Annotation of rpl/lapack/lapack/dtgsja.f, revision 1.5
1.1 bertrand 1: SUBROUTINE DTGSJA( JOBU, JOBV, JOBQ, M, P, N, K, L, A, LDA, B,
2: $ LDB, TOLA, TOLB, ALPHA, BETA, U, LDU, V, LDV,
3: $ Q, LDQ, WORK, NCYCLE, INFO )
4: *
5: * -- LAPACK routine (version 3.2.1) --
6: * -- LAPACK is a software package provided by Univ. of Tennessee, --
7: * -- Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..--
8: * -- April 2009 --
9: *
10: * .. Scalar Arguments ..
11: CHARACTER JOBQ, JOBU, JOBV
12: INTEGER INFO, K, L, LDA, LDB, LDQ, LDU, LDV, M, N,
13: $ NCYCLE, P
14: DOUBLE PRECISION TOLA, TOLB
15: * ..
16: * .. Array Arguments ..
17: DOUBLE PRECISION A( LDA, * ), ALPHA( * ), B( LDB, * ),
18: $ BETA( * ), Q( LDQ, * ), U( LDU, * ),
19: $ V( LDV, * ), WORK( * )
20: * ..
21: *
22: * Purpose
23: * =======
24: *
25: * DTGSJA computes the generalized singular value decomposition (GSVD)
26: * of two real upper triangular (or trapezoidal) matrices A and B.
27: *
28: * On entry, it is assumed that matrices A and B have the following
29: * forms, which may be obtained by the preprocessing subroutine DGGSVP
30: * from a general M-by-N matrix A and P-by-N matrix B:
31: *
32: * N-K-L K L
33: * A = K ( 0 A12 A13 ) if M-K-L >= 0;
34: * L ( 0 0 A23 )
35: * M-K-L ( 0 0 0 )
36: *
37: * N-K-L K L
38: * A = K ( 0 A12 A13 ) if M-K-L < 0;
39: * M-K ( 0 0 A23 )
40: *
41: * N-K-L K L
42: * B = L ( 0 0 B13 )
43: * P-L ( 0 0 0 )
44: *
45: * where the K-by-K matrix A12 and L-by-L matrix B13 are nonsingular
46: * upper triangular; A23 is L-by-L upper triangular if M-K-L >= 0,
47: * otherwise A23 is (M-K)-by-L upper trapezoidal.
48: *
49: * On exit,
50: *
51: * U'*A*Q = D1*( 0 R ), V'*B*Q = D2*( 0 R ),
52: *
53: * where U, V and Q are orthogonal matrices, Z' denotes the transpose
54: * of Z, R is a nonsingular upper triangular matrix, and D1 and D2 are
55: * ``diagonal'' matrices, which are of the following structures:
56: *
57: * If M-K-L >= 0,
58: *
59: * K L
60: * D1 = K ( I 0 )
61: * L ( 0 C )
62: * M-K-L ( 0 0 )
63: *
64: * K L
65: * D2 = L ( 0 S )
66: * P-L ( 0 0 )
67: *
68: * N-K-L K L
69: * ( 0 R ) = K ( 0 R11 R12 ) K
70: * L ( 0 0 R22 ) L
71: *
72: * where
73: *
74: * C = diag( ALPHA(K+1), ... , ALPHA(K+L) ),
75: * S = diag( BETA(K+1), ... , BETA(K+L) ),
76: * C**2 + S**2 = I.
77: *
78: * R is stored in A(1:K+L,N-K-L+1:N) on exit.
79: *
80: * If M-K-L < 0,
81: *
82: * K M-K K+L-M
83: * D1 = K ( I 0 0 )
84: * M-K ( 0 C 0 )
85: *
86: * K M-K K+L-M
87: * D2 = M-K ( 0 S 0 )
88: * K+L-M ( 0 0 I )
89: * P-L ( 0 0 0 )
90: *
91: * N-K-L K M-K K+L-M
92: * ( 0 R ) = K ( 0 R11 R12 R13 )
93: * M-K ( 0 0 R22 R23 )
94: * K+L-M ( 0 0 0 R33 )
95: *
96: * where
97: * C = diag( ALPHA(K+1), ... , ALPHA(M) ),
98: * S = diag( BETA(K+1), ... , BETA(M) ),
99: * C**2 + S**2 = I.
100: *
101: * R = ( R11 R12 R13 ) is stored in A(1:M, N-K-L+1:N) and R33 is stored
102: * ( 0 R22 R23 )
103: * in B(M-K+1:L,N+M-K-L+1:N) on exit.
