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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, *
)
#include <sunperf.h>
void dposvx(char fact, char uplo, int n, int nrhs, double
*da, int lda, double *af, int ldaf, char *equed,
double *s, double *db, int ldb, double *dx, int
ldx, double *drcond, double *ferr, double *berr,
int *info) ;
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
definite 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 tri-
angular 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
necessary, 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 right hand 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
equilibrated 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 referenced. If UPLO = 'L', the leading N-by-N
lower triangular part of A contains the lower tri-
angular 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).
AF (input or output) DOUBLE PRECISION array, dimen-
sion (LDAF,N)
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 or 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 argument if FACT = 'F'; otherwise, it is an
output argument.
S (input or output) DOUBLE PRECISION array, dimen-
sion (N)
The scale factors for A; not accessed if EQUED =
'N'. S is an input argument if FACT = 'F'; other-
wise, S is an output argument. If FACT = 'F' and
EQUED = 'Y', each element of S must be positive.
B (input/output) DOUBLE PRECISION array, dimension
(LDB,NRHS)
On entry, the N-by-NRHS right hand 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 par-
ticular, 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) DOUBLE PRECISION array, dimension (NRHS)
The estimated forward error bound for each solu-
tion vector X(j) (the j-th column of the solution
matrix X). If XTRUE is the true solution
corresponding to X(j), FERR(j) is an estimated
upper bound for the magnitude of the largest ele-
ment in (X(j) - XTRUE) divided by the magnitude of
the largest element in X(j). The estimate is as
reliable as the estimate for RCOND, and is almost
always a slight overestimate of the true error.
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 element 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 ille-
gal value
> 0: if INFO = i, and i is
<= N: 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
completed, but the matrix is singular to working
precision, and the solution and error bounds have
not been computed.
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