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SUBROUTINE MB02PD( FACT, TRANS, N, NRHS, A, LDA, AF, LDAF, IPIV,
$ EQUED, R, C, B, LDB, X, LDX, RCOND, FERR, BERR,
$ IWORK, DWORK, INFO )
C
C SLICOT RELEASE 5.0.
C
C Copyright (c) 2002-2009 NICONET e.V.
C
C This program is free software: you can redistribute it and/or
C modify it under the terms of the GNU General Public License as
C published by the Free Software Foundation, either version 2 of
C the License, or (at your option) any later version.
C
C This program is distributed in the hope that it will be useful,
C but WITHOUT ANY WARRANTY; without even the implied warranty of
C MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
C GNU General Public License for more details.
C
C You should have received a copy of the GNU General Public License
C along with this program. If not, see
C <http://www.gnu.org/licenses/>.
C
C PURPOSE
C
C To solve (if well-conditioned) the matrix equations
C
C op( A )*X = B,
C
C where X and B are N-by-NRHS matrices, A is an N-by-N matrix and
C op( A ) is one of
C
C op( A ) = A or op( A ) = A'.
C
C Error bounds on the solution and a condition estimate are also
C provided.
C
C ARGUMENTS
C
C Mode Parameters
C
C FACT CHARACTER*1
C Specifies whether or not the factored form of the matrix A
C is supplied on entry, and if not, whether the matrix A
C should be equilibrated before it is factored.
C = 'F': On entry, AF and IPIV contain the factored form
C of A. If EQUED is not 'N', the matrix A has been
C equilibrated with scaling factors given by R
C and C. A, AF, and IPIV are not modified.
C = 'N': The matrix A will be copied to AF and factored.
C = 'E': The matrix A will be equilibrated if necessary,
C then copied to AF and factored.
C
C TRANS CHARACTER*1
C Specifies the form of the system of equations as follows:
C = 'N': A * X = B (No transpose);
C = 'T': A**T * X = B (Transpose);
C = 'C': A**H * X = B (Transpose).
C
C Input/Output Parameters
C
C N (input) INTEGER
C The number of linear equations, i.e., the order of the
C matrix A. N >= 0.
C
C NRHS (input) INTEGER
C The number of right hand sides, i.e., the number of
C columns of the matrices B and X. NRHS >= 0.
C
C A (input/output) DOUBLE PRECISION array, dimension (LDA,N)
C On entry, the leading N-by-N part of this array must
C contain the matrix A. If FACT = 'F' and EQUED is not 'N',
C then A must have been equilibrated by the scaling factors
C in R and/or C. A is not modified if FACT = 'F' or 'N',
C or if FACT = 'E' and EQUED = 'N' on exit.
C On exit, if EQUED .NE. 'N', the leading N-by-N part of
C this array contains the matrix A scaled as follows:
C EQUED = 'R': A := diag(R) * A;
C EQUED = 'C': A := A * diag(C);
C EQUED = 'B': A := diag(R) * A * diag(C).
C
C LDA INTEGER
C The leading dimension of the array A. LDA >= max(1,N).
C
C AF (input or output) DOUBLE PRECISION array, dimension
C (LDAF,N)
C If FACT = 'F', then AF is an input argument and on entry
C the leading N-by-N part of this array must contain the
C factors L and U from the factorization A = P*L*U as
C computed by DGETRF. If EQUED .NE. 'N', then AF is the
C factored form of the equilibrated matrix A.
C If FACT = 'N', then AF is an output argument and on exit
C the leading N-by-N part of this array contains the factors
C L and U from the factorization A = P*L*U of the original
C matrix A.
C If FACT = 'E', then AF is an output argument and on exit
C the leading N-by-N part of this array contains the factors
C L and U from the factorization A = P*L*U of the
C equilibrated matrix A (see the description of A for the
C form of the equilibrated matrix).
C
C LDAF (input) INTEGER
C The leading dimension of the array AF. LDAF >= max(1,N).
C
C IPIV (input or output) INTEGER array, dimension (N)
C If FACT = 'F', then IPIV is an input argument and on entry
C it must contain the pivot indices from the factorization
C A = P*L*U as computed by DGETRF; row i of the matrix was
C interchanged with row IPIV(i).
C If FACT = 'N', then IPIV is an output argument and on exit
C it contains the pivot indices from the factorization
C A = P*L*U of the original matrix A.
