table of contents
| gelsd(3) | LAPACK | gelsd(3) |
NAME¶
gelsd - gelsd: least squares using SVD, divide and conquer
SYNOPSIS¶
Functions¶
subroutine cgelsd (m, n, nrhs, a, lda, b, ldb, s, rcond,
rank, work, lwork, rwork, iwork, info)
CGELSD computes the minimum-norm solution to a linear least squares
problem for GE matrices subroutine dgelsd (m, n, nrhs, a, lda, b,
ldb, s, rcond, rank, work, lwork, iwork, info)
DGELSD computes the minimum-norm solution to a linear least squares
problem for GE matrices subroutine sgelsd (m, n, nrhs, a, lda, b,
ldb, s, rcond, rank, work, lwork, iwork, info)
SGELSD computes the minimum-norm solution to a linear least squares
problem for GE matrices subroutine zgelsd (m, n, nrhs, a, lda, b,
ldb, s, rcond, rank, work, lwork, rwork, iwork, info)
ZGELSD computes the minimum-norm solution to a linear least squares
problem for GE matrices
Detailed Description¶
Function Documentation¶
subroutine cgelsd (integer m, integer n, integer nrhs, complex, dimension( lda, * ) a, integer lda, complex, dimension( ldb, * ) b, integer ldb, real, dimension( * ) s, real rcond, integer rank, complex, dimension( * ) work, integer lwork, real, dimension( * ) rwork, integer, dimension( * ) iwork, integer info)¶
CGELSD computes the minimum-norm solution to a linear least squares problem for GE matrices
Purpose:
CGELSD computes the minimum-norm solution to a real linear least
squares problem:
minimize 2-norm(| b - A*x |)
using the singular value decomposition (SVD) of A. A is an M-by-N
matrix which may be rank-deficient.
Several right hand side vectors b and solution vectors x can be
handled in a single call; they are stored as the columns of the
M-by-NRHS right hand side matrix B and the N-by-NRHS solution
matrix X.
The problem is solved in three steps:
(1) Reduce the coefficient matrix A to bidiagonal form with
Householder transformations, reducing the original problem
into a 'bidiagonal least squares problem' (BLS)
(2) Solve the BLS using a divide and conquer approach.
(3) Apply back all the Householder transformations to solve
the original least squares problem.
The effective rank of A is determined by treating as zero those
singular values which are less than RCOND times the largest singular
value.
Parameters
M
M is INTEGER
The number of rows of the matrix A. M >= 0.
N
N is INTEGER
The number of columns of the matrix A. N >= 0.
NRHS
NRHS is INTEGER
The number of right hand sides, i.e., the number of columns
of the matrices B and X. NRHS >= 0.
A
A is COMPLEX array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit, A has been destroyed.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
B
B is COMPLEX array, dimension (LDB,NRHS)
On entry, the M-by-NRHS right hand side matrix B.
On exit, B is overwritten by the N-by-NRHS solution matrix X.
If m >= n and RANK = n, the residual sum-of-squares for
the solution in the i-th column is given by the sum of
squares of the modulus of elements n+1:m in that column.
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,M,N).
S
S is REAL array, dimension (min(M,N))
The singular values of A in decreasing order.
The condition number of A in the 2-norm = S(1)/S(min(m,n)).
RCOND
RCOND is REAL
RCOND is used to determine the effective rank of A.
Singular values S(i) <= RCOND*S(1) are treated as zero.
If RCOND < 0, machine precision is used instead.
RANK
RANK is INTEGER
The effective rank of A, i.e., the number of singular values
which are greater than RCOND*S(1).
WORK
WORK is COMPLEX array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK. LWORK must be at least 1.
The exact minimum amount of workspace needed depends on M,
N and NRHS. As long as LWORK is at least
2 * N + N * NRHS
if M is greater than or equal to N or
2 * M + M * NRHS
if M is less than N, the code will execute correctly.
For good performance, LWORK should generally be larger.
If LWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the array WORK and the
minimum sizes of the arrays RWORK and IWORK, and returns
these values as the first entries of the WORK, RWORK and
IWORK arrays, and no error message related to LWORK is issued
by XERBLA.
RWORK
RWORK is REAL array, dimension (MAX(1,LRWORK))
LRWORK >=
10*N + 2*N*SMLSIZ + 8*N*NLVL + 3*SMLSIZ*NRHS +
MAX( (SMLSIZ+1)**2, N*(1+NRHS) + 2*NRHS )
if M is greater than or equal to N or
10*M + 2*M*SMLSIZ + 8*M*NLVL + 3*SMLSIZ*NRHS +
MAX( (SMLSIZ+1)**2, N*(1+NRHS) + 2*NRHS )
if M is less than N, the code will execute correctly.
