table of contents
| tgsna(3) | LAPACK | tgsna(3) |
NAME¶
tgsna - tgsna: reciprocal cond est
SYNOPSIS¶
Functions¶
subroutine ctgsna (job, howmny, select, n, a, lda, b, ldb,
vl, ldvl, vr, ldvr, s, dif, mm, m, work, lwork, iwork, info)
CTGSNA subroutine dtgsna (job, howmny, select, n, a, lda, b,
ldb, vl, ldvl, vr, ldvr, s, dif, mm, m, work, lwork, iwork, info)
DTGSNA subroutine stgsna (job, howmny, select, n, a, lda, b,
ldb, vl, ldvl, vr, ldvr, s, dif, mm, m, work, lwork, iwork, info)
STGSNA subroutine ztgsna (job, howmny, select, n, a, lda, b,
ldb, vl, ldvl, vr, ldvr, s, dif, mm, m, work, lwork, iwork, info)
ZTGSNA
Detailed Description¶
Function Documentation¶
subroutine ctgsna (character job, character howmny, logical, dimension( * ) select, integer n, complex, dimension( lda, * ) a, integer lda, complex, dimension( ldb, * ) b, integer ldb, complex, dimension( ldvl, * ) vl, integer ldvl, complex, dimension( ldvr, * ) vr, integer ldvr, real, dimension( * ) s, real, dimension( * ) dif, integer mm, integer m, complex, dimension( * ) work, integer lwork, integer, dimension( * ) iwork, integer info)¶
CTGSNA
Purpose:
CTGSNA estimates reciprocal condition numbers for specified
eigenvalues and/or eigenvectors of a matrix pair (A, B).
(A, B) must be in generalized Schur canonical form, that is, A and
B are both upper triangular.
Parameters
JOB
JOB is CHARACTER*1
Specifies whether condition numbers are required for
eigenvalues (S) or eigenvectors (DIF):
= 'E': for eigenvalues only (S);
= 'V': for eigenvectors only (DIF);
= 'B': for both eigenvalues and eigenvectors (S and DIF).
HOWMNY
HOWMNY is CHARACTER*1
= 'A': compute condition numbers for all eigenpairs;
= 'S': compute condition numbers for selected eigenpairs
specified by the array SELECT.
SELECT
SELECT is LOGICAL array, dimension (N)
If HOWMNY = 'S', SELECT specifies the eigenpairs for which
condition numbers are required. To select condition numbers
for the corresponding j-th eigenvalue and/or eigenvector,
SELECT(j) must be set to .TRUE..
If HOWMNY = 'A', SELECT is not referenced.
N
N is INTEGER
The order of the square matrix pair (A, B). N >= 0.
A
A is COMPLEX array, dimension (LDA,N)
The upper triangular matrix A in the pair (A,B).
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,N).
B
B is COMPLEX array, dimension (LDB,N)
The upper triangular matrix B in the pair (A, B).
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,N).
VL
VL is COMPLEX array, dimension (LDVL,M)
IF JOB = 'E' or 'B', VL must contain left eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VL, as returned by CTGEVC.
If JOB = 'V', VL is not referenced.
LDVL
LDVL is INTEGER
The leading dimension of the array VL. LDVL >= 1; and
If JOB = 'E' or 'B', LDVL >= N.
VR
VR is COMPLEX array, dimension (LDVR,M)
IF JOB = 'E' or 'B', VR must contain right eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VR, as returned by CTGEVC.
If JOB = 'V', VR is not referenced.
LDVR
LDVR is INTEGER
The leading dimension of the array VR. LDVR >= 1;
If JOB = 'E' or 'B', LDVR >= N.
S
S is REAL array, dimension (MM)
If JOB = 'E' or 'B', the reciprocal condition numbers of the
selected eigenvalues, stored in consecutive elements of the
array.
If JOB = 'V', S is not referenced.
DIF
DIF is REAL array, dimension (MM)
If JOB = 'V' or 'B', the estimated reciprocal condition
numbers of the selected eigenvectors, stored in consecutive
elements of the array.
If the eigenvalues cannot be reordered to compute DIF(j),
DIF(j) is set to 0; this can only occur when the true value
would be very small anyway.
For each eigenvalue/vector specified by SELECT, DIF stores
a Frobenius norm-based estimate of Difl.
If JOB = 'E', DIF is not referenced.
MM
MM is INTEGER
The number of elements in the arrays S and DIF. MM >= M.