104: *
105: * The computation of the orthogonal transformation matrices U, V or Q
106: * is optional. These matrices may either be formed explicitly, or they
107: * may be postmultiplied into input matrices U1, V1, or Q1.
108: *
109: * Arguments
110: * =========
111: *
112: * JOBU (input) CHARACTER*1
113: * = 'U': U must contain an orthogonal matrix U1 on entry, and
114: * the product U1*U is returned;
115: * = 'I': U is initialized to the unit matrix, and the
116: * orthogonal matrix U is returned;
117: * = 'N': U is not computed.
118: *
119: * JOBV (input) CHARACTER*1
120: * = 'V': V must contain an orthogonal matrix V1 on entry, and
121: * the product V1*V is returned;
122: * = 'I': V is initialized to the unit matrix, and the
123: * orthogonal matrix V is returned;
124: * = 'N': V is not computed.
125: *
126: * JOBQ (input) CHARACTER*1
127: * = 'Q': Q must contain an orthogonal matrix Q1 on entry, and
128: * the product Q1*Q is returned;
129: * = 'I': Q is initialized to the unit matrix, and the
130: * orthogonal matrix Q is returned;
131: * = 'N': Q is not computed.
132: *
133: * M (input) INTEGER
134: * The number of rows of the matrix A. M >= 0.
135: *
136: * P (input) INTEGER
137: * The number of rows of the matrix B. P >= 0.
138: *
139: * N (input) INTEGER
140: * The number of columns of the matrices A and B. N >= 0.
141: *
142: * K (input) INTEGER
143: * L (input) INTEGER
144: * K and L specify the subblocks in the input matrices A and B:
145: * A23 = A(K+1:MIN(K+L,M),N-L+1:N) and B13 = B(1:L,N-L+1:N)
146: * of A and B, whose GSVD is going to be computed by DTGSJA.
147: * See Further Details.
148: *
149: * A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
150: * On entry, the M-by-N matrix A.
151: * On exit, A(N-K+1:N,1:MIN(K+L,M) ) contains the triangular
152: * matrix R or part of R. See Purpose for details.
153: *
154: * LDA (input) INTEGER
155: * The leading dimension of the array A. LDA >= max(1,M).
156: *
157: * B (input/output) DOUBLE PRECISION array, dimension (LDB,N)
158: * On entry, the P-by-N matrix B.
159: * On exit, if necessary, B(M-K+1:L,N+M-K-L+1:N) contains
160: * a part of R. See Purpose for details.
161: *
162: * LDB (input) INTEGER
163: * The leading dimension of the array B. LDB >= max(1,P).
164: *
165: * TOLA (input) DOUBLE PRECISION
166: * TOLB (input) DOUBLE PRECISION
167: * TOLA and TOLB are the convergence criteria for the Jacobi-
168: * Kogbetliantz iteration procedure. Generally, they are the
169: * same as used in the preprocessing step, say
170: * TOLA = max(M,N)*norm(A)*MAZHEPS,
171: * TOLB = max(P,N)*norm(B)*MAZHEPS.
172: *
173: * ALPHA (output) DOUBLE PRECISION array, dimension (N)
174: * BETA (output) DOUBLE PRECISION array, dimension (N)
175: * On exit, ALPHA and BETA contain the generalized singular
176: * value pairs of A and B;
177: * ALPHA(1:K) = 1,
178: * BETA(1:K) = 0,
179: * and if M-K-L >= 0,
180: * ALPHA(K+1:K+L) = diag(C),
181: * BETA(K+1:K+L) = diag(S),
182: * or if M-K-L < 0,
183: * ALPHA(K+1:M)= C, ALPHA(M+1:K+L)= 0
184: * BETA(K+1:M) = S, BETA(M+1:K+L) = 1.
185: * Furthermore, if K+L < N,
186: * ALPHA(K+L+1:N) = 0 and
187: * BETA(K+L+1:N) = 0.
188: *
189: * U (input/output) DOUBLE PRECISION array, dimension (LDU,M)
190: * On entry, if JOBU = 'U', U must contain a matrix U1 (usually
191: * the orthogonal matrix returned by DGGSVP).
192: * On exit,
193: * if JOBU = 'I', U contains the orthogonal matrix U;
194: * if JOBU = 'U', U contains the product U1*U.
195: * If JOBU = 'N', U is not referenced.
