1: SUBROUTINE DHSEQR( JOB, COMPZ, N, ILO, IHI, H, LDH, WR, WI, Z,
2: $ LDZ, WORK, LWORK, INFO )
3: *
4: * -- LAPACK driver routine (version 3.2) --
5: * Univ. of Tennessee, Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..
6: * November 2006
7: *
8: * .. Scalar Arguments ..
9: INTEGER IHI, ILO, INFO, LDH, LDZ, LWORK, N
10: CHARACTER COMPZ, JOB
11: * ..
12: * .. Array Arguments ..
13: DOUBLE PRECISION H( LDH, * ), WI( * ), WORK( * ), WR( * ),
14: $ Z( LDZ, * )
15: * ..
16: * Purpose
17: * =======
18: *
19: * DHSEQR computes the eigenvalues of a Hessenberg matrix H
20: * and, optionally, the matrices T and Z from the Schur decomposition
21: * H = Z T Z**T, where T is an upper quasi-triangular matrix (the
22: * Schur form), and Z is the orthogonal matrix of Schur vectors.
23: *
24: * Optionally Z may be postmultiplied into an input orthogonal
25: * matrix Q so that this routine can give the Schur factorization
26: * of a matrix A which has been reduced to the Hessenberg form H
27: * by the orthogonal matrix Q: A = Q*H*Q**T = (QZ)*T*(QZ)**T.
28: *
29: * Arguments
30: * =========
31: *
32: * JOB (input) CHARACTER*1
33: * = 'E': compute eigenvalues only;
34: * = 'S': compute eigenvalues and the Schur form T.
35: *
36: * COMPZ (input) CHARACTER*1
37: * = 'N': no Schur vectors are computed;
38: * = 'I': Z is initialized to the unit matrix and the matrix Z
39: * of Schur vectors of H is returned;
40: * = 'V': Z must contain an orthogonal matrix Q on entry, and
41: * the product Q*Z is returned.
42: *
43: * N (input) INTEGER
44: * The order of the matrix H. N .GE. 0.
45: *
46: * ILO (input) INTEGER
47: * IHI (input) INTEGER
48: * It is assumed that H is already upper triangular in rows
49: * and columns 1:ILO-1 and IHI+1:N. ILO and IHI are normally
50: * set by a previous call to DGEBAL, and then passed to DGEHRD
51: * when the matrix output by DGEBAL is reduced to Hessenberg
52: * form. Otherwise ILO and IHI should be set to 1 and N
53: * respectively. If N.GT.0, then 1.LE.ILO.LE.IHI.LE.N.
54: * If N = 0, then ILO = 1 and IHI = 0.
55: *
56: * H (input/output) DOUBLE PRECISION array, dimension (LDH,N)
57: * On entry, the upper Hessenberg matrix H.
58: * On exit, if INFO = 0 and JOB = 'S', then H contains the
59: * upper quasi-triangular matrix T from the Schur decomposition
60: * (the Schur form); 2-by-2 diagonal blocks (corresponding to
61: * complex conjugate pairs of eigenvalues) are returned in
62: * standard form, with H(i,i) = H(i+1,i+1) and
63: * H(i+1,i)*H(i,i+1).LT.0. If INFO = 0 and JOB = 'E', the
64: * contents of H are unspecified on exit. (The output value of
65: * H when INFO.GT.0 is given under the description of INFO
66: * below.)
67: *
68: * Unlike earlier versions of DHSEQR, this subroutine may
69: * explicitly H(i,j) = 0 for i.GT.j and j = 1, 2, ... ILO-1
70: * or j = IHI+1, IHI+2, ... N.
71: *
72: * LDH (input) INTEGER
73: * The leading dimension of the array H. LDH .GE. max(1,N).
74: *
75: * WR (output) DOUBLE PRECISION array, dimension (N)
76: * WI (output) DOUBLE PRECISION array, dimension (N)
77: * The real and imaginary parts, respectively, of the computed
78: * eigenvalues. If two eigenvalues are computed as a complex
79: * conjugate pair, they are stored in consecutive elements of
80: * WR and WI, say the i-th and (i+1)th, with WI(i) .GT. 0 and
81: * WI(i+1) .LT. 0. If JOB = 'S', the eigenvalues are stored in
82: * the same order as on the diagonal of the Schur form returned
83: * in H, with WR(i) = H(i,i) and, if H(i:i+1,i:i+1) is a 2-by-2
84: * diagonal block, WI(i) = sqrt(-H(i+1,i)*H(i,i+1)) and
85: * WI(i+1) = -WI(i).
86: *
87: * Z (input/output) DOUBLE PRECISION array, dimension (LDZ,N)
88: * If COMPZ = 'N', Z is not referenced.
