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SUBROUTINE MB03MD( N, L, THETA, Q, E, Q2, E2, PIVMIN, TOL, RELTOL,
$ IWARN, 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 compute an upper bound THETA using a bisection method such that
C the bidiagonal matrix
C
C |q(1) e(1) 0 ... 0 |
C | 0 q(2) e(2) . |
C J = | . . |
C | . e(N-1)|
C | 0 ... ... q(N) |
C
C has precisely L singular values less than or equal to THETA plus
C a given tolerance TOL.
C
C This routine is mainly intended to be called only by other SLICOT
C routines.
C
C ARGUMENTS
C
C Input/Output Parameters
C
C N (input) INTEGER
C The order of the bidiagonal matrix J. N >= 0.
C
C L (input/output) INTEGER
C On entry, L must contain the number of singular values
C of J which must be less than or equal to the upper bound
C computed by the routine. 0 <= L <= N.
C On exit, L may be increased if the L-th smallest singular
C value of J has multiplicity greater than 1. In this case,
C L is increased by the number of singular values of J which
C are larger than its L-th smallest one and approach the
C L-th smallest singular value of J within a distance less
C than TOL.
C If L has been increased, then the routine returns with
C IWARN set to 1.
C
C THETA (input/output) DOUBLE PRECISION
C On entry, THETA must contain an initial estimate for the
C upper bound to be computed. If THETA < 0.0 on entry, then
C one of the following default values is used.
C If L = 0, THETA is set to 0.0 irrespective of the input
C value of THETA; if L = 1, then THETA is taken as
C MIN(ABS(Q(i))), for i = 1,2,...,N; otherwise, THETA is
C taken as ABS(Q(N-L+1)).
C On exit, THETA contains the computed upper bound such that
C the bidiagonal matrix J has precisely L singular values
C less than or equal to THETA + TOL.
C
C Q (input) DOUBLE PRECISION array, dimension (N)
C This array must contain the diagonal elements q(1),
C q(2),...,q(N) of the bidiagonal matrix J. That is,
C Q(i) = J(i,i) for i = 1,2,...,N.
C
C E (input) DOUBLE PRECISION array, dimension (N-1)
C This array must contain the superdiagonal elements
C e(1),e(2),...,e(N-1) of the bidiagonal matrix J. That is,
C E(k) = J(k,k+1) for k = 1,2,...,N-1.
C
C Q2 (input) DOUBLE PRECISION array, dimension (N)
C This array must contain the squares of the diagonal
C elements q(1),q(2),...,q(N) of the bidiagonal matrix J.
C That is, Q2(i) = J(i,i)**2 for i = 1,2,...,N.
C
C E2 (input) DOUBLE PRECISION array, dimension (N-1)
C This array must contain the squares of the superdiagonal
C elements e(1),e(2),...,e(N-1) of the bidiagonal matrix J.
C That is, E2(k) = J(k,k+1)**2 for k = 1,2,...,N-1.
C
C PIVMIN (input) DOUBLE PRECISION
C The minimum absolute value of a "pivot" in the Sturm
C sequence loop.
C PIVMIN >= max( max( |q(i)|, |e(k)| )**2*sf_min, sf_min ),
C where i = 1,2,...,N, k = 1,2,...,N-1, and sf_min is at
C least the smallest number that can divide one without
C overflow (see LAPACK Library routine DLAMCH).
C Note that this condition is not checked by the routine.
C
C Tolerances
C
C TOL DOUBLE PRECISION
C This parameter defines the multiplicity of singular values
C by considering all singular values within an interval of
C length TOL as coinciding. TOL is used in checking how many
C singular values are less than or equal to THETA. Also in
C computing an appropriate upper bound THETA by a bisection
C method, TOL is used as a stopping criterion defining the
C minimum (absolute) subinterval width. TOL >= 0.
C
C RELTOL DOUBLE PRECISION
C This parameter specifies the minimum relative width of an
C interval. When an interval is narrower than TOL, or than
C RELTOL times the larger (in magnitude) endpoint, then it
C is considered to be sufficiently small and bisection has
C converged.
