SPPSVX(l) LAPACK driver routine (version 1.1) SPPSVX(l)
NAME
SPPSVX - use the Cholesky factorization A = U**T*U or A = L*L**T to compute
the solution to a real system of linear equations A * X = B,
SYNOPSIS
SUBROUTINE SPPSVX( FACT, UPLO, N, NRHS, AP, AFP, EQUED, S, B, LDB, X, LDX,
RCOND, FERR, BERR, WORK, IWORK, INFO )
CHARACTER EQUED, FACT, UPLO
INTEGER INFO, LDB, LDX, N, NRHS
REAL RCOND
INTEGER IWORK( * )
REAL AFP( * ), AP( * ), B( LDB, * ), BERR( * ), FERR( * ), S(
* ), WORK( * ), X( LDX, * )
PURPOSE
SPPSVX uses the Cholesky factorization A = U**T*U or A = L*L**T to compute
the solution to a real system of linear equations
A * X = B, where A is an N-by-N symmetric positive definite matrix
stored in packed format and X and B are N-by-NRHS matrices.
Error bounds on the solution and a condition estimate are also provided.
DESCRIPTION
The following steps are performed:
1. If FACT = 'E', real scaling factors are computed to equilibrate
the system:
diag(S) * A * diag(S) * inv(diag(S)) * X = diag(S) * B
Whether or not the system will be equilibrated depends on the
scaling of the matrix A, but if equilibration is used, A is
overwritten by diag(S)*A*diag(S) and B by diag(S)*B.
2. If FACT = 'N' or 'E', the Cholesky decomposition is used to
factor the matrix A (after equilibration if FACT = 'E') as
A = U**T* U, if UPLO = 'U', or
A = L * L**T, if UPLO = 'L',
where U is an upper triangular matrix and L is a lower triangular
matrix.
3. The factored form of A is used to estimate the condition number
of the matrix A. If the reciprocal of the condition number is
less than machine precision, steps 4-6 are skipped.
4. The system of equations is solved for X using the factored form
of A.
5. Iterative refinement is applied to improve the computed solution
matrix and calculate error bounds and backward error estimates
for it.
6. If equilibration was used, the matrix X is premultiplied by
diag(S) so that it solves the original system before
equilibration.
ARGUMENTS
FACT (input) CHARACTER*1
Specifies whether or not the factored form of the matrix A is sup-
plied on entry, and if not, whether the matrix A should be equili-
brated before it is factored. = 'F': On entry, AFP contains the
factored form of A. If EQUED = 'Y', the matrix A has been equili-
brated with scaling factors given by S. AP and AFP will not be
modified. = 'N': The matrix A will be copied to AFP and factored.
= 'E': The matrix A will be equilibrated if necessary, then copied
to AFP and factored.
UPLO (input) CHARACTER*1
= 'U': Upper triangle of A is stored;
= 'L': Lower triangle of A is stored.
N (input) INTEGER
The number of linear equations, i.e., the order of the matrix A. N
>= 0.
NRHS (input) INTEGER
The number of right hand sides, i.e., the number of columns of the
matrices B and X. NRHS >= 0.
AP (input/output) REAL array, dimension (N*(N+1)/2)
On entry, the upper or lower triangle of the symmetric matrix A,
packed columnwise in a linear array, except if FACT = 'F' and EQUED
= 'Y', then A must contain the equilibrated matrix
diag(S)*A*diag(S). The j-th column of A is stored in the array AP
as follows: if UPLO = 'U', AP(i + (j-1)*j/2) = A(i,j) for 1<=i<=j;
if UPLO = 'L', AP(i + (j-1)*(2n-j)/2) = A(i,j) for j<=i<=n. See
below for further details. A is not modified if FACT = 'F' or 'N',
or if FACT = 'E' and EQUED = 'N' on exit.
On exit, if FACT = 'E' and EQUED = 'Y', A is overwritten by
diag(S)*A*diag(S).
