DPOSVX (3lapack)

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 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 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
          supplied on entry, and if not, whether the matrix A should be
          equilibrated before it is factored.  = 'F':  On entry, AF contains
          the factored 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 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).

  AF      (input or output) DOUBLE PRECISION array, dimension (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, dimension (N)
          The scale factors for A; not accessed if EQUED = 'N'.  S is an
          input argument if FACT = 'F'; otherwise, 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 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) DOUBLE PRECISION array, dimension (NRHS)
          The estimated forward error bound for each solution 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 element 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 illegal 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.