M
M is INTEGER
The number of elements of the arrays S and DIF used to store
the specified condition numbers; for each selected eigenvalue
one element is used. If HOWMNY = 'A', M is set to N.
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 >= max(1,N).
If JOB = 'V' or 'B', LWORK >= max(1,2*N*N).
IWORK
IWORK is INTEGER array, dimension (N+2)
If JOB = 'E', IWORK is not referenced.
INFO
INFO is INTEGER
= 0: Successful exit
< 0: If INFO = -i, the i-th argument had an illegal value
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Further Details:
The reciprocal of the condition number of the i-th generalized
eigenvalue w = (a, b) is defined as
S(I) = (|v**HAu|**2 + |v**HBu|**2)**(1/2) / (norm(u)*norm(v))
where u and v are the right and left eigenvectors of (A, B)
corresponding to w; |z| denotes the absolute value of the complex
number, and norm(u) denotes the 2-norm of the vector u. The pair
(a, b) corresponds to an eigenvalue w = a/b (= v**HAu/v**HBu) of the
matrix pair (A, B). If both a and b equal zero, then (A,B) is
singular and S(I) = -1 is returned.
An approximate error bound on the chordal distance between the i-th
computed generalized eigenvalue w and the corresponding exact
eigenvalue lambda is
chord(w, lambda) <= EPS * norm(A, B) / S(I),
where EPS is the machine precision.
The reciprocal of the condition number of the right eigenvector u
and left eigenvector v corresponding to the generalized eigenvalue w
is defined as follows. Suppose
(A, B) = ( a * ) ( b * ) 1
( 0 A22 ),( 0 B22 ) n-1
1 n-1 1 n-1
Then the reciprocal condition number DIF(I) is
Difl[(a, b), (A22, B22)] = sigma-min( Zl )
where sigma-min(Zl) denotes the smallest singular value of
Zl = [ kron(a, In-1) -kron(1, A22) ]
[ kron(b, In-1) -kron(1, B22) ].
Here In-1 is the identity matrix of size n-1 and X**H is the conjugate
transpose of X. kron(X, Y) is the Kronecker product between the
matrices X and Y.
We approximate the smallest singular value of Zl with an upper
bound. This is done by CLATDF.
An approximate error bound for a computed eigenvector VL(i) or
VR(i) is given by
EPS * norm(A, B) / DIF(i).
See ref. [2-3] for more details and further references.
Contributors:
Bo Kagstrom and Peter Poromaa, Department of Computing
Science, Umea University, S-901 87 Umea, Sweden.
References:
[1] B. Kagstrom; A Direct Method for Reordering Eigenvalues in the
Generalized Real Schur Form of a Regular Matrix Pair (A, B), in
M.S. Moonen et al (eds), Linear Algebra for Large Scale and
Real-Time Applications, Kluwer Academic Publ. 1993, pp 195-218.
[2] B. Kagstrom and P. Poromaa; Computing Eigenspaces with Specified
Eigenvalues of a Regular Matrix Pair (A, B) and Condition
Estimation: Theory, Algorithms and Software, Report
UMINF - 94.04, Department of Computing Science, Umea University,
S-901 87 Umea, Sweden, 1994. Also as LAPACK Working Note 87.
To appear in Numerical Algorithms, 1996.
[3] B. Kagstrom and P. Poromaa, LAPACK-Style Algorithms and Software
for Solving the Generalized Sylvester Equation and Estimating the
Separation between Regular Matrix Pairs, Report UMINF - 93.23,
Department of Computing Science, Umea University, S-901 87 Umea,
Sweden, December 1993, Revised April 1994, Also as LAPACK Working
Note 75.
To appear in ACM Trans. on Math. Software, Vol 22, No 1, 1996.
subroutine dtgsna (character job, character howmny, logical, dimension( * ) select, integer n, double precision, dimension( lda, * ) a, integer lda, double precision, dimension( ldb, * ) b, integer ldb, double precision, dimension( ldvl, * ) vl, integer ldvl, double precision, dimension( ldvr, * ) vr, integer ldvr, double precision, dimension( * ) s, double precision, dimension( * ) dif, integer mm, integer m, double precision, dimension( * ) work, integer lwork, integer, dimension( * ) iwork, integer info)¶
DTGSNA
Purpose:
DTGSNA estimates reciprocal condition numbers for specified
eigenvalues and/or eigenvectors of a matrix pair (A, B) in
generalized real Schur canonical form (or of any matrix pair
(Q*A*Z**T, Q*B*Z**T) with orthogonal matrices Q and Z, where
Z**T denotes the transpose of Z.