C If FACT = 'E', then IPIV is an output argument and on exit
C it contains the pivot indices from the factorization
C A = P*L*U of the equilibrated matrix A.
C
C EQUED (input or output) CHARACTER*1
C Specifies the form of equilibration that was done as
C follows:
C = 'N': No equilibration (always true if FACT = 'N');
C = 'R': Row equilibration, i.e., A has been premultiplied
C by diag(R);
C = 'C': Column equilibration, i.e., A has been
C postmultiplied by diag(C);
C = 'B': Both row and column equilibration, i.e., A has
C been replaced by diag(R) * A * diag(C).
C EQUED is an input argument if FACT = 'F'; otherwise, it is
C an output argument.
C
C R (input or output) DOUBLE PRECISION array, dimension (N)
C The row scale factors for A. If EQUED = 'R' or 'B', A is
C multiplied on the left by diag(R); if EQUED = 'N' or 'C',
C R is not accessed. R is an input argument if FACT = 'F';
C otherwise, R is an output argument. If FACT = 'F' and
C EQUED = 'R' or 'B', each element of R must be positive.
C
C C (input or output) DOUBLE PRECISION array, dimension (N)
C The column scale factors for A. If EQUED = 'C' or 'B',
C A is multiplied on the right by diag(C); if EQUED = 'N'
C or 'R', C is not accessed. C is an input argument if
C FACT = 'F'; otherwise, C is an output argument. If
C FACT = 'F' and EQUED = 'C' or 'B', each element of C must
C be positive.
C
C B (input/output) DOUBLE PRECISION array, dimension
C (LDB,NRHS)
C On entry, the leading N-by-NRHS part of this array must
C contain the right-hand side matrix B.
C On exit,
C if EQUED = 'N', B is not modified;
C if TRANS = 'N' and EQUED = 'R' or 'B', the leading
C N-by-NRHS part of this array contains diag(R)*B;
C if TRANS = 'T' or 'C' and EQUED = 'C' or 'B', the leading
C N-by-NRHS part of this array contains diag(C)*B.
C
C LDB INTEGER
C The leading dimension of the array B. LDB >= max(1,N).
C
C X (output) DOUBLE PRECISION array, dimension (LDX,NRHS)
C If INFO = 0 or INFO = N+1, the leading N-by-NRHS part of
C this array contains the solution matrix X to the original
C system of equations. Note that A and B are modified on
C exit if EQUED .NE. 'N', and the solution to the
C equilibrated system is inv(diag(C))*X if TRANS = 'N' and
C EQUED = 'C' or 'B', or inv(diag(R))*X if TRANS = 'T' or
C 'C' and EQUED = 'R' or 'B'.
C
C LDX (input) INTEGER
C The leading dimension of the array X. LDX >= max(1,N).
C
C RCOND (output) DOUBLE PRECISION
C The estimate of the reciprocal condition number of the
C matrix A after equilibration (if done). If RCOND is less
C than the machine precision (in particular, if RCOND = 0),
C the matrix is singular to working precision. This
C condition is indicated by a return code of INFO > 0.
C For efficiency reasons, RCOND is computed only when the
C matrix A is factored, i.e., for FACT = 'N' or 'E'. For
C FACT = 'F', RCOND is not used, but it is assumed that it
C has been computed and checked before the routine call.
C
C FERR (output) DOUBLE PRECISION array, dimension (NRHS)
C The estimated forward error bound for each solution vector
C X(j) (the j-th column of the solution matrix X).
C If XTRUE is the true solution corresponding to X(j),
C FERR(j) is an estimated upper bound for the magnitude of
C the largest element in (X(j) - XTRUE) divided by the
C magnitude of the largest element in X(j). The estimate
C is as reliable as the estimate for RCOND, and is almost
C always a slight overestimate of the true error.
C
C BERR (output) DOUBLE PRECISION array, dimension (NRHS)
C The componentwise relative backward error of each solution
C vector X(j) (i.e., the smallest relative change in
C any element of A or B that makes X(j) an exact solution).
C
C Workspace
C
C IWORK INTEGER array, dimension (N)
C
C DWORK DOUBLE PRECISION array, dimension (4*N)
C On exit, DWORK(1) contains the reciprocal pivot growth
C factor norm(A)/norm(U). The "max absolute element" norm is
C used. If DWORK(1) is much less than 1, then the stability
C of the LU factorization of the (equilibrated) matrix A
C could be poor. This also means that the solution X,
C condition estimator RCOND, and forward error bound FERR
C could be unreliable. If factorization fails with
C 0 < INFO <= N, then DWORK(1) contains the reciprocal pivot
C growth factor for the leading INFO columns of A.
