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1.6 bertrand 1: *> \brief \b DPSTRF
2: *
3: * =========== DOCUMENTATION ===========
4: *
5: * Online html documentation available at
6: * http://www.netlib.org/lapack/explore-html/
7: *
8: *> \htmlonly
9: *> Download DPSTRF + dependencies
10: *> <a href="http://www.netlib.org/cgi-bin/netlibfiles.tgz?format=tgz&filename=/lapack/lapack_routine/dpstrf.f">
11: *> [TGZ]</a>
12: *> <a href="http://www.netlib.org/cgi-bin/netlibfiles.zip?format=zip&filename=/lapack/lapack_routine/dpstrf.f">
13: *> [ZIP]</a>
14: *> <a href="http://www.netlib.org/cgi-bin/netlibfiles.txt?format=txt&filename=/lapack/lapack_routine/dpstrf.f">
15: *> [TXT]</a>
16: *> \endhtmlonly
17: *
18: * Definition:
19: * ===========
20: *
21: * SUBROUTINE DPSTRF( UPLO, N, A, LDA, PIV, RANK, TOL, WORK, INFO )
22: *
23: * .. Scalar Arguments ..
24: * DOUBLE PRECISION TOL
25: * INTEGER INFO, LDA, N, RANK
26: * CHARACTER UPLO
27: * ..
28: * .. Array Arguments ..
29: * DOUBLE PRECISION A( LDA, * ), WORK( 2*N )
30: * INTEGER PIV( N )
31: * ..
32: *
33: *
34: *> \par Purpose:
35: * =============
36: *>
37: *> \verbatim
38: *>
39: *> DPSTRF computes the Cholesky factorization with complete
40: *> pivoting of a real symmetric positive semidefinite matrix A.
41: *>
42: *> The factorization has the form
43: *> P**T * A * P = U**T * U , if UPLO = 'U',
44: *> P**T * A * P = L * L**T, if UPLO = 'L',
45: *> where U is an upper triangular matrix and L is lower triangular, and
46: *> P is stored as vector PIV.
47: *>
48: *> This algorithm does not attempt to check that A is positive
49: *> semidefinite. This version of the algorithm calls level 3 BLAS.
50: *> \endverbatim
51: *
52: * Arguments:
53: * ==========
54: *
55: *> \param[in] UPLO
56: *> \verbatim
57: *> UPLO is CHARACTER*1
58: *> Specifies whether the upper or lower triangular part of the
59: *> symmetric matrix A is stored.
60: *> = 'U': Upper triangular
61: *> = 'L': Lower triangular
62: *> \endverbatim
63: *>
64: *> \param[in] N
65: *> \verbatim
66: *> N is INTEGER
67: *> The order of the matrix A. N >= 0.
68: *> \endverbatim
69: *>
70: *> \param[in,out] A
71: *> \verbatim
72: *> A is DOUBLE PRECISION array, dimension (LDA,N)
73: *> On entry, the symmetric matrix A. If UPLO = 'U', the leading
74: *> n by n upper triangular part of A contains the upper
75: *> triangular part of the matrix A, and the strictly lower
76: *> triangular part of A is not referenced. If UPLO = 'L', the
77: *> leading n by n lower triangular part of A contains the lower
78: *> triangular part of the matrix A, and the strictly upper
79: *> triangular part of A is not referenced.
80: *>
81: *> On exit, if INFO = 0, the factor U or L from the Cholesky
82: *> factorization as above.
83: *> \endverbatim
84: *>
85: *> \param[in] LDA
86: *> \verbatim
87: *> LDA is INTEGER
88: *> The leading dimension of the array A. LDA >= max(1,N).
89: *> \endverbatim
90: *>
91: *> \param[out] PIV
92: *> \verbatim
93: *> PIV is INTEGER array, dimension (N)
94: *> PIV is such that the nonzero entries are P( PIV(K), K ) = 1.
95: *> \endverbatim
96: *>
97: *> \param[out] RANK
98: *> \verbatim
99: *> RANK is INTEGER
100: *> The rank of A given by the number of steps the algorithm
101: *> completed.
