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NAME
DPOSVX - 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 DPOSVX( FACT, UPLO, N, NRHS, A, LDA, AF, LDAF,
EQUED, S, B, LDB, X, LDX, RCOND, FERR,
BERR, WORK, IWORK, INFO )
CHARACTER EQUED, FACT, UPLO
INTEGER INFO, LDA, LDAF, LDB, LDX, N, NRHS
DOUBLE PRECISION RCOND
INTEGER IWORK( * )
DOUBLE PRECISION A( LDA, * ), AF( LDAF, * ), B(
LDB, * ), BERR( * ), FERR( * ), S( * ),
WORK( * ), X( LDX, * )
PURPOSE
DPOSVX 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 defin-
ite matrix 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 fac-
tored 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 supplied on entry, and if not, whether
the matrix A should be equilibrated before it is
factored. = 'F': On entry, AF contains the fac-
tored form of A. If EQUED = 'Y', the matrix A has
been equilibrated with scaling factors given by S.
A and AF will not be modified. = 'N': The matrix A
will be copied to AF and factored.
= 'E': The matrix A will be equilibrated if neces-
sary, then copied to AF 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 righthand sides, i.e., the number of
columns of the matrices B and X. NRHS >= 0.
A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
On entry, the symmetric matrix A, except if FACT =
'F' and EQUED = 'Y', then A must contain the equili-
brated matrix diag(S)*A*diag(S). If UPLO = 'U', the
leading N-by-N upper triangular part of A contains
the upper triangular part of the matrix A, and the
strictly lower triangular part of A is not refer-
enced. If UPLO = 'L', the leading N-by-N lower tri-
angular part of A contains the lower triangular part
of the matrix A, and the strictly upper triangular
part of A is not referenced. 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).
LDA (input) INTEGER
The leading dimension of the array A. LDA >=
max(1,N).
(LDAF,N)
AF (input or output) DOUBLE PRECISION array, dimension
If FACT = 'F', then AF is an input argument and on
entry contains the triangular factor U or L from the
Cholesky factorization A = U**T*U or A = L*L**T, in
the same storage format as A. If EQUED .ne. 'N',
then AF is the factored form of the equilibrated
matrix diag(S)*A*diag(S).
If FACT = 'N', then AF is an output argument and on
exit returns the triangular factor U or L from the
Cholesky factorization A = U**T*U or A = L*L**T of
the original matrix A.
If FACT = 'E', then AF is an output argument and on
exit returns the triangular factor U or L from the
Cholesky factorization A = U**T*U or A = L*L**T of
the equilibrated matrix A (see the description of A
for the form of the equilibrated matrix).
LDAF (input) INTEGER
The leading dimension of the array AF. LDAF >=
max(1,N).
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) DOUBLE PRECISION array, dimension (N)
The scale factors for A; not accessed if EQUED =
'N'. S is an input variable if FACT = 'F'; other-
wise, S is an output variable. If FACT = 'F' and
EQUED = 'Y', each element of S must be positive.
(LDB,NRHS)
B (input/output) DOUBLE PRECISION array, dimension
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) DOUBLE PRECISION 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) DOUBLE PRECISION
The estimate of the reciprocal condition number of
the matrix A after equilibration (if done). If
RCOND is less than the machine precision (in partic-
ular, if RCOND = 0), the matrix is singular to work-
ing precision. This condition is indicated by a
return code of INFO > 0, and the solution and error
bounds are not computed.
FERR (output) DOUBLE PRECISION 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 accu-
rate, the error bound is guaranteed.
BERR (output) DOUBLE PRECISION 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) DOUBLE PRECISION 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 positive 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 com-
pleted, but the matrix is singular to working preci-
sion, and the solution and error bounds have not
been computed.