89: * If COMPZ = 'I', on entry Z need not be set and on exit,
90: * if INFO = 0, Z contains the orthogonal matrix Z of the Schur
91: * vectors of H. If COMPZ = 'V', on entry Z must contain an
92: * N-by-N matrix Q, which is assumed to be equal to the unit
93: * matrix except for the submatrix Z(ILO:IHI,ILO:IHI). On exit,
94: * if INFO = 0, Z contains Q*Z.
95: * Normally Q is the orthogonal matrix generated by DORGHR
96: * after the call to DGEHRD which formed the Hessenberg matrix
97: * H. (The output value of Z when INFO.GT.0 is given under
98: * the description of INFO below.)
99: *
100: * LDZ (input) INTEGER
101: * The leading dimension of the array Z. if COMPZ = 'I' or
102: * COMPZ = 'V', then LDZ.GE.MAX(1,N). Otherwize, LDZ.GE.1.
103: *
104: * WORK (workspace/output) DOUBLE PRECISION array, dimension (LWORK)
105: * On exit, if INFO = 0, WORK(1) returns an estimate of
106: * the optimal value for LWORK.
107: *
108: * LWORK (input) INTEGER
109: * The dimension of the array WORK. LWORK .GE. max(1,N)
110: * is sufficient and delivers very good and sometimes
111: * optimal performance. However, LWORK as large as 11*N
112: * may be required for optimal performance. A workspace
113: * query is recommended to determine the optimal workspace
114: * size.
115: *
116: * If LWORK = -1, then DHSEQR does a workspace query.
117: * In this case, DHSEQR checks the input parameters and
118: * estimates the optimal workspace size for the given
119: * values of N, ILO and IHI. The estimate is returned
120: * in WORK(1). No error message related to LWORK is
121: * issued by XERBLA. Neither H nor Z are accessed.
122: *
123: *
124: * INFO (output) INTEGER
125: * = 0: successful exit
126: * .LT. 0: if INFO = -i, the i-th argument had an illegal
127: * value
128: * .GT. 0: if INFO = i, DHSEQR failed to compute all of
129: * the eigenvalues. Elements 1:ilo-1 and i+1:n of WR
130: * and WI contain those eigenvalues which have been
131: * successfully computed. (Failures are rare.)
132: *
133: * If INFO .GT. 0 and JOB = 'E', then on exit, the
134: * remaining unconverged eigenvalues are the eigen-
135: * values of the upper Hessenberg matrix rows and
136: * columns ILO through INFO of the final, output
137: * value of H.
138: *
139: * If INFO .GT. 0 and JOB = 'S', then on exit
140: *
141: * (*) (initial value of H)*U = U*(final value of H)
142: *
143: * where U is an orthogonal matrix. The final
144: * value of H is upper Hessenberg and quasi-triangular
145: * in rows and columns INFO+1 through IHI.
146: *
147: * If INFO .GT. 0 and COMPZ = 'V', then on exit
148: *
149: * (final value of Z) = (initial value of Z)*U
150: *
151: * where U is the orthogonal matrix in (*) (regard-
152: * less of the value of JOB.)
153: *
154: * If INFO .GT. 0 and COMPZ = 'I', then on exit
155: * (final value of Z) = U
156: * where U is the orthogonal matrix in (*) (regard-
157: * less of the value of JOB.)
158: *
159: * If INFO .GT. 0 and COMPZ = 'N', then Z is not
160: * accessed.
161: *
162: * ================================================================
163: * Default values supplied by
164: * ILAENV(ISPEC,'DHSEQR',JOB(:1)//COMPZ(:1),N,ILO,IHI,LWORK).
165: * It is suggested that these defaults be adjusted in order
166: * to attain best performance in each particular
167: * computational environment.
168: *
169: * ISPEC=12: The DLAHQR vs DLAQR0 crossover point.
170: * Default: 75. (Must be at least 11.)
171: *
172: * ISPEC=13: Recommended deflation window size.
173: * This depends on ILO, IHI and NS. NS is the
174: * number of simultaneous shifts returned
175: * by ILAENV(ISPEC=15). (See ISPEC=15 below.)
176: * The default for (IHI-ILO+1).LE.500 is NS.
177: * The default for (IHI-ILO+1).GT.500 is 3*NS/2.
178: *
179: * ISPEC=14: Nibble crossover point. (See IPARMQ for
180: * details.) Default: 14% of deflation window
181: * size.
182: *
183: * ISPEC=15: Number of simultaneous shifts in a multishift
184: * QR iteration.
185: *
186: * If IHI-ILO+1 is ...
