NAG Library Routine Document
F04CBF
1 Purpose
F04CBF computes the solution to a complex system of linear equations $AX=B$, where $A$ is an $n$ by $n$ band matrix, with ${k}_{l}$ subdiagonals and ${k}_{u}$ superdiagonals, and $X$ and $B$ are $n$ by $r$ matrices. An estimate of the condition number of $A$ and an error bound for the computed solution are also returned.
2 Specification
SUBROUTINE F04CBF ( 
N, KL, KU, NRHS, AB, LDAB, IPIV, B, LDB, RCOND, ERRBND, IFAIL) 
INTEGER 
N, KL, KU, NRHS, LDAB, IPIV(N), LDB, IFAIL 
REAL (KIND=nag_wp) 
RCOND, ERRBND 
COMPLEX (KIND=nag_wp) 
AB(LDAB,*), B(LDB,*) 

3 Description
The $LU$ decomposition with partial pivoting and row interchanges is used to factor $A$ as $A=PLU$, where $P$ is a permutation matrix, $L$ is the product of permutation matrices and unit lower triangular matrices with ${k}_{l}$ subdiagonals, and $U$ is upper triangular with $\left({k}_{l}+{k}_{u}\right)$ superdiagonals. 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
Higham N J (2002) Accuracy and Stability of Numerical Algorithms (2nd Edition) SIAM, Philadelphia
5 Parameters
 1: N – INTEGERInput
On entry: the number of linear equations $n$, i.e., the order of the matrix $A$.
Constraint:
${\mathbf{N}}\ge 0$.
 2: KL – INTEGERInput
On entry: the number of subdiagonals ${k}_{l}$, within the band of $A$.
Constraint:
${\mathbf{KL}}\ge 0$.
 3: KU – INTEGERInput
On entry: the number of superdiagonals ${k}_{u}$, within the band of $A$.
Constraint:
${\mathbf{KU}}\ge 0$.
 4: NRHS – INTEGERInput
On entry: the number of righthand sides $r$, i.e., the number of columns of the matrix $B$.
Constraint:
${\mathbf{NRHS}}\ge 0$.
 5: AB(LDAB,$*$) – COMPLEX (KIND=nag_wp) arrayInput/Output
Note: the second dimension of the array
AB
must be at least
$\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{N}}\right)$.
On entry: the
$n$ by
$n$ matrix
$A$.
The matrix is stored in rows
${k}_{l}+1$ to
$2{k}_{l}+{k}_{u}+1$; the first
${k}_{l}$ rows need not be set, more precisely, the element
${A}_{ij}$ must be stored in
See
Section 8 for further details.
On exit: if
${\mathbf{IFAIL}}\ge {\mathbf{0}}$,
AB is overwritten by details of the factorization.
The upper triangular band matrix $U$, with ${k}_{l}+{k}_{u}$ superdiagonals, is stored in rows $1$ to ${k}_{l}+{k}_{u}+1$ of the array, and the multipliers used to form the matrix $L$ are stored in rows ${k}_{l}+{k}_{u}+2$ to $2{k}_{l}+{k}_{u}+1$.
 6: LDAB – INTEGERInput
On entry: the first dimension of the array
AB as declared in the (sub)program from which F04CBF is called.
Constraint:
${\mathbf{LDAB}}\ge 2\times {\mathbf{KL}}+{\mathbf{KU}}+1$.
 7: IPIV(N) – INTEGER arrayOutput
On exit: if ${\mathbf{IFAIL}}\ge {\mathbf{0}}$, the pivot indices that define the permutation matrix $P$; at the $i$th step row $i$ of the matrix was interchanged with row ${\mathbf{IPIV}}\left(i\right)$. ${\mathbf{IPIV}}\left(i\right)=i$ indicates a row interchange was not required.
 8: B(LDB,$*$) – COMPLEX (KIND=nag_wp) arrayInput/Output

