HSL_MA69 — Unsymmetric system whose leading subsystem is easy to solve

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HSL_MA69 Unsymmetric system whose leading subsystem is easy to solve

HSL_MA69 is a suite of Fortran 95 procedures for computing the the solution to an extended system of $n + m$ sparse real linear equations in $n + m$ unknowns,

(\begin{matrix} A & B \\ C & D \end{matrix}) (\begin{matrix} x_{1} \\ x_{2} \end{matrix}) = (\begin{matrix} b_{1} \\ b_{2} \end{matrix})

in the case where the $n$ by $n$ matrix $A$ is nonsingular and solutions to the systems

A x = b and A^{T} y = c

may be obtained from an external source, such as an existing factorization. The subroutine uses reverse communication to obtain the solution to such smaller systems. The method makes use of the Schur complement matrix

S = D - C A^{- 1} B .

The Schur complement is stored and factorized as a dense matrix and the subroutine is thus appropriate only if there is suﬃcient storage for this matrix. Special advantage is taken of symmetry and deﬁniteness in the coeﬃcient matrices. Provision is made for introducing additional rows and columns to, and removing existing rows and columns from, the extended matrix.