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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 defin- ite 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 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, AFP contains the fac- tored form of A. If EQUED = 'Y', the matrix A has been equilibrated 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 neces- sary, 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 sym- metric 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 factorization 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 equilibrated 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'; other- wise, 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 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) 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 accu- rate, 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 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. 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 ]