AFP (input or output) REAL array, dimension
(N*(N+1)/2) If FACT = 'F', then AFP is an input argument and on
entry contains the triangular factor U or L from the Cholesky fac-
torization A = U'*U or A = L*L', in the same storage format as A.
If EQUED .ne. 'N', then AFP is the factored form of the equili-
brated matrix A.
If FACT = 'N', then AFP is an output argument and on exit returns
the triangular factor U or L from the Cholesky factorization A =
U'*U or A = L*L' of the original matrix A.
If FACT = 'E', then AFP is an output argument and on exit returns
the triangular factor U or L from the Cholesky factorization A =
U'*U or A = L*L' of the equilibrated matrix A (see the description
of AP for the form of the equilibrated matrix).
EQUED (input/output) CHARACTER*1
Specifies the form of equilibration that was done. = 'N': No
equilibration (always true if FACT = 'N').
= 'Y': Equilibration was done, i.e., A has been replaced by
diag(S) * A * diag(S). EQUED is an input variable if FACT = 'F';
otherwise, it is an output variable.
S (input/output) REAL array, dimension (N)
The scale factors for A; not accessed if EQUED = 'N'. S is an
input variable if FACT = 'F'; otherwise, S is an output variable.
If FACT = 'F' and EQUED = 'Y', each element of S must be positive.
B (input/output) REAL array, dimension (LDB,NRHS)
On entry, the N-by-NRHS righthand side matrix B. On exit, if EQUED
= 'N', B is not modified; if EQUED = 'Y', B is overwritten by
diag(S) * B.
LDB (input) INTEGER
The leading dimension of the array B. LDB >= max(1,N).
X (output) REAL array, dimension (LDX,NRHS)
If INFO = 0, the N-by-NRHS solution matrix X to the original system
of equations. Note that if EQUED = 'Y', A and B are modified on
exit, and the solution to the equilibrated system is
inv(diag(S))*X.
LDX (input) INTEGER
The leading dimension of the array X. LDX >= max(1,N).
RCOND (output) REAL
The estimate of the reciprocal condition number of the matrix A
after equilibration (if done). If RCOND is less than the machine
precision (in particular, if RCOND = 0), the matrix is singular to
working precision. This condition is indicated by a return code of
INFO > 0, and the solution and error bounds are not computed.
FERR (output) REAL array, dimension (NRHS)
The estimated forward error bounds for each solution vector X(j)
(the j-th column of the solution matrix X). If XTRUE is the true
solution, FERR(j) bounds the magnitude of the largest entry in
(X(j) - XTRUE) divided by the magnitude of the largest entry in
X(j). The quality of the error bound depends on the quality of the
estimate of norm(inv(A)) computed in the code; if the estimate of
norm(inv(A)) is accurate, the error bound is guaranteed.
BERR (output) REAL array, dimension (NRHS)
The componentwise relative backward error of each solution vector
X(j) (i.e., the smallest relative change in any entry of A or B
that makes X(j) an exact solution).
WORK (workspace) REAL array, dimension (3*N)
IWORK (workspace) INTEGER array, dimension (N)
INFO (output) INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal value
> 0: if INFO = i, and i is
<= N: if INFO = i, the leading minor of order i of A is not posi-
tive definite, so the factorization could not be completed, and the
solution and error bounds could not be computed. = N+1: RCOND is
less than machine precision. The factorization has been completed,
but the matrix is singular to working precision, and the solution
and error bounds have not been computed.
FURTHER DETAILS
The packed storage scheme is illustrated by the following example when N =
4, UPLO = 'U':
Two-dimensional storage of the symmetric matrix A:
a11 a12 a13 a14
a22 a23 a24
a33 a34 (aij = conjg(aji))
a44
Packed storage of the upper triangle of A:
AP = [ a11, a12, a22, a13, a23, a33, a14, a24, a34, a44 ]
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