102: *> \endverbatim
103: *>
104: *> \param[in] TOL
105: *> \verbatim
106: *> TOL is DOUBLE PRECISION
107: *> User defined tolerance. If TOL < 0, then N*U*MAX( A(K,K) )
108: *> will be used. The algorithm terminates at the (K-1)st step
109: *> if the pivot <= TOL.
110: *> \endverbatim
111: *>
112: *> \param[out] WORK
113: *> \verbatim
114: *> WORK is DOUBLE PRECISION array, dimension (2*N)
115: *> Work space.
116: *> \endverbatim
117: *>
118: *> \param[out] INFO
119: *> \verbatim
120: *> INFO is INTEGER
121: *> < 0: If INFO = -K, the K-th argument had an illegal value,
122: *> = 0: algorithm completed successfully, and
123: *> > 0: the matrix A is either rank deficient with computed rank
124: *> as returned in RANK, or is indefinite. See Section 7 of
125: *> LAPACK Working Note #161 for further information.
126: *> \endverbatim
127: *
128: * Authors:
129: * ========
130: *
131: *> \author Univ. of Tennessee
132: *> \author Univ. of California Berkeley
133: *> \author Univ. of Colorado Denver
134: *> \author NAG Ltd.
135: *
136: *> \date November 2011
137: *
138: *> \ingroup doubleOTHERcomputational
139: *
140: * =====================================================================
1.1 bertrand 141: SUBROUTINE DPSTRF( UPLO, N, A, LDA, PIV, RANK, TOL, WORK, INFO )
142: *
1.6 bertrand 143: * -- LAPACK computational routine (version 3.4.0) --
144: * -- LAPACK is a software package provided by Univ. of Tennessee, --
145: * -- Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..--
146: * November 2011
1.1 bertrand 147: *
148: * .. Scalar Arguments ..
149: DOUBLE PRECISION TOL
150: INTEGER INFO, LDA, N, RANK
151: CHARACTER UPLO
152: * ..
153: * .. Array Arguments ..
154: DOUBLE PRECISION A( LDA, * ), WORK( 2*N )
155: INTEGER PIV( N )
156: * ..
157: *
158: * =====================================================================
159: *
160: * .. Parameters ..
161: DOUBLE PRECISION ONE, ZERO
162: PARAMETER ( ONE = 1.0D+0, ZERO = 0.0D+0 )
163: * ..
164: * .. Local Scalars ..
165: DOUBLE PRECISION AJJ, DSTOP, DTEMP
166: INTEGER I, ITEMP, J, JB, K, NB, PVT
167: LOGICAL UPPER
168: * ..
169: * .. External Functions ..
170: DOUBLE PRECISION DLAMCH
171: INTEGER ILAENV
172: LOGICAL LSAME, DISNAN
173: EXTERNAL DLAMCH, ILAENV, LSAME, DISNAN
174: * ..
175: * .. External Subroutines ..
176: EXTERNAL DGEMV, DPSTF2, DSCAL, DSWAP, DSYRK, XERBLA
177: * ..
178: * .. Intrinsic Functions ..
179: INTRINSIC MAX, MIN, SQRT, MAXLOC
180: * ..
181: * .. Executable Statements ..
182: *
183: * Test the input parameters.
