F07GGF (DPPCON) (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

F07GGF (DPPCON) estimates the condition number of a real symmetric positive definite matrix A, where A has been factorized by F07GDF (DPPTRF), using packed storage.

2  Specification

REAL (KIND=nag_wp)  AP(*), ANORM, RCOND, WORK(3*N)
The routine may be called by its LAPACK name dppcon.

3  Description

F07GGF (DPPCON) estimates the condition number (in the 1-norm) of a real symmetric positive definite matrix A:
κ1A=A1A-11 .
Since A is symmetric, κ1A=κA=AA-1.
Because κ1A is infinite if A is singular, the routine actually returns an estimate of the reciprocal of κ1A.
The routine should be preceded by a call to F06RDF to compute A1 and a call to F07GDF (DPPTRF) to compute the Cholesky factorization of A. The routine then uses Higham's implementation of Hager's method (see Higham (1988)) to estimate A-11.

4  References

Higham N J (1988) FORTRAN codes for estimating the one-norm of a real or complex matrix, with applications to condition estimation ACM Trans. Math. Software 14 381–396

5  Parameters

1:     UPLO – CHARACTER(1)Input
On entry: specifies how A has been factorized.
A=UTU, where U is upper triangular.
A=LLT, where L is lower triangular.
Constraint: UPLO='U' or 'L'.
2:     N – INTEGERInput
On entry: n, the order of the matrix A.
Constraint: N0.
3:     AP(*) – REAL (KIND=nag_wp) arrayInput
Note: the dimension of the array AP must be at least max1,N×N+1/2.
On entry: the Cholesky factor of A stored in packed form, as returned by F07GDF (DPPTRF).
4:     ANORM – REAL (KIND=nag_wp)Input
On entry: the 1-norm of the original matrix A, which may be computed by calling F06RDF with its parameter NORM='1'. ANORM must be computed either before calling F07GDF (DPPTRF) or else from a copy of the original matrix A.
Constraint: ANORM0.0.
5:     RCOND – REAL (KIND=nag_wp)Output
On exit: an estimate of the reciprocal of the condition number of A. RCOND is set to zero if exact singularity is detected or the estimate underflows. If RCOND is less than machine precision, A is singular to working precision.
6:     WORK(3×N) – REAL (KIND=nag_wp) arrayWorkspace
7:     IWORK(N) – INTEGER arrayWorkspace
8:     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 parameter had an illegal value. An explanatory message is output, and execution of the program is terminated.

7  Accuracy

The computed estimate RCOND is never less than the true value ρ, and in practice is nearly always less than 10ρ, although examples can be constructed where RCOND is much larger.

8  Further Comments

A call to F07GGF (DPPCON) involves solving a number of systems of linear equations of the form Ax=b; the number is usually 4 or 5 and never more than 11. Each solution involves approximately 2n2 floating point operations but takes considerably longer than a call to F07GEF (DPPTRS) with one right-hand side, because extra care is taken to avoid overflow when A is approximately singular.
The complex analogue of this routine is F07GUF (ZPPCON).

9  Example

This example estimates the condition number in the 1-norm (or -norm) of the matrix A, where
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 .
Here A is symmetric positive definite, stored in packed form, and must first be factorized by F07GDF (DPPTRF). The true condition number in the 1-norm is 97.32.

9.1  Program Text

Program Text (f07ggfe.f90)

9.2  Program Data

Program Data (f07ggfe.d)

9.3  Program Results

Program Results (f07ggfe.r)

F07GGF (DPPCON) (PDF version)
F07 Chapter Contents
F07 Chapter Introduction
NAG Library Manual

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