LAPACK: SRC/dgelsx.f Source File

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00001       SUBROUTINE DGELSX( M, N, NRHS, A, LDA, B, LDB, JPVT, RCOND, RANK,
00002      $                   WORK, INFO )
00003 *
00004 *  -- LAPACK driver routine (version 3.2) --
00005 *  -- LAPACK is a software package provided by Univ. of Tennessee,    --
00006 *  -- Univ. of California Berkeley, Univ. of Colorado Denver and NAG Ltd..--
00007 *     November 2006
00008 *
00009 *     .. Scalar Arguments ..
00010       INTEGER            INFO, LDA, LDB, M, N, NRHS, RANK
00011       DOUBLE PRECISION   RCOND
00012 *     ..
00013 *     .. Array Arguments ..
00014       INTEGER            JPVT( * )
00015       DOUBLE PRECISION   A( LDA, * ), B( LDB, * ), WORK( * )
00016 *     ..
00017 *
00018 *  Purpose
00019 *  =======
00020 *
00021 *  This routine is deprecated and has been replaced by routine DGELSY.
00022 *
00023 *  DGELSX computes the minimum-norm solution to a real linear least
00024 *  squares problem:
00025 *      minimize || A * X - B ||
00026 *  using a complete orthogonal factorization of A.  A is an M-by-N
00027 *  matrix which may be rank-deficient.
00028 *
00029 *  Several right hand side vectors b and solution vectors x can be
00030 *  handled in a single call; they are stored as the columns of the
00031 *  M-by-NRHS right hand side matrix B and the N-by-NRHS solution
00032 *  matrix X.
00033 *
00034 *  The routine first computes a QR factorization with column pivoting:
00035 *      A * P = Q * [ R11 R12 ]
00036 *                  [  0  R22 ]
00037 *  with R11 defined as the largest leading submatrix whose estimated
00038 *  condition number is less than 1/RCOND.  The order of R11, RANK,
00039 *  is the effective rank of A.
00040 *
00041 *  Then, R22 is considered to be negligible, and R12 is annihilated
00042 *  by orthogonal transformations from the right, arriving at the
00043 *  complete orthogonal factorization:
00044 *     A * P = Q * [ T11 0 ] * Z
00045 *                 [  0  0 ]
00046 *  The minimum-norm solution is then
00047 *     X = P * Z' [ inv(T11)*Q1'*B ]
00048 *                [        0       ]
00049 *  where Q1 consists of the first RANK columns of Q.
00050 *
00051 *  Arguments
00052 *  =========
00053 *
00054 *  M       (input) INTEGER
00055 *          The number of rows of the matrix A.  M >= 0.
00056 *
00057 *  N       (input) INTEGER
00058 *          The number of columns of the matrix A.  N >= 0.
00059 *
00060 *  NRHS    (input) INTEGER
00061 *          The number of right hand sides, i.e., the number of
00062 *          columns of matrices B and X. NRHS >= 0.
00063 *
00064 *  A       (input/output) DOUBLE PRECISION array, dimension (LDA,N)
00065 *          On entry, the M-by-N matrix A.
00066 *          On exit, A has been overwritten by details of its
00067 *          complete orthogonal factorization.
00068 *
00069 *  LDA     (input) INTEGER
00070 *          The leading dimension of the array A.  LDA >= max(1,M).
00071 *
00072 *  B       (input/output) DOUBLE PRECISION array, dimension (LDB,NRHS)
00073 *          On entry, the M-by-NRHS right hand side matrix B.
00074 *          On exit, the N-by-NRHS solution matrix X.
00075 *          If m >= n and RANK = n, the residual sum-of-squares for
00076 *          the solution in the i-th column is given by the sum of
00077 *          squares of elements N+1:M in that column.
00078 *
00079 *  LDB     (input) INTEGER
00080 *          The leading dimension of the array B. LDB >= max(1,M,N).
00081 *
00082 *  JPVT    (input/output) INTEGER array, dimension (N)
00083 *          On entry, if JPVT(i) .ne. 0, the i-th column of A is an
00084 *          initial column, otherwise it is a free column.  Before
00085 *          the QR factorization of A, all initial columns are
00086 *          permuted to the leading positions; only the remaining
00087 *          free columns are moved as a result of column pivoting
00088 *          during the factorization.
