table of contents
| 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)
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) ).
JOBU
JOBV
JOBQ
M
N
P
K
L
A
LDA
B
LDB
ALPHA
BETA
U
LDU
V
LDV
Q
LDQ
WORK
IWORK
INFO
Internal Parameters:
JOBU is CHARACTER*1
= 'U': Orthogonal matrix U is computed;
= 'N': U is not computed.
JOBV is CHARACTER*1
= 'V': Orthogonal matrix V is computed;
= 'N': V is not computed.
JOBQ is CHARACTER*1
= 'Q': Orthogonal matrix Q is computed;
= 'N': Q is not computed.
M is INTEGER
The number of rows of the matrix A. M >= 0.
N is INTEGER
The number of columns of the matrices A and B. N >= 0.
P is INTEGER
The number of rows of the matrix B. P >= 0.
K is INTEGER
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 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 is INTEGER
The leading dimension of the array A. LDA >= max(1,M).
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 is INTEGER
The leading dimension of the array B. LDB >= max(1,P).
ALPHA is DOUBLE PRECISION array, dimension (N)
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 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 is INTEGER
The leading dimension of the array U. LDU >= max(1,M) if
JOBU = 'U'; LDU >= 1 otherwise.
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 is INTEGER
The leading dimension of the array V. LDV >= max(1,P) if
JOBV = 'V'; LDV >= 1 otherwise.
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 is INTEGER
The leading dimension of the array Q. LDQ >= max(1,N) if
JOBQ = 'Q'; LDQ >= 1 otherwise.
WORK is DOUBLE PRECISION array,
dimension (max(3*N,M,P)+N)
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 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.
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.
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
Author¶
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