding to the selected eigenvalues, with the ith column of Z holding the eigenvector associated with Wi. The eigenvectors are normalized as follows:
    • if ITYPE=1 or 2, ZTBZ=I;
    • if ITYPE=3, ZTB-1Z=I;
  • if an eigenvector fails to converge (INFO=1 to N), then that column of Z contains the latest approximation to the eigenvector, and the index of the eigenvector is returned in JFAIL.
If JOBZ='N', Z is not referenced.
Note:  you must ensure that at least max1,M columns are supplied in the array Z; if RANGE='V', the exact value of M is not known in advance and an upper bound of at least N must be used.
16:   LDZ – INTEGERInput
On entry: the first dimension of the array Z as declared in the (sub)program from which F08TBF (DSPGVX) is called.
  • if JOBZ='V', LDZ max1,N ;
  • otherwise LDZ1.
17:   WORK(8×N) – REAL (KIND=nag_wp) arrayWorkspace
18:   IWORK(5×N) – INTEGER arrayWorkspace
19:   JFAIL(*) – INTEGER arrayOutput
Note: the dimension of the array JFAIL must be at least max1,N.
On exit: if JOBZ='V', then
  • if INFO=0, the first M elements of JFAIL are zero;
  • if INFO=1 to N, JFAIL contains the indices of the eigenvectors that failed to converge.
If JOBZ='N', JFAIL is not referenced.
20:   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, argument i had an illegal value. An explanatory message is output, and execution of the program is terminated.
INFO=1 to N
If INFO=i, F08GBF (DSPEVX) failed to converge; i eigenvectors failed to converge. Their indices are stored in array JFAIL.
F07GDF (DPPTRF) returned an error code; i.e., if INFO=N+i, for 1iN, then the leading minor of order i of B is not positive definite. The factorization of B could not be completed and no eigenvalues or eigenvectors were computed.

7  Accuracy

If B 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 B differ widely in magnitude the eigenvalues and eigenvectors may be less sensitive than the condition of B would suggest. See Section 4.10 of Anderson et al. (1999) for details of the error bounds.

8  Further Comments

The total number of floating point operations is proportional to n3 .
The complex analogue of this routine is F08TPF (ZHPGVX).

9  Example

This example finds the eigenvalues in the half-open interval -1.0,1.0 , and corresponding eigenvectors, of the generalized symmetric eigenproblem Az = λ Bz , where
A = 0.24 0.39 0.42 -0.16 0.39 -0.11 0.79 0.63 0.42 0.79 -0.25 0.48 -0.16 0.63 0.48 -0.03   and   B = 4.16 -3.12 0.56 -0.10 -3.12 5.03 -0.83 1.09 0.56 -0.83 0.76 0.34 -0.10 1.09 0.34 1.18 .
The example program for F08TCF (DSPGVD) illustrates solving a generalized symmetric eigenproblem of the form ABz=λz .

9.1  Program Text

Program Text (f08tbfe.f90)

9.2  Program Data

Program Data (f08tbfe.d)

9.3  Program Results

Program Results (f08tbfe.r)

F08TBF (DSPGVX) (PDF version)
F08 Chapter Contents
F08 Chapter Introduction
NAG Library Manual

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