431 lines
13 KiB
Fortran
431 lines
13 KiB
Fortran
*> \brief \b DPORFS
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*
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* =========== DOCUMENTATION ===========
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*
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* Online html documentation available at
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* http://www.netlib.org/lapack/explore-html/
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*
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*> \htmlonly
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*> Download DPORFS + dependencies
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*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.tgz?format=tgz&filename=/lapack/lapack_routine/dporfs.f">
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*> [TGZ]</a>
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*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.zip?format=zip&filename=/lapack/lapack_routine/dporfs.f">
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*> [ZIP]</a>
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*> <a href="http://www.netlib.org/cgi-bin/netlibfiles.txt?format=txt&filename=/lapack/lapack_routine/dporfs.f">
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*> [TXT]</a>
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*> \endhtmlonly
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*
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* Definition:
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* ===========
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*
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* SUBROUTINE DPORFS( UPLO, N, NRHS, A, LDA, AF, LDAF, B, LDB, X,
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* LDX, FERR, BERR, WORK, IWORK, INFO )
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*
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* .. Scalar Arguments ..
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* CHARACTER UPLO
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* INTEGER INFO, LDA, LDAF, LDB, LDX, N, NRHS
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* ..
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* .. Array Arguments ..
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* INTEGER IWORK( * )
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* DOUBLE PRECISION A( LDA, * ), AF( LDAF, * ), B( LDB, * ),
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* $ BERR( * ), FERR( * ), WORK( * ), X( LDX, * )
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* ..
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*
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*
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*> \par Purpose:
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* =============
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*>
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*> \verbatim
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*>
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*> DPORFS improves the computed solution to a system of linear
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*> equations when the coefficient matrix is symmetric positive definite,
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*> and provides error bounds and backward error estimates for the
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*> solution.
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*> \endverbatim
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*
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* Arguments:
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* ==========
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*
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*> \param[in] UPLO
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*> \verbatim
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*> UPLO is CHARACTER*1
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*> = 'U': Upper triangle of A is stored;
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*> = 'L': Lower triangle of A is stored.
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*> \endverbatim
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*>
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*> \param[in] N
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*> \verbatim
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*> N is INTEGER
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*> The order of the matrix A. N >= 0.
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*> \endverbatim
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*>
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*> \param[in] NRHS
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*> \verbatim
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*> NRHS is INTEGER
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*> The number of right hand sides, i.e., the number of columns
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*> of the matrices B and X. NRHS >= 0.
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*> \endverbatim
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*>
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*> \param[in] A
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*> \verbatim
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*> A is DOUBLE PRECISION array, dimension (LDA,N)
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*> The symmetric matrix A. If UPLO = 'U', the leading N-by-N
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*> upper triangular part of A contains the upper triangular part
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*> of the matrix A, and the strictly lower triangular part of A
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*> is not referenced. If UPLO = 'L', the leading N-by-N lower
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*> triangular part of A contains the lower triangular part of
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*> the matrix A, and the strictly upper triangular part of A is
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*> not referenced.
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*> \endverbatim
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*>
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*> \param[in] LDA
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*> \verbatim
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*> LDA is INTEGER
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*> The leading dimension of the array A. LDA >= max(1,N).
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*> \endverbatim
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*>
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*> \param[in] AF
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*> \verbatim
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*> AF is DOUBLE PRECISION array, dimension (LDAF,N)
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*> The triangular factor U or L from the Cholesky factorization
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*> A = U**T*U or A = L*L**T, as computed by DPOTRF.
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*> \endverbatim
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*>
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*> \param[in] LDAF
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*> \verbatim
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*> LDAF is INTEGER
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*> The leading dimension of the array AF. LDAF >= max(1,N).
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*> \endverbatim
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*>
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*> \param[in] B
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*> \verbatim
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*> B is DOUBLE PRECISION array, dimension (LDB,NRHS)
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*> The right hand side matrix B.
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*> \endverbatim
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*>
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*> \param[in] LDB
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*> \verbatim
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*> LDB is INTEGER
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*> The leading dimension of the array B. LDB >= max(1,N).