(A, B) must be in generalized real Schur form (as returned by DGGES),
i.e. A is block upper triangular with 1-by-1 and 2-by-2 diagonal
blocks. B is upper triangular.
Parameters
JOB
JOB is CHARACTER*1
Specifies whether condition numbers are required for
eigenvalues (S) or eigenvectors (DIF):
= 'E': for eigenvalues only (S);
= 'V': for eigenvectors only (DIF);
= 'B': for both eigenvalues and eigenvectors (S and DIF).
HOWMNY
HOWMNY is CHARACTER*1
= 'A': compute condition numbers for all eigenpairs;
= 'S': compute condition numbers for selected eigenpairs
specified by the array SELECT.
SELECT
SELECT is LOGICAL array, dimension (N)
If HOWMNY = 'S', SELECT specifies the eigenpairs for which
condition numbers are required. To select condition numbers
for the eigenpair corresponding to a real eigenvalue w(j),
SELECT(j) must be set to .TRUE.. To select condition numbers
corresponding to a complex conjugate pair of eigenvalues w(j)
and w(j+1), either SELECT(j) or SELECT(j+1) or both, must be
set to .TRUE..
If HOWMNY = 'A', SELECT is not referenced.
N
N is INTEGER
The order of the square matrix pair (A, B). N >= 0.
A
A is DOUBLE PRECISION array, dimension (LDA,N)
The upper quasi-triangular matrix A in the pair (A,B).
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,N).
B
B is DOUBLE PRECISION array, dimension (LDB,N)
The upper triangular matrix B in the pair (A,B).
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,N).
VL
VL is DOUBLE PRECISION array, dimension (LDVL,M)
If JOB = 'E' or 'B', VL must contain left eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VL, as returned by DTGEVC.
If JOB = 'V', VL is not referenced.
LDVL
LDVL is INTEGER
The leading dimension of the array VL. LDVL >= 1.
If JOB = 'E' or 'B', LDVL >= N.
VR
VR is DOUBLE PRECISION array, dimension (LDVR,M)
If JOB = 'E' or 'B', VR must contain right eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns ov VR, as returned by DTGEVC.
If JOB = 'V', VR is not referenced.
LDVR
LDVR is INTEGER
The leading dimension of the array VR. LDVR >= 1.
If JOB = 'E' or 'B', LDVR >= N.
S
S is DOUBLE PRECISION array, dimension (MM)
If JOB = 'E' or 'B', the reciprocal condition numbers of the
selected eigenvalues, stored in consecutive elements of the
array. For a complex conjugate pair of eigenvalues two
consecutive elements of S are set to the same value. Thus
S(j), DIF(j), and the j-th columns of VL and VR all
correspond to the same eigenpair (but not in general the
j-th eigenpair, unless all eigenpairs are selected).
If JOB = 'V', S is not referenced.
DIF
DIF is DOUBLE PRECISION array, dimension (MM)
If JOB = 'V' or 'B', the estimated reciprocal condition
numbers of the selected eigenvectors, stored in consecutive
elements of the array. For a complex eigenvector two
consecutive elements of DIF are set to the same value. If
the eigenvalues cannot be reordered to compute DIF(j), DIF(j)
is set to 0; this can only occur when the true value would be
very small anyway.
If JOB = 'E', DIF is not referenced.
MM
MM is INTEGER
The number of elements in the arrays S and DIF. MM >= M.
M
M is INTEGER
The number of elements of the arrays S and DIF used to store
the specified condition numbers; for each selected real
eigenvalue one element is used, and for each selected complex
conjugate pair of eigenvalues, two elements are used.
If HOWMNY = 'A', M is set to N.
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 >= max(1,N).
If JOB = 'V' or 'B' LWORK >= 2*N*(N+2)+16.
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 (N + 6)
If JOB = 'E', IWORK is not referenced.
INFO
INFO is INTEGER
=0: Successful exit
<0: If INFO = -i, the i-th argument had an illegal value
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Further Details:
The reciprocal of the condition number of a generalized eigenvalue
w = (a, b) is defined as
S(w) = (|u**TAv|**2 + |u**TBv|**2)**(1/2) / (norm(u)*norm(v))
where u and v are the left and right eigenvectors of (A, B)
corresponding to w; |z| denotes the absolute value of the complex
number, and norm(u) denotes the 2-norm of the vector u.
The pair (a, b) corresponds to an eigenvalue w = a/b (= u**TAv/u**TBv)
of the matrix pair (A, B). If both a and b equal zero, then (A B) is
singular and S(I) = -1 is returned.