SMLSIZ is returned by ILAENV and is equal to the maximum
size of the subproblems at the bottom of the computation
tree (usually about 25), and
NLVL = MAX( 0, INT( LOG_2( MIN( M,N )/(SMLSIZ+1) ) ) + 1 )
On exit, if INFO = 0, RWORK(1) returns the minimum LRWORK.
IWORK
IWORK is INTEGER array, dimension (MAX(1,LIWORK))
LIWORK >= max(1, 3*MINMN*NLVL + 11*MINMN),
where MINMN = MIN( M,N ).
On exit, if INFO = 0, IWORK(1) returns the minimum LIWORK.
INFO
INFO is INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: the algorithm for computing the SVD failed to converge;
if INFO = i, i off-diagonal elements of an intermediate
bidiagonal form did not converge to zero.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Contributors:
Ming Gu and Ren-Cang Li, Computer Science Division,
University of California at Berkeley, USA
Osni Marques, LBNL/NERSC, USA
Osni Marques, LBNL/NERSC, USA
subroutine dgelsd (integer m, integer n, integer nrhs, double precision, dimension( lda, * ) a, integer lda, double precision, dimension( ldb, * ) b, integer ldb, double precision, dimension( * ) s, double precision rcond, integer rank, double precision, dimension( * ) work, integer lwork, integer, dimension( * ) iwork, integer info)¶
DGELSD computes the minimum-norm solution to a linear least squares problem for GE matrices
Purpose:
DGELSD computes the minimum-norm solution to a real linear least
squares problem:
minimize 2-norm(| b - A*x |)
using the singular value decomposition (SVD) of A. A is an M-by-N
matrix which may be rank-deficient.
Several right hand side vectors b and solution vectors x can be
handled in a single call; they are stored as the columns of the
M-by-NRHS right hand side matrix B and the N-by-NRHS solution
matrix X.
The problem is solved in three steps:
(1) Reduce the coefficient matrix A to bidiagonal form with
Householder transformations, reducing the original problem
into a 'bidiagonal least squares problem' (BLS)
(2) Solve the BLS using a divide and conquer approach.
(3) Apply back all the Householder transformations to solve
the original least squares problem.
The effective rank of A is determined by treating as zero those
singular values which are less than RCOND times the largest singular
value.
Parameters
M
M is INTEGER
The number of rows of A. M >= 0.
N
N is INTEGER
The number of columns of A. N >= 0.
NRHS
NRHS is INTEGER
The number of right hand sides, i.e., the number of columns
of the matrices B and X. NRHS >= 0.
A
A is DOUBLE PRECISION array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit, A has been destroyed.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
B
B is DOUBLE PRECISION array, dimension (LDB,NRHS)
On entry, the M-by-NRHS right hand side matrix B.
On exit, B is overwritten by the N-by-NRHS solution
matrix X. If m >= n and RANK = n, the residual
sum-of-squares for the solution in the i-th column is given
by the sum of squares of elements n+1:m in that column.
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,max(M,N)).
S
S is DOUBLE PRECISION array, dimension (min(M,N))
The singular values of A in decreasing order.
The condition number of A in the 2-norm = S(1)/S(min(m,n)).
RCOND
RCOND is DOUBLE PRECISION
RCOND is used to determine the effective rank of A.
Singular values S(i) <= RCOND*S(1) are treated as zero.
If RCOND < 0, machine precision is used instead.
RANK
RANK is INTEGER
The effective rank of A, i.e., the number of singular values
which are greater than RCOND*S(1).
WORK
WORK is DOUBLE PRECISION array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK. LWORK must be at least 1.
The exact minimum amount of workspace needed depends on M,
N and NRHS. As long as LWORK is at least
12*N + 2*N*SMLSIZ + 8*N*NLVL + N*NRHS + (SMLSIZ+1)**2,
if M is greater than or equal to N or
12*M + 2*M*SMLSIZ + 8*M*NLVL + M*NRHS + (SMLSIZ+1)**2,
if M is less than N, the code will execute correctly.
SMLSIZ is returned by ILAENV and is equal to the maximum
size of the subproblems at the bottom of the computation
tree (usually about 25), and
NLVL = MAX( 0, INT( LOG_2( MIN( M,N )/(SMLSIZ+1) ) ) + 1 )
For good performance, LWORK should generally be larger.
If LWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the WORK array, returns
this value as the first entry of the WORK array, and no error
message related to LWORK is issued by XERBLA.
IWORK
IWORK is INTEGER array, dimension (MAX(1,LIWORK))
LIWORK >= max(1, 3 * MINMN * NLVL + 11 * MINMN),
where MINMN = MIN( M,N ).
On exit, if INFO = 0, IWORK(1) returns the minimum LIWORK.
