zggsvd.f (3) - Linux Manuals

NAME

zggsvd.f -

SYNOPSIS

Functions/Subroutines

subroutine zggsvd (JOBU, JOBV, JOBQ, M, N, P, K, L, A, LDA, B, LDB, ALPHA, BETA, U, LDU, V, LDV, Q, LDQ, WORK, RWORK, IWORK, INFO)
ZGGSVD computes the singular value decomposition (SVD) for OTHER matrices

Function/Subroutine Documentation

subroutine zggsvd (characterJOBU, characterJOBV, characterJOBQ, integerM, integerN, integerP, integerK, integerL, complex*16, dimension( lda, * )A, integerLDA, complex*16, dimension( ldb, * )B, integerLDB, double precision, dimension( * )ALPHA, double precision, dimension( * )BETA, complex*16, dimension( ldu, * )U, integerLDU, complex*16, dimension( ldv, * )V, integerLDV, complex*16, dimension( ldq, * )Q, integerLDQ, complex*16, dimension( * )WORK, double precision, dimension( * )RWORK, integer, dimension( * )IWORK, integerINFO)

ZGGSVD computes the singular value decomposition (SVD) for OTHER matrices

Purpose:

 ZGGSVD computes the generalized singular value decomposition (GSVD)
 of an M-by-N complex matrix A and P-by-N complex matrix B:

       U**H*A*Q = D1*( 0 R ),    V**H*B*Q = D2*( 0 R )

 where U, V and Q are unitary matrices.
 Let K+L = the effective numerical rank of the
 matrix (A**H,B**H)**H, then R is a (K+L)-by-(K+L) nonsingular upper
 triangular matrix, D1 and D2 are M-by-(K+L) and P-by-(K+L) "diagonal"
 matrices and of the following structures, respectively:

 If M-K-L >= 0,

                     K  L
        D1 =     K ( I  0 )
                 L ( 0  C )
             M-K-L ( 0  0 )

                   K  L
        D2 =   L ( 0  S )
             P-L ( 0  0 )

                 N-K-L  K    L
   ( 0 R ) = K (  0   R11  R12 )
             L (  0    0   R22 )
 where

   C = diag( ALPHA(K+1), ... , ALPHA(K+L) ),
   S = diag( BETA(K+1),  ... , BETA(K+L) ),
   C**2 + S**2 = I.

   R is stored in A(1:K+L,N-K-L+1:N) on exit.

 If M-K-L < 0,

                   K M-K K+L-M
        D1 =   K ( I  0    0   )
             M-K ( 0  C    0   )

                     K M-K K+L-M
        D2 =   M-K ( 0  S    0  )
             K+L-M ( 0  0    I  )
               P-L ( 0  0    0  )

                    N-K-L  K   M-K  K+L-M
   ( 0 R ) =     K ( 0    R11  R12  R13  )
               M-K ( 0     0   R22  R23  )
             K+L-M ( 0     0    0   R33  )

 where

   C = diag( ALPHA(K+1), ... , ALPHA(M) ),
   S = diag( BETA(K+1),  ... , BETA(M) ),
   C**2 + S**2 = I.

   (R11 R12 R13 ) is stored in A(1:M, N-K-L+1:N), and R33 is stored
   ( 0  R22 R23 )
   in B(M-K+1:L,N+M-K-L+1:N) on exit.

 The routine computes C, S, R, and optionally the unitary
 transformation matrices U, V and Q.

 In particular, if B is an N-by-N nonsingular matrix, then the GSVD of
 A and B implicitly gives the SVD of A*inv(B):
                      A*inv(B) = U*(D1*inv(D2))*V**H.
 If ( A**H,B**H)**H has orthnormal columns, then the GSVD of A and B is also
 equal to the CS decomposition of A and B. Furthermore, the GSVD can
 be used to derive the solution of the eigenvalue problem:
                      A**H*A x = lambda* B**H*B x.
 In some literature, the GSVD of A and B is presented in the form
                  U**H*A*X = ( 0 D1 ),   V**H*B*X = ( 0 D2 )
 where U and V are orthogonal and X is nonsingular, and D1 and D2 are
 ``diagonal''.  The former GSVD form can be converted to the latter
 form by taking the nonsingular matrix X as

                       X = Q*(  I   0    )
                             (  0 inv(R) )

 

Parameters:

JOBU

          JOBU is CHARACTER*1
          = 'U':  Unitary matrix U is computed;
          = 'N':  U is not computed.

JOBV

          JOBV is CHARACTER*1
          = 'V':  Unitary matrix V is computed;
          = 'N':  V is not computed.