C
C Error Indicator
C
C INFO INTEGER
C = 0: successful exit;
C < 0: if INFO = -i, the i-th argument had an illegal
C value;
C > 0: if INFO = i, and i is
C <= N: U(i,i) is exactly zero. The factorization
C has been completed, but the factor U is
C exactly singular, so the solution and error
C bounds could not be computed. RCOND = 0 is
C returned.
C = N+1: U is nonsingular, but RCOND is less than
C machine precision, meaning that the matrix is
C singular to working precision. Nevertheless,
C the solution and error bounds are computed
C because there are a number of situations
C where the computed solution can be more
C accurate than the value of RCOND would
C suggest.
C The positive values for INFO are set only when the
C matrix A is factored, i.e., for FACT = 'N' or 'E'.
C
C METHOD
C
C The following steps are performed:
C
C 1. If FACT = 'E', real scaling factors are computed to equilibrate
C the system:
C
C TRANS = 'N': diag(R)*A*diag(C) *inv(diag(C))*X = diag(R)*B
C TRANS = 'T': (diag(R)*A*diag(C))**T *inv(diag(R))*X = diag(C)*B
C TRANS = 'C': (diag(R)*A*diag(C))**H *inv(diag(R))*X = diag(C)*B
C
C Whether or not the system will be equilibrated depends on the
C scaling of the matrix A, but if equilibration is used, A is
C overwritten by diag(R)*A*diag(C) and B by diag(R)*B
C (if TRANS='N') or diag(C)*B (if TRANS = 'T' or 'C').
C
C 2. If FACT = 'N' or 'E', the LU decomposition is used to factor
C the matrix A (after equilibration if FACT = 'E') as
C A = P * L * U,
C where P is a permutation matrix, L is a unit lower triangular
C matrix, and U is upper triangular.
C
C 3. If some U(i,i)=0, so that U is exactly singular, then the
C routine returns with INFO = i. Otherwise, the factored form
C of A is used to estimate the condition number of the matrix A.
C If the reciprocal of the condition number is less than machine
C precision, INFO = N+1 is returned as a warning, but the routine
C still goes on to solve for X and compute error bounds as
C described below.
C
C 4. The system of equations is solved for X using the factored form
C of A.
C
C 5. Iterative refinement is applied to improve the computed
C solution matrix and calculate error bounds and backward error
C estimates for it.
C
C 6. If equilibration was used, the matrix X is premultiplied by
C diag(C) (if TRANS = 'N') or diag(R) (if TRANS = 'T' or 'C') so
C that it solves the original system before equilibration.
C
C REFERENCES
C
C [1] Anderson, E., Bai, Z., Bischof, C., Demmel, J., Dongarra, J.,
C Du Croz, J., Greenbaum, A., Hammarling, S., McKenney, A.,
C Ostrouchov, S., Sorensen, D.
C LAPACK Users' Guide: Second Edition, SIAM, Philadelphia, 1995.
C
C FURTHER COMMENTS
C
C This is a simplified version of the LAPACK Library routine DGESVX,
C useful when several sets of matrix equations with the same
C coefficient matrix A and/or A' should be solved.
C
C NUMERICAL ASPECTS
C 3
C The algorithm requires 0(N ) operations.
C
C CONTRIBUTORS
C
C V. Sima, Research Institute for Informatics, Bucharest, Apr. 1999.
C
C REVISIONS
C
C -
C
C KEYWORDS
C
C Condition number, matrix algebra, matrix operations.
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, ONE
PARAMETER ( ZERO = 0.0D0, ONE = 1.0D0 )
C .. Scalar Arguments ..
CHARACTER EQUED, FACT, TRANS
INTEGER INFO, LDA, LDAF, LDB, LDX, N, NRHS
DOUBLE PRECISION RCOND
C ..
C .. Array Arguments ..
INTEGER IPIV( * ), IWORK( * )
DOUBLE PRECISION A( LDA, * ), AF( LDAF, * ), B( LDB, * ),
$ BERR( * ), C( * ), DWORK( * ), FERR( * ),
$ R( * ), X( LDX, * )
C ..