00089 *          On exit, if JPVT(i) = k, then the i-th column of A*P
00090 *          was the k-th column of A.
00091 *
00092 *  RCOND   (input) DOUBLE PRECISION
00093 *          RCOND is used to determine the effective rank of A, which
00094 *          is defined as the order of the largest leading triangular
00095 *          submatrix R11 in the QR factorization with pivoting of A,
00096 *          whose estimated condition number < 1/RCOND.
00097 *
00098 *  RANK    (output) INTEGER
00099 *          The effective rank of A, i.e., the order of the submatrix
00100 *          R11.  This is the same as the order of the submatrix T11
00101 *          in the complete orthogonal factorization of A.
00102 *
00103 *  WORK    (workspace) DOUBLE PRECISION array, dimension
00104 *                      (max( min(M,N)+3*N, 2*min(M,N)+NRHS )),
00105 *
00106 *  INFO    (output) INTEGER
00107 *          = 0:  successful exit
00108 *          < 0:  if INFO = -i, the i-th argument had an illegal value
00109 *
00110 *  =====================================================================
00111 *
00112 *     .. Parameters ..
00113       INTEGER            IMAX, IMIN
00114       PARAMETER          ( IMAX = 1, IMIN = 2 )
00115       DOUBLE PRECISION   ZERO, ONE, DONE, NTDONE
00116       PARAMETER          ( ZERO = 0.0D0, ONE = 1.0D0, DONE = ZERO,
00117      $                   NTDONE = ONE )
00118 *     ..
00119 *     .. Local Scalars ..
00120       INTEGER            I, IASCL, IBSCL, ISMAX, ISMIN, J, K, MN
00121       DOUBLE PRECISION   ANRM, BIGNUM, BNRM, C1, C2, S1, S2, SMAX,
00122      $                   SMAXPR, SMIN, SMINPR, SMLNUM, T1, T2
00123 *     ..
00124 *     .. External Functions ..
00125       DOUBLE PRECISION   DLAMCH, DLANGE
00126       EXTERNAL           DLAMCH, DLANGE
00127 *     ..
00128 *     .. External Subroutines ..
00129       EXTERNAL           DGEQPF, DLAIC1, DLASCL, DLASET, DLATZM, DORM2R,
00130      $                   DTRSM, DTZRQF, XERBLA
00131 *     ..
00132 *     .. Intrinsic Functions ..
00133       INTRINSIC          ABS, MAX, MIN
00134 *     ..
00135 *     .. Executable Statements ..
00136 *
00137       MN = MIN( M, N )
00138       ISMIN = MN + 1
00139       ISMAX = 2*MN + 1
00140 *
00141 *     Test the input arguments.
00142 *
00143       INFO = 0
00144       IF( M.LT.0 ) THEN
00145          INFO = -1
00146       ELSE IF( N.LT.0 ) THEN
00147          INFO = -2
00148       ELSE IF( NRHS.LT.0 ) THEN
00149          INFO = -3
00150       ELSE IF( LDA.LT.MAX( 1, M ) ) THEN
00151          INFO = -5
00152       ELSE IF( LDB.LT.MAX( 1, M, N ) ) THEN
00153          INFO = -7
00154       END IF
00155 *
00156       IF( INFO.NE.0 ) THEN
00157          CALL XERBLA( 'DGELSX', -INFO )
00158          RETURN
00159       END IF
00160 *
00161 *     Quick return if possible
00162 *
00163       IF( MIN( M, N, NRHS ).EQ.0 ) THEN
00164          RANK = 0
00165          RETURN
00166       END IF
00167 *
00168 *     Get machine parameters
00169 *
00170       SMLNUM = DLAMCH( 'S' ) / DLAMCH( 'P' )
00171       BIGNUM = ONE / SMLNUM
00172       CALL DLABAD( SMLNUM, BIGNUM )
00173 *
00174 *     Scale A, B if max elements outside range [SMLNUM,BIGNUM]
00175 *
00176       ANRM = DLANGE( 'M', M, N, A, LDA, WORK )
00177       IASCL = 0
00178       IF( ANRM.GT.ZERO .AND. ANRM.LT.SMLNUM ) THEN
00179 *
00180 *        Scale matrix norm up to SMLNUM
00181 *
00182          CALL DLASCL( 'G', 0, 0, ANRM, SMLNUM, M, N, A, LDA, INFO )
00183          IASCL = 1
00184       ELSE IF( ANRM.GT.BIGNUM ) THEN
00185 *
00186 *        Scale matrix norm down to BIGNUM
00187 *
00188          CALL DLASCL( 'G', 0, 0, ANRM, BIGNUM, M, N, A, LDA, INFO )
00189          IASCL = 2
00190       ELSE IF( ANRM.EQ.ZERO ) THEN
00191 *
00192 *        Matrix all zero. Return zero solution.
