F01EDF (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

F01EDF computes the matrix exponential, eA, of a real symmetric n by n matrix A.

2  Specification

REAL (KIND=nag_wp)  A(LDA,*)

3  Description

eA is computed using a spectral factorization of A 
A = Q D QT ,
where D is the diagonal matrix whose diagonal elements, di, are the eigenvalues of A, and Q is an orthogonal matrix whose columns are the eigenvectors of A. eA is then given by
eA = Q eD QT ,
where eD is the diagonal matrix whose ith diagonal element is edi. See for example Section 4.5 of Higham (2008).

4  References

Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA
Moler C B and Van Loan C F (2003) Nineteen dubious ways to compute the exponential of a matrix, twenty-five years later SIAM Rev. 45 3–49

5  Parameters

1:     UPLO – CHARACTER(1)Input
On entry: indicates whether the upper or lower triangular part of A is stored.
The upper triangular part of A is stored.
The lower triangular part of A is stored.
Constraint: UPLO='U' or 'L'.
2:     N – INTEGERInput
On entry: n, the order of the matrix A.
Constraint: N0.
3:     A(LDA,*) – REAL (KIND=nag_wp) arrayInput/Output
Note: the second dimension of the array A must be at least N.
On entry: the n by n symmetric matrix A.
  • If UPLO='U', the upper triangular part of A must be stored and the elements of the array below the diagonal are not referenced.
  • If UPLO='L', the lower triangular part of A must be stored and the elements of the array above the diagonal are not referenced.
On exit: if IFAIL=0, the upper or lower triangular part of the n by n matrix exponential, eA.
4:     LDA – INTEGERInput
On entry: the first dimension of the array A as declared in the (sub)program from which F01EDF is called.
Constraint: LDAmax1,N.
5:     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, UPLO'L' or 'U'.
On entry, N<0.
An unexpected internal error occurred when computing the spectral factorization. Please contact NAG.
On entry, LDA<N.
Allocation of memory failed. The integer allocatable memory required is N, and the real allocatable memory required is approximately N+nb+4×N, where nb is the block size required by F08FAF (DSYEV).
The algorithm to compute the spectral factorization failed to converge; i off-diagonal elements of an intermediate tridiagonal form did not converge to zero (see F08FAF (DSYEV)).
Note:  this failure is unlikely to occur.

7  Accuracy

For a symmetric matrix A, the matrix eA, has the relative condition number
κA = A2 ,
which is the minimum possible for the matrix exponential and so the computed matrix exponential is guaranteed to be close to the exact matrix. See Section 10.2 of Higham (2008) for details and further discussion.

8  Further Comments

The cost of the algorithm is On3.
As well as the excellent book cited above, the classic reference for the computation of the matrix exponential is Moler and Van Loan (2003).

9  Example

This example finds the matrix exponential of the symmetric matrix
A = 1 2 3 4 2 1 2 3 3 2 1 2 4 3 2 1

9.1  Program Text

Program Text (f01edfe.f90)

9.2  Program Data

Program Data (f01edfe.d)

9.3  Program Results

Program Results (f01edfe.r)

F01EDF (PDF version)
F01 Chapter Contents
F01 Chapter Introduction
NAG Library Manual

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