JOBQ

          JOBQ is CHARACTER*1
          = 'Q':  Unitary matrix Q is computed;
          = 'N':  Q is not computed.

M

          M is INTEGER
          The number of rows of the matrix A.  M >= 0.

N

          N is INTEGER
          The number of columns of the matrices A and B.  N >= 0.

P

          P is INTEGER
          The number of rows of the matrix B.  P >= 0.

K

          K is INTEGER

L

          L is INTEGER

          On exit, K and L specify the dimension of the subblocks
          described in Purpose.
          K + L = effective numerical rank of (A**H,B**H)**H.

A

          A is COMPLEX*16 array, dimension (LDA,N)
          On entry, the M-by-N matrix A.
          On exit, A contains the triangular matrix R, or part of R.
          See Purpose for details.

LDA

          LDA is INTEGER
          The leading dimension of the array A. LDA >= max(1,M).

B

          B is COMPLEX*16 array, dimension (LDB,N)
          On entry, the P-by-N matrix B.
          On exit, B contains part of the triangular matrix R if
          M-K-L < 0.  See Purpose for details.

LDB

          LDB is INTEGER
          The leading dimension of the array B. LDB >= max(1,P).

ALPHA

          ALPHA is DOUBLE PRECISION array, dimension (N)

BETA

          BETA is DOUBLE PRECISION array, dimension (N)

          On exit, ALPHA and BETA contain the generalized singular
          value pairs of A and B;
            ALPHA(1:K) = 1,
            BETA(1:K)  = 0,
          and if M-K-L >= 0,
            ALPHA(K+1:K+L) = C,
            BETA(K+1:K+L)  = S,
          or if M-K-L < 0,
            ALPHA(K+1:M)=C, ALPHA(M+1:K+L)=0
            BETA(K+1:M) =S, BETA(M+1:K+L) =1
          and
            ALPHA(K+L+1:N) = 0
            BETA(K+L+1:N)  = 0

U

          U is COMPLEX*16 array, dimension (LDU,M)
          If JOBU = 'U', U contains the M-by-M unitary matrix U.
          If JOBU = 'N', U is not referenced.

LDU

          LDU is INTEGER
          The leading dimension of the array U. LDU >= max(1,M) if
          JOBU = 'U'; LDU >= 1 otherwise.

V

          V is COMPLEX*16 array, dimension (LDV,P)
          If JOBV = 'V', V contains the P-by-P unitary matrix V.
          If JOBV = 'N', V is not referenced.

LDV

          LDV is INTEGER
          The leading dimension of the array V. LDV >= max(1,P) if
          JOBV = 'V'; LDV >= 1 otherwise.

Q

          Q is COMPLEX*16 array, dimension (LDQ,N)
          If JOBQ = 'Q', Q contains the N-by-N unitary matrix Q.
          If JOBQ = 'N', Q is not referenced.

LDQ

          LDQ is INTEGER
          The leading dimension of the array Q. LDQ >= max(1,N) if
          JOBQ = 'Q'; LDQ >= 1 otherwise.

WORK

          WORK is COMPLEX*16 array, dimension (max(3*N,M,P)+N)

RWORK

          RWORK is DOUBLE PRECISION array, dimension (2*N)

IWORK

          IWORK is INTEGER array, dimension (N)
          On exit, IWORK stores the sorting information. More
          precisely, the following loop will sort ALPHA
             for I = K+1, min(M,K+L)
                 swap ALPHA(I) and ALPHA(IWORK(I))
             endfor
          such that ALPHA(1) >= ALPHA(2) >= ... >= ALPHA(N).

INFO

          INFO is INTEGER
          = 0:  successful exit.
          < 0:  if INFO = -i, the i-th argument had an illegal value.
          > 0:  if INFO = 1, the Jacobi-type procedure failed to
                converge.  For further details, see subroutine ZTGSJA.

 

Internal Parameters:

  TOLA    DOUBLE PRECISION
  TOLB    DOUBLE PRECISION
          TOLA and TOLB are the thresholds to determine the effective
          rank of (A**H,B**H)**H. Generally, they are set to
                   TOLA = MAX(M,N)*norm(A)*MAZHEPS,
                   TOLB = MAX(P,N)*norm(B)*MAZHEPS.
          The size of TOLA and TOLB may affect the size of backward
          errors of the decomposition.

 

Author:

Univ. of Tennessee

Univ. of California Berkeley

Univ. of Colorado Denver

NAG Ltd.

Date:

November 2011

Contributors:

Ming Gu and Huan Ren, Computer Science Division, University of California at Berkeley, USA

Definition at line 334 of file zggsvd.f.

Author

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