An approximate error bound on the chordal distance between the i-th
computed generalized eigenvalue w and the corresponding exact
eigenvalue lambda is
chord(w, lambda) <= EPS * norm(A, B) / S(I)
where EPS is the machine precision.
The reciprocal of the condition number DIF(i) of right eigenvector u
and left eigenvector v corresponding to the generalized eigenvalue w
is defined as follows:
a) If the i-th eigenvalue w = (a,b) is real
Suppose U and V are orthogonal transformations such that
U**T*(A, B)*V = (S, T) = ( a * ) ( b * ) 1
( 0 S22 ),( 0 T22 ) n-1
1 n-1 1 n-1
Then the reciprocal condition number DIF(i) is
Difl((a, b), (S22, T22)) = sigma-min( Zl ),
where sigma-min(Zl) denotes the smallest singular value of the
2(n-1)-by-2(n-1) matrix
Zl = [ kron(a, In-1) -kron(1, S22) ]
[ kron(b, In-1) -kron(1, T22) ] .
Here In-1 is the identity matrix of size n-1. kron(X, Y) is the
Kronecker product between the matrices X and Y.
Note that if the default method for computing DIF(i) is wanted
(see DLATDF), then the parameter DIFDRI (see below) should be
changed from 3 to 4 (routine DLATDF(IJOB = 2 will be used)).
See DTGSYL for more details.
b) If the i-th and (i+1)-th eigenvalues are complex conjugate pair,
Suppose U and V are orthogonal transformations such that
U**T*(A, B)*V = (S, T) = ( S11 * ) ( T11 * ) 2
( 0 S22 ),( 0 T22) n-2
2 n-2 2 n-2
and (S11, T11) corresponds to the complex conjugate eigenvalue
pair (w, conjg(w)). There exist unitary matrices U1 and V1 such
that
U1**T*S11*V1 = ( s11 s12 ) and U1**T*T11*V1 = ( t11 t12 )
( 0 s22 ) ( 0 t22 )
where the generalized eigenvalues w = s11/t11 and
conjg(w) = s22/t22.
Then the reciprocal condition number DIF(i) is bounded by
min( d1, max( 1, |real(s11)/real(s22)| )*d2 )
where, d1 = Difl((s11, t11), (s22, t22)) = sigma-min(Z1), where
Z1 is the complex 2-by-2 matrix
Z1 = [ s11 -s22 ]
[ t11 -t22 ],
This is done by computing (using real arithmetic) the
roots of the characteristical polynomial det(Z1**T * Z1 - lambda I),
where Z1**T denotes the transpose of Z1 and det(X) denotes
the determinant of X.
and d2 is an upper bound on Difl((S11, T11), (S22, T22)), i.e. an
upper bound on sigma-min(Z2), where Z2 is (2n-2)-by-(2n-2)
Z2 = [ kron(S11**T, In-2) -kron(I2, S22) ]
[ kron(T11**T, In-2) -kron(I2, T22) ]
Note that if the default method for computing DIF is wanted (see
DLATDF), then the parameter DIFDRI (see below) should be changed
from 3 to 4 (routine DLATDF(IJOB = 2 will be used)). See DTGSYL
for more details.
For each eigenvalue/vector specified by SELECT, DIF stores a
Frobenius norm-based estimate of Difl.
An approximate error bound for the i-th computed eigenvector VL(i) or
VR(i) is given by
EPS * norm(A, B) / DIF(i).
See ref. [2-3] for more details and further references.
Contributors:
Bo Kagstrom and Peter Poromaa, Department of Computing
Science, Umea University, S-901 87 Umea, Sweden.
References:
[1] B. Kagstrom; A Direct Method for Reordering Eigenvalues in the
Generalized Real Schur Form of a Regular Matrix Pair (A, B), in
M.S. Moonen et al (eds), Linear Algebra for Large Scale and
Real-Time Applications, Kluwer Academic Publ. 1993, pp 195-218.
[2] B. Kagstrom and P. Poromaa; Computing Eigenspaces with Specified
Eigenvalues of a Regular Matrix Pair (A, B) and Condition
Estimation: Theory, Algorithms and Software,
Report UMINF - 94.04, Department of Computing Science, Umea
University, S-901 87 Umea, Sweden, 1994. Also as LAPACK Working
Note 87. To appear in Numerical Algorithms, 1996.