184: *
185: INFO = 0
186: UPPER = LSAME( UPLO, 'U' )
187: IF( .NOT.UPPER .AND. .NOT.LSAME( UPLO, 'L' ) ) THEN
188: INFO = -1
189: ELSE IF( N.LT.0 ) THEN
190: INFO = -2
191: ELSE IF( LDA.LT.MAX( 1, N ) ) THEN
192: INFO = -4
193: END IF
194: IF( INFO.NE.0 ) THEN
195: CALL XERBLA( 'DPSTRF', -INFO )
196: RETURN
197: END IF
198: *
199: * Quick return if possible
200: *
201: IF( N.EQ.0 )
202: $ RETURN
203: *
204: * Get block size
205: *
206: NB = ILAENV( 1, 'DPOTRF', UPLO, N, -1, -1, -1 )
207: IF( NB.LE.1 .OR. NB.GE.N ) THEN
208: *
209: * Use unblocked code
210: *
211: CALL DPSTF2( UPLO, N, A( 1, 1 ), LDA, PIV, RANK, TOL, WORK,
212: $ INFO )
213: GO TO 200
214: *
215: ELSE
216: *
217: * Initialize PIV
218: *
219: DO 100 I = 1, N
220: PIV( I ) = I
221: 100 CONTINUE
222: *
223: * Compute stopping value
224: *
225: PVT = 1
226: AJJ = A( PVT, PVT )
227: DO I = 2, N
228: IF( A( I, I ).GT.AJJ ) THEN
229: PVT = I
230: AJJ = A( PVT, PVT )
231: END IF
232: END DO
233: IF( AJJ.EQ.ZERO.OR.DISNAN( AJJ ) ) THEN
234: RANK = 0
235: INFO = 1
236: GO TO 200
237: END IF
238: *
239: * Compute stopping value if not supplied
240: *
241: IF( TOL.LT.ZERO ) THEN
242: DSTOP = N * DLAMCH( 'Epsilon' ) * AJJ
243: ELSE
244: DSTOP = TOL
245: END IF
246: *
247: *
248: IF( UPPER ) THEN
249: *
1.5 bertrand 250: * Compute the Cholesky factorization P**T * A * P = U**T * U
1.1 bertrand 251: *
252: DO 140 K = 1, N, NB
253: *
254: * Account for last block not being NB wide
255: *
256: JB = MIN( NB, N-K+1 )
257: *
258: * Set relevant part of first half of WORK to zero,
259: * holds dot products
260: *
261: DO 110 I = K, N
262: WORK( I ) = 0
263: 110 CONTINUE
264: *
265: DO 130 J = K, K + JB - 1
266: *
267: * Find pivot, test for exit, else swap rows and columns
268: * Update dot products, compute possible pivots which are
269: * stored in the second half of WORK
270: *
271: DO 120 I = J, N
272: *
273: IF( J.GT.K ) THEN
274: WORK( I ) = WORK( I ) + A( J-1, I )**2
275: END IF
276: WORK( N+I ) = A( I, I ) - WORK( I )
277: *
278: 120 CONTINUE
279: *
280: IF( J.GT.1 ) THEN
281: ITEMP = MAXLOC( WORK( (N+J):(2*N) ), 1 )
282: PVT = ITEMP + J - 1
283: AJJ = WORK( N+PVT )
284: IF( AJJ.LE.DSTOP.OR.DISNAN( AJJ ) ) THEN
285: A( J, J ) = AJJ
286: GO TO 190
287: END IF
288: END IF
289: *
290: IF( J.NE.PVT ) THEN
291: *
292: * Pivot OK, so can now swap pivot rows and columns
293: *
294: A( PVT, PVT ) = A( J, J )
295: CALL DSWAP( J-1, A( 1, J ), 1, A( 1, PVT ), 1 )
296: IF( PVT.LT.N )
297: $ CALL DSWAP( N-PVT, A( J, PVT+1 ), LDA,
298: $ A( PVT, PVT+1 ), LDA )
299: CALL DSWAP( PVT-J-1, A( J, J+1 ), LDA,
300: $ A( J+1, PVT ), 1 )
301: *
302: * Swap dot products and PIV
303: *
304: DTEMP = WORK( J )
305: WORK( J ) = WORK( PVT )
306: WORK( PVT ) = DTEMP
307: ITEMP = PIV( PVT )
308: PIV( PVT ) = PIV( J )
309: PIV( J ) = ITEMP
310: END IF
311: *
312: AJJ = SQRT( AJJ )
313: A( J, J ) = AJJ
314: *
315: * Compute elements J+1:N of row J.