187: *
188: * greater than ...but less ... the
189: * or equal to ... than default is
190: *
191: * 1 30 NS = 2(+)
192: * 30 60 NS = 4(+)
193: * 60 150 NS = 10(+)
194: * 150 590 NS = **
195: * 590 3000 NS = 64
196: * 3000 6000 NS = 128
197: * 6000 infinity NS = 256
198: *
199: * (+) By default some or all matrices of this order
200: * are passed to the implicit double shift routine
201: * DLAHQR and this parameter is ignored. See
202: * ISPEC=12 above and comments in IPARMQ for
203: * details.
204: *
205: * (**) The asterisks (**) indicate an ad-hoc
206: * function of N increasing from 10 to 64.
207: *
208: * ISPEC=16: Select structured matrix multiply.
209: * If the number of simultaneous shifts (specified
210: * by ISPEC=15) is less than 14, then the default
211: * for ISPEC=16 is 0. Otherwise the default for
212: * ISPEC=16 is 2.
213: *
214: * ================================================================
215: * Based on contributions by
216: * Karen Braman and Ralph Byers, Department of Mathematics,
217: * University of Kansas, USA
218: *
219: * ================================================================
220: * References:
221: * K. Braman, R. Byers and R. Mathias, The Multi-Shift QR
222: * Algorithm Part I: Maintaining Well Focused Shifts, and Level 3
223: * Performance, SIAM Journal of Matrix Analysis, volume 23, pages
224: * 929--947, 2002.
225: *
226: * K. Braman, R. Byers and R. Mathias, The Multi-Shift QR
227: * Algorithm Part II: Aggressive Early Deflation, SIAM Journal
228: * of Matrix Analysis, volume 23, pages 948--973, 2002.
229: *
230: * ================================================================
231: * .. Parameters ..
232: *
233: * ==== Matrices of order NTINY or smaller must be processed by
234: * . DLAHQR because of insufficient subdiagonal scratch space.
235: * . (This is a hard limit.) ====
236: INTEGER NTINY
237: PARAMETER ( NTINY = 11 )
238: *
239: * ==== NL allocates some local workspace to help small matrices
240: * . through a rare DLAHQR failure. NL .GT. NTINY = 11 is
241: * . required and NL .LE. NMIN = ILAENV(ISPEC=12,...) is recom-
242: * . mended. (The default value of NMIN is 75.) Using NL = 49
243: * . allows up to six simultaneous shifts and a 16-by-16
244: * . deflation window. ====
245: INTEGER NL
246: PARAMETER ( NL = 49 )
247: DOUBLE PRECISION ZERO, ONE
248: PARAMETER ( ZERO = 0.0d0, ONE = 1.0d0 )
249: * ..
250: * .. Local Arrays ..
251: DOUBLE PRECISION HL( NL, NL ), WORKL( NL )
252: * ..
253: * .. Local Scalars ..
254: INTEGER I, KBOT, NMIN
255: LOGICAL INITZ, LQUERY, WANTT, WANTZ
256: * ..
257: * .. External Functions ..
258: INTEGER ILAENV
259: LOGICAL LSAME
260: EXTERNAL ILAENV, LSAME
261: * ..
262: * .. External Subroutines ..
263: EXTERNAL DLACPY, DLAHQR, DLAQR0, DLASET, XERBLA
264: * ..
265: * .. Intrinsic Functions ..
266: INTRINSIC DBLE, MAX, MIN
267: * ..
268: * .. Executable Statements ..
269: *
270: * ==== Decode and check the input parameters. ====
271: *
272: WANTT = LSAME( JOB, 'S' )
273: INITZ = LSAME( COMPZ, 'I' )
274: WANTZ = INITZ .OR. LSAME( COMPZ, 'V' )
275: WORK( 1 ) = DBLE( MAX( 1, N ) )
276: LQUERY = LWORK.EQ.-1
277: *
278: INFO = 0
279: IF( .NOT.LSAME( JOB, 'E' ) .AND. .NOT.WANTT ) THEN
280: INFO = -1
281: ELSE IF( .NOT.LSAME( COMPZ, 'N' ) .AND. .NOT.WANTZ ) THEN
282: INFO = -2
283: ELSE IF( N.LT.0 ) THEN
284: INFO = -3
285: ELSE IF( ILO.LT.1 .OR. ILO.GT.MAX( 1, N ) ) THEN
286: INFO = -4
287: ELSE IF( IHI.LT.MIN( ILO, N ) .OR. IHI.GT.N ) THEN