[3] B. Kagstrom and P. Poromaa, LAPACK-Style Algorithms and Software
for Solving the Generalized Sylvester Equation and Estimating the
Separation between Regular Matrix Pairs, Report UMINF - 93.23,
Department of Computing Science, Umea University, S-901 87 Umea,
Sweden, December 1993, Revised April 1994, Also as LAPACK Working
Note 75. To appear in ACM Trans. on Math. Software, Vol 22,
No 1, 1996.
subroutine stgsna (character job, character howmny, logical, dimension( * ) select, integer n, real, dimension( lda, * ) a, integer lda, real, dimension( ldb, * ) b, integer ldb, real, dimension( ldvl, * ) vl, integer ldvl, real, dimension( ldvr, * ) vr, integer ldvr, real, dimension( * ) s, real, dimension( * ) dif, integer mm, integer m, real, dimension( * ) work, integer lwork, integer, dimension( * ) iwork, integer info)¶
STGSNA
Purpose:
STGSNA estimates reciprocal condition numbers for specified
eigenvalues and/or eigenvectors of a matrix pair (A, B) in
generalized real Schur canonical form (or of any matrix pair
(Q*A*Z**T, Q*B*Z**T) with orthogonal matrices Q and Z, where
Z**T denotes the transpose of Z.
(A, B) must be in generalized real Schur form (as returned by SGGES),
i.e. A is block upper triangular with 1-by-1 and 2-by-2 diagonal
blocks. B is upper triangular.
Parameters
JOB
JOB is CHARACTER*1
Specifies whether condition numbers are required for
eigenvalues (S) or eigenvectors (DIF):
= 'E': for eigenvalues only (S);
= 'V': for eigenvectors only (DIF);
= 'B': for both eigenvalues and eigenvectors (S and DIF).
HOWMNY
HOWMNY is CHARACTER*1
= 'A': compute condition numbers for all eigenpairs;
= 'S': compute condition numbers for selected eigenpairs
specified by the array SELECT.
SELECT
SELECT is LOGICAL array, dimension (N)
If HOWMNY = 'S', SELECT specifies the eigenpairs for which
condition numbers are required. To select condition numbers
for the eigenpair corresponding to a real eigenvalue w(j),
SELECT(j) must be set to .TRUE.. To select condition numbers
corresponding to a complex conjugate pair of eigenvalues w(j)
and w(j+1), either SELECT(j) or SELECT(j+1) or both, must be
set to .TRUE..
If HOWMNY = 'A', SELECT is not referenced.
N
N is INTEGER
The order of the square matrix pair (A, B). N >= 0.
A
A is REAL array, dimension (LDA,N)
The upper quasi-triangular matrix A in the pair (A,B).
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,N).
B
B is REAL array, dimension (LDB,N)
The upper triangular matrix B in the pair (A,B).
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,N).
VL
VL is REAL array, dimension (LDVL,M)
If JOB = 'E' or 'B', VL must contain left eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VL, as returned by STGEVC.
If JOB = 'V', VL is not referenced.
LDVL
LDVL is INTEGER
The leading dimension of the array VL. LDVL >= 1.
If JOB = 'E' or 'B', LDVL >= N.
VR
VR is REAL array, dimension (LDVR,M)
If JOB = 'E' or 'B', VR must contain right eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns ov VR, as returned by STGEVC.
If JOB = 'V', VR is not referenced.
LDVR
LDVR is INTEGER
The leading dimension of the array VR. LDVR >= 1.
If JOB = 'E' or 'B', LDVR >= N.
S
S is REAL array, dimension (MM)
If JOB = 'E' or 'B', the reciprocal condition numbers of the
selected eigenvalues, stored in consecutive elements of the
array. For a complex conjugate pair of eigenvalues two
consecutive elements of S are set to the same value. Thus
S(j), DIF(j), and the j-th columns of VL and VR all
correspond to the same eigenpair (but not in general the
j-th eigenpair, unless all eigenpairs are selected).
If JOB = 'V', S is not referenced.
DIF
DIF is REAL array, dimension (MM)
If JOB = 'V' or 'B', the estimated reciprocal condition
numbers of the selected eigenvectors, stored in consecutive
elements of the array. For a complex eigenvector two
consecutive elements of DIF are set to the same value. If
the eigenvalues cannot be reordered to compute DIF(j), DIF(j)
is set to 0; this can only occur when the true value would be
very small anyway.
If JOB = 'E', DIF is not referenced.
MM
MM is INTEGER
The number of elements in the arrays S and DIF. MM >= M.