C RELTOL >= BASE * EPS, where BASE is machine radix and EPS
C is machine precision (see LAPACK Library routine DLAMCH).
C
C Warning Indicator
C
C IWARN INTEGER
C = 0: no warnings;
C = 1: if the value of L has been increased as the L-th
C smallest singular value of J coincides with the
C (L+1)-th smallest one.
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
C METHOD
C
C Let s(i), i = 1,2,...,N, be the N non-negative singular values of
C the bidiagonal matrix J arranged so that s(1) >= ... >= s(N) >= 0.
C The routine then computes an upper bound T such that s(N-L) > T >=
C s(N-L+1) as follows (see [2]).
C First, if the initial estimate of THETA is not specified by the
C user then the routine initialises THETA to be an estimate which
C is close to the requested value of THETA if s(N-L) >> s(N-L+1).
C Second, a bisection method (see [1, 8.5]) is used which generates
C a sequence of shrinking intervals [Y,Z] such that either THETA in
C [Y,Z] was found (so that J has L singular values less than or
C equal to THETA), or
C
C (number of s(i) <= Y) < L < (number of s(i) <= Z).
C
C This bisection method is applied to an associated 2N-by-2N
C symmetric tridiagonal matrix T" whose eigenvalues (see [1]) are
C given by s(1),s(2),...,s(N),-s(1),-s(2),...,-s(N). One of the
C starting values for the bisection method is the initial value of
C THETA. If this value is an upper bound, then the initial lower
C bound is set to zero, else the initial upper bound is computed
C from the Gershgorin Circle Theorem [1, Theorem 7.2-1], applied to
C T". The computation of the "number of s(i) <= Y (or Z)" is
C achieved by calling SLICOT Library routine MB03ND, which applies
C Sylvester's Law of Inertia or equivalently Sturm sequences
C [1, 8.5] to the associated matrix T". If
C
C Z - Y <= MAX( TOL, PIVMIN, RELTOL*MAX( ABS( Y ), ABS( Z ) ) )
C
C at some stage of the bisection method, then at least two singular
C values of J lie in the interval [Y,Z] within a distance less than
C TOL from each other. In this case, s(N-L) and s(N-L+1) are assumed
C to coincide, the upper bound T is set to the value of Z, the value
C of L is increased and IWARN is set to 1.
C
C REFERENCES
C
C [1] Golub, G.H. and Van Loan, C.F.
C Matrix Computations.
C The Johns Hopkins University Press, Baltimore, Maryland, 1983.
C
C [2] Van Huffel, S. and Vandewalle, J.
C The Partial Total Least Squares Algorithm.
C J. Comput. and Appl. Math., 21, pp. 333-341, 1988.
C
C NUMERICAL ASPECTS
C
C None.
C
C CONTRIBUTOR
C
C Release 3.0: V. Sima, Katholieke Univ. Leuven, Belgium, Apr. 1997.
C Supersedes Release 2.0 routine MB03AD by S. Van Huffel, Katholieke
C University, Leuven, Belgium.
C
C REVISIONS
C
C June 16, 1997, Oct. 26, 2003.
C
C KEYWORDS
C
C Bidiagonal matrix, singular values.
C
C ******************************************************************
C
C .. Parameters ..
DOUBLE PRECISION ZERO, TWO
PARAMETER ( ZERO = 0.0D0, TWO = 2.0D0 )
DOUBLE PRECISION FUDGE
PARAMETER ( FUDGE = TWO )
C .. Scalar Arguments ..
INTEGER INFO, IWARN, L, N
DOUBLE PRECISION PIVMIN, RELTOL, THETA, TOL
C .. Array Arguments ..
DOUBLE PRECISION E(*), E2(*), Q(*), Q2(*)
C .. Local Scalars ..
INTEGER I, NUM, NUMZ
DOUBLE PRECISION H, TH, Y, Z
C .. External Functions ..
INTEGER MB03ND
DOUBLE PRECISION DLAMCH, MB03MY
EXTERNAL DLAMCH, MB03MY, MB03ND
C .. External Subroutines ..