Note: the second dimension of the array
B
must be at least
$\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{NRHS}}\right)$.
On entry: the $n$ by $r$ matrix of righthand sides $B$.
On exit: if ${\mathbf{IFAIL}}={\mathbf{0}}$ or ${\mathbf{N}+{\mathbf{1}}}$, the $n$ by $r$ solution matrix $X$.
 9: LDB – INTEGERInput
On entry: the first dimension of the array
B as declared in the (sub)program from which F04CBF is called.
Constraint:
${\mathbf{LDB}}\ge \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{N}}\right)$.
 10: RCOND – REAL (KIND=nag_wp)Output
On exit: if ${\mathbf{IFAIL}}\ge {\mathbf{0}}$, an estimate of the reciprocal of the condition number of the matrix $A$, computed as ${\mathbf{RCOND}}=\left({\Vert A\Vert}_{1}{\Vert {A}^{1}\Vert}_{1}\right)$.
 11: ERRBND – REAL (KIND=nag_wp)Output
On exit: if
${\mathbf{IFAIL}}={\mathbf{0}}$ or
${\mathbf{N}+{\mathbf{1}}}$, an estimate of the forward error bound for a computed solution
$\hat{x}$, such that
${\Vert \hat{x}x\Vert}_{1}/{\Vert x\Vert}_{1}\le {\mathbf{ERRBND}}$, where
$\hat{x}$ is a column of the computed solution returned in the array
B and
$x$ is the corresponding column of the exact solution
$X$. If
RCOND is less than
machine precision, then
ERRBND is returned as unity.
 12: IFAIL – INTEGERInput/Output

On entry:
IFAIL must be set to
$0$,
$1\text{ or}1$. 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
$1\text{ or}1$ 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 $\mathbf{1}\text{ or}\mathbf{1}$ is used it is essential to test the value of IFAIL on exit.
On exit:
${\mathbf{IFAIL}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6 Error Indicators and Warnings
If on entry
${\mathbf{IFAIL}}={\mathbf{0}}$ or
${{\mathbf{1}}}$, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
 ${\mathbf{IFAIL}}<0\text{and}{\mathbf{IFAIL}}\ne 999$
If ${\mathbf{IFAIL}}=i$, the $i$th argument had an illegal value.
 ${\mathbf{IFAIL}}=999$
Allocation of memory failed. The real allocatable memory required is
N, and the
complex
allocatable memory required is
$2\times {\mathbf{N}}$. In this case the factorization and the solution
$X$ have been computed, but
RCOND and
ERRBND have not been computed.
 ${\mathbf{IFAIL}}>0\text{and}{\mathbf{IFAIL}}\le {\mathbf{N}}$
If ${\mathbf{IFAIL}}=i$, ${u}_{ii}$ is exactly zero. The factorization has been completed, but the factor $U$ is exactly singular, so the solution could not be computed.
 ${\mathbf{IFAIL}}={\mathbf{N}}+1$
RCOND is less than
machine precision, so that the matrix
$A$ is numerically singular. A solution to the equations
$AX=B$ has nevertheless been computed.
7 Accuracy
The computed solution for a single righthand side,
$\hat{x}$, satisfies an equation of the form
where
and
$\epsilon $ is the
machine precision. An approximate error bound for the computed solution is given by
where
$\kappa \left(A\right)={\Vert {A}^{1}\Vert}_{1}{\Vert A\Vert}_{1}$, the condition number of
$A$ with respect to the solution of the linear equations. F04CBF uses the approximation
${\Vert E\Vert}_{1}=\epsilon {\Vert A\Vert}_{1}$ to estimate
ERRBND. See Section 4.4 of
Anderson et al. (1999)
for further details.
The band storage scheme for the array
AB
is illustrated by the following example, when
$n=6$,
${k}_{l}=1$, and
${k}_{u}=2$.
Storage of the band matrix
$A$ in the array
AB:
Array elements marked $*$ need not be set and are not referenced by the routine. Array elements marked + need not be set, but are defined on exit from the routine and contain the elements
${u}_{14}$,
${u}_{25}$ and
${u}_{36}$.
The total number of floating point operations required to solve the equations $AX=B$ depends upon the pivoting required, but if $n\gg {k}_{l}+{k}_{u}$ then it is approximately bounded by $\mathit{O}\left(n{k}_{l}\left({k}_{l}+{k}_{u}\right)\right)$ for the factorization and $\mathit{O}\left(n\left(2{k}_{l}+{k}_{u}\right),r\right)$ for the solution following the factorization. The condition number estimation typically requires between four and five solves and never more than eleven solves, following the factorization.
In practice the condition number estimator is very reliable, but it can underestimate the true condition number; see Section 15.3 of
Higham (2002) for further details.
The real analogue of F04CBF is
F04BBF.
9 Example
This example solves the equations
where
$A$ is the band matrix
and
An estimate of the condition number of $A$ and an approximate error bound for the computed solutions are also printed.
9.1 Program Text
Program Text (f04cbfe.f90)
9.2 Program Data
Program Data (f04cbfe.d)
9.3 Program Results
Program Results (f04cbfe.r)