C .. Local Scalars ..
LOGICAL COLEQU, EQUIL, NOFACT, NOTRAN, ROWEQU
CHARACTER NORM
INTEGER I, INFEQU, J
DOUBLE PRECISION AMAX, ANORM, BIGNUM, COLCND, RCMAX, RCMIN,
$ ROWCND, RPVGRW, SMLNUM
C ..
C .. External Functions ..
LOGICAL LSAME
DOUBLE PRECISION DLAMCH, DLANGE, DLANTR
EXTERNAL LSAME, DLAMCH, DLANGE, DLANTR
C ..
C .. External Subroutines ..
EXTERNAL DGECON, DGEEQU, DGERFS, DGETRF, DGETRS, DLACPY,
$ DLAQGE, XERBLA
C ..
C .. Intrinsic Functions ..
INTRINSIC MAX, MIN
C ..
C .. Save Statement ..
SAVE RPVGRW
C ..
C .. Executable Statements ..
C
INFO = 0
NOFACT = LSAME( FACT, 'N' )
EQUIL = LSAME( FACT, 'E' )
NOTRAN = LSAME( TRANS, 'N' )
IF( NOFACT .OR. EQUIL ) THEN
EQUED = 'N'
ROWEQU = .FALSE.
COLEQU = .FALSE.
ELSE
ROWEQU = LSAME( EQUED, 'R' ) .OR. LSAME( EQUED, 'B' )
COLEQU = LSAME( EQUED, 'C' ) .OR. LSAME( EQUED, 'B' )
SMLNUM = DLAMCH( 'Safe minimum' )
BIGNUM = ONE / SMLNUM
END IF
C
C Test the input parameters.
C
IF( .NOT.NOFACT .AND. .NOT.EQUIL .AND. .NOT.LSAME( FACT, 'F' ) )
$ THEN
INFO = -1
ELSE IF( .NOT.NOTRAN .AND. .NOT.LSAME( TRANS, 'T' ) .AND. .NOT.
$ LSAME( TRANS, 'C' ) ) THEN
INFO = -2
ELSE IF( N.LT.0 ) THEN
INFO = -3
ELSE IF( NRHS.LT.0 ) THEN
INFO = -4
ELSE IF( LDA.LT.MAX( 1, N ) ) THEN
INFO = -6
ELSE IF( LDAF.LT.MAX( 1, N ) ) THEN
INFO = -8
ELSE IF( LSAME( FACT, 'F' ) .AND. .NOT.
$ ( ROWEQU .OR. COLEQU .OR. LSAME( EQUED, 'N' ) ) ) THEN
INFO = -10
ELSE
IF( ROWEQU ) THEN
RCMIN = BIGNUM
RCMAX = ZERO
DO 10 J = 1, N
RCMIN = MIN( RCMIN, R( J ) )
RCMAX = MAX( RCMAX, R( J ) )
10 CONTINUE
IF( RCMIN.LE.ZERO ) THEN
INFO = -11
ELSE IF( N.GT.0 ) THEN
ROWCND = MAX( RCMIN, SMLNUM ) / MIN( RCMAX, BIGNUM )
ELSE
ROWCND = ONE
END IF
END IF
IF( COLEQU .AND. INFO.EQ.0 ) THEN
RCMIN = BIGNUM
RCMAX = ZERO
DO 20 J = 1, N
RCMIN = MIN( RCMIN, C( J ) )
RCMAX = MAX( RCMAX, C( J ) )
20 CONTINUE
IF( RCMIN.LE.ZERO ) THEN
INFO = -12
ELSE IF( N.GT.0 ) THEN
COLCND = MAX( RCMIN, SMLNUM ) / MIN( RCMAX, BIGNUM )
ELSE
COLCND = ONE
END IF
END IF
IF( INFO.EQ.0 ) THEN
IF( LDB.LT.MAX( 1, N ) ) THEN
INFO = -14
ELSE IF( LDX.LT.MAX( 1, N ) ) THEN
INFO = -16
END IF
END IF
END IF
C
IF( INFO.NE.0 ) THEN
CALL XERBLA( 'MB02PD', -INFO )
RETURN
END IF
C
IF( EQUIL ) THEN
C
C Compute row and column scalings to equilibrate the matrix A.
