f04asf
f04asf
© Numerical Algorithms Group, 2002.
Purpose
F04ASF Accurate solution of real symmetric positive-definite simultaneous
linear equations, one right-hand side (Black Box)
Synopsis
[a,c,ifail] = f04asf(a,b<,ifail>)
Description
Given a set of real linear equations Ax=b, where A is a symmetric
positive-definite matrix, the routine first computes a Cholesky
T
factorization of A as A=LL where L is lower triangular. An
approximation to x is found by forward and backward substitution.
The residual vector r=b-Ax is then calculated using additional
T
precision and a correction d to x is found by solving LL d=r. x
is then replaced by x+d, and this iterative refinement of the
solution is repeated until machine accuracy is obtained.
Parameters
f04asf
Required Input Arguments:
a (:,:) real
b (:) real
Optional Input Arguments: <Default>
ifail integer -1
Output Arguments:
a (:,:) real
c (:) real
ifail integer