00193 *
00194          CALL DLASET( 'F', MAX( M, N ), NRHS, ZERO, ZERO, B, LDB )
00195          RANK = 0
00196          GO TO 100
00197       END IF
00198 *
00199       BNRM = DLANGE( 'M', M, NRHS, B, LDB, WORK )
00200       IBSCL = 0
00201       IF( BNRM.GT.ZERO .AND. BNRM.LT.SMLNUM ) THEN
00202 *
00203 *        Scale matrix norm up to SMLNUM
00204 *
00205          CALL DLASCL( 'G', 0, 0, BNRM, SMLNUM, M, NRHS, B, LDB, INFO )
00206          IBSCL = 1
00207       ELSE IF( BNRM.GT.BIGNUM ) THEN
00208 *
00209 *        Scale matrix norm down to BIGNUM
00210 *
00211          CALL DLASCL( 'G', 0, 0, BNRM, BIGNUM, M, NRHS, B, LDB, INFO )
00212          IBSCL = 2
00213       END IF
00214 *
00215 *     Compute QR factorization with column pivoting of A:
00216 *        A * P = Q * R
00217 *
00218       CALL DGEQPF( M, N, A, LDA, JPVT, WORK( 1 ), WORK( MN+1 ), INFO )
00219 *
00220 *     workspace 3*N. Details of Householder rotations stored
00221 *     in WORK(1:MN).
00222 *
00223 *     Determine RANK using incremental condition estimation
00224 *
00225       WORK( ISMIN ) = ONE
00226       WORK( ISMAX ) = ONE
00227       SMAX = ABS( A( 1, 1 ) )
00228       SMIN = SMAX
00229       IF( ABS( A( 1, 1 ) ).EQ.ZERO ) THEN
00230          RANK = 0
00231          CALL DLASET( 'F', MAX( M, N ), NRHS, ZERO, ZERO, B, LDB )
00232          GO TO 100
00233       ELSE
00234          RANK = 1
00235       END IF
00236 *
00237    10 CONTINUE
00238       IF( RANK.LT.MN ) THEN
00239          I = RANK + 1
00240          CALL DLAIC1( IMIN, RANK, WORK( ISMIN ), SMIN, A( 1, I ),
00241      $                A( I, I ), SMINPR, S1, C1 )
00242          CALL DLAIC1( IMAX, RANK, WORK( ISMAX ), SMAX, A( 1, I ),
00243      $                A( I, I ), SMAXPR, S2, C2 )
00244 *
00245          IF( SMAXPR*RCOND.LE.SMINPR ) THEN
00246             DO 20 I = 1, RANK
00247                WORK( ISMIN+I-1 ) = S1*WORK( ISMIN+I-1 )
00248                WORK( ISMAX+I-1 ) = S2*WORK( ISMAX+I-1 )
00249    20       CONTINUE
00250             WORK( ISMIN+RANK ) = C1
00251             WORK( ISMAX+RANK ) = C2
00252             SMIN = SMINPR
00253             SMAX = SMAXPR
00254             RANK = RANK + 1
00255             GO TO 10
00256          END IF
00257       END IF
00258 *
00259 *     Logically partition R = [ R11 R12 ]
00260 *                             [  0  R22 ]
00261 *     where R11 = R(1:RANK,1:RANK)
00262 *
00263 *     [R11,R12] = [ T11, 0 ] * Y
00264 *
00265       IF( RANK.LT.N )
00266      $   CALL DTZRQF( RANK, N, A, LDA, WORK( MN+1 ), INFO )
00267 *
00268 *     Details of Householder rotations stored in WORK(MN+1:2*MN)
00269 *
00270 *     B(1:M,1:NRHS) := Q' * B(1:M,1:NRHS)
00271 *