196: *
197: * LDU (input) INTEGER
198: * The leading dimension of the array U. LDU >= max(1,M) if
199: * JOBU = 'U'; LDU >= 1 otherwise.
200: *
201: * V (input/output) DOUBLE PRECISION array, dimension (LDV,P)
202: * On entry, if JOBV = 'V', V must contain a matrix V1 (usually
203: * the orthogonal matrix returned by DGGSVP).
204: * On exit,
205: * if JOBV = 'I', V contains the orthogonal matrix V;
206: * if JOBV = 'V', V contains the product V1*V.
207: * If JOBV = 'N', V is not referenced.
208: *
209: * LDV (input) INTEGER
210: * The leading dimension of the array V. LDV >= max(1,P) if
211: * JOBV = 'V'; LDV >= 1 otherwise.
212: *
213: * Q (input/output) DOUBLE PRECISION array, dimension (LDQ,N)
214: * On entry, if JOBQ = 'Q', Q must contain a matrix Q1 (usually
215: * the orthogonal matrix returned by DGGSVP).
216: * On exit,
217: * if JOBQ = 'I', Q contains the orthogonal matrix Q;
218: * if JOBQ = 'Q', Q contains the product Q1*Q.
219: * If JOBQ = 'N', Q is not referenced.
220: *
221: * LDQ (input) INTEGER
222: * The leading dimension of the array Q. LDQ >= max(1,N) if
223: * JOBQ = 'Q'; LDQ >= 1 otherwise.
224: *
225: * WORK (workspace) DOUBLE PRECISION array, dimension (2*N)
226: *
227: * NCYCLE (output) INTEGER
228: * The number of cycles required for convergence.
229: *
230: * INFO (output) INTEGER
231: * = 0: successful exit
232: * < 0: if INFO = -i, the i-th argument had an illegal value.
233: * = 1: the procedure does not converge after MAXIT cycles.
234: *
235: * Internal Parameters
236: * ===================
237: *
238: * MAXIT INTEGER
239: * MAXIT specifies the total loops that the iterative procedure
240: * may take. If after MAXIT cycles, the routine fails to
241: * converge, we return INFO = 1.
242: *
243: * Further Details
244: * ===============
245: *
246: * DTGSJA essentially uses a variant of Kogbetliantz algorithm to reduce
247: * min(L,M-K)-by-L triangular (or trapezoidal) matrix A23 and L-by-L
248: * matrix B13 to the form:
249: *
250: * U1'*A13*Q1 = C1*R1; V1'*B13*Q1 = S1*R1,
251: *
252: * where U1, V1 and Q1 are orthogonal matrix, and Z' is the transpose
253: * of Z. C1 and S1 are diagonal matrices satisfying
254: *
255: * C1**2 + S1**2 = I,
256: *
257: * and R1 is an L-by-L nonsingular upper triangular matrix.
258: *
259: * =====================================================================
260: *
261: * .. Parameters ..
262: INTEGER MAXIT
263: PARAMETER ( MAXIT = 40 )
264: DOUBLE PRECISION ZERO, ONE
265: PARAMETER ( ZERO = 0.0D+0, ONE = 1.0D+0 )
266: * ..
267: * .. Local Scalars ..
268: *
269: LOGICAL INITQ, INITU, INITV, UPPER, WANTQ, WANTU, WANTV
270: INTEGER I, J, KCYCLE
271: DOUBLE PRECISION A1, A2, A3, B1, B2, B3, CSQ, CSU, CSV, ERROR,
272: $ GAMMA, RWK, SNQ, SNU, SNV, SSMIN
273: * ..
274: * .. External Functions ..
275: LOGICAL LSAME
276: EXTERNAL LSAME
277: * ..
278: * .. External Subroutines ..
279: EXTERNAL DCOPY, DLAGS2, DLAPLL, DLARTG, DLASET, DROT,
280: $ DSCAL, XERBLA
281: * ..
282: * .. Intrinsic Functions ..
283: INTRINSIC ABS, MAX, MIN
284: * ..
285: * .. Executable Statements ..