M
M is INTEGER
The number of elements of the arrays S and DIF used to store
the specified condition numbers; for each selected real
eigenvalue one element is used, and for each selected complex
conjugate pair of eigenvalues, two elements are used.
If HOWMNY = 'A', M is set to N.
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 >= max(1,N).
If JOB = 'V' or 'B' LWORK >= 2*N*(N+2)+16.
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 (N + 6)
If JOB = 'E', IWORK is not referenced.
INFO
INFO is INTEGER
=0: Successful exit
<0: If INFO = -i, the i-th argument had an illegal value
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Further Details:
The reciprocal of the condition number of a generalized eigenvalue
w = (a, b) is defined as
S(w) = (|u**TAv|**2 + |u**TBv|**2)**(1/2) / (norm(u)*norm(v))
where u and v are the left and right eigenvectors of (A, B)
corresponding to w; |z| denotes the absolute value of the complex
number, and norm(u) denotes the 2-norm of the vector u.
The pair (a, b) corresponds to an eigenvalue w = a/b (= u**TAv/u**TBv)
of the matrix pair (A, B). If both a and b equal zero, then (A B) is
singular and S(I) = -1 is returned.
An approximate error bound on the chordal distance between the i-th
computed generalized eigenvalue w and the corresponding exact
eigenvalue lambda is
chord(w, lambda) <= EPS * norm(A, B) / S(I)
where EPS is the machine precision.
The reciprocal of the condition number DIF(i) of right eigenvector u
and left eigenvector v corresponding to the generalized eigenvalue w
is defined as follows:
a) If the i-th eigenvalue w = (a,b) is real
Suppose U and V are orthogonal transformations such that
U**T*(A, B)*V = (S, T) = ( a * ) ( b * ) 1
( 0 S22 ),( 0 T22 ) n-1
1 n-1 1 n-1
Then the reciprocal condition number DIF(i) is
Difl((a, b), (S22, T22)) = sigma-min( Zl ),
where sigma-min(Zl) denotes the smallest singular value of the
2(n-1)-by-2(n-1) matrix
Zl = [ kron(a, In-1) -kron(1, S22) ]
[ kron(b, In-1) -kron(1, T22) ] .
Here In-1 is the identity matrix of size n-1. kron(X, Y) is the
Kronecker product between the matrices X and Y.
Note that if the default method for computing DIF(i) is wanted
(see SLATDF), then the parameter DIFDRI (see below) should be
changed from 3 to 4 (routine SLATDF(IJOB = 2 will be used)).
See STGSYL for more details.
b) If the i-th and (i+1)-th eigenvalues are complex conjugate pair,
Suppose U and V are orthogonal transformations such that
U**T*(A, B)*V = (S, T) = ( S11 * ) ( T11 * ) 2
( 0 S22 ),( 0 T22) n-2
2 n-2 2 n-2
and (S11, T11) corresponds to the complex conjugate eigenvalue
pair (w, conjg(w)). There exist unitary matrices U1 and V1 such
that
U1**T*S11*V1 = ( s11 s12 ) and U1**T*T11*V1 = ( t11 t12 )
( 0 s22 ) ( 0 t22 )
where the generalized eigenvalues w = s11/t11 and
conjg(w) = s22/t22.
Then the reciprocal condition number DIF(i) is bounded by
min( d1, max( 1, |real(s11)/real(s22)| )*d2 )
where, d1 = Difl((s11, t11), (s22, t22)) = sigma-min(Z1), where
Z1 is the complex 2-by-2 matrix
Z1 = [ s11 -s22 ]
[ t11 -t22 ],
This is done by computing (using real arithmetic) the
roots of the characteristical polynomial det(Z1**T * Z1 - lambda I),
where Z1**T denotes the transpose of Z1 and det(X) denotes
the determinant of X.
and d2 is an upper bound on Difl((S11, T11), (S22, T22)), i.e. an
upper bound on sigma-min(Z2), where Z2 is (2n-2)-by-(2n-2)
Z2 = [ kron(S11**T, In-2) -kron(I2, S22) ]
[ kron(T11**T, In-2) -kron(I2, T22) ]
Note that if the default method for computing DIF is wanted (see
SLATDF), then the parameter DIFDRI (see below) should be changed
from 3 to 4 (routine SLATDF(IJOB = 2 will be used)). See STGSYL
for more details.
For each eigenvalue/vector specified by SELECT, DIF stores a
Frobenius norm-based estimate of Difl.
An approximate error bound for the i-th computed eigenvector VL(i) or
VR(i) is given by
EPS * norm(A, B) / DIF(i).