00272       CALL DORM2R( 'Left', 'Transpose', M, NRHS, MN, A, LDA, WORK( 1 ),
00273      $             B, LDB, WORK( 2*MN+1 ), INFO )
00274 *
00275 *     workspace NRHS
00276 *
00277 *     B(1:RANK,1:NRHS) := inv(T11) * B(1:RANK,1:NRHS)
00278 *
00279       CALL DTRSM( 'Left', 'Upper', 'No transpose', 'Non-unit', RANK,
00280      $            NRHS, ONE, A, LDA, B, LDB )
00281 *
00282       DO 40 I = RANK + 1, N
00283          DO 30 J = 1, NRHS
00284             B( I, J ) = ZERO
00285    30    CONTINUE
00286    40 CONTINUE
00287 *
00288 *     B(1:N,1:NRHS) := Y' * B(1:N,1:NRHS)
00289 *
00290       IF( RANK.LT.N ) THEN
00291          DO 50 I = 1, RANK
00292             CALL DLATZM( 'Left', N-RANK+1, NRHS, A( I, RANK+1 ), LDA,
00293      $                   WORK( MN+I ), B( I, 1 ), B( RANK+1, 1 ), LDB,
00294      $                   WORK( 2*MN+1 ) )
00295    50    CONTINUE
00296       END IF
00297 *
00298 *     workspace NRHS
00299 *
00300 *     B(1:N,1:NRHS) := P * B(1:N,1:NRHS)
00301 *
00302       DO 90 J = 1, NRHS
00303          DO 60 I = 1, N
00304             WORK( 2*MN+I ) = NTDONE
00305    60    CONTINUE
00306          DO 80 I = 1, N
00307             IF( WORK( 2*MN+I ).EQ.NTDONE ) THEN
00308                IF( JPVT( I ).NE.I ) THEN
00309                   K = I
00310                   T1 = B( K, J )
00311                   T2 = B( JPVT( K ), J )
00312    70             CONTINUE
00313                   B( JPVT( K ), J ) = T1
00314                   WORK( 2*MN+K ) = DONE
00315                   T1 = T2
00316                   K = JPVT( K )
00317                   T2 = B( JPVT( K ), J )
00318                   IF( JPVT( K ).NE.I )
00319      $               GO TO 70
00320                   B( I, J ) = T1
00321                   WORK( 2*MN+K ) = DONE
00322                END IF
00323             END IF
00324    80    CONTINUE
00325    90 CONTINUE
00326 *
00327 *     Undo scaling
00328 *
00329       IF( IASCL.EQ.1 ) THEN
00330          CALL DLASCL( 'G', 0, 0, ANRM, SMLNUM, N, NRHS, B, LDB, INFO )
00331          CALL DLASCL( 'U', 0, 0, SMLNUM, ANRM, RANK, RANK, A, LDA,
00332      $                INFO )
00333       ELSE IF( IASCL.EQ.2 ) THEN
00334          CALL DLASCL( 'G', 0, 0, ANRM, BIGNUM, N, NRHS, B, LDB, INFO )
00335          CALL DLASCL( 'U', 0, 0, BIGNUM, ANRM, RANK, RANK, A, LDA,
00336      $                INFO )
00337       END IF
00338       IF( IBSCL.EQ.1 ) THEN
00339          CALL DLASCL( 'G', 0, 0, SMLNUM, BNRM, N, NRHS, B, LDB, INFO )
00340       ELSE IF( IBSCL.EQ.2 ) THEN
00341          CALL DLASCL( 'G', 0, 0, BIGNUM, BNRM, N, NRHS, B, LDB, INFO )
00342       END IF
00343 *
00344   100 CONTINUE
00345 *
00346       RETURN
00347 *
00348 *     End of DGELSX
00349 *
00350       END