286: *
287: * Decode and test the input parameters
288: *
289: INITU = LSAME( JOBU, 'I' )
290: WANTU = INITU .OR. LSAME( JOBU, 'U' )
291: *
292: INITV = LSAME( JOBV, 'I' )
293: WANTV = INITV .OR. LSAME( JOBV, 'V' )
294: *
295: INITQ = LSAME( JOBQ, 'I' )
296: WANTQ = INITQ .OR. LSAME( JOBQ, 'Q' )
297: *
298: INFO = 0
299: IF( .NOT.( INITU .OR. WANTU .OR. LSAME( JOBU, 'N' ) ) ) THEN
300: INFO = -1
301: ELSE IF( .NOT.( INITV .OR. WANTV .OR. LSAME( JOBV, 'N' ) ) ) THEN
302: INFO = -2
303: ELSE IF( .NOT.( INITQ .OR. WANTQ .OR. LSAME( JOBQ, 'N' ) ) ) THEN
304: INFO = -3
305: ELSE IF( M.LT.0 ) THEN
306: INFO = -4
307: ELSE IF( P.LT.0 ) THEN
308: INFO = -5
309: ELSE IF( N.LT.0 ) THEN
310: INFO = -6
311: ELSE IF( LDA.LT.MAX( 1, M ) ) THEN
312: INFO = -10
313: ELSE IF( LDB.LT.MAX( 1, P ) ) THEN
314: INFO = -12
315: ELSE IF( LDU.LT.1 .OR. ( WANTU .AND. LDU.LT.M ) ) THEN
316: INFO = -18
317: ELSE IF( LDV.LT.1 .OR. ( WANTV .AND. LDV.LT.P ) ) THEN
318: INFO = -20
319: ELSE IF( LDQ.LT.1 .OR. ( WANTQ .AND. LDQ.LT.N ) ) THEN
320: INFO = -22
321: END IF
322: IF( INFO.NE.0 ) THEN
323: CALL XERBLA( 'DTGSJA', -INFO )
324: RETURN
325: END IF
326: *
327: * Initialize U, V and Q, if necessary
328: *
329: IF( INITU )
330: $ CALL DLASET( 'Full', M, M, ZERO, ONE, U, LDU )
331: IF( INITV )
332: $ CALL DLASET( 'Full', P, P, ZERO, ONE, V, LDV )
333: IF( INITQ )
334: $ CALL DLASET( 'Full', N, N, ZERO, ONE, Q, LDQ )
335: *
336: * Loop until convergence
337: *
338: UPPER = .FALSE.
339: DO 40 KCYCLE = 1, MAXIT
340: *
341: UPPER = .NOT.UPPER
342: *
343: DO 20 I = 1, L - 1
344: DO 10 J = I + 1, L
345: *
346: A1 = ZERO
347: A2 = ZERO
348: A3 = ZERO
349: IF( K+I.LE.M )
350: $ A1 = A( K+I, N-L+I )
351: IF( K+J.LE.M )
352: $ A3 = A( K+J, N-L+J )
353: *
354: B1 = B( I, N-L+I )
355: B3 = B( J, N-L+J )
356: *
357: IF( UPPER ) THEN
358: IF( K+I.LE.M )
359: $ A2 = A( K+I, N-L+J )
360: B2 = B( I, N-L+J )
361: ELSE
362: IF( K+J.LE.M )
363: $ A2 = A( K+J, N-L+I )
364: B2 = B( J, N-L+I )
365: END IF
366: *
367: CALL DLAGS2( UPPER, A1, A2, A3, B1, B2, B3, CSU, SNU,
368: $ CSV, SNV, CSQ, SNQ )
369: *
370: * Update (K+I)-th and (K+J)-th rows of matrix A: U'*A
371: *
372: IF( K+J.LE.M )
373: $ CALL DROT( L, A( K+J, N-L+1 ), LDA, A( K+I, N-L+1 ),
374: $ LDA, CSU, SNU )
375: *
376: * Update I-th and J-th rows of matrix B: V'*B
377: *
378: CALL DROT( L, B( J, N-L+1 ), LDB, B( I, N-L+1 ), LDB,
379: $ CSV, SNV )
380: *
381: * Update (N-L+I)-th and (N-L+J)-th columns of matrices
382: * A and B: A*Q and B*Q
383: *
384: CALL DROT( MIN( K+L, M ), A( 1, N-L+J ), 1,
385: $ A( 1, N-L+I ), 1, CSQ, SNQ )
386: *
387: CALL DROT( L, B( 1, N-L+J ), 1, B( 1, N-L+I ), 1, CSQ,
388: $ SNQ )
389: *
390: IF( UPPER ) THEN
391: IF( K+I.LE.M )
392: $ A( K+I, N-L+J ) = ZERO
393: B( I, N-L+J ) = ZERO
394: ELSE
395: IF( K+J.LE.M )
396: $ A( K+J, N-L+I ) = ZERO
397: B( J, N-L+I ) = ZERO
398: END IF
399: *
400: * Update orthogonal matrices U, V, Q, if desired.