INFO
INFO is INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: the algorithm for computing the SVD failed to converge;
if INFO = i, i off-diagonal elements of an intermediate
bidiagonal form did not converge to zero.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Contributors:
Ming Gu and Ren-Cang Li, Computer Science Division,
University of California at Berkeley, USA
Osni Marques, LBNL/NERSC, USA
Osni Marques, LBNL/NERSC, USA
subroutine sgelsd (integer m, integer n, integer nrhs, real, dimension( lda, * ) a, integer lda, real, dimension( ldb, * ) b, integer ldb, real, dimension( * ) s, real rcond, integer rank, real, dimension( * ) work, integer lwork, integer, dimension( * ) iwork, integer info)¶
SGELSD computes the minimum-norm solution to a linear least squares problem for GE matrices
Purpose:
SGELSD computes the minimum-norm solution to a real linear least
squares problem:
minimize 2-norm(| b - A*x |)
using the singular value decomposition (SVD) of A. A is an M-by-N
matrix which may be rank-deficient.
Several right hand side vectors b and solution vectors x can be
handled in a single call; they are stored as the columns of the
M-by-NRHS right hand side matrix B and the N-by-NRHS solution
matrix X.
The problem is solved in three steps:
(1) Reduce the coefficient matrix A to bidiagonal form with
Householder transformations, reducing the original problem
into a 'bidiagonal least squares problem' (BLS)
(2) Solve the BLS using a divide and conquer approach.
(3) Apply back all the Householder transformations to solve
the original least squares problem.
The effective rank of A is determined by treating as zero those
singular values which are less than RCOND times the largest singular
value.
Parameters
M
M is INTEGER
The number of rows of A. M >= 0.
N
N is INTEGER
The number of columns of A. N >= 0.
NRHS
NRHS is INTEGER
The number of right hand sides, i.e., the number of columns
of the matrices B and X. NRHS >= 0.
A
A is REAL array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit, A has been destroyed.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
B
B is REAL array, dimension (LDB,NRHS)
On entry, the M-by-NRHS right hand side matrix B.
On exit, B is overwritten by the N-by-NRHS solution
matrix X. If m >= n and RANK = n, the residual
sum-of-squares for the solution in the i-th column is given
by the sum of squares of elements n+1:m in that column.
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,max(M,N)).
S
S is REAL array, dimension (min(M,N))
The singular values of A in decreasing order.
The condition number of A in the 2-norm = S(1)/S(min(m,n)).
RCOND
RCOND is REAL
RCOND is used to determine the effective rank of A.
Singular values S(i) <= RCOND*S(1) are treated as zero.
If RCOND < 0, machine precision is used instead.
RANK
RANK is INTEGER
The effective rank of A, i.e., the number of singular values
which are greater than RCOND*S(1).
WORK
WORK is REAL array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK. LWORK must be at least 1.
The exact minimum amount of workspace needed depends on M,
N and NRHS. As long as LWORK is at least
12*N + 2*N*SMLSIZ + 8*N*NLVL + N*NRHS + (SMLSIZ+1)**2,
if M is greater than or equal to N or
12*M + 2*M*SMLSIZ + 8*M*NLVL + M*NRHS + (SMLSIZ+1)**2,
if M is less than N, the code will execute correctly.
SMLSIZ is returned by ILAENV and is equal to the maximum
size of the subproblems at the bottom of the computation
tree (usually about 25), and
NLVL = MAX( 0, INT( LOG_2( MIN( M,N )/(SMLSIZ+1) ) ) + 1 )
For good performance, LWORK should generally be larger.
If LWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the array WORK and the
minimum size of the array IWORK, and returns these values as
the first entries of the WORK and IWORK arrays, and no error
message related to LWORK is issued by XERBLA.
IWORK
IWORK is INTEGER array, dimension (MAX(1,LIWORK))
LIWORK >= max(1, 3*MINMN*NLVL + 11*MINMN),
where MINMN = MIN( M,N ).
On exit, if INFO = 0, IWORK(1) returns the minimum LIWORK.
INFO
INFO is INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: the algorithm for computing the SVD failed to converge;
if INFO = i, i off-diagonal elements of an intermediate
bidiagonal form did not converge to zero.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Contributors:
Ming Gu and Ren-Cang Li, Computer Science Division,
University of California at Berkeley, USA
Osni Marques, LBNL/NERSC, USA
Osni Marques, LBNL/NERSC, USA
subroutine zgelsd (integer m, integer n, integer nrhs, complex*16, dimension( lda, * ) a, integer lda, complex*16, dimension( ldb, * ) b, integer ldb, double precision, dimension( * ) s, double precision rcond, integer rank, complex*16, dimension( * ) work, integer lwork, double precision, dimension( * ) rwork, integer, dimension( * ) iwork, integer info)¶
ZGELSD computes the minimum-norm solution to a linear least squares problem for GE matrices
Purpose:
ZGELSD computes the minimum-norm solution to a real linear least
squares problem:
minimize 2-norm(| b - A*x |)
using the singular value decomposition (SVD) of A. A is an M-by-N
matrix which may be rank-deficient.