C
CALL DGEEQU( N, N, A, LDA, R, C, ROWCND, COLCND, AMAX, INFEQU )
IF( INFEQU.EQ.0 ) THEN
C
C Equilibrate the matrix.
C
CALL DLAQGE( N, N, A, LDA, R, C, ROWCND, COLCND, AMAX,
$ EQUED )
ROWEQU = LSAME( EQUED, 'R' ) .OR. LSAME( EQUED, 'B' )
COLEQU = LSAME( EQUED, 'C' ) .OR. LSAME( EQUED, 'B' )
END IF
END IF
C
C Scale the right hand side.
C
IF( NOTRAN ) THEN
IF( ROWEQU ) THEN
DO 40 J = 1, NRHS
DO 30 I = 1, N
B( I, J ) = R( I )*B( I, J )
30 CONTINUE
40 CONTINUE
END IF
ELSE IF( COLEQU ) THEN
DO 60 J = 1, NRHS
DO 50 I = 1, N
B( I, J ) = C( I )*B( I, J )
50 CONTINUE
60 CONTINUE
END IF
C
IF( NOFACT .OR. EQUIL ) THEN
C
C Compute the LU factorization of A.
C
CALL DLACPY( 'Full', N, N, A, LDA, AF, LDAF )
CALL DGETRF( N, N, AF, LDAF, IPIV, INFO )
C
C Return if INFO is non-zero.
C
IF( INFO.NE.0 ) THEN
IF( INFO.GT.0 ) THEN
C
C Compute the reciprocal pivot growth factor of the
C leading rank-deficient INFO columns of A.
C
RPVGRW = DLANTR( 'M', 'U', 'N', INFO, INFO, AF, LDAF,
$ DWORK )
IF( RPVGRW.EQ.ZERO ) THEN
RPVGRW = ONE
ELSE
RPVGRW = DLANGE( 'M', N, INFO, A, LDA, DWORK ) /
$ RPVGRW
END IF
DWORK( 1 ) = RPVGRW
RCOND = ZERO
END IF
RETURN
END IF
C
C Compute the norm of the matrix A and the
C reciprocal pivot growth factor RPVGRW.
C
IF( NOTRAN ) THEN
NORM = '1'
ELSE
NORM = 'I'
END IF
ANORM = DLANGE( NORM, N, N, A, LDA, DWORK )
RPVGRW = DLANTR( 'M', 'U', 'N', N, N, AF, LDAF, DWORK )
IF( RPVGRW.EQ.ZERO ) THEN
RPVGRW = ONE
ELSE
RPVGRW = DLANGE( 'M', N, N, A, LDA, DWORK ) / RPVGRW
END IF
C
C Compute the reciprocal of the condition number of A.
C
CALL DGECON( NORM, N, AF, LDAF, ANORM, RCOND, DWORK, IWORK,
$ INFO )
C
C Set INFO = N+1 if the matrix is singular to working precision.
C
IF( RCOND.LT.DLAMCH( 'Epsilon' ) )
$ INFO = N + 1
END IF
C
C Compute the solution matrix X.
C
CALL DLACPY( 'Full', N, NRHS, B, LDB, X, LDX )
CALL DGETRS( TRANS, N, NRHS, AF, LDAF, IPIV, X, LDX, INFO )
C
C Use iterative refinement to improve the computed solution and
C compute error bounds and backward error estimates for it.
C
CALL DGERFS( TRANS, N, NRHS, A, LDA, AF, LDAF, IPIV, B, LDB, X,
$ LDX, FERR, BERR, DWORK, IWORK, INFO )
C
C Transform the solution matrix X to a solution of the original
C system.
C
IF( NOTRAN ) THEN
IF( COLEQU ) THEN
DO 80 J = 1, NRHS
DO 70 I = 1, N
X( I, J ) = C( I )*X( I, J )
70 CONTINUE
80 CONTINUE
DO 90 J = 1, NRHS
FERR( J ) = FERR( J ) / COLCND
90 CONTINUE
END IF
ELSE IF( ROWEQU ) THEN
DO 110 J = 1, NRHS
DO 100 I = 1, N
X( I, J ) = R( I )*X( I, J )
100 CONTINUE
110 CONTINUE
DO 120 J = 1, NRHS
FERR( J ) = FERR( J ) / ROWCND
120 CONTINUE
END IF
C
DWORK( 1 ) = RPVGRW
RETURN
C
C *** Last line of MB02PD ***
END
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