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*> \endverbatim
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*>
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*> \param[in,out] X
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*> \verbatim
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*> X is DOUBLE PRECISION array, dimension (LDX,NRHS)
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*> On entry, the solution matrix X, as computed by DPOTRS.
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*> On exit, the improved solution matrix X.
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*> \endverbatim
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*>
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*> \param[in] LDX
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*> \verbatim
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*> LDX is INTEGER
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*> The leading dimension of the array X. LDX >= max(1,N).
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*> \endverbatim
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*>
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*> \param[out] FERR
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*> \verbatim
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*> FERR is DOUBLE PRECISION array, dimension (NRHS)
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*> The estimated forward error bound for each solution vector
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*> X(j) (the j-th column of the solution matrix X).
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*> If XTRUE is the true solution corresponding to X(j), FERR(j)
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*> is an estimated upper bound for the magnitude of the largest
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*> element in (X(j) - XTRUE) divided by the magnitude of the
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*> largest element in X(j). The estimate is as reliable as
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*> the estimate for RCOND, and is almost always a slight
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*> overestimate of the true error.
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*> \endverbatim
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*>
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*> \param[out] BERR
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*> \verbatim
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*> BERR is DOUBLE PRECISION array, dimension (NRHS)
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*> The componentwise relative backward error of each solution
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*> vector X(j) (i.e., the smallest relative change in
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*> any element of A or B that makes X(j) an exact solution).
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*> \endverbatim
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*>
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*> \param[out] WORK
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*> \verbatim
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*> WORK is DOUBLE PRECISION array, dimension (3*N)
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*> \endverbatim
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*>
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*> \param[out] IWORK
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*> \verbatim
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*> IWORK is INTEGER array, dimension (N)
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*> \endverbatim
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*>
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*> \param[out] INFO
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*> \verbatim
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*> INFO is INTEGER
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*> = 0: successful exit
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*> < 0: if INFO = -i, the i-th argument had an illegal value
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*> \endverbatim
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*
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*> \par Internal Parameters:
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* =========================
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*>
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*> \verbatim
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*> ITMAX is the maximum number of steps of iterative refinement.
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*> \endverbatim
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*
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* Authors:
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* ========
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*
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*> \author Univ. of Tennessee
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*> \author Univ. of California Berkeley
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*> \author Univ. of Colorado Denver
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*> \author NAG Ltd.
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*
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*> \date November 2011
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*
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*> \ingroup doublePOcomputational
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*
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* =====================================================================
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SUBROUTINE DPORFS( UPLO, N, NRHS, A, LDA, AF, LDAF, B, LDB, X,
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$ LDX, FERR, BERR, WORK, IWORK, INFO )
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*
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* -- LAPACK computational routine (version 3.4.0) --
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* -- LAPACK is a software package provided by Univ. of Tennessee, --
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* -- Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..--
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* November 2011
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*
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* .. Scalar Arguments ..
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CHARACTER UPLO
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INTEGER INFO, LDA, LDAF, LDB, LDX, N, NRHS
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* ..
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* .. Array Arguments ..
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INTEGER IWORK( * )
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DOUBLE PRECISION A( LDA, * ), AF( LDAF, * ), B( LDB, * ),
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$ BERR( * ), FERR( * ), WORK( * ), X( LDX, * )
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* ..
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*
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* =====================================================================
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*
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* .. Parameters ..
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INTEGER ITMAX
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PARAMETER ( ITMAX = 5 )
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DOUBLE PRECISION ZERO
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PARAMETER ( ZERO = 0.0D+0 )
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DOUBLE PRECISION ONE
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PARAMETER ( ONE = 1.0D+0 )
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DOUBLE PRECISION TWO
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PARAMETER ( TWO = 2.0D+0 )
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DOUBLE PRECISION THREE
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PARAMETER ( THREE = 3.0D+0 )
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* ..
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* .. Local Scalars ..
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LOGICAL UPPER
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INTEGER COUNT, I, J, K, KASE, NZ
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DOUBLE PRECISION EPS, LSTRES, S, SAFE1, SAFE2, SAFMIN, XK
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* ..
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* .. Local Arrays ..