See ref. [2-3] for more details and further references.
Contributors:
Bo Kagstrom and Peter Poromaa, Department of Computing
Science, Umea University, S-901 87 Umea, Sweden.
References:
[1] B. Kagstrom; A Direct Method for Reordering Eigenvalues in the
Generalized Real Schur Form of a Regular Matrix Pair (A, B), in
M.S. Moonen et al (eds), Linear Algebra for Large Scale and
Real-Time Applications, Kluwer Academic Publ. 1993, pp 195-218.
[2] B. Kagstrom and P. Poromaa; Computing Eigenspaces with Specified
Eigenvalues of a Regular Matrix Pair (A, B) and Condition
Estimation: Theory, Algorithms and Software,
Report UMINF - 94.04, Department of Computing Science, Umea
University, S-901 87 Umea, Sweden, 1994. Also as LAPACK Working
Note 87. To appear in Numerical Algorithms, 1996.
[3] B. Kagstrom and P. Poromaa, LAPACK-Style Algorithms and Software
for Solving the Generalized Sylvester Equation and Estimating the
Separation between Regular Matrix Pairs, Report UMINF - 93.23,
Department of Computing Science, Umea University, S-901 87 Umea,
Sweden, December 1993, Revised April 1994, Also as LAPACK Working
Note 75. To appear in ACM Trans. on Math. Software, Vol 22,
No 1, 1996.
subroutine ztgsna (character job, character howmny, logical, dimension( * ) select, integer n, complex*16, dimension( lda, * ) a, integer lda, complex*16, dimension( ldb, * ) b, integer ldb, complex*16, dimension( ldvl, * ) vl, integer ldvl, complex*16, dimension( ldvr, * ) vr, integer ldvr, double precision, dimension( * ) s, double precision, dimension( * ) dif, integer mm, integer m, complex*16, dimension( * ) work, integer lwork, integer, dimension( * ) iwork, integer info)¶
ZTGSNA
Purpose:
ZTGSNA estimates reciprocal condition numbers for specified
eigenvalues and/or eigenvectors of a matrix pair (A, B).
(A, B) must be in generalized Schur canonical form, that is, A and
B are both upper triangular.
Parameters
JOB
JOB is CHARACTER*1
Specifies whether condition numbers are required for
eigenvalues (S) or eigenvectors (DIF):
= 'E': for eigenvalues only (S);
= 'V': for eigenvectors only (DIF);
= 'B': for both eigenvalues and eigenvectors (S and DIF).
HOWMNY
HOWMNY is CHARACTER*1
= 'A': compute condition numbers for all eigenpairs;
= 'S': compute condition numbers for selected eigenpairs
specified by the array SELECT.
SELECT
SELECT is LOGICAL array, dimension (N)
If HOWMNY = 'S', SELECT specifies the eigenpairs for which
condition numbers are required. To select condition numbers
for the corresponding j-th eigenvalue and/or eigenvector,
SELECT(j) must be set to .TRUE..
If HOWMNY = 'A', SELECT is not referenced.
N
N is INTEGER
The order of the square matrix pair (A, B). N >= 0.
A
A is COMPLEX*16 array, dimension (LDA,N)
The upper triangular matrix A in the pair (A,B).
LDA
LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,N).
B
B is COMPLEX*16 array, dimension (LDB,N)
The upper triangular matrix B in the pair (A, B).
LDB
LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,N).
VL
VL is COMPLEX*16 array, dimension (LDVL,M)
IF JOB = 'E' or 'B', VL must contain left eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VL, as returned by ZTGEVC.
If JOB = 'V', VL is not referenced.
LDVL
LDVL is INTEGER
The leading dimension of the array VL. LDVL >= 1; and
If JOB = 'E' or 'B', LDVL >= N.
VR
VR is COMPLEX*16 array, dimension (LDVR,M)
IF JOB = 'E' or 'B', VR must contain right eigenvectors of
(A, B), corresponding to the eigenpairs specified by HOWMNY
and SELECT. The eigenvectors must be stored in consecutive
columns of VR, as returned by ZTGEVC.
If JOB = 'V', VR is not referenced.
LDVR
LDVR is INTEGER
The leading dimension of the array VR. LDVR >= 1;
If JOB = 'E' or 'B', LDVR >= N.
S
S is DOUBLE PRECISION array, dimension (MM)
If JOB = 'E' or 'B', the reciprocal condition numbers of the
selected eigenvalues, stored in consecutive elements of the
array.
