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dggsvd.f(3) LAPACK dggsvd.f(3)

NAME

dggsvd.f -

SYNOPSIS

Functions/Subroutines


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

Function/Subroutine Documentation

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

DGGSVD computes the singular value decomposition (SVD) for OTHER matrices
Purpose:
 DGGSVD computes the generalized singular value decomposition (GSVD)
 of an M-by-N real matrix A and P-by-N real matrix B:
U**T*A*Q = D1*( 0 R ), V**T*B*Q = D2*( 0 R )
where U, V and Q are orthogonal matrices. Let K+L = the effective numerical rank of the matrix (A**T,B**T)**T, 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 orthogonal 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**T. If ( A**T,B**T)**T has orthonormal 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**T*A x = lambda* B**T*B x. In some literature, the GSVD of A and B is presented in the form U**T*A*X = ( 0 D1 ), V**T*B*X = ( 0 D2 ) where U and V are orthogonal and X is nonsingular, 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':  Orthogonal matrix U is computed;
          = 'N':  U is not computed.
JOBV
          JOBV is CHARACTER*1
          = 'V':  Orthogonal matrix V is computed;
          = 'N':  V is not computed.
JOBQ
          JOBQ is CHARACTER*1
          = 'Q':  Orthogonal 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**T,B**T)**T.
A
          A is DOUBLE PRECISION 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 DOUBLE PRECISION array, dimension (LDB,N)
          On entry, the P-by-N matrix B.
          On exit, B contains 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 DOUBLE PRECISION array, dimension (LDU,M)
          If JOBU = 'U', U contains the M-by-M orthogonal 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 DOUBLE PRECISION array, dimension (LDV,P)
          If JOBV = 'V', V contains the P-by-P orthogonal 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 DOUBLE PRECISION array, dimension (LDQ,N)
          If JOBQ = 'Q', Q contains the N-by-N orthogonal 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 DOUBLE PRECISION array,
                      dimension (max(3*N,M,P)+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 DTGSJA.
Internal Parameters:
  TOLA    DOUBLE PRECISION
  TOLB    DOUBLE PRECISION
          TOLA and TOLB are the thresholds to determine the effective
          rank of (A',B')**T. 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 331 of file dggsvd.f.

Author

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