401: *
402: IF( WANTU .AND. K+J.LE.M )
403: $ CALL DROT( M, U( 1, K+J ), 1, U( 1, K+I ), 1, CSU,
404: $ SNU )
405: *
406: IF( WANTV )
407: $ CALL DROT( P, V( 1, J ), 1, V( 1, I ), 1, CSV, SNV )
408: *
409: IF( WANTQ )
410: $ CALL DROT( N, Q( 1, N-L+J ), 1, Q( 1, N-L+I ), 1, CSQ,
411: $ SNQ )
412: *
413: 10 CONTINUE
414: 20 CONTINUE
415: *
416: IF( .NOT.UPPER ) THEN
417: *
418: * The matrices A13 and B13 were lower triangular at the start
419: * of the cycle, and are now upper triangular.
420: *
421: * Convergence test: test the parallelism of the corresponding
422: * rows of A and B.
423: *
424: ERROR = ZERO
425: DO 30 I = 1, MIN( L, M-K )
426: CALL DCOPY( L-I+1, A( K+I, N-L+I ), LDA, WORK, 1 )
427: CALL DCOPY( L-I+1, B( I, N-L+I ), LDB, WORK( L+1 ), 1 )
428: CALL DLAPLL( L-I+1, WORK, 1, WORK( L+1 ), 1, SSMIN )
429: ERROR = MAX( ERROR, SSMIN )
430: 30 CONTINUE
431: *
432: IF( ABS( ERROR ).LE.MIN( TOLA, TOLB ) )
433: $ GO TO 50
434: END IF
435: *
436: * End of cycle loop
437: *
438: 40 CONTINUE
439: *
440: * The algorithm has not converged after MAXIT cycles.
441: *
442: INFO = 1
443: GO TO 100
444: *
445: 50 CONTINUE
446: *
447: * If ERROR <= MIN(TOLA,TOLB), then the algorithm has converged.
448: * Compute the generalized singular value pairs (ALPHA, BETA), and
449: * set the triangular matrix R to array A.
450: *
451: DO 60 I = 1, K
452: ALPHA( I ) = ONE
453: BETA( I ) = ZERO
454: 60 CONTINUE
455: *
456: DO 70 I = 1, MIN( L, M-K )
457: *
458: A1 = A( K+I, N-L+I )
459: B1 = B( I, N-L+I )
460: *
461: IF( A1.NE.ZERO ) THEN
462: GAMMA = B1 / A1
463: *
464: * change sign if necessary
465: *
466: IF( GAMMA.LT.ZERO ) THEN
467: CALL DSCAL( L-I+1, -ONE, B( I, N-L+I ), LDB )
468: IF( WANTV )
469: $ CALL DSCAL( P, -ONE, V( 1, I ), 1 )
470: END IF
471: *
472: CALL DLARTG( ABS( GAMMA ), ONE, BETA( K+I ), ALPHA( K+I ),
473: $ RWK )
474: *
475: IF( ALPHA( K+I ).GE.BETA( K+I ) ) THEN
476: CALL DSCAL( L-I+1, ONE / ALPHA( K+I ), A( K+I, N-L+I ),
477: $ LDA )
478: ELSE
479: CALL DSCAL( L-I+1, ONE / BETA( K+I ), B( I, N-L+I ),
480: $ LDB )
481: CALL DCOPY( L-I+1, B( I, N-L+I ), LDB, A( K+I, N-L+I ),
482: $ LDA )
483: END IF
484: *
485: ELSE
486: *
487: ALPHA( K+I ) = ZERO
488: BETA( K+I ) = ONE
489: CALL DCOPY( L-I+1, B( I, N-L+I ), LDB, A( K+I, N-L+I ),
490: $ LDA )
491: *
492: END IF
493: *
494: 70 CONTINUE
495: *
496: * Post-assignment
497: *
498: DO 80 I = M + 1, K + L
499: ALPHA( I ) = ZERO
500: BETA( I ) = ONE
501: 80 CONTINUE
502: *
503: IF( K+L.LT.N ) THEN
504: DO 90 I = K + L + 1, N
505: ALPHA( I ) = ZERO
506: BETA( I ) = ZERO
507: 90 CONTINUE
508: END IF
509: *
510: 100 CONTINUE
511: NCYCLE = KCYCLE
512: RETURN
513: *
514: * End of DTGSJA
515: *
516: END
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