316: *
317: IF( J.LT.N ) THEN
318: CALL DGEMV( 'Trans', J-K, N-J, -ONE, A( K, J+1 ),
319: $ LDA, A( K, J ), 1, ONE, A( J, J+1 ),
320: $ LDA )
321: CALL DSCAL( N-J, ONE / AJJ, A( J, J+1 ), LDA )
322: END IF
323: *
324: 130 CONTINUE
325: *
326: * Update trailing matrix, J already incremented
327: *
328: IF( K+JB.LE.N ) THEN
329: CALL DSYRK( 'Upper', 'Trans', N-J+1, JB, -ONE,
330: $ A( K, J ), LDA, ONE, A( J, J ), LDA )
331: END IF
332: *
333: 140 CONTINUE
334: *
335: ELSE
336: *
1.5 bertrand 337: * Compute the Cholesky factorization P**T * A * P = L * L**T
1.1 bertrand 338: *
339: DO 180 K = 1, N, NB
340: *
341: * Account for last block not being NB wide
342: *
343: JB = MIN( NB, N-K+1 )
344: *
345: * Set relevant part of first half of WORK to zero,
346: * holds dot products
347: *
348: DO 150 I = K, N
349: WORK( I ) = 0
350: 150 CONTINUE
351: *
352: DO 170 J = K, K + JB - 1
353: *
354: * Find pivot, test for exit, else swap rows and columns
355: * Update dot products, compute possible pivots which are
356: * stored in the second half of WORK
357: *
358: DO 160 I = J, N
359: *
360: IF( J.GT.K ) THEN
361: WORK( I ) = WORK( I ) + A( I, J-1 )**2
362: END IF
363: WORK( N+I ) = A( I, I ) - WORK( I )
364: *
365: 160 CONTINUE
366: *
367: IF( J.GT.1 ) THEN
368: ITEMP = MAXLOC( WORK( (N+J):(2*N) ), 1 )
369: PVT = ITEMP + J - 1
370: AJJ = WORK( N+PVT )
371: IF( AJJ.LE.DSTOP.OR.DISNAN( AJJ ) ) THEN
372: A( J, J ) = AJJ
373: GO TO 190
374: END IF
375: END IF
376: *
377: IF( J.NE.PVT ) THEN
378: *
379: * Pivot OK, so can now swap pivot rows and columns
380: *
381: A( PVT, PVT ) = A( J, J )
382: CALL DSWAP( J-1, A( J, 1 ), LDA, A( PVT, 1 ), LDA )
383: IF( PVT.LT.N )
384: $ CALL DSWAP( N-PVT, A( PVT+1, J ), 1,
385: $ A( PVT+1, PVT ), 1 )
386: CALL DSWAP( PVT-J-1, A( J+1, J ), 1, A( PVT, J+1 ),
387: $ LDA )
388: *
389: * Swap dot products and PIV
390: *
391: DTEMP = WORK( J )
392: WORK( J ) = WORK( PVT )
393: WORK( PVT ) = DTEMP
394: ITEMP = PIV( PVT )
395: PIV( PVT ) = PIV( J )
396: PIV( J ) = ITEMP
397: END IF
398: *
399: AJJ = SQRT( AJJ )
400: A( J, J ) = AJJ
401: *
402: * Compute elements J+1:N of column J.
403: *
404: IF( J.LT.N ) THEN
405: CALL DGEMV( 'No Trans', N-J, J-K, -ONE,
406: $ A( J+1, K ), LDA, A( J, K ), LDA, ONE,
407: $ A( J+1, J ), 1 )
408: CALL DSCAL( N-J, ONE / AJJ, A( J+1, J ), 1 )
409: END IF
410: *
411: 170 CONTINUE
412: *
413: * Update trailing matrix, J already incremented
414: *
415: IF( K+JB.LE.N ) THEN
416: CALL DSYRK( 'Lower', 'No Trans', N-J+1, JB, -ONE,
417: $ A( J, K ), LDA, ONE, A( J, J ), LDA )
418: END IF
419: *
420: 180 CONTINUE
421: *
422: END IF
423: END IF
424: *
425: * Ran to completion, A has full rank
426: *
427: RANK = N
428: *
429: GO TO 200
430: 190 CONTINUE
431: *
432: * Rank is the number of steps completed. Set INFO = 1 to signal
433: * that the factorization cannot be used to solve a system.
434: *
435: RANK = J - 1
436: INFO = 1
437: *
438: 200 CONTINUE
439: RETURN
440: *
441: * End of DPSTRF
442: *
443: END