Accuracy and Stability

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# Accuracy and Stability

In addition to providing faster routines than previously available, LAPACK provides more comprehensive and better  error  bounds . Our ultimate goal is to provide error bounds for all quantities computed by LAPACK.

In this chapter we explain our overall approach to obtaining error bounds, and provide enough information to use the software. The comments at the beginning of the individual routines should be consulted for more details. It is beyond the scope of this chapter to justify all the bounds we present. Instead, we give references to the literature. For example, standard material on error analysis can be found in [45].

In order to make this chapter easy to read, we have labeled sections not essential for a first reading as Further Details. The sections not labeled as Further Details should provide all the information needed to understand and use the main error bounds computed by LAPACK. The Further Details sections provide mathematical background, references, and tighter but more expensive error bounds, and may be read later.

In section 4.1 we discuss the sources of numerical error, in particular roundoff error. Section 4.2 discusses how to measure errors, as well as some standard notation. Section 4.3 discusses further details of how error bounds are derived. Sections 4.4 through 4.12 present error bounds for linear equations, linear least squares problems, generalized linear least squares problems, the symmetric eigenproblem, the nonsymmetric eigenproblem, the singular value decomposition, the generalized symmetric definite eigenproblem, the generalized nonsymmetric eigenproblem and the generalized (or quotient) singular value decomposition respectively. Section 4.13 discusses the impact of fast Level 3 BLAS  on the accuracy  of LAPACK routines.

The sections on generalized linear least squares problems and the generalized nonsymmetric eigenproblem are ``placeholders'' to be completed in the next versions of the library and manual. The next versions will also include error bounds for new high accuracy  routines for the symmetric eigenvalue problem and singular value decomposition.

Next: Sources of Error Up: Guide Previous: LAPACK Benchmark

Tue Nov 29 14:03:33 EST 1994