If JOB = 'V', S is not referenced.
DIF
DIF is DOUBLE PRECISION array, dimension (MM)
If JOB = 'V' or 'B', the estimated reciprocal condition
numbers of the selected eigenvectors, stored in consecutive
elements of the array.
If the eigenvalues cannot be reordered to compute DIF(j),
DIF(j) is set to 0; this can only occur when the true value
would be very small anyway.
For each eigenvalue/vector specified by SELECT, DIF stores
a Frobenius norm-based estimate of Difl.
If JOB = 'E', DIF is not referenced.
MM
MM is INTEGER
The number of elements in the arrays S and DIF. MM >= M.
M
M is INTEGER
The number of elements of the arrays S and DIF used to store
the specified condition numbers; for each selected eigenvalue
one element is used. If HOWMNY = 'A', M is set to N.
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 >= max(1,N).
If JOB = 'V' or 'B', LWORK >= max(1,2*N*N).
IWORK
IWORK is INTEGER array, dimension (N+2)
If JOB = 'E', IWORK is not referenced.
INFO
INFO is INTEGER
= 0: Successful exit
< 0: If INFO = -i, the i-th argument had an illegal value
Author
Univ. of Tennessee
Univ. of California Berkeley
Univ. of Colorado Denver
NAG Ltd.
Further Details:
The reciprocal of the condition number of the i-th generalized
eigenvalue w = (a, b) is defined as
S(I) = (|v**HAu|**2 + |v**HBu|**2)**(1/2) / (norm(u)*norm(v))
where u and v are the right and left eigenvectors of (A, B)
corresponding to w; |z| denotes the absolute value of the complex
number, and norm(u) denotes the 2-norm of the vector u. The pair
(a, b) corresponds to an eigenvalue w = a/b (= v**HAu/v**HBu) of the
matrix pair (A, B). If both a and b equal zero, then (A,B) is
singular and S(I) = -1 is returned.
An approximate error bound on the chordal distance between the i-th
computed generalized eigenvalue w and the corresponding exact
eigenvalue lambda is
chord(w, lambda) <= EPS * norm(A, B) / S(I),
where EPS is the machine precision.
The reciprocal of the condition number of the right eigenvector u
and left eigenvector v corresponding to the generalized eigenvalue w
is defined as follows. Suppose
(A, B) = ( a * ) ( b * ) 1
( 0 A22 ),( 0 B22 ) n-1
1 n-1 1 n-1
Then the reciprocal condition number DIF(I) is
Difl[(a, b), (A22, B22)] = sigma-min( Zl )
where sigma-min(Zl) denotes the smallest singular value of
Zl = [ kron(a, In-1) -kron(1, A22) ]
[ kron(b, In-1) -kron(1, B22) ].
Here In-1 is the identity matrix of size n-1 and X**H is the conjugate
transpose of X. kron(X, Y) is the Kronecker product between the
matrices X and Y.
We approximate the smallest singular value of Zl with an upper
bound. This is done by ZLATDF.
An approximate error bound for a computed eigenvector VL(i) or
VR(i) is given by
EPS * norm(A, B) / DIF(i).
See ref. [2-3] for more details and further references.
Contributors:
Bo Kagstrom and Peter Poromaa, Department of Computing
Science, Umea University, S-901 87 Umea, Sweden.
References:
[1] B. Kagstrom; A Direct Method for Reordering Eigenvalues in the
Generalized Real Schur Form of a Regular Matrix Pair (A, B), in
M.S. Moonen et al (eds), Linear Algebra for Large Scale and
Real-Time Applications, Kluwer Academic Publ. 1993, pp 195-218.
[2] B. Kagstrom and P. Poromaa; Computing Eigenspaces with Specified
Eigenvalues of a Regular Matrix Pair (A, B) and Condition
Estimation: Theory, Algorithms and Software, Report
UMINF - 94.04, Department of Computing Science, Umea University,
S-901 87 Umea, Sweden, 1994. Also as LAPACK Working Note 87.
To appear in Numerical Algorithms, 1996.
[3] B. Kagstrom and P. Poromaa, LAPACK-Style Algorithms and Software
for Solving the Generalized Sylvester Equation and Estimating the
Separation between Regular Matrix Pairs, Report UMINF - 93.23,
Department of Computing Science, Umea University, S-901 87 Umea,
Sweden, December 1993, Revised April 1994, Also as LAPACK Working
Note 75.
To appear in ACM Trans. on Math. Software, Vol 22, No 1, 1996.
Author¶
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