Several right hand side vectors b and solution vectors x can be
handled in a single call; they are stored as the columns of the
M-by-NRHS right hand side matrix B and the N-by-NRHS solution
matrix X.
The problem is solved in three steps:
(1) Reduce the coefficient matrix A to bidiagonal form with
Householder transformations, reducing the original problem
into a 'bidiagonal least squares problem' (BLS)
(2) Solve the BLS using a divide and conquer approach.
(3) Apply back all the Householder transformations to solve
the original least squares problem.
The effective rank of A is determined by treating as zero those
singular values which are less than RCOND times the largest singular
value.
Parameters
M
M is INTEGER
The number of rows of the matrix A. M >= 0.
N
N is INTEGER
The number of columns of the matrix A. N >= 0.
NRHS
NRHS is INTEGER
The number of right hand sides, i.e., the number of columns
of the matrices B and X. NRHS >= 0.
A
A is COMPLEX*16 array, dimension (LDA,N)
On entry, the M-by-N matrix A.
On exit, A has been destroyed.
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
B
B is COMPLEX*16 array, dimension (LDB,NRHS)
On entry, the M-by-NRHS right hand side matrix B.
On exit, B is overwritten by the N-by-NRHS solution matrix X.
If m >= n and RANK = n, the residual sum-of-squares for
the solution in the i-th column is given by the sum of
squares of the modulus of elements n+1:m in that column.
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,M,N).
S
S is DOUBLE PRECISION array, dimension (min(M,N))
The singular values of A in decreasing order.
The condition number of A in the 2-norm = S(1)/S(min(m,n)).
RCOND
RCOND is DOUBLE PRECISION
RCOND is used to determine the effective rank of A.
Singular values S(i) <= RCOND*S(1) are treated as zero.
If RCOND < 0, machine precision is used instead.
RANK
RANK is INTEGER
The effective rank of A, i.e., the number of singular values
which are greater than RCOND*S(1).
WORK
WORK is COMPLEX*16 array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK.
LWORK
LWORK is INTEGER
The dimension of the array WORK. LWORK must be at least 1.
The exact minimum amount of workspace needed depends on M,
N and NRHS. As long as LWORK is at least
2*N + N*NRHS
if M is greater than or equal to N or
2*M + M*NRHS
if M is less than N, the code will execute correctly.
For good performance, LWORK should generally be larger.
If LWORK = -1, then a workspace query is assumed; the routine
only calculates the optimal size of the array WORK and the
minimum sizes of the arrays RWORK and IWORK, and returns
these values as the first entries of the WORK, RWORK and
IWORK arrays, and no error message related to LWORK is issued
by XERBLA.
RWORK
RWORK is DOUBLE PRECISION array, dimension (MAX(1,LRWORK))
LRWORK >=
10*N + 2*N*SMLSIZ + 8*N*NLVL + 3*SMLSIZ*NRHS +
MAX( (SMLSIZ+1)**2, N*(1+NRHS) + 2*NRHS )
if M is greater than or equal to N or
10*M + 2*M*SMLSIZ + 8*M*NLVL + 3*SMLSIZ*NRHS +
MAX( (SMLSIZ+1)**2, N*(1+NRHS) + 2*NRHS )
if M is less than N, the code will execute correctly.
SMLSIZ is returned by ILAENV and is equal to the maximum
size of the subproblems at the bottom of the computation
tree (usually about 25), and
NLVL = MAX( 0, INT( LOG_2( MIN( M,N )/(SMLSIZ+1) ) ) + 1 )
On exit, if INFO = 0, RWORK(1) returns the minimum LRWORK.
IWORK
IWORK is INTEGER array, dimension (MAX(1,LIWORK))
LIWORK >= max(1, 3*MINMN*NLVL + 11*MINMN),
where MINMN = MIN( M,N ).
On exit, if INFO = 0, IWORK(1) returns the minimum LIWORK.
INFO
INFO is INTEGER
= 0: successful exit
< 0: if INFO = -i, the i-th argument had an illegal value.
> 0: the algorithm for computing the SVD failed to converge;
if INFO = i, i off-diagonal elements of an intermediate
bidiagonal form did not converge to zero.
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Contributors:
Ming Gu and Ren-Cang Li, Computer Science Division,
University of California at Berkeley, USA
Osni Marques, LBNL/NERSC, USA
Osni Marques, LBNL/NERSC, USA
Author¶
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