288: INFO = -5
289: ELSE IF( LDH.LT.MAX( 1, N ) ) THEN
290: INFO = -7
291: ELSE IF( LDZ.LT.1 .OR. ( WANTZ .AND. LDZ.LT.MAX( 1, N ) ) ) THEN
292: INFO = -11
293: ELSE IF( LWORK.LT.MAX( 1, N ) .AND. .NOT.LQUERY ) THEN
294: INFO = -13
295: END IF
296: *
297: IF( INFO.NE.0 ) THEN
298: *
299: * ==== Quick return in case of invalid argument. ====
300: *
301: CALL XERBLA( 'DHSEQR', -INFO )
302: RETURN
303: *
304: ELSE IF( N.EQ.0 ) THEN
305: *
306: * ==== Quick return in case N = 0; nothing to do. ====
307: *
308: RETURN
309: *
310: ELSE IF( LQUERY ) THEN
311: *
312: * ==== Quick return in case of a workspace query ====
313: *
314: CALL DLAQR0( WANTT, WANTZ, N, ILO, IHI, H, LDH, WR, WI, ILO,
315: $ IHI, Z, LDZ, WORK, LWORK, INFO )
316: * ==== Ensure reported workspace size is backward-compatible with
317: * . previous LAPACK versions. ====
318: WORK( 1 ) = MAX( DBLE( MAX( 1, N ) ), WORK( 1 ) )
319: RETURN
320: *
321: ELSE
322: *
323: * ==== copy eigenvalues isolated by DGEBAL ====
324: *
325: DO 10 I = 1, ILO - 1
326: WR( I ) = H( I, I )
327: WI( I ) = ZERO
328: 10 CONTINUE
329: DO 20 I = IHI + 1, N
330: WR( I ) = H( I, I )
331: WI( I ) = ZERO
332: 20 CONTINUE
333: *
334: * ==== Initialize Z, if requested ====
335: *
336: IF( INITZ )
337: $ CALL DLASET( 'A', N, N, ZERO, ONE, Z, LDZ )
338: *
339: * ==== Quick return if possible ====
340: *
341: IF( ILO.EQ.IHI ) THEN
342: WR( ILO ) = H( ILO, ILO )
343: WI( ILO ) = ZERO
344: RETURN
345: END IF
346: *
347: * ==== DLAHQR/DLAQR0 crossover point ====
348: *
349: NMIN = ILAENV( 12, 'DHSEQR', JOB( : 1 ) // COMPZ( : 1 ), N,
350: $ ILO, IHI, LWORK )
351: NMIN = MAX( NTINY, NMIN )
352: *
353: * ==== DLAQR0 for big matrices; DLAHQR for small ones ====
354: *
355: IF( N.GT.NMIN ) THEN
356: CALL DLAQR0( WANTT, WANTZ, N, ILO, IHI, H, LDH, WR, WI, ILO,
357: $ IHI, Z, LDZ, WORK, LWORK, INFO )
358: ELSE
359: *
360: * ==== Small matrix ====
361: *
362: CALL DLAHQR( WANTT, WANTZ, N, ILO, IHI, H, LDH, WR, WI, ILO,
363: $ IHI, Z, LDZ, INFO )
364: *
365: IF( INFO.GT.0 ) THEN
366: *
367: * ==== A rare DLAHQR failure! DLAQR0 sometimes succeeds
368: * . when DLAHQR fails. ====
369: *
370: KBOT = INFO
371: *
372: IF( N.GE.NL ) THEN
373: *
374: * ==== Larger matrices have enough subdiagonal scratch
375: * . space to call DLAQR0 directly. ====
376: *
377: CALL DLAQR0( WANTT, WANTZ, N, ILO, KBOT, H, LDH, WR,
378: $ WI, ILO, IHI, Z, LDZ, WORK, LWORK, INFO )
379: *
380: ELSE
381: *
382: * ==== Tiny matrices don't have enough subdiagonal
383: * . scratch space to benefit from DLAQR0. Hence,
384: * . tiny matrices must be copied into a larger
385: * . array before calling DLAQR0. ====
386: *
387: CALL DLACPY( 'A', N, N, H, LDH, HL, NL )
388: HL( N+1, N ) = ZERO
389: CALL DLASET( 'A', NL, NL-N, ZERO, ZERO, HL( 1, N+1 ),
390: $ NL )
391: CALL DLAQR0( WANTT, WANTZ, NL, ILO, KBOT, HL, NL, WR,
392: $ WI, ILO, IHI, Z, LDZ, WORKL, NL, INFO )
393: IF( WANTT .OR. INFO.NE.0 )
394: $ CALL DLACPY( 'A', N, N, HL, NL, H, LDH )
395: END IF
396: END IF
397: END IF
398: *
399: * ==== Clear out the trash, if necessary. ====
400: *
401: IF( ( WANTT .OR. INFO.NE.0 ) .AND. N.GT.2 )
402: $ CALL DLASET( 'L', N-2, N-2, ZERO, ZERO, H( 3, 1 ), LDH )
403: *
404: * ==== Ensure reported workspace size is backward-compatible with
405: * . previous LAPACK versions. ====
406: *
407: WORK( 1 ) = MAX( DBLE( MAX( 1, N ) ), WORK( 1 ) )
408: END IF
409: *
410: * ==== End of DHSEQR ====
411: *
412: END
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