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LAPACK
3.6.1
LAPACK: Linear Algebra PACKage
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LAPACK
3.6.1
LAPACK: Linear Algebra PACKage
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| subroutine cggsvd3 | ( | character | JOBU, |
| character | JOBV, | ||
| character | JOBQ, | ||
| integer | M, | ||
| integer | N, | ||
| integer | P, | ||
| integer | K, | ||
| integer | L, | ||
| complex, dimension( lda, * ) | A, | ||
| integer | LDA, | ||
| complex, dimension( ldb, * ) | B, | ||
| integer | LDB, | ||
| real, dimension( * ) | ALPHA, | ||
| real, dimension( * ) | BETA, | ||
| complex, dimension( ldu, * ) | U, | ||
| integer | LDU, | ||
| complex, dimension( ldv, * ) | V, | ||
| integer | LDV, | ||
| complex, dimension( ldq, * ) | Q, | ||
| integer | LDQ, | ||
| complex, dimension( * ) | WORK, | ||
| integer | LWORK, | ||
| real, dimension( * ) | RWORK, | ||
| integer, dimension( * ) | IWORK, | ||
| integer | INFO | ||
| ) |
CGGSVD3 computes the singular value decomposition (SVD) for OTHER matrices
Download CGGSVD3 + dependencies [TGZ] [ZIP] [TXT]
CGGSVD3 computes the generalized singular value decomposition (GSVD)
of an M-by-N complex matrix A and P-by-N complex matrix B:
U**H*A*Q = D1*( 0 R ), V**H*B*Q = D2*( 0 R )
where U, V and Q are unitary matrices.
Let K+L = the effective numerical rank of the
matrix (A**H,B**H)**H, 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 unitary
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**H.
If ( A**H,B**H)**H 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**H*A x = lambda* B**H*B x.
In some literature, the GSVD of A and B is presented in the form
U**H*A*X = ( 0 D1 ), V**H*B*X = ( 0 D2 )
where U and V are orthogonal and X is nonsingular, and 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) ) | [in] | JOBU | JOBU is CHARACTER*1
= 'U': Unitary matrix U is computed;
= 'N': U is not computed. |
| [in] | JOBV | JOBV is CHARACTER*1
= 'V': Unitary matrix V is computed;
= 'N': V is not computed. |
| [in] | JOBQ | JOBQ is CHARACTER*1
= 'Q': Unitary matrix Q is computed;
= 'N': Q is not computed. |
| [in] | M | M is INTEGER
The number of rows of the matrix A. M >= 0. |
| [in] | N | N is INTEGER
The number of columns of the matrices A and B. N >= 0. |
| [in] | P | P is INTEGER
The number of rows of the matrix B. P >= 0. |
| [out] | K | K is INTEGER |
| [out] | 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**H,B**H)**H. |
| [in,out] | A | A is COMPLEX 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. |
| [in] | LDA | LDA is INTEGER
The leading dimension of the array A. LDA >= max(1,M). |
| [in,out] | B | B is COMPLEX array, dimension (LDB,N)
On entry, the P-by-N matrix B.
On exit, B contains part of the triangular matrix R if
M-K-L < 0. See Purpose for details. |
| [in] | LDB | LDB is INTEGER
The leading dimension of the array B. LDB >= max(1,P). |
| [out] | ALPHA | ALPHA is REAL array, dimension (N) |
| [out] | BETA | BETA is REAL 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 |
| [out] | U | U is COMPLEX array, dimension (LDU,M)
If JOBU = 'U', U contains the M-by-M unitary matrix U.
If JOBU = 'N', U is not referenced. |
| [in] | LDU | LDU is INTEGER
The leading dimension of the array U. LDU >= max(1,M) if
JOBU = 'U'; LDU >= 1 otherwise. |
| [out] | V | V is COMPLEX array, dimension (LDV,P)
If JOBV = 'V', V contains the P-by-P unitary matrix V.
If JOBV = 'N', V is not referenced. |
| [in] | LDV | LDV is INTEGER
The leading dimension of the array V. LDV >= max(1,P) if
JOBV = 'V'; LDV >= 1 otherwise. |
| [out] | Q | Q is COMPLEX array, dimension (LDQ,N)
If JOBQ = 'Q', Q contains the N-by-N unitary matrix Q.
If JOBQ = 'N', Q is not referenced. |
| [in] | LDQ | LDQ is INTEGER
The leading dimension of the array Q. LDQ >= max(1,N) if
JOBQ = 'Q'; LDQ >= 1 otherwise. |
| [out] | WORK | WORK is COMPLEX array, dimension (MAX(1,LWORK))
On exit, if INFO = 0, WORK(1) returns the optimal LWORK. |
| [in] | LWORK | LWORK is INTEGER
The dimension of the array WORK.
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. |
| [out] | RWORK | RWORK is REAL array, dimension (2*N) |
| [out] | 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). |
| [out] | 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 CTGSJA. |
TOLA REAL
TOLB REAL
TOLA and TOLB are the thresholds to determine the effective
rank of (A**H,B**H)**H. Generally, they are set to
TOLA = MAX(M,N)*norm(A)*MACHEPS,
TOLB = MAX(P,N)*norm(B)*MACHEPS.
The size of TOLA and TOLB may affect the size of backward
errors of the decomposition. Definition at line 356 of file cggsvd3.f.
1.8.10