EXTERNAL XERBLA
C .. Intrinsic Functions ..
INTRINSIC ABS, DBLE, MAX
C .. Executable Statements ..
C
C Test some input scalar arguments.
C
IWARN = 0
INFO = 0
IF( N.LT.0 ) THEN
INFO = -1
ELSE IF( L.LT.0 .OR. L.GT.N ) THEN
INFO = -2
END IF
C
IF ( INFO.NE.0 ) THEN
C
C Error return.
C
CALL XERBLA( 'MB03MD', -INFO )
RETURN
END IF
C
C Quick return if possible.
C
IF ( N.EQ.0 )
$ RETURN
C
C Step 1: initialisation of THETA.
C -----------------------
IF ( L.EQ.0 ) THETA = ZERO
IF ( THETA.LT.ZERO ) THEN
IF ( L.EQ.1 ) THEN
C
C An upper bound which is close if S(N-1) >> S(N):
C
THETA = MB03MY( N, Q, 1 )
IF ( N.EQ.1 )
$ RETURN
ELSE
C
C An experimentally established estimate which is good if
C S(N-L) >> S(N-L+1):
C
THETA = ABS( Q(N-L+1) )
END IF
END IF
C
C Step 2: Check quality of initial estimate THETA.
C ---------------------------------------
NUM = MB03ND( N, THETA, Q2, E2, PIVMIN, INFO )
IF ( NUM.EQ.L )
$ RETURN
C
C Step 3: initialisation starting values for bisection method.
C ---------------------------------------------------
C Let S(i), i=1,...,N, be the singular values of J in decreasing
C order. Then, the computed Y and Z will be such that
C (number of S(i) <= Y) < L < (number of S(i) <= Z).
C
IF ( NUM.LT.L ) THEN
TH = ABS( Q(1) )
Z = ZERO
Y = THETA
NUMZ = N
C
DO 20 I = 1, N - 1
H = ABS( Q(I+1) )
Z = MAX( MAX( TH, H ) + ABS( E(I) ), Z )
TH = H
20 CONTINUE
C
C Widen the Gershgorin interval a bit for machines with sloppy
C arithmetic.
C
Z = Z + FUDGE*ABS( Z )*DLAMCH( 'Epsilon' )*DBLE( N )
$ + FUDGE*PIVMIN
ELSE
Z = THETA
Y = ZERO
NUMZ = NUM
END IF
C
C Step 4: Bisection method for finding the upper bound on the L
C smallest singular values of the bidiagonal.
C ------------------------------------------
C A sequence of subintervals [Y,Z] is produced such that
C (number of S(i) <= Y) < L < (number of S(i) <= Z).
C NUM : number of S(i) <= TH,
C NUMZ: number of S(i) <= Z.
C
C WHILE ( ( NUM .NE. L ) .AND.
C ( ( Z-Y ) .GT. MAX( TOL, PIVMIN, RELTOL*ABS( Z ) ) ) ) DO
40 IF ( ( NUM.NE.L ) .AND.
$ ( ABS( Z-Y ).GT.MAX( TOL, PIVMIN,
$ RELTOL*MAX( ABS( Y ), ABS( Z ) ) ) ) )
$ THEN
TH = ( Y + Z )/TWO
NUM = MB03ND( N, TH, Q2, E2, PIVMIN, INFO )
IF ( NUM.LT.L ) THEN
Y = TH
ELSE
Z = TH
NUMZ = NUM
END IF
GO TO 40
END IF
C END WHILE 40
C
C If NUM <> L and ( Z - Y ) <= TOL, then at least two singular
C values of J lie in the interval [Y,Z] within a distance less than
C TOL from each other. S(N-L) and S(N-L+1) are then assumed to
C coincide. L is increased, and a warning is given.
C
IF ( NUM.NE.L ) THEN
L = NUMZ
THETA = Z
IWARN = 1
ELSE
THETA = TH
END IF
C
RETURN
C *** Last line of MB03MD ***
END
|