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INTEGER ISAVE( 3 )
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* ..
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* .. External Subroutines ..
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EXTERNAL DAXPY, DCOPY, DLACN2, DPOTRS, DSYMV, XERBLA
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* ..
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* .. Intrinsic Functions ..
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INTRINSIC ABS, MAX
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* ..
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* .. External Functions ..
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LOGICAL LSAME
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DOUBLE PRECISION DLAMCH
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EXTERNAL LSAME, DLAMCH
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* ..
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* .. Executable Statements ..
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*
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* Test the input parameters.
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*
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INFO = 0
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UPPER = LSAME( UPLO, 'U' )
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IF( .NOT.UPPER .AND. .NOT.LSAME( UPLO, 'L' ) ) THEN
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INFO = -1
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ELSE IF( N.LT.0 ) THEN
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INFO = -2
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ELSE IF( NRHS.LT.0 ) THEN
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INFO = -3
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ELSE IF( LDA.LT.MAX( 1, N ) ) THEN
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INFO = -5
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ELSE IF( LDAF.LT.MAX( 1, N ) ) THEN
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INFO = -7
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ELSE IF( LDB.LT.MAX( 1, N ) ) THEN
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INFO = -9
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ELSE IF( LDX.LT.MAX( 1, N ) ) THEN
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INFO = -11
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END IF
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IF( INFO.NE.0 ) THEN
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CALL XERBLA( 'DPORFS', -INFO )
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RETURN
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END IF
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*
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* Quick return if possible
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*
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IF( N.EQ.0 .OR. NRHS.EQ.0 ) THEN
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DO 10 J = 1, NRHS
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FERR( J ) = ZERO
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BERR( J ) = ZERO
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10 CONTINUE
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RETURN
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END IF
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*
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* NZ = maximum number of nonzero elements in each row of A, plus 1
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*
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NZ = N + 1
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EPS = DLAMCH( 'Epsilon' )
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SAFMIN = DLAMCH( 'Safe minimum' )
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SAFE1 = NZ*SAFMIN
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SAFE2 = SAFE1 / EPS
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*
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* Do for each right hand side
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*
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DO 140 J = 1, NRHS
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*
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COUNT = 1
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LSTRES = THREE
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20 CONTINUE
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*
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* Loop until stopping criterion is satisfied.
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*
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* Compute residual R = B - A * X
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*
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CALL DCOPY( N, B( 1, J ), 1, WORK( N+1 ), 1 )
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CALL DSYMV( UPLO, N, -ONE, A, LDA, X( 1, J ), 1, ONE,
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$ WORK( N+1 ), 1 )
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*
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* Compute componentwise relative backward error from formula
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*
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* max(i) ( abs(R(i)) / ( abs(A)*abs(X) + abs(B) )(i) )
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*
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* where abs(Z) is the componentwise absolute value of the matrix
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* or vector Z. If the i-th component of the denominator is less
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* than SAFE2, then SAFE1 is added to the i-th components of the
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* numerator and denominator before dividing.
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*
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DO 30 I = 1, N
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WORK( I ) = ABS( B( I, J ) )
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30 CONTINUE
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*
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* Compute abs(A)*abs(X) + abs(B).
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*
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IF( UPPER ) THEN
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DO 50 K = 1, N
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S = ZERO
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XK = ABS( X( K, J ) )
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DO 40 I = 1, K - 1
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WORK( I ) = WORK( I ) + ABS( A( I, K ) )*XK
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S = S + ABS( A( I, K ) )*ABS( X( I, J ) )
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40 CONTINUE
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WORK( K ) = WORK( K ) + ABS( A( K, K ) )*XK + S
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50 CONTINUE
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ELSE
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DO 70 K = 1, N
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S = ZERO
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XK = ABS( X( K, J ) )
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WORK( K ) = WORK( K ) + ABS( A( K, K ) )*XK
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DO 60 I = K + 1, N
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WORK( I ) = WORK( I ) + ABS( A( I, K ) )*XK
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S = S + ABS( A( I, K ) )*ABS( X( I, J ) )
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60 CONTINUE
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WORK( K ) = WORK( K ) + S
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70 CONTINUE
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END IF
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S = ZERO
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DO 80 I = 1, N
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IF( WORK( I ).GT.SAFE2 ) THEN
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S = MAX( S, ABS( WORK( N+I ) ) / WORK( I ) )
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ELSE
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S = MAX( S, ( ABS( WORK( N+I ) )+SAFE1 ) /
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$ ( WORK( I )+SAFE1 ) )
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END IF
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80 CONTINUE
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BERR( J ) = S
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*
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* Test stopping criterion. Continue iterating if
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* 1) The residual BERR(J) is larger than machine epsilon, and
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* 2) BERR(J) decreased by at least a factor of 2 during the
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* last iteration, and
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* 3) At most ITMAX iterations tried.
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*
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IF( BERR( J ).GT.EPS .AND. TWO*BERR( J ).LE.LSTRES .AND.
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$ COUNT.LE.ITMAX ) THEN
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*
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* Update solution and try again.
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*
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CALL DPOTRS( UPLO, N, 1, AF, LDAF, WORK( N+1 ), N, INFO )
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CALL DAXPY( N, ONE, WORK( N+1 ), 1, X( 1, J ), 1 )
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LSTRES = BERR( J )
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COUNT = COUNT + 1
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GO TO 20
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END IF
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*
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* Bound error from formula
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*
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* norm(X - XTRUE) / norm(X) .le. FERR =
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* norm( abs(inv(A))*
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* ( abs(R) + NZ*EPS*( abs(A)*abs(X)+abs(B) ))) / norm(X)
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*
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* where
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* norm(Z) is the magnitude of the largest component of Z
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* inv(A) is the inverse of A
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* abs(Z) is the componentwise absolute value of the matrix or
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* vector Z
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* NZ is the maximum number of nonzeros in any row of A, plus 1
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* EPS is machine epsilon
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*
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* The i-th component of abs(R)+NZ*EPS*(abs(A)*abs(X)+abs(B))
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* is incremented by SAFE1 if the i-th component of
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* abs(A)*abs(X) + abs(B) is less than SAFE2.
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*
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* Use DLACN2 to estimate the infinity-norm of the matrix
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* inv(A) * diag(W),
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* where W = abs(R) + NZ*EPS*( abs(A)*abs(X)+abs(B) )))
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*
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DO 90 I = 1, N
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IF( WORK( I ).GT.SAFE2 ) THEN
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WORK( I ) = ABS( WORK( N+I ) ) + NZ*EPS*WORK( I )
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ELSE
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WORK( I ) = ABS( WORK( N+I ) ) + NZ*EPS*WORK( I ) + SAFE1
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END IF
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90 CONTINUE
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*
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KASE = 0
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100 CONTINUE
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CALL DLACN2( N, WORK( 2*N+1 ), WORK( N+1 ), IWORK, FERR( J ),
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$ KASE, ISAVE )
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IF( KASE.NE.0 ) THEN
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IF( KASE.EQ.1 ) THEN
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*
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* Multiply by diag(W)*inv(A**T).
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*
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CALL DPOTRS( UPLO, N, 1, AF, LDAF, WORK( N+1 ), N, INFO )
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DO 110 I = 1, N
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WORK( N+I ) = WORK( I )*WORK( N+I )
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110 CONTINUE
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ELSE IF( KASE.EQ.2 ) THEN
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*
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* Multiply by inv(A)*diag(W).
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*
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DO 120 I = 1, N
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WORK( N+I ) = WORK( I )*WORK( N+I )
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120 CONTINUE
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CALL DPOTRS( UPLO, N, 1, AF, LDAF, WORK( N+1 ), N, INFO )
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END IF
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GO TO 100
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END IF
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*
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* Normalize error.
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*
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LSTRES = ZERO
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DO 130 I = 1, N
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LSTRES = MAX( LSTRES, ABS( X( I, J ) ) )
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130 CONTINUE
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IF( LSTRES.NE.ZERO )
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$ FERR( J ) = FERR( J ) / LSTRES
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*
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140 CONTINUE
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*
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RETURN
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*
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